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 811-04490
JOHN HANCOCK VARIABLE SERIES TRUST I
(Exact name of Registrant as specified in charter)
JOHN HANCOCK PLACE
INSURANCE AND SEPARATE ACCOUNTS DEPT. - LAW SECTOR
P.O. BOX 111
BOSTON, MASSACHUSETTS 02117-0111
(Address of principal executive offices)
RONALD J. BOCAGE, ESQ.
JOHN HANCOCK PLACE
INSURANCE AND SEPARATE ACCOUNTS DEPT. - LAW SECTOR
P.O. BOX 111
BOSTON, MASSACHUSETTS 02117-0111
(Name and Address of Agent for Service)
COPIES TO:
THOMAS C. LAUERMAN, ESQ.
FOLEY & LARDNER
3000 K STREET
WASHINGTON, D.C. 20007
Registrant's telephone number, including area code: (617) 572-6000
Date of fiscal year end: 12/31/2004
Date of reporting period: 6/30/2004
ITEM 1. REPORTS TO STOCKHOLDERS.
Semi Annual Report
for John Hancock Variable Series Trust I
June 30, 2004
[LOGO] John Hancock (c)
Inception: March 29, 1986
- --------------------------------------------------------------------------------
Active Bond Fund
John Hancock Advisers, LLC Greene/Matthews
Declaration Management & Research, LLC James Shallcross
Pacific Investment Management Company LLC William H. Gross
- --------------------------------------------------------------------------------
.. The Fund employs a multi-manager approach with three sub-advisers
independently managing a portion of the Fund and each using distinct
investment strategies.
.. At quarter-end, John Hancock Advisers managed 37%, Declaration Management &
Research managed 25% and PIMCO managed 38% of the Fund's assets.
Fund Commentary
.. Year-to-date, the Fund returned 0.20%, outperforming its benchmark, the
Lehman Brothers Aggregate Bond Index. Relative to Morningstar peers, the
Fund has an average rating of 3 with a below average risk profile.
John Hancock Advisers, LLC - Active Sector Rotation
. Year-to-date, this sleeve outperformed its benchmark primarily due to
security selection and sector allocation decisions.
. The manager uses proprietary research to identify undervalued sectors
and securities with an emphasis on U.S. credit sectors including high
yield.
Declaration Management & Research, LLC - Active Core
. Year-to-date, this sleeve outperformed its benchmark primarily due to
duration / yield curve and security selection decisions.
. The manager uses proprietary research and quantitative tools in a risk
controlled, benchmark-relative approach with an emphasis on higher
quality U.S. investment grade sectors.
Pacific Investment Management Company (PIMCO) - Active Core Plus
. Year-to-date, this sleeve outperformed its benchmark primarily due to
sector allocation decisions.
. The manager uses proprietary research, economic analysis and
quantitative tools seeking to add value across all key decisions
(duration, sector, security and derivatives) and opportunistically
invests broadly across key fixed income sectors including high yield
and non-U.S. sectors.
Inception: March 29, 1986
- --------------------------------------------------------------------------------
Active Bond Fund
John Hancock Advisers, LLC Greene/Matthews
Declaration Management & Research, LLC James Shallcross
Pacific Investment Management Company LLC William H. Gross
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
Federal National Mortgage Assoc. 21.1%
U.S. Treasury 10.9%
Federal Republic of Germany 6.3%
Government National Mortgage Assoc 6.0%
Federal Home Loan Mortgage Corp. 4.7%
CWMBS, Inc. 2.4%
Federal Home Loan Bank 1.4%
Morgan Stanley Dean Witter 1.4%
NAAC Reperforming Loan Remic Trus 1.1%
Ford Motor Co. 1.0%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Lehman Brothers
Active Bond Aggregate Bond
Fund Index
----------- ---------------
YTD/3/ 0.20% 0.15%
1 Year 1.22 0.33
3 Years 5.88 6.36
5 Years 6.43 6.95
10 Years 7.27 7.39
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Intermediate-Term Bond
MORNINGSTAR RISK/1/:
.. Below Average (VL/VUL)
.. Below Average (VA)
MORNINGSTAR RATING/1/:
.. *** (VL/VUL)
.. *** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FUND COMPOSITION (as of June 30, 2004)
% of
Credit Quality Assets
------
AAA/Government/Agency 63.91%
AA 2.30%
A 4.97%
BBB 19.84%
BB & lower 8.79%
Not rated 0.19%
Weighted Average Yield 5.49%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 295 VL/VUL subaccounts and 488 VA subaccounts in the
Morningstar Intermediate-Term Bond category. This represents the
Morningstar 3 year rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions, and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The performance of the fund on this page
is reported net of Trust level charges (i.e. investment management fees and
operating expenses). It does not reflect expense and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Active Bond Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $96,093 of securities
loaned (Note B)) .............................................. $ 905,202
Net unrealized depreciation of investments ....................... (1,184)
Short-term investments at value .................................. 306,635
----------
Total investments .......................................... 1,210,653
Cash ............................................................. 1,587
Receivable for:
Investments sold .............................................. 7,065
Interest ...................................................... 9,087
Dividends ..................................................... 20
Unrealized appreciation in forward currency contracts ......... 97
Other receivables ............................................. 57
----------
Total assets ..................................................... 1,228,566
----------
LIABILITIES
Payables for:
Investments purchased ......................................... 118,031
Net payable for swap contracts ................................ 1,410
Written options at value (premium received $684) .............. 173
Accrued operating expenses .................................... 278
Collateral for securities on loan ............................. 97,538
Other payables ................................................ 4
----------
Total liabilities ................................................ 217,434
----------
Net assets ....................................................... $1,011,132
==========
Shares outstanding, $0.01 Par Value (unlimited shares
authorized) ................................................... 106,569
----------
Net asset value per share ........................................ $ 9.49
==========
Composition of net assets:
Capital paid-in ............................................... $1,015,468
Accumulated net realized loss on investments, futures and
foreign currency transactions .............................. (2,083)
Undistributed net investment income ........................... 20
Net unrealized appreciation (depreciation) of:
Investments ................................................ (1,184)
Written Options ............................................ 511
Swap contracts ............................................. (1,410)
Translation of assets and liabilities in foreign
currencies .............................................. (190)
----------
Net assets ....................................................... $1,011,132
==========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Active Bond Fund
(000's Omitted)
INVESTMENT INCOME
Interest ..................................................... $ 21,750
Dividends .................................................... 403
Securities lending ........................................... 41
--------
Total investment income ............................................ 22,194
--------
EXPENSES
Investment advisory fee ...................................... 3,145
Auditors fees ................................................ 66
Custodian fees ............................................... 183
Fidelity Bond fees ........................................... 1
Legal fees ................................................... 67
Printing & mailing fees ...................................... 60
Trustees' fees ............................................... 16
Other fees ................................................... 16
--------
Total expenses ..................................................... 3,554
--------
Net investment income .............................................. 18,640
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on:
Investments .................................................. 6,110
Foreign currency transactions ................................ 705
Change in unrealized appreciation (depreciation) on:
Investments .................................................. (23,128)
Written options .............................................. 482
Swap contracts ............................................... (863)
Translation of assets and liabilities in foreign currencies .. 547
--------
Net realized and unrealized loss ................................... (16,147)
--------
Net increase in net assets resulting from operations ............... $ 2,493
========
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Active Bond Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income............................................... $ 18,640 $ 46,509
Net realized gain................................................... 6,815 25,335
Change in net unrealized appreciation (depreciation)................ (22,962) (4,192)
---------- ----------
Net increase in net assets resulting from operations............. 2,493 67,652
Distributions to shareholders from:
Net investment income............................................... (18,620) (46,318)
Realized gains...................................................... (25,718)
---------- ----------
Decrease in net assets resulting from distributions.............. (18,620) (72,036)
From fund share transactions:
Proceeds from shares sold........................................... 43,333 111,060
Shares issued in reorganization..................................... 83,358
Distributions reinvested............................................ 18,620 72,036
Payment for shares redeemed......................................... (90,303) (193,915)
---------- ----------
Increase (decrease) in net assets from fund share transactions... (28,350) 72,539
---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS.................................. (44,477) 68,155
NET ASSETS
Beginning of Period................................................. 1,055,609 987,454
---------- ----------
End of Period (including undistributed net investment income
of $20 and $0, respectively)..................................... $1,011,132 $1,055,609
========== ==========
Analysis of fund share transactions:
Sold................................................................ 4,473 11,585
Issued in reorganization............................................ 8,433
Reinvested.......................................................... 1,934 7,389
Redeemed............................................................ (9,339) (19,743)
---------- ----------
Net increase in fund shares outstanding................................ (2,932) 7,664
========== ==========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Active Bond Fund
--------------------------------------------------------------------
Unaudited Period Year Ended December 31,
Ended June 30, -------------------------------------------------
2004 2003(f) 2002 2001 2000
---------------- ---------- -------- -------- --------
Net Assets Value at Beginning of Period ....... $ 9.64 $ 9.70 $ 9.55 $ 9.44 $ 9.12
Income from Investment Operations:
Net Investment Income ...................... 0.17 0.43 0.50 0.58 0.64
Net Realized and Unrealized Gain (Loss) on
Investment(a) ........................... (0.15) 0.18 0.18 0.11 0.28
---------- ---------- -------- -------- --------
Total From Investment Operations ........... 0.02 0.61 0.68 0.69 0.92
Less Distributions:
Distribution from Net Investment Income .... (0.17) (0.43) (0.53) (0.58) (0.60)
Distribution from Net Realized Gains on
Investments ............................. (0.24)
---------- ---------- -------- -------- --------
Total Distributions ........................ (0.17) (0.67) (0.53) (0.58) (0.60)
Capital Contributions ......................
---------- ---------- -------- -------- --------
Net Assets Value at End of Period ............. $ 9.49 $ 9.64 $ 9.70 $ 9.55 $ 9.44
========== ========== ======== ======== ========
Total Investment Return(b) .................... 0.20%(g) 6.48% 7.25% 7.48% 10.45%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net
Assets .................................. 0.69%(h) 0.70% 0.69% 0.67% 0.41%(d)
Ratio of Net Investment Income to Average
Net Assets .............................. 3.62%(h) 4.42% 5.24% 5.97%(e) 6.98%
Portfolio Turnover Rate .................... 215.86%(g) 465.90%(c) 290.73% 206.80%(c) 224.24%
Net Assets End of Period (000's Omitted) ...... $1,011,132 $1,055,609 $987,454 $947,514 $842,299
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Excludes merger activity.
(d) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made, the expense ratio would have been .44% for the year ended
December 31, 2000.
(e) Had the Fund not amortized premiums and accreted discounts on debt
securities, the annual ratio of net investment income to average net assets
would have been 6.28% for the years ended December 31, 2001.
(f) The Fund entered into a new sub-advisory agreements with PIMCO and
Declaration Management & Research, LLC during the period shown.
(g) Not annualized.
(h) Annualized.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
ACTIVE BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS
Aerospace & Defense - 0.0%
Jet Equipment Trust - Notes
10.91% due 08/15/14 *................................. $2,100 $ 0
Air Freight & Couriers - 0.1%
CNF, Inc. - Sr. Debs 144A (a)
6.7% due 05/01/34..................................... 555 540
Airlines - 0.2%
American Airlines, Inc. - Ser. 2001-2 Cl. A2
7.858% due 10/01/11................................... 820 816
Continental Airlines - CTF Ser. 1999-1 Cl. A
6.545% due 02/02/19................................... 1,072 1,003
Northwest Airlines Corp. - Ser. 1996-1
8.97% due 01/02/15.................................... 168 108
-------
1,927
Auto Components - 0.1%
Delphi Corp. - Notes
6.5% due 08/15/13..................................... 640 651
Motor Gaming Group, Inc. - Sr. Notes
9.75% due 04/01/10.................................... 315 339
-------
990
Auto Loan - 1.1%
Chase Manhattan Auto Owner Trust - Ser. 2000-A Notes Cl.
A4
6.26% due 06/15/07.................................... 310 311
Ford Credit Auto Owner Trust - Notes Ser. 2004 Cl. A3
2.93% due 03/15/08.................................... 1,675 1,668
Ford Motor Credit Co. - Bonds
7.75% due 03/15/05.................................... 1,330 1,374
Ford Motor Credit Co. - Notes
6.875% due 02/01/06................................... 2,480 2,601
7.0% due 10/01/13..................................... 827 835
7.375% due 10/28/09................................... 1,691 1,805
General Motors Acceptance Corp.
6.875% due 08/28/12................................... 590 600
General Motors Acceptance Corp. - Bonds
7.25% due 03/02/11.................................... 1,125 1,181
General Motors Acceptance Corp. - Sr. Notes
5.625% due 05/15/09................................... 365 364
-------
10,739
Automobiles - 0.6%
Auburn Hills Trust - CTF Exchangeable
12.375% due 05/01/20.................................. 535 771
Daimler Chrysler NA Holding Corp. - Sr. Notes
6.5% due 11/15/13..................................... 500 512
DaimlerChrysler NA
1.87% due 05/24/06................................... $2,020 $ 2,026
DaimlerChrysler NA Holding Co. - Notes
8.5% due 01/18/31..................................... 340 391
Ford Motor Co. - Debs.
9.98% due 02/15/47................................... 895 1,057
General Motors Corp. - Sr. Debs.
8.375% due 07/15/33................................... 769 814
Hertz Corp. - Notes
7.625% due 06/01/12................................... 775 818
-------
6,389
Banks - 2.9%
Abbey National First Capital - Sr. Sub. Notes
8.2% due 10/15/04..................................... 2,100 2,137
Banc America Commercial Mortgage, Inc. - CTF 144A (a)
5.276% due 03/11/41................................... 1,000 952
Banc America Commercial Mortgage, Inc. - Ser. 2004-1 Cl.
F 144A (a)
5.279% due 11/10/39................................... 650 617
Banc America Commercial Mortgage, Inc. - Ser. 2004-1 Cl.
G 144A (a)
5.377% due 11/10/39................................... 650 617
Banc America Mortgage Securities, Inc. - Ser. 2004-2 Cl.
5A1
6.5% due 10/25/19..................................... 2,506 2,555
Banc America Mortgage Securities, Inc. - Ser. 2004-D Cl.
2A1
3.649% due 05/25/34................................... 1,891 1,856
Bank of New York Institution Capital - Notes 144A (a)
7.78% due 12/01/26.................................... 2,550 2,724
Bank One Corp. - Notes
6.5% due 02/01/06..................................... 700 739
Barclays Bank plc - Notes 144A (a)
6.86% due 06/15/32.................................... 1,800 1,861
Capital One Bank
6.5% due 06/13/13..................................... 445 459
Capital One Bank - Notes
6.875% due 02/01/06................................... 820 865
Central American Bank - 144A (a)
6.75% due 04/15/13.................................... 650 680
Colonial Bank Montgomery - Sub. Notes
9.375% due 06/01/11................................... 1,120 1,310
Credit Suisse First Boston - Ser. 2003- C3 Cl. F 144A (a)
4.518% due 05/15/38................................... 1,190 1,086
Credit Suisse First Boston - Sr. Notes
4.625% due 01/15/08................................... 451 459
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
ACTIVE BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Banks - Continued
CS First Boston Mortgage Securities Corp. - Notes
6.26% due 04/11/30.................................... $1,164 $ 1,195
JP Morgan Chase & Co. - Notes
6.625% due 03/15/12................................... 940 1,016
Popular North America, Inc.
4.7% due 06/30/09..................................... 610 611
6.125% due 10/15/06................................... 730 770
Royal Bank of Scotland plc - Notes
7.648% due 08/31/49................................... 2,220 2,492
Wachovia Bank Commercial Mortgage
Trust - Ser. 2004 C10 Cl A3
4.39% due 02/15/36.................................... 2,000 1,924
Wachovia Bank Commercial Trust - Ser. 2003-C8 Cl. F
144A (a)
5.031% due 11/15/35................................... 600 578
Westpac Capital Trust III - 144A (a)
5.819% due 12/29/49................................... 760 755
Zions Financial Corp. - Notes
6.95% due 05/15/11.................................... 656 692
-------
28,950
Beverages - 0.1%
Commonwealth Brands, Inc. - 144A (a)
10.625% due 09/01/08.................................. 365 390
PanAmerican Beverages, Inc. - Sr. Notes Ser. A
7.25% due 07/01/09.................................... 430 460
-------
850
Chemicals - 0.0%
Braskem SA - 144A (a)
11.75% due 01/22/14................................... 295 266
Commercial Services & Supplies - 1.1%
Allied Waste North America - Notes
10.0% due 08/01/09.................................... 1,665 1,761
Cendant Corp. - Notes
6.25% due 01/15/08.................................... 1,260 1,344
6.875% due 08/15/06................................... 4,130 4,413
Cendant Corp. - Sr. Notes
6.25% due 03/15/10.................................... 500 532
7.125% due 03/15/15................................... 268 293
Mantis Reef, Ltd. - 144A (a)
4.692% due 11/14/08................................... 815 805
RPM International, Inc. - Sr. Notes 144A (a)
6.25% due 12/15/13.................................... 905 908
Teppco Partners - GTD. Sr. Notes
7.625% due 02/15/12................................... 615 687
Trinity Indiana Leasing Co. - 144A (a)
7.755% due 02/15/09................................... 570 597
-------
11,340
Communications Equipment - 0.2%
Corning, Inc. - Notes
6.3% due 03/01/09..................................... $ 460 $ 467
8.3% due 04/04/25..................................... 675 709
Motorola, Inc. - Notes
6.75% due 02/01/06.................................... 772 812
-------
1,988
Computers & Peripherals - 0.1%
NCR Corp. - Sr. Notes 144A (a)
7.125% due 06/15/09................................... 515 563
Construction & Engineering - 0.1%
KB Home - Sr. Notes
5.75% due 02/01/14.................................... 605 557
Containers & Packaging - 0.3%
BWAY Corp. - Sr. Sub. Notes
10.0% due 10/15/10.................................... 355 370
Owens Brockway Glass Container - Sr. Notes 144A (a)
8.75% due 11/15/12.................................... 380 414
Sealed Air Corp. - Sr. Notes 144A (a)
5.375% due 04/15/08................................... 930 962
Stone Container Corp. - Sr. Notes
8.375% due 07/01/12................................... 790 828
9.75% due 02/01/11.................................... 625 687
-------
3,261
Credit Card - 1.1%
Citibank Credit Card Issuance Trust - Notes
4.45% due 04/07/10.................................... 2,400 2,408
MBNA Asset Backed Note Trust - Notes 144A (a)
6.65% due 08/15/11.................................... 600 645
MBNA Asset Backed Note Trust - Notes Ser. 1998-E 144A (a)
6.6% due 09/15/10..................................... 1,115 1,192
Midland Funding Corp. II - Bonds Ser. A
11.75% due 07/23/05................................... 5,865 6,041
Midland Funding Corp. II - Notes
13.25% due 07/23/06................................... 825 924
-------
11,210
Diversified Financials - 3.3%
AXA Financial, Inc. - Sr. Notes
7.75% due 08/01/10.................................... 543 623
Bunge Ltd. Financial Corp. - Sr. Notes 144A (a)
5.35% due 04/15/14.................................... 630 602
Capital One Financial Corp. - Notes
7.25% due 05/01/06.................................... 515 544
CIT Group, Inc.
1.48% due 05/18/07.................................... 445 444
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
ACTIVE BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Diversified Financials - Continued
Citigroup, Inc. - Sub. Notes
5.625% due 08/27/12 .................................. $1,000 $ 1,028
6.0% due 10/31/33 .................................... 2,325 2,223
Deutsche Mortgage & Asset Receiving Corp. - Notes
6.861% due 03/15/08 .................................. 1,855 1,991
Doral Financial Corp. - Sr. Notes
1.952% due 12/07/05 .................................. 900 900
ERAC USA Finance Co. - Notes 144A (a)
7.95% due 12/15/09 ................................... 1,270 1,461
Hyatt Equities LC - Notes 144A (a)
6.875% due 06/15/07 .................................. 2,035 2,164
Morgan Stanley - Sub. Notes
4.75% due 04/01/14 ................................... 555 512
Morgan Stanley & Co., Inc. - Notes
4.25% due 05/15/10 ................................... 1,665 1,634
Morgan Stanley Dean Witter Capital - Ser. 2001 Cl. A1
4.57% due 12/18/32 ................................... 2,948 3,001
Morgan Stanley Group
1.59% due 07/06/05 ................................... 7,200 7,200
Newcourt Credit Group, Inc. - Notes Ser. B
6.875% due 02/16/05 .................................. 1,455 1,496
Pemex Project Funding Trust - Notes
9.125% due 10/13/10 .................................. 3,085 3,540
Qwest Captial Funding, Inc. - Notes
7.75% due 08/15/06 ................................... 955 945
TFM SA de CV - Sr. Disc. Debs.
11.75% due 06/15/09 .................................. 340 333
The MONY Group, Inc. - Sr. Notes
7.45% due 12/15/05 ................................... 660 698
URC Holdings Corp. - Sr. Notes 144A (a)
7.875% due 06/30/06 .................................. 1,600 1,747
-------
33,086
Diversified Telecommunication Services - 3.4%
AT&T Broadband Corp. - Notes
8.375% due 03/15/13 .................................. 1,199 1,408
AT&T Corp. - Sr. Notes
7.8% due 11/15/11 .................................... 1,450 1,489
Citizens Communications Co. - Notes
8.5% due 05/15/06 .................................... 2,000 2,131
Cox Communications, Inc. - Notes
7.5% due 08/15/04 .................................... 3,685 3,707
Deutsche Telekom International - Notes
8.5% due 06/15/10 .................................... 1,120 1,309
France Telecom
8.25% due 03/14/08 ................................... 1,700 2,296
France Telecom SA - Notes
8.7% due 03/01/06 .................................... 450 482
9.25% due 03/01/11 ................................... 2,540 2,943
10.0% due 03/01/31 ................................... $ 319 $ 400
Innova S DE R.L.
9.375% due 09/19/13 ................................. 485 509
Innova S DE R.L. - Notes
12.875% due 04/01/07 ................................. 285 287
Qwest Corp. - Notes 144A (a)
8.875% due 03/15/12 .................................. 625 683
Sprint Capital Corp.
6.9% due 05/01/19 .................................... 1,220 1,227
Sprint Capital Corp. - Notes
6.125% due 11/15/08 .................................. 1,985 2,086
7.125% due 01/30/06 .................................. 2,380 2,519
8.75% due 03/15/32 ................................... 346 403
Tele-Communications, Inc.
9.8% due 02/01/12 .................................... 465 583
Telecom De Puerto Rico, Inc. - Sr. Notes
6.65% due 05/15/06 ................................... 1,445 1,527
Telecom Italia Capital Corp. - Sr. Notes Ser. A 144A (a)
4.0% due 11/15/08 .................................... 450 442
Telefonosde Mexico - Sr. Notes
8.25% due 01/26/06 ................................... 4,090 4,373
Tellus Corp. - Notes
8.0% due 06/01/11 .................................... 1,810 2,057
Verizon Pennsylvania, Inc. - Debs. Ser. A
5.65% due 11/15/11 ................................... 1,530 1,552
-------
34,413
Electric Utilities - 1.0%
CalEnergy Co., Inc. - Bonds
8.48% due 09/15/28 ................................... 686 825
Centerpoint Energy Resources Corp. - Sr. Notes
7.875% due 04/01/13 .................................. 700 785
Empresa Electrica Guacolda SA - Notes 144A (a)
8.625% due 04/30/13 .................................. 1,616 1,676
Enersis SA - Notes 144A (a)
7.375% due 01/15/14 .................................. 970 936
FirstEnergy Corp. - Notes Ser. B
6.45% due 11/15/11 ................................... 490 508
FirstEnergy Corp. - Notes Ser. C
7.375% due 11/15/31 .................................. 1,000 1,042
Progress Energy, Inc. - Sr. Notes
6.75% due 03/01/06 ................................... 787 830
7.0% due 10/30/31 .................................... 325 335
Public Service Co. New Mexico - Sr. Unsec. Notes
4.4% due 09/15/08 .................................... 680 678
TXU Australia Holdings, Ltd. - GTD Sr. Notes 144A (a)
6.15% due 11/15/13 ................................... 814 848
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
ACTIVE BOND FUND
Par Market
Name of Issuer Value Value
-------------- -------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Electric Utilities - Continued
TXU Australia Holdings, Ltd. - Sr. Notes
6.75% due 12/01/06 .................................. $ 455 $ 486
TXU Energy Co. LLC - Sr. Notes
7.0% due 03/15/13 ................................... 887 966
-------
9,915
Electric/Gas - 2.2%
AES Eastern Energy - Notes
9.0% due 01/02/17 ................................... 893 962
Dominion Resources, Inc. - Notes
6.3% due 03/15/33 ................................... 518 492
EL Paso Electric Co. - Bonds Ser. E
9.4% due 05/01/11 ................................... 1,225 1,391
Empresa Nacional De Electricid - Notes
8.35% due 08/01/13 .................................. 1,015 1,084
Ipalco Enterprises, Inc. - Notes
8.625% due 11/14/11 ................................. 705 765
Kansas City Power & Light Co. - Sr. Notes Ser. A
6.0% due 03/15/07 ................................... 585 617
Monterrey Power SA de CV - Sr. Sec. Bonds 144A (a)
9.625% due 11/15/09 ................................. 1,326 1,511
Noram Energy Corp. - Debs
6.5% due 02/01/08 ................................... 2,275 2,407
Oklahoma Gas & Electric Co. - Notes
6.65% due 07/15/27 .................................. 914 1,009
Pacific Gas & Electric Co.
6.05% due 03/01/34 .................................. 750 705
Pacific Gas & Electric Co. - Bonds
1.81% due 04/03/06 .................................. 2,000 2,001
PNPP II Funding Corp. - Bonds
9.12% due 05/30/16 .................................. 934 1,064
PSEG Energy LLC - Sr. Notes
7.75% due 04/16/07 .................................. 1,605 1,681
PSEG Power LLC - Sr. Notes
6.875% due 04/15/06 ................................. 857 909
8.625% due 04/15/31 ................................. 445 544
Sempra Energy - Notes
4.75% due 05/15/09 .................................. 445 448
Southern California Edison Co. - Ser. 2004B
6.0% due 01/15/34 ................................... 477 457
Waterford 3 Funding - Entergy - Bonds
8.09% due 01/02/17 .................................. 3,270 3,605
Western Resources, Inc.
7.65% due 04/15/23 .................................. 400 413
-------
22,065
Electrical Equipment - 0.2%
HQI Transelec Chile SA - Notes
7.875% due 04/15/11 ................................. 2,235 2,523
Electrical Equipment & Instruments - 0.1%
Ametek, Inc. - Sr. Notes
7.2% due 07/15/08 ................................... $ 910 $ 972
Energy Equipment & Services - 0.2%
Salton Sea Funding Corp. - Sr. Notes Ser. E
8.3% due 05/30/11 ................................... 488 528
Salton Sea Funding Corp. - Sr. Sec. Bonds. Ser. C
7.84% due 05/30/10 .................................. 1,050 1,118
-------
1,646
Finance - 4.2%
AIG SunAmerica Institutional Funding
1.2% due 01/26/05 ................................... 346,000 3,182
Arch Capital Group, Ltd. - Sr. Notes
7.35% due 05/01/34 .................................. 355 357
Beaver Valley Funding Corp.
8.625% due 06/01/07 ................................. 210 221
9.0% due 06/01/17 ................................... 1,630 1,843
BVPS II Funding Corp. - Bonds
8.89% due 06/01/17 .................................. 969 1,108
Deutsche Telekom International Finance
6.375% due 07/11/06 ................................. 3,200 4,133
8.75% due 06/15/30 .................................. 2,005 2,440
Duke Capital LLC. - Sr. Notes
6.75% due 02/15/32 .................................. 600 576
8.0% due 10/01/19 ................................... 965 1,078
Equus Cayman Finance, Ltd. - Sr. Notes 144A (a)
5.5% due 09/12/08 ................................... 575 572
ERAC USA Finance Co. - Gtd. Notes 144A (a)
6.7% due 06/01/34 ................................... 300 300
Financing Corp. - Notes
9.4% due 02/08/18 ................................... 420 579
10.35% due 08/03/18 ................................. 3,025 4,469
Fund American Cos, Inc. - GTD Sr. Notes
5.875% due 05/15/13 ................................. 723 721
GCIC Funding Corp. - Bonds 144A (a)
5.129% due 01/15/14 ................................. 1,065 1,047
General Electric Capital Corp. - Notes
6.75% due 03/15/32 .................................. 1,240 1,333
General Motors Acceptance Corp.
1.995% due 05/18/06 ................................. 1,900 1,904
Glencore Funding LLC - Notes 144A (a)
6.0% due 04/15/14 ................................... 1,350 1,252
Household Financial Corp. - Global Notes
4.625% due 01/15/08 ................................. 700 713
Household Financial Corp. - Notes
6.75% due 05/15/11 .................................. 1,970 2,153
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
ACTIVE BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Finance - Continued
MDP Acquisitions plc - Sr. Notes
9.625% due 10/01/12 .................................. $ 360 $ 400
Meditrust Medium - Notes
7.3% due 01/16/06 .................................... 520 536
Mizuho Financial Group Cayman, Ltd. - Sub. Notes 144A (a)
5.79% due 04/15/14 ................................... 1,065 1,047
NiSource Finance Corp. - Sr. Notes
6.15% due 03/01/13 ................................... 596 617
Odyssey Re Holdings Corp. - Sr. Notes
7.65% due 11/01/13 ................................... 2,000 2,150
Prologis Trust - Sr. Notes
7.05% due 07/15/06 ................................... 490 529
PTC International Finance II SA - Sr. Sub. Notes
11.25% due 12/01/09 .................................. 540 576
Rabobank Capital Fund II - Sr. Notes 144A (a)
5.26% due 12/31/49 ................................... 325 314
Saint George Funding Co. LLC - 144A (a)
8.485% due 12/31/49 .................................. 1,205 1,365
Tobacco Settlement Financing Corp.
6.0% due 06/01/37 .................................... 1,000 812
Tobacco Settlement Financing Corp. - Ser. B
5.875% due 05/15/39 .................................. 315 253
Tobacco Settlement Revenue Management - Ser. B
6.375% due 05/15/30 .................................. 1,480 1,251
Trinet Corporate Realty Trust, Inc. - Notes
7.7% due 07/15/17 .................................... 330 343
UFJ Finance Aruba - GTD Notes
6.75% due 07/15/13 ................................... 1,853 1,916
WPP Finance UK - Notes 144A (a)
5.875% due 06/15/14 .................................. 740 743
-------
42,833
Food & Drug Retailing - 0.1%
Delhaize America, Inc. - Notes
8.125% due 04/15/11 .................................. 385 420
Food Lion, Inc. - Notes
7.55% due 04/15/07 ................................... 375 401
-------
821
Food Products - 0.4%
Corn Products International, Inc. - Sr. Notes
8.45% due 08/15/09 ................................... 3,205 3,550
Kraft Foods, Inc. - Global Notes
5.625% due 11/01/11 .................................. 985 1,002
-------
4,552
Foreign Govermental - 6.9%
Federal Republic of Brazil
2.063% due 04/15/12 .................................. $ 188 $ 157
Federal Republic of Brazil - Bonds
11.0% due 08/17/40 ................................... 2,250 2,094
Federal Republic of Germany
4.5% due 07/04/09 .................................... 31,300 39,650
5.0% due 07/04/12 .................................... 13,500 17,400
Republic of Brazil
2.063% due 04/15/09 .................................. 147 133
Republic of Brazil - Ser. L
2.125% due 04/15/06 .................................. 1,003 988
Republic of Chile - Notes
1.5% due 01/28/08 .................................... 1,200 1,212
Republic of Columbia - Notes
9.75% due 04/09/11 ................................... 578 638
Republic of Panama
9.625% due 02/08/11 .................................. 500 549
Republic of Panama - Bonds
9.375% due 01/16/23 .................................. 1,250 1,275
Republic of Peru - Bonds
9.125% due 01/15/08 .................................. 1,250 1,350
9.125% due 02/21/12 .................................. 490 501
Russian Federation
8.75% due 07/24/05 ................................... 1,800 1,901
United Mexican States
6.375% due 01/16/13 .................................. 800 798
8.375% due 01/14/11 .................................. 500 565
United Mexican States - Notes Ser. A
8.3% due 08/15/31 .................................... 500 524
------
69,735
Gas Utilities - 0.7%
Kinder Morgan Energy Partners - Sr. Notes
6.5% due 09/01/12 .................................... 575 609
7.3% due 08/15/33 .................................... 885 934
Korea Gascorp - Sr. Notes 144A (a)
4.75% due 11/26/10 ................................... 720 694
Louis Dreyfus Natural Gas Corp. - Notes
6.875% due 12/01/07 .................................. 1,730 1,858
Southern California Edison Co. - Ser. 2003-B
8.0% due 02/15/07 .................................... 2,300 2,544
Texas New Mexico Power Co. - Sr. Notes
6.125% due 06/01/08 .................................. 870 900
-------
7,539
Health Care Providers & Services - 0.4%
Columbia/HCA Healthcare Corp. - Notes
9.0% due 12/15/14 .................................... 755 880
Global Health Sciences, Inc. - Sr. Notes
11.0% due 05/01/08 * ................................. 75 2
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
ACTIVE BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Health Care Providers & Services - Continued
HCA-The Healthcare Corp. - Notes
8.75% due 09/01/10 ................................... $3,055 $3,479
------
4,361
Home Equity Loan - 0.5%
Centex Home Equity Loan Trust - Ser. 2004A CTF Cl. AF 4
4.51% due 09/27/32 ................................... 1,255 1,212
Contimortgage Home Equity Loan - CTF Cl. A5
8.1% due 08/15/25 .................................... 94 94
EQCC Home Equity Loan Trust - Notes
6.57% due 02/15/29 ................................... 1,210 1,212
Residential Asset Mortgage Products, Inc. - Ser.
2003-R Cl. A12
2.904% due 10/25/23 .................................. 1,395 1,388
Residential Asset Mortgage Products, Inc. - Ser.
2003-RS10 Cl. AI5
4.91% due 01/25/31 ................................... 1,260 1,242
------
5,148
Hotels Restaurants & Leisure - 0.7%
Harrah's Operating Co., Inc. - Notes
7.875% due 12/15/05 .................................. 2,300 2,432
Mandalay Resort Group - Sr. Notes
6.375% due 12/15/11 .................................. 640 650
Meditrust - Notes
7.0% due 08/15/07 .................................... 375 386
MGM Mirage, Inc. - Ser. B
6.0% due 10/01/09 .................................... 832 815
Mohegan Tribal Gaming Authority - Sr. Sub Notes
8.0% due 04/01/12 .................................... 400 427
Starwood Hotels & Resorts - Sr. Notes
7.375% due 05/01/07 .................................. 590 627
Starwood Hotels & Resorts Worldwide, Inc. - Sr. Notes
7.875% due 05/01/12 .................................. 1,000 1,067
Waterford Gaming LLC - Sr. Notes
144A (a)
8.625% due 09/15/12 .................................. 259 272
------
6,676
Industrial Conglomerates - 0.4%
British Brunswick Holdings, Inc. - Sr. Notes
13.0% due 05/01/08 ................................... 120 7
General Electric Co. - Notes
5.0% due 02/01/13 .................................... 2,472 2,433
Pacific & Atlantic Holdings, Inc.
1.0% due 05/31/09 .................................... 1 0
Pacific & Atlantic Holdings, Inc. - Sr. Notes 144A (a)
10.5% due 12/31/07 ................................... 29 9
Tyco International Group SA - Notes
6.0% due 11/15/13 .................................... $ 400 $ 411
6.75% due 02/15/11 ................................... 900 976
------
3,836
Insurance - 0.8%
Equitable Life Assurance Society USA - Notes 144A (a)
6.95% due 12/01/05 ................................... 920 973
Liberty Mutual Group, Inc. - Gtd Sr. Notes
5.75% due 03/15/14 ................................... 665 642
Mass. Mutual Life Insurance Co. - Notes 144A (a)
7.625% due 11/15/23 .................................. 2,645 3,113
New York Life Insurance Co. - Notes 144A (a)
5.875% due 05/15/33 .................................. 755 718
Ohio Casualty Corp. - Notes 7.3%
due 06/15/14 ......................................... 520 523
QBE Insurance Group, Ltd. - Sub. Notes 144A (a)
5.647% due 07/01/23 .................................. 1,120 1,065
Travelers Property Casualty Corp. - Sr. Notes
5.0% due 03/15/13 .................................... 970 940
------
7,974
Leisure Equipment & Products - 0.1%
Eastman Kodak Co. - Sr. Notes
7.25% due 11/15/13 ................................... 360 366
Hockey Co. - Sr. Sec. Notes
11.25% due 04/15/09 .................................. 410 488
------
854
Media - 2.2%
British Sky Broadcasting - Notes
8.2% due 07/15/09 .................................... 1,690 1,952
Continental Cablevision - Notes
8.3% due 05/15/06 .................................... 900 977
Continental Cablevision, Inc. - Sr. Notes
9.5% due 08/01/13 .................................... 1,372 1,523
Cox Communications, Inc. - Notes
4.625% due 06/01/13 .................................. 590 545
Garden State Newspapers, Inc. - Sr. Sub. Notes Ser. B
8.625% due 07/01/11 .................................. 335 349
Grupo Televisa SA De CV - Notes
8.0% due 09/13/11 .................................... 2,080 2,236
Lenfest Communications, Inc. - Notes
8.375% due 11/01/05 .................................. 2,065 2,206
Liberty Media Corp. - Sr. Debs
8.25% due 02/01/30 ................................... 325 370
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
ACTIVE BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Media - Continued
Liberty Media Corp. - Sr. Notes
2.64% due 09/17/06 ................................... $2,140 $ 2,180
5.7% due 05/15/13 .................................... 1,345 1,325
News America Holdings, Inc.
8.25% due 08/10/18 ................................... 1,050 1,249
Rogers Cablesystems - Sr. Notes Ser. B
10.0% due 03/15/05 ................................... 1,205 1,253
Shaw Communications, Inc. - Sr. Notes
8.25% due 04/11/10 ................................... 485 527
Time Warner, Inc.
6.15% due 05/01/07 ................................... 700 741
Time Warner, Inc. - Debs.
7.7% due 05/01/32 .................................... 800 874
Time Warner, Inc. - Sr. Notes
9.125% due 01/15/13 .................................. 2,501 3,049
XM Satellite Radio, Inc. - Sr. Sec. Notes
12.0% due 06/15/10 ................................... 394 451
-------
21,807
Metals & Mining - 0.3%
Codelco, Inc. - Notes 144A (a)
5.5% due 10/15/13 .................................... 490 487
Freeport McMoran Copper & Gold - Sr. Notes
10.125% due 02/01/10 ................................. 460 492
Golden Northwest Aluminum
12.0% due 12/15/06 * ................................. 25 4
Kennametal, Inc. - Sr. Notes
7.2% due 06/15/12 .................................... 770 817
Metallurgy Holdings, Inc. - Notes
1.0% due 07/15/08 .................................... 50 15
Noranda, Inc. - Notes
8.375% due 02/15/11 .................................. 675 726
-------
2,541
Multi-Utilities - 0.3%
Centerpoint Energy Houston - Bonds Ser. K
6.95% due 03/15/33 ................................... 545 583
Centerpoint Energy, Inc. - Sr. Notes
6.85% due 06/01/15 ................................... 565 572
7.25% due 09/01/10 ................................... 1,220 1,298
Transalta Corp.
5.75% due 12/15/13 ................................... 900 891
-------
3,344
Multiline Retail - 0.1%
J.C. Penney Co., Inc. - Notes
8.0% due 03/01/10 .................................... 690 769
J.C. Penney, Inc.
7.65% due 08/15/16 ................................... 445 484
-------
1,253
Municipal - 1.4%
De Kalb County Georgia Water & Sewage - Ser. A
5.0% due 10/01/35 .................................... $2,200 $ 2,169
Golden State Securitization
6.75% due 06/01/39 ................................... 3,980 3,576
Harris County Texas
5.0% due 08/15/33 .................................... 600 584
Massachusetts Saint - Ser. C
5.5% due 11/01/10 .................................... 3,800 4,229
University of Texas Permanent University Fund - Ser. B
4.75% due 07/01/30 ................................... 4,000 3,767
-------
14,325
Oil & Gas - 0.8%
Alberta Energy, Ltd. - Notes
7.375% due 11/01/31 .................................. 585 651
Amerada Hess Corp. - Notes
7.3% due 08/15/31 .................................... 975 990
Duke Capital LLC - Sr. Notes
6.25% due 02/15/13 ................................... 1,302 1,320
Enterprise Products Operating LP - Sr. Notes
6.875% due 03/01/33 .................................. 480 444
Humpuss Funding Corp. - 144A (a)
7.72% due 12/15/09 ................................... 1,260 1,121
Magellan Midstream Partners LP - Sr. Notes
6.45% due 06/01/14 ................................... 790 798
Occidental Petroleum Corp.
10.125% due 09/15/09 ................................. 538 668
Ocean RigNorway AS - Sr. Sec. Notes
10.25% due 06/01/08 .................................. 255 252
Pemex Project Funding Master Trust - Notes
6.125% due 08/15/08 .................................. 700 716
7.375% due 12/15/14 .................................. 700 714
Valero Energy Corp. - Notes
8.375% due 06/15/05 .................................. 700 732
-------
8,406
Other Asset Backed - 2.8%
Ameriquest Mortgage Securities, Inc. - Ser. 2003-10
Cl. AF3
3.23% due 05/25/28 ................................... 2,080 2,065
Ameriquest Mortgage Securities, Inc. - Ser. 2003-IA1
4.965% due 11/25/33 .................................. 1,125 1,117
Argent Securities, Inc. - Ser. 2004 W1 M3
1.0% due 02/25/34 .................................... 1,600 1,617
Bass Trust - Ser. 2004 CB4 Cl. A3
4.632% due 07/25/08 .................................. 815 815
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
ACTIVE BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Other Asset Backed - Continued
CWABS, Inc. Ser. 2003-5 Cl. AF 2
3.042% due 04/25/25 .................................. $1,300 $ 1,294
Equity One ABS, Inc. - Ser. 2003-3 Cl. AF3
3.531% due 12/25/33 .................................. 900 894
Equity One ABS, Inc. - Ser. 2004-1 Cl. M2
5.115% due 04/25/34 .................................. 750 699
Equity One ABS, Inc. - Ser. 2004-1 Cl. M3
5.26% due 04/25/34 ................................... 750 699
Equity One ABS, Inc. - Ser. 2004-2 Cl. AV2
1.55% due 07/25/34 ................................... 1,244 1,245
Long Beach Mortgage Loan Trust - Ser. 2004-1 Cl. M3
1.0% due 03/25/35 .................................... 1,200 1,200
Long Beach Mortgage Loan Trust - Ser. 2004-1 CTF Cl. M6
1.0% due 03/25/34 .................................... 1,700 1,703
NAAC Reperforming Loan Remic Trust - Ser. 2004-R1 Cl.
A2 144A (a)
7.5% due 03/25/34 .................................... 9,058 9,890
Option One Loan Trust - Ser. 2004-1 CTF Cl. M 1
1.7% due 01/25/34 .................................... 800 800
Residential Asset Funding and Mortgage Securities -
Ser. 2004 Cl. AII B2
1.32% due 09/25/33 ................................... 1,685 1,685
Residential Asset Funding and Mortgage Securities Corp. -
Ser. 2001 KS3 Cl. A II
1.33% due 09/25/31 ................................... 851 852
Residential Asset Securities Corp. - Ser. 2004 KS6 Cl.
AII B1
1.22% due 04/25/13 ................................... 1,900 1,900
-------
28,475
Other Mortgage - 0.4%
Capital One Secured Note Trust - Notes 2000-3 Cl. C
144A (a)
7.9% due 10/15/10 .................................... 640 706
Commercial Mortgage Acceptance Corp. - Ser. 1991-C1. A1
6.79% due 06/15/31 ................................... 1,058 1,123
LB UBS Commercial Mortgage Trust - CTF A4
4.166% due 04/17/13 .................................. 1,630 1,513
LB UBS Commercial Mortgage Trust - Ser. 2003-C5 Cl.
K 144A (a)
5.25% due 04/15/37 ................................... 1,000 929
-------
4,271
Paper & Forest Products - 0.5%
Boise Cascade Corp. - Sr. Notes
6.5% due 11/01/10 .................................... $ 570 $ 580
Corporacion Durango SA de CV - Sr. Notes
13.125% due 08/01/06 * ............................... 631 315
13.75% due 07/15/09 * ................................ 2,905 1,452
Donohue Forest Products, Inc. - Sr. Notes
7.625% due 05/15/07 .................................. 885 917
Fort James Corp. - Sr. Notes
6.625% due 09/15/04 .................................. 910 917
Longview Fibre Co. - Notes
10.0% due 01/15/09 ................................... 250 270
Weyerhaeuser Co.
7.125% due 07/15/23 .................................. 1,060 1,120
-------
5,571
Pharmaceuticals - 0.2%
Medco Health Solutions, Inc. - Sr. Notes
7.25% due 08/15/13 ................................... 730 779
Schering Plough Corp. - Sr. Notes
6.5% due 12/01/33 .................................... 890 885
Wyeth - Notes
5.25% due 03/15/13 ................................... 765 738
-------
2,402
Real Estate Investment Trust - 1.1%
American Health Properties, Inc. - Notes
7.5% due 01/15/07 .................................... 1,405 1,514
Amresco Residential Securities - Notes
6.51% due 08/25/27 ................................... 2,144 2,194
Carramerica Realty Corp. - Notes
5.25% due 11/30/07 ................................... 275 287
Health Care Reit, Inc. - Notes
6.0% due 11/15/13 .................................... 330 325
Healthcare Realty Trust IN - Sr. Notes
8.125% due 05/01/11 .................................. 1,250 1,437
iStar Financial, Inc. - Sr. Notes
6.5% due 12/15/13 .................................... 1,000 984
7.0% due 03/15/08 .................................... 410 435
Socgen Real Estate Co. LLC - Ser. A 144A (a)
7.64% due 12/29/49 ................................... 2,270 2,506
Spieker Properties, L.P. - Notes
7.125% due 12/01/06 .................................. 1,490 1,619
-------
11,301
Specialty Retail - 0.2%
Gap, Inc. - Notes
10.55% due 12/15/08 .................................. 970 1,174
Office Depot, Inc. - Sr. Notes
6.25% due 08/15/13 ................................... 695 716
-------
1,890
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
ACTIVE BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Telephone - 0.1%
Citizens Communications Co. - Sr. Notes
9.0% due 08/15/31 .................................... $ 702 $ 677
Tobacco - 0.3%
Altria Group, Inc. - Notes
7.0% due 11/04/13 .................................... 1,278 1,301
Philip Morris Cos., Inc. - Notes
6.95% due 06/01/06 ................................... 1,530 1,606
-------
2,907
U.S. Government Agencies - 29.7%
Federal Home Loan Bank - Bonds
5.0% due 11/01/17 .................................... 653 655
5.0% due 12/01/17 .................................... 553 555
5.0% due 03/01/18 .................................... 815 818
5.0% due 04/01/18 .................................... 11,222 11,259
Federal Home Loan Mortgage Corp. - Bonds
4.25% due 03/15/31 ................................... 3,861 3,738
5.0% due 12/15/28 .................................... 2,880 2,856
5.0% due 08/01/33 ............................ ....... 4,395 4,256
5.0% due 07/25/34 .................................... 2,000 1,930
5.5% due 06/01/24 .................................... 17,002 17,208
5.5% due 07/15/31 .................................... 1,117 1,082
6.0% due 10/15/32 .................................... 3,779 3,911
6.5% due 04/01/31 .................................... 3,032 3,165
Federal Home Loan Mortgage Corp. - Debs.
4.25% due 07/15/09 ................................... 1,785 1,781
4.5% due 07/15/13 .................................... 2,000 1,913
Federal Home Loan Mortgage Corp. - Ser. 2640 Cl. WA
3.5% due 03/15/33 .................................... 780 768
Federal National Mortgage Assoc. - Bonds
1.0% due 10/01/33 .................................... 1,774 1,785
4.25% due 03/25/33 ................................... 716 702
4.5% due 07/01/18 .................................... 11,986 11,745
4.5% due 07/25/18 .................................... 7,845 7,664
5.0% due 10/25/16 .................................... 5,098 5,062
5.0% due 05/01/18 .................................... 5,098 4,232
5.0% due 06/01/18 .................................... 5,098 3,241
5.0% due 07/01/18 .................................... 3,072 3,083
5.0% due 07/25/18 .................................... 4,500 4,504
5.0% due 02/01/19 .................................... 574 576
5.0% due 02/01/19 .................................... 2,577 2,586
5.0% due 08/25/27 .................................... 6,373 6,266
5.0% due 07/25/33 .................................... 6,955 6,716
5.0% due 08/01/33 .................................... 4,587 4,446
5.0% due 04/01/34 .................................... 7,141 6,906
5.0% due 04/01/34 .................................... 948 917
5.0% due 05/01/34 .................................... 7,047 6,815
5.0% due 05/01/34 .................................... 823 796
5.5% due 02/01/18 .................................... $ 9,240 $ 9,474
5.5% due 11/25/32 .................................... 2,665 2,615
5.5% due 11/01/33 .................................... 7,712 7,697
5.5% due 01/01/34 .................................... 14,096 14,069
5.5% due 03/01/34 .................................... 2,476 2,467
5.5% due 05/01/34 .................................... 2,397 2,389
6.0% due 09/01/14 .................................... 1,093 1,142
6.0% due 03/01/33 .................................... 8,177 8,362
6.0% due 07/25/33 .................................... 4,830 4,930
6.0% due 09/01/33 .................................... 568 580
6.0% due 11/01/33 .................................... 2,525 2,580
6.0% due 11/01/33 .................................... 1,984 2,028
6.0% due 02/01/34 .................................... 2,901 2,965
6.5% due 06/01/32 .................................... 1,187 1,236
6.5% due 11/01/32 .................................... 1,035 1,078
6.5% due 02/01/33 .................................... 4,351 4,533
6.5% due 07/25/33 .................................... 8,275 8,614
6.5% due 11/01/33 .................................... 1,324 1,380
6.5% due 12/01/33 .................................... 1,716 1,788
7.0% due 09/01/10 .................................... 662 703
7.0% due 01/01/12 .................................... 220 234
7.0% due 02/01/16 .................................... 700 744
7.0% due 04/01/17 .................................... 706 750
7.0% due 04/01/17 .................................... 362 385
7.0% due 05/01/17 .................................... 149 158
7.0% due 07/25/33 .................................... 2,200 2,320
Federal National Mortgage Assoc. - Bonds Cl. 2
5.0% due 06/01/33 .................................... 62 17
5.5% due 11/01/33 .................................... 3,089 878
Federal National Mortgage Assoc. - Bonds Cl. PE
3.5% due 07/25/33 .................................... 1,444 1,327
Federal National Mortgage Assoc. - Bonds Ser.
2002-82 Cl. QL
5.0% due 05/25/27 .................................... 1,770 1,807
Federal National Mortgage Assoc. - Bonds Ser.
2003-49 Cl. JE
3.0% due 04/25/33 .................................... 1,810 1,652
Federal National Mortgage Assoc. - Bonds Ser. 2003-58 AD
3.25% due 07/25/33 ................................... 2,023 1,889
Federal National Mortgage Assoc. - Bonds Ser.
2004-11 Cl. 1A
1.22% due 03/25/34 ................................... 3,883 3,860
Federal National Mortgage Assoc. - Debs.
6.625% due 11/15/30 .................................. 1,000 1,101
Federal National Mortgage Assoc. - Notes
2.5% due 06/15/08 .................................... 2,000 1,900
3.25% due 08/15/08 ................................... 2,000 1,947
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
ACTIVE BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- --------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
U.S. Government Agencies - Continued
4.375% due 03/15/13 ................................. $ 3,550 $ 3,386
Federal National Mortgage Assoc. - Ser.
2004-W2 Cl. 1A2F
1.44% due 02/25/44 .................................. 7,261 7,234
Government National Mortgage Assoc. - Bonds
5.0% due 05/15/33 ................................... 36,500 35,444
5.5% due 10/15/33 ................................... 3,071 3,074
6.0% due 02/15/33 ................................... 79 81
6.0% due 03/15/33 ................................... 5,360 5,502
6.0% due 05/15/33 ................................... 5,736 5,888
6.0% due 12/20/33 ................................... 825 846
6.5% due 09/15/28 ................................... 406 425
6.5% due 09/15/29 ................................... 257 270
6.5% due 08/15/31 ................................... 577 604
Government National Mortgage Assoc. - Bonds Ser.
2003 Cl. XA
3.75% due 05/16/33 .................................. 595 561
Government National Mortgage Assoc. - Ser.
2002-30 Cl. Z
6.5% due 05/20/32 ................................... 1,611 1,670
--------
300,521
U.S. Governmental - 9.7%
U.S. Treasury - Bonds
5.375% due 02/15/31 ................................. 9,908 9,993
U.S. Treasury - Notes
1.5% due 07/31/05 ................................... 11,000 10,926
1.625% due 02/28/06 ................................. 6,263 6,171
2.0% due 01/15/14 ................................... 6,104 6,068
3.0% due 02/15/09 ................................... 8,796 8,523
3.0% due 07/15/12 ................................... 2,196 2,374
3.5% due 01/15/11 ................................... 2,792 3,100
3.875% due 01/15/09 ................................. 1,719 1,917
4.0% due 06/15/09 ................................... 3,536 3,566
4.75% due 05/15/14 .................................. 24,910 25,170
6.0% due 08/15/09 ................................... 725 797
6.875% due 05/15/06 ................................. 18,465 19,877
--------
98,482
Whole Loan CMOs - 4.8%
Ameriquest Mortgage Securities, Inc. - Ser.
2004-X2 Cl. A 144A (a)
1.851% due 06/25/34 ................................. 1,900 1,898
Bank One Issuance Trust - Notes
4.54% due 09/15/10 .................................. 1,300 1,311
Bear Stearns ARM Trust - Ser. 2004-6 Cl. 1A1
4.707% due 07/30/34 ................................. 7,000 7,035
Bear Stearns Trust - Ser. 2004-2 Cl. 1A1
5.316% due 02/19/05 ................................. 800 809
CWMBS, Inc. - Ser. 2003-J14 Cl. 2A1
6.25% due 12/25/33 .................................. 5,666 5,758
CWMBS, Inc. - Ser. 2003-R4 Cl. 2A 144A (a)
6.5% due 01/25/34 ................................... $8,107 $ 8,326
CWMBS, Inc. - Ser. 2004 12 Cl. 11A2
4.431% due 08/25/34 ................................. 7,700 7,740
Global Signal Trust - Ser. 2004-1 Cl D144A (a)
5.098% due 01/15/34 ................................. 900 866
Greenwich Capital - Ser. 2003-C1 Cl. A4
4.111% due 07/05/12 ................................. 770 710
Greenwich Capital Commercial Funding Corp. - Ser.
2003-C2 Cl. A2
4.022% due 07/05/10 ................................. 3,165 3,100
GS Mortgage Securities Corp. - Ser. 2003-1 Cl. A2
1.79% due 01/25/32 .................................. 1,100 1,119
GS Mortgage Securities Corp. - Ser. 2004 Cl. A2C
1.58% due 05/25/34 .................................. 1,000 1,000
GS Mortgage Securities Corp. - Ser. 2004-7 Cl. 2A1
4.191% due 06/01/34 ................................. 1,785 1,755
IMPAC Secured Assets Corp. - Ser. 2004 1 Cl. A3
3.71% due 03/25/34 .................................. 1,015 990
Mellon Residential Funding Corp. - Ser.
2000 TBC2 Cl. A1
1.34% due 06/15/30 .................................. 1,090 1,082
Specialty Underwriting - Ser. 2003-BC4 Cl. A3B
1.0% due 11/25/34 ................................... 1,825 1,779
Structured Asset Securities Corp. - Ser. 2003 NP3 Cl.
A1 144A (a)
1.6% due 11/25/33 ................................... 1,608 1,608
Structured Asset Securities Corp. - Ser.
2003-S1 Cl. A1
1.25% due 08/25/33 .................................. 648 648
Structured Asset Securities Corp. - Ser.
2004-6XS Cl. M1
4.92% due 03/25/34 .................................. 1,100 1,072
--------
48,606
Wireless Telecommunications Services - 0.3%
AT&T Wireless, Inc. - Notes
7.875% due 03/01/11 ................................. 584 664
AT&T Wireless, Inc. - Sr. Notes
8.75% due 03/01/31 .................................. 340 415
Mobile Telesystems Finance - Notes
10.95% due 12/21/04 ................................. 245 252
Mobile Telesystems Finance - Notes 144A (a)
8.375% due 10/14/10 ................................. 400 379
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
ACTIVE BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- --------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Wireless Telecommunications Services - Continued
9.75% due 01/30/08 ..................................... $ 765 $ 784
10.95% due 12/21/04 .................................... 405 418
--------
2,912
--------
TOTAL PUBLICLY-TRADED BONDS-
(Cost $899,184) 88.8% 898,210
Shares
-------
PREFERRED STOCK
Commercial Services & Supplies - 0.0%
Glass Tech., Inc. - Ser. A ............................. 1 1
Diversified Financials - 0.1%
J.P. Morgan Chase Capital XII .......................... 31,083 719
Electric/Gas - 0.3%
Dominion Resources, Inc. ............................... 47,000 2,557
Real Estate Investment Trust - 0.2%
Delphi Properties, Inc. ................................ 39,300 1,006
Health Care Property Investments,
Inc. - Ser. F ....................................... 31,000 752
Prologis - Ser. F ...................................... 33,400 773
--------
2,531
--------
TOTAL PREFERRED STOCK-
Cost $6,018) 0.6% 5,808
WARRANTS
Commercial Services & Supplies - 0.0% Sunterra Corp.
expires 07/26/07 .................................... 152 0
--------
TOTAL WARRANTS-
(Cost $0) 0.0% 0
--------
TOTAL LONG-TERM INVESTMENTS-
(Cost $905,202) 89.4% 904,018
Par
Value
-------
(000's)
COMMERCIAL PAPER
Auto Loan - 0.2%
Ford Motor Credit Co.
1.77% due 09/03/04 .................................. $ 1,900 1,894
Banks - 4.0%
Danske Corp.
1.24% due 09/17/04 .................................. 9,300 9,275
1.27% due 09/20/04 .................................. 100 100
European Investment Bank
1.03% due 07/02/04 .................................. 8,200 8,200
Royal Bank of Scotland
1.05% due 07/14/04 .................................. 3,800 3,799
1.135% due 09/01/04 ................................. 7,900 7,885
Svenska Handelsbanken
1.09% due 08/03/04 .................................. $ 700 $ 699
1.39% due 09/13/04 .................................. 7,600 7,578
Stadshypotek Delaware, Inc.
1.49% due 09/23/04 .................................. 3,100 3,089
--------
40,625
Finance - 3.8%
Barclays United Funding LLC
1.21% due 08/23/04 .................................. 4,600 4,592
1.28% due 09/21/04 .................................. 5,000 4,985
CDC Commercial
1.085% due 08/04/04 ................................. 10,700 10,689
1.26% due 09/22/04 .................................. 700 698
General Electric Capital Corp.
1.06% due 07/09/04 .................................. 500 500
1.06% due 07/12/07 .................................. 3,900 3,899
1.11% due 08/13/04 .................................. 500 499
1.14% due 09/03/04 .................................. 4,600 4,591
1.30% due 09/08/04 .................................. 2,000 1,995
HBOS Treasury Services plc
1.13% due 09/01/04 .................................. 600 599
Nestle Capital Corp.
1.24% due 09/14/04 .................................. 3,800 3,790
Total Fina Elf Capital
1.42% due 07/01/04 .................................. 600 600
UBS Finance Delaware LLC
1.07% due 07/15/04 .................................. 1,100 1,100
--------
38,537
U.S. Government Agencies - 7.3%
Federal Home Loan Bank - Disc. Notes
1.17% due 07/16/04 .................................. 400 400
1.25% due 09/01/04 .................................. 1,700 1,696
1.41% due 09/15/04 .................................. 1,600 1,595
Federal Home Loan Mortgage Corp. - Disc. Notes
1.01% due 07/15/04 .................................. 1,500 1,499
1.055% due 08/03/04 ................................. 2,800 2,797
1.175% due 08/24/04 ................................. 5,900 5,890
1.12% due 08/10/04 .................................. 3,900 3,895
1.20% due 08/09/04 .................................. 500 499
1.20% due 09/08/04 .................................. 3,000 2,993
1.56% due 10/20/04 .................................. 3,800 3,782
Federal National Mortgage Assoc. - Disc. Notes
1.01% due 07/20/04 .................................. 4,000 3,998
1.055% due 08/04/04 ................................. 3,900 3,896
1.06% due 07/21/04 .................................. 4,300 4,298
1.105% due 09/01/04 ................................. 18,200 18,162
1.185% due 08/25/04 ................................. 3,100 3,094
1.20% due 09/08/04 .................................. 10,300 10,272
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
ACTIVE BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- ----------
(000's) (000's)
COMMERCIAL PAPER - Continued
U.S. Governement Agencies - Continued
1.435% due 09/22/04.................................. $ 2,200 $ 2,193
1.53% due 10/18/04................................... 3,200 3,185
----------
74,144
----------
TOTAL COMMERCIAL PAPER-
(Cost $155,200) 15.3% 155,200
INVESTMENT COMPANIES HELD
AS COLLATERAL ON LOANED
SECURITIES - 9.7%
State Street Navigator Securities
Lending Portfolio................................. 97,538 97,538
SHORT-TERM INVESTMENTS - 5.3%
Investment in joint trading account
1.344% due 07/01/04
(Cost $53,897)....................................... 53,897 53,897
------- ----------
TOTAL INVESTMENTS-
(Cost $1,211,837) 119.7% 1,210,653
Payables, less cash and receivables- (19.7)% (199,521)
------- ----------
NET ASSETS- 100.0% $1,011,132
======= ==========
(a) Pursuant to Rule 144A under the Securities Act of 1933, these securities
may be resold in transactions exempt from registration, normally to
qualified institutional buyers. At June 30, 2004, securities aggregated
$69,401 or 6.9% of net assets of the Portfolio.
* Non-income producing security. In the case of a bond, generally denotes
that the issuer has defaulted on the payment of principal or interest or
has filed for bankruptcy.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Active Bond Fund (the "Fund") is a diversified series of John
Hancock Variable Series Trust I (the "Trust"), an open-end investment management
company registered under the Investment Company Act of 1940. The Trust is
organized as a Massachusetts business trust and consists of thirty different
funds as of June 30, 2004. The results of this Fund are included in this report.
The results of the other Funds in the Trust are presented under separate cover.
The Trust may add or delete Funds in the future to accommodate various
investment objectives. The Trust has issued shares of beneficial interest
exclusively to John Hancock Variable Life Account U ("JHVLAU"), John Hancock
Variable Life Account V ("JHVLAV"), John Hancock Variable Life Account S
("JHVLAS"), and John Hancock Variable Annuity Account I ("JHVAAI") to fund
policies and contracts issued by the John Hancock Variable Life Insurance
Company ("JHVLICO"), and to John Hancock Variable Annuity Account U ("JHVAAU"),
John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock Variable Life
Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H ("JHVAAH"), and
John Hancock Variable Annuity Account JF ("JHVAAJF") to fund contracts and
policies issued by John Hancock Life Insurance Company ("John Hancock" or
"JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"), and to John
Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Debt investment securities having a primary market over-the-counter are
valued on the basis of valuations furnished by a pricing service which
determines valuations for normal institutional size trading units of debt
securities, without exclusive reliance upon quoted prices.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint repurchase agreements: The Fund, along with other registered
investment companies having a management contract with John Hancock Advisers,
Inc. ("Adviser"), an indirect wholly-owned subsidiary of John Hancock, may
participate in a joint repurchase agreement pursuant to an exemptive order
issued by the Securities and Exchange Commission. Aggregate cash balances are
invested in one or more repurchase agreements, whose underlying securities are
obligations of the U.S. Government and/or its agencies. The Fund's custodian
bank receives delivery of the underlying securities for the joint repurchase
agreement on the Fund's behalf. The Adviser is responsible for ensuring that the
agreement is fully collateralized at all times.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Discount and premium on debt securities: The Fund accretes discount and
amortizes premium from par value on securities from either the date of issue or
the date of purchase over the life of the security.
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations. For the period ended June
30, 2004, the Fund had no bank borrowings.
Securities lending: The Fund has entered into an agreement with SSBT to
lend its securities to certain qualified brokers who pay the Fund's negotiated
lender fees. This loan is collateralized at all times with cash or securities
with a market value at least equal to the market value of the securities on
loan. Cash collateral is invested in a short-term instrument. As with other
extensions of credit, the Fund may bear the risk of delay of the loaned
securities in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. At June 30, 2004, the market value
of the securities loaned and the market value of the collateral for the Fund was
as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$96,093 $97,538
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, the Fund had no open
financial futures contracts.
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. As of June 30, 2004, the Fund had
open forward currency contracts which contractually obligate the Fund to deliver
or receive currencies at a specified date as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Principal Amount Unrealized
Covered by Contract Expiration Month Gain (Loss)
Currency Purchased ------------------- ---------------- -----------
- ------------------
Brazilian Real 49 July 04 $(1)
Brazilian Real 27 August 04 1
Brazilian Real 92 September 04 2
Chilean Peso 143 August 04 --
Chilean Peso 94 September 04 1
Hong Kong Dollar 80 July 04 --
Hong Kong Dollar 80 August 04 --
Hong Kong Dollar 100 September 04 --
Indian Rupee 150 September 04 (3)
Japanese Yen 4,686 July 04 17
South Korean Won 79 July 04 1
South Korean Won 78 August 04 2
South Korean Won 101 September 04 1
Mexican Peso 66 August 04 1
Mexican Peso 570 September 04 1
Mexican Peso 29 August 04 --
Mexican Peso 97 August 04 (2)
Peruvian Nouveau 30 August 04 --
Peruvian Nouveau 100 September 04 --
New Russian Ruble 58 July 04 1
New Russian Ruble 29 August 04 --
New Russian Ruble 97 September 04 --
Singapore Dollar 80 July 04 (1)
Singapore Dollar 79 August 04 --
Singapore Dollar 99 September 04 --
New Taiwan Dollar 30 August 04 --
New Taiwan Dollar 98 September 04 --
South African Rand 30 August 04 3
South African Rand 104 September 04 4
---
$28
===
Currency Sold
- -------------
Euro 6,804 July 04 $69
South African Rand 19 August 04 --
South African Rand 63 September 04 --
---
$69
===
Options: The Fund may use option contracts to manage its exposure to the
bond market and to fluctuations in interest rates and currency values. Option
contracts tend to increase or decrease the Fund's exposure to the underlying
instrument or hedge other fund investments.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
When the Fund purchases an option, the premium paid by the Fund is included
in the Fund's Statement of Assets and Liabilities as an investment and
subsequently "marked to market" to reflect the option's current market value.
Purchased options are valued at the last sale price on the market on which they
are principally traded. If the purchased option expires, the Fund realizes a
loss in the amount of the premium. If the Fund enters into a closing sale
transaction, it realizes a gain or loss, depending on whether the proceeds from
the sale are greater or less than the cost of the option. If the Fund exercises
a call option, the cost of the securities acquired by exercising the call is
increased by the premium paid to buy the call. If the Fund exercises a put
option, it realizes a gain or loss from the sale of the underlying security and
the proceeds from such sale are decreased by the premium originally paid. The
risk associated with purchasing options is limited to the premium originally
paid.
When the Fund writes an option, the premium received by the Fund is
presented in the Fund's Statment of Assets and Liabilities as an asset and an
equivalent liability. The amount of the liability is subsequently "marked to
market" to reflect the current market value of the option written. Written
options are valued at the last sale price or, in the absence of a sale, the last
offering price on the market on which they are principally traded. If an option
expires on its stipulated expiration date, or if the Fund enters into a closing
purchase transaction, the Fund realizes a gain (or loss if the cost of a closing
purchase transaction exceeds the premium received when the option was written)
without regard to any unrealized gain or loss on the underlying security, and
the liability related to such option is extinguished. If a written option is
exercised, the Fund realizes a gain or loss from the sale of the underlying
security and the proceeds of the sale are increased by the premium originally
received. If a written put option is exercised, the amount of the premium
originally received reduces the cost of the security which the Fund purchases
upon exercise of the option.
The risk in writing a call option is that the Fund relinquishes the
opportunity to profit if the market price of the underlying security increases
and the option is exercised. In writing a put option, the Fund assumes the risk
of incurring a loss if the market price of the underlying security decreases and
the option is exercised. In addition, there is a risk the Fund may not be able
to enter into a closing transaction because of an illiquid secondary market, or
if the counterparties do not preform under the contracts' terms.
As of June 30, 2004, the Fund had open written options as follows:
Open
Contracts Strike Price Expiration Month Market Value
--------- ------------ ---------------- ------------
OTC EWPO 3ML 6.0 (Put) 19,000 6.0 October 04 $ (13)
OTC EWPO 3ML 3.8 (Call) 19,000 3.8 October 04 (3)
OTC EWPO 3ML 5.5 (Put) 17,500 5.5 October 04 (157)
OTC EWCO 3ML 3.75 (Call) 32,200 3.75 October 04 (--)
-----
$(173)
=====
Swap Agreements: The Fund may invest in swap agreements which involve the
exchange of cash payments based on the specified terms and conditions of such
agreements. A swap is an agreement to exchange the return generated by one
investment for the return generated by another instrument. The value of each
swap is determined by the counterparty to the swap agreement using a methodology
which discounts the expected future cash receipts or disbursements related to
the swap. The Fund may also enter into interest rate swap agreements which
involve the exchange by the Fund with another party of their respective
commitments to pay or receive interest, (e.g., an exchange of floating rate
payments with respect to a notional amount of principal). Interest rate swaps
are "marked-to-market" daily. Net market value is reported as an asset or a
liability in the Statement of Assets and Liabilities. The cash paid or received
on a swap is recognized as income or expense when such a payment is paid or
received.
Entering into swap agreements involves, to varying degrees, elements of
credit risk, market risk and interest rate risk in excess of the amount
recognized in the Statement of Assets and Liabilities. Such risks involve the
possibility that
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
there is not a liquid market for these agreements, that the counterparty to the
agreements may default on its obligation to perform and that there may be
unfavorable changes in market conditions or interest rates.
Swap agreements which were open for the period ended June 30, 2004 are
summarized as follows:
Net Unrealized
Appreciation
Par Value Interest Rate Swaps Counter Party (Depreciation)
- --------- ------------------- ------------- --------------
2,800 To make or receive monthly Morgan Stanley $ (6)
payments through 9/30/2004 based
on floating rate of 1 Month LIBOR
minus 0.65%, adjusted every month.
71,100 To make or receive semi-annual Morgan Stanley (2,101)
payments through 12/15/2009
based on the difference between
(A) the fixed rate of 4.00% and
(B) floating rate of 3 Month
LIBOR, adjusted every 3 months.
16,000 To make or receive semi-annual Bank of (473)
payments through 12/15/2009 America
based on the difference between
(A) the fixed rate of 4.0% and (B)
floating rate of 3 Month LIBOR,
adjusted every 3 months.
23,500 To make or receive semi-annual Barclays (303)
(EURO) payments through 6/17/2010 based
on the difference between (A) the
fixed rate of 4.0% and (B)
floating rate of 6 Month EURIBOR,
adjusted every 6 months.
17,300 To make or receive semi-annual JP Morgan 448
payments through 12/15/2014
based on the difference between
(A) the fixed rate of 5.00% and
(B) floating rate of 3 Month
LIBOR, adjusted every 3 months.
31,200 To make or receive semi-annual UBS 450
(GBP) payments through 3/20/2018 based
on the difference between (A) the
fixed rate of 5.00% and (B)
floating rate of 6 Month LIBOR,
adjusted every 6 months.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Net Unrealized
Appreciation
Par Value Interest Rate Swaps Counter Party (Depreciation)
- --------- ------------------- ------------- --------------
38,800 To make or receive semi-annual UBS $ 575
(EURO) payments through 3/20/2018 based
on the difference between (A) the
fixed rate of 6.00% and (B)
floating rate of 6 Month EURIBOR,
adjusted every 6 months.
-------
$(1,410)
=======
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $693, $96, $3,265 and $2,190 which expire in 2007, 2008, 2009 and 2010,
respectively.
Certain of the above losses may be limited under sections 382 - 384 of the
Internal Revenue Code, as amended.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred approximately $1,579 in net realized capital losses. As
permitted by tax regulations, the Fund intends to elect to defer these losses
and treat them as arising in the fiscal year ending on December 31, 2004.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH
AFFILIATES--Continued
Between Between Between
$100 Million and $250 Million and $500 Million and Excess Over
First $100 Million $250 Million $500 Million $1 Billion $1 Billion
- ------------------ ---------------- ---------------- ---------------- -----------
0.70% 0.65% 0.61% 0.58% 0.55%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. Accordingly,
for the period ended June 30, 2004, there were no reimbursements to the Fund.
John Hancock has entered into Sub-Advisory Agreements with Declaration
Management & Research LLC, and John Hancock Advisors with respect to the Fund.
Each is an affiliate of John Hancock, and under its supervision, is responsible
for the day-to-day investment management of the Fund. John Hancock has also
entered into a Sub-Advisory Agreement with Pacific Investment Management Company
LLC, and under its supervision, is also responsible for the day-to-day
investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
--------- --------------------
$2,038,786 $1,956,696
As of June 30, 2004, transactions for written options were as follows:
Contracts Premium ($)
--------- -----------
Beginning of period 38,000 329
Options opened 49,700 355
Options closed/expired -- --
------ ---
End of period 87,700 684
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, commercial paper and collateral for
securities lending) and their respective gross unrealized appreciation and
depreciation for Federal income tax purposes at December 31, 2003 were as
follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$1,107,455 $172,839 $(151,784) $21,055
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
relate to certain securities sold at a loss and premium amortization and market
discount accretion on debt securities. Additionally, as a result, net investment
income (loss) and net realized gain (loss) on investment transactions for a
reporting period may differ significantly from distributions during such period.
Accordingly, the Fund may periodically make reclassifications among certain of
its capital accounts without impacting the net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $6,244 $21,055
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $66,299 $5,737 $--
2002 52,675 -- --
Included in the Fund's 2003 distributions from ordinary income is $21,924
in excess of investment company taxable income, which in accordance with
applicable US tax law, is taxable to shareholders as ordinary income
distributions.
NOTE E--COMBINATION
On April 25, 2003, the shareholders of the Fund (acquiring fund) approved
the combination of the funds in the following table:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE E--COMBINATION--Continued
Acquiring Fund Target Fund
- --------------- -------------------
VST Active Bond VA Strategic Income
This combination provided for the transfer of substantially all of the
assets and liabilities of the target fund to the acquiring fund in exchange
solely for the fund shares of the acquiring fund. The acquisition was accounted
for as tax-free exchange as follows:
Trust Shares Target Fund Acquiring Fund Acquiring Fund
Acquiring Fund Issued by Target Fund Unrealized Net Assets Prior Aggregate Net Assets
vs. Target Fund Acquiring Fund Net Assets Appreciation to Combination After Combination
- ------------------- -------------- ----------- ------------ ---------------- --------------------
VST Active Bond
vs.
VA Strategic Income 8,433 $83,358 $2,176 $1,016,994 $1,100,351
Inception: May 1, 1998
- --------------------------------------------------------------------------------
Bond Index Fund
Standish Mellon Asset Management Company LLC Gregory Curran
- --------------------------------------------------------------------------------
.. Year to date, the Fund returned 0.0% (amount less than 0.01%),
underperforming its benchmark, the Lehman Brothers Aggregate Bond Index.
Relative to Morningstar peers, the Fund has an average rating of 3 with an
average risk profile.
.. The Fund continues to meet its long-term investment objective to closely
track the performance of the Lehman Brothers Aggregate Index, which covers
the U.S. investment grade fixed-rate bond market.
.. The manager seeks to track the performance of the Fund's benchmark by
investing in a representative sample of securities selected through
proprietary quantitative techniques. Issues are selected to best match the
risk characteristics of the 6,976 plus securities in the benchmark,
including price sensitivity, industry, and quality exposure.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Assets
------
U.S. Treasury 21.3%
Federal National Mortgage Assoc. 20.1%
Federal Home Loan Mortgage Corp. 18.9%
Government National Mortgage Assoc. 4.5%
Federal Home Loan Bank 2.2%
General Electric Corp. 1.2%
General Motors Corp. 1.2%
Morgan Stanley Group, Inc. 1.1%
JP Morgan Chase & Co. 1.1%
Wachovia Corp. 0.8%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Bond Index Bond Index
Fund Benchmark/4/
---------- ------------
YTD/3/ 0.0% 0.15%
1 Year 0.0 0.33
3 Years 5.97 6.36
5 Years 6.53 6.91
Since Inception (5/1/98) 6.01 6.38
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Intermediate Term-Bond
MORNINGSTAR RISK/1/:
.. Average (VL/VUL)
.. Average (VA)
MORNINGSTAR RATING/1/:
.. *** (VL/VUL)
.. *** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FUND COMPOSITION (as of June 30, 2004)/2/
% of
Credit Quality Assets
- -------------- ------
AAA/Government/Agency 74.36%
AA 1.85%
A 12.16%
BBB 11.48%
BB & lower 0.15%
Not Rated/Other NA
Weighted Average Yield 4.77%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 295 VL/VUL subaccounts and 488 VA subaccounts in the
Morningstar Intermediate Term Bond category. This represents the
Morningstar 3 year rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The performance of the fund on this page
is reported net of Trust level charges (i.e. investment management fees and
operating expenses). It does not reflect expense and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
/4/ The benchmark is the Lehman Brothers Government/Credit Bond Index from May
1998 to January 2001, and the Lehman Brothers Aggregate Bond Index from
February 2001 to present.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Bond Index Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $50,439 of securities
loaned (Note B)) ............................................... $192,378
Net unrealized appreciation of investments ......................... 1,102
Short-term investments at value .................................... 54,539
--------
Total investments ............................................ 248,019
Receivable for:
Interest ........................................................ 2,317
--------
Total assets ....................................................... 250,336
--------
LIABILITIES
Payables for:
Investments purchased ........................................... 396
Collateral for securities on loan ............................... 51,182
Accrued operating expenses ...................................... 28
--------
Total liabilities .................................................. 51,606
--------
Net assets ......................................................... $198,730
========
Shares outstanding, $0.01 Par Value (unlimited shares authorized) .. 20,088
--------
Net asset value per share .......................................... $ 9.89
========
Composition of net assets:
Capital paid-in ................................................. $197,771
Accumulated net realized loss on investments, futures and
foreign currency transactions ................................ (166)
Undistributed net investment income ............................. 23
Net unrealized appreciation of Investments ...................... 1,102
--------
Net assets ......................................................... $198,730
========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Bond Index Fund
(000's Omitted)
INVESTMENT INCOME
Interest ........................................................ $ 5,182
Securities lending .............................................. 17
--------
Total investment income ............................................ 5,199
--------
EXPENSES
Investment advisory fee ......................................... 144
Auditors fees ................................................... 13
Custodian fees .................................................. 72
Legal fees ...................................................... 14
Printing & mailing fees ......................................... 18
Trustees'fees ................................................... 3
Other fees ...................................................... 3
--------
Total expenses ..................................................... 267
Less expenses reimbursed ........................................ (21)
--------
Net expenses ....................................................... 246
--------
Net investment income .............................................. 4,953
--------
REALIZED AND UNREALIZED LOSS
Net realized loss on investments ................................ (90)
Change in unrealized depreciation on investments ................ (4,706)
--------
Net realized and unrealized loss ................................... (4,796)
--------
Net increase in net assets resulting from operations ............... $ 157
========
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Bond Index Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income ............................................... $ 4,953 $ 10,717
Net realized gain (loss) ............................................ (90) 207
Change in net unrealized depreciation ............................... (4,706) (3,166)
-------- ---------
Net increase in net assets resulting from operations ............. 157 7,758
Distributions to shareholders from:
Net investment income ............................................... (4,930) (10,677)
Realized gains ...................................................... (947)
-------- ---------
Decrease in net assets resulting from distributions .............. (4,930) (11,624)
From fund share transactions:
Proceeds from shares sold ........................................... 21,182 108,981
Distributions reinvested ............................................ 4,930 11,624
Payment for shares redeemed ......................................... (38,270) (109,173)
-------- ---------
Increase (decrease) in net assets from fund share transactions ... (12,158) 11,432
-------- ---------
NET INCREASE (DECREASE) IN NET ASSETS .................................. (16,931) 7,566
NET ASSETS
Beginning of Period ................................................. 215,661 208,095
-------- ---------
End of Period (including undistributed net investment income of
$23 and $0, respectively) ........................................ $198,730 $ 215,661
======== =========
Analysis of fund share transactions:
Sold ................................................................ 2,097 10,603
Reinvested .......................................................... 490 1,136
Redeemed ............................................................ (3,782) (10,661)
-------- ---------
Net increase (decrease) in fund shares outstanding ..................... (1,195) 1,078
======== =========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Bond Index Fund
------------------------------------------------------------------
Unaudited
Period Ended Year Ended December 31,
June 30, -------------------------------------------------
2004 2003 2002 2001 2000
------------ -------- -------- -------- -------
Net Assets Value at Beginning of Period ............. $ 10.13 $ 10.30 $ 9.89 $ 9.74 $ 9.32
Income from Investment Operations:
Net Investment Income ............................ 0.24 0.48 0.54 0.57 0.62
Net Realized and Unrealized Gain (Loss) on
Investment(a) ................................. (0.24) (0.12) 0.42 0.17 0.43
-------- -------- -------- -------- -------
Total From Investment Operations ................. 0.00 0.36 0.96 0.74 1.05
Less Distributions:
Distribution from Net Investment Income .......... (0.24) (0.48) (0.51) (0.58) (0.63)
Distribution from Net Realized Gains on
Investments ................................... (0.05) (0.04) (0.01)
-------- -------- -------- -------- -------
Total Distributions .............................. (0.24) (0.53) (0.55) (0.59) (0.63)
-------- -------- -------- -------- -------
Net Assets Value at End of Period ................... $ 9.89 $ 10.13 $ 10.30 $ 9.89 $ 9.74
======== ======== ======== ======== =======
Total Investment Return(b) .......................... (g)(e) 3.60% 9.95% 7.76% 11.81%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net
Assets ........................................ 0.24%(c)(f) 0.24%(c) 0.22%(c) 0.24% 0.25%(c)
Ratio of Net Investment Income to Average Net
Assets ........................................ 4.84%(f) 4.73% 5.30% 5.77%(d) 6.80%
Portfolio Turnover Rate .......................... 9.97%(e) 40.22% 57.31% 68.70% 40.46%
Net Assets End of Period (000's Omitted) ............ $198,730 $215,661 $208,095 $129,358 $64,768
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made, the expense ratio would have been .26% for the period ending
June 30, 2004, and .24%, .25%, and .27%, for the years ended December 31,
2003, 2002, and 2000, respectively.
(d) Had the Fund not amortized premiums and accreted discounts on debt
securities, the annual ratio of net investment income to average net assets
would have been 6.37% for the years ended December 31, 2001.
(e) Not annualized.
(f) Annualized.
(g) Less than 0.01%.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
BOND INDEX FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS
Aerospace & Defense - 0.4%
Boeing Corp.
8.75% due 09/15/31 ...................................... $ 90 $ 116
Lockheed Martin Corp.
8.2% due 12/01/09 ....................................... 200 234
Northrop-Grumman Corp. - Debs.
7.75% due 03/01/16 ...................................... 75 88
Raytheon Co. - Notes
6.75% due 08/15/07 ...................................... 200 217
United Technologies Corp. - Debs.
8.875% due 11/15/19 ..................................... 50 65
-------
720
Airlines - 0.2%
Delta Air Lines, Inc. - Ser. 00-1
7.57% due 11/18/10 ...................................... 320 297
Auto Loan - 1.2%
Ford Motor Credit Co.
6.125% due 01/09/06 ..................................... 800 828
Ford Motor Credit Co. - Bonds
7.375% due 02/01/11 ..................................... 250 264
General Motors Acceptance Corp. - Notes
6.125% due 09/15/06 ..................................... 400 416
7.75% due 01/19/10 ...................................... 400 434
8.0% due 11/01/31 ....................................... 430 441
Toyota Motor Credit Corp. - Notes
5.5% due 12/15/08 ....................................... 60 63
-------
2,446
Automobiles - 0.6%
DaimlerChrysler NA Holding Co.
7.2% due 09/01/09 ....................................... 650 707
Delphi Automotive Systems Corp. - Debs.
7.125% due 05/01/29 ..................................... 50 50
Delphi Automotive Systems Corp. - Notes
6.5% due 05/01/09 ....................................... 200 210
Ford Motor Co. - Bonds
6.625% due 02/15/28 ..................................... 350 307
-------
1,274
Banks - 5.2%
African Development Bank - Sub. Notes
6.875% due 10/15/15 ..................................... 35 39
Bank of America Corp. - Sub. Notes
7.8% due 02/15/10 ....................................... 350 402
Bank One Corp.
7.875% due 08/01/10 ..................................... 300 347
Bank One Corp. - Notes
6.875% due 08/01/06 ..................................... 1,000 1,070
BankAmerica Corp. - Sub. Notes
6.5% due 03/15/06 ....................................... 150 159
Chase Manhattan Corp. - Sub. Notes
7.125% due 02/01/07 ..................................... 225 245
Credit Suisse First Boston
6.5% due 01/15/12 ....................................... $ 400 $ 430
Credit Suisse First Boston, Inc. - Notes
5.875% due 08/01/06 ..................................... 500 526
European Investment Bank - Global Notes
4.625% due 03/01/07 ..................................... 800 827
Fleet Boston Corp. - Sub. Notes
7.375% due 12/01/09 ..................................... 100 113
Fleet Financial Group, Inc. - Sub. Debs.
6.7% due 07/15/28 ....................................... 75 78
HSBC Holdings Plc
7.5% due 07/15/09 ....................................... 150 169
InterAmerican Development Bank - Debs.
8.5% due 03/15/11 ....................................... 200 242
Intermediate American Development Bank - Bonds
6.125% due 03/08/06 ..................................... 1,300 1,373
International Bank of Reconstruction & Development -
Notes
5.0% due 03/28/06 ....................................... 750 779
JP Morgan Chase & Co. - Notes
5.25% due 05/30/07 ...................................... 1,000 1,044
National City Bank of Pennsylvania - Sub. Notes
7.25% due 10/21/11 ...................................... 50 58
NationsBank Corp. - Sub. Notes
7.75% due 08/15/15 ...................................... 400 464
Royal Bank of Scotland plc - Sub. Notes
6.4% due 04/01/09 ....................................... 150 163
United Bank National Association of Minneapolis
6.375% due 08/01/11 .................................... 325 351
Wachovia Corp. - Notes
4.95% due 11/01/06 ...................................... 1,350 1,398
Wachovia Corp. - Sub. Notes
5.625% due 12/15/08 .................................... 75 78
-------
10,355
Beverages - 0.4%
Anheuser Busch Cos., Inc.
9.0% due 12/01/09 ....................................... 470 571
Coca-Cola Enterprises, Inc. - Debs.
8.5% due 02/01/22 ....................................... 100 127
Pepsi Bottling Group, Inc. - Sr. Notes - Ser. B
7.0% due 03/01/29 ....................................... 100 111
-------
809
Chemicals - 0.2%
E.I. Du Pont De Nemours
6.5% due 01/15/28 ....................................... 150 160
Eastman Chemical - Debs.
7.6% due 02/01/27 ....................................... 50 55
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
BOND INDEX FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Chemicals - Continued
Morton International, Inc. - Debs.
9.25% due 06/01/20 ...................................... $ 40 $ 52
Rohm & Haas Co. - Notes
7.4% due 07/15/09 ....................................... 80 90
------
357
Commercial Services & Supplies - 0.3%
First Data Corp. - Sr. Notes
5.625% due 11/01/11 ..................................... 400 417
Honeywell International, Inc. - Notes
7.5% due 03/01/10 ....................................... 75 86
------
503
Communications Equipment - 0.2%
Motorola, Inc. - Notes
6.75% due 02/01/06 ...................................... 300 315
Computers & Peripherals - 0.5%
Hewlett - Packard Co. - Notes
7.15% due 06/15/05 ...................................... 200 209
International Business Machines Corp. - Debs.
7.0% due 10/30/25 ....................................... 100 111
International Business Machines Corp. - Notes
4.25% due 09/15/09 ...................................... 600 599
------
919
Credit Card - 0.8%
American Express Co. - Notes
4.875% due 07/15/13 ..................................... 150 145
MBNA Credit Card Master Note Trust - Ser. 2002-1 Notes
Cl. A
4.95% due 06/15/09 ...................................... 1,000 1,041
MBNA Master Credit Card Trust II - Notes
6.5% due 04/15/10 ....................................... 400 436
------
1,622
Diversified Financials - 4.3%
Bear Stearns & Co., Inc. - Notes
5.7% due 11/15/14 ....................................... 240 241
Chase Commercial & Mortgage Securities Corp. - Ser.
1997-2 Pass Thru Certs Cl. A2
6.6% due 12/19/29 ....................................... 461 488
Chase Commercial Mortgage Securities
Corp. - Ser. 200-2 CTF Cl. A2
7.631% due 07/15/32 ..................................... 300 340
Citicorp Capital II
8.015% due 02/15/27 ..................................... 100 110
Citigroup, Inc.
7.25% due 10/01/10 ...................................... 400 451
Citigroup, Inc. - Notes
6.625% due 01/15/28 ..................................... 100 105
Citigroup, Inc. - Sub. Notes
5.875% due 02/22/33 ..................................... $ 190 $ 179
GE Capital Commercial Mortgage Corp. - Ser. 2001-2 Cl. A4
6.59% due 08/11/33 ...................................... 550 589
Goldman Sachs Capital
6.345% due 02/15/34 ..................................... 160 150
Goldman Sachs Group, Inc. - Notes
7.35% due 10/01/09 ...................................... 500 562
Hartford Financial Services Group, Inc. - Sr. Notes
7.75% due 06/15/05 ...................................... 150 157
Kreditanstalt Fur Wiederaufbau - Notes
3.25% due 03/30/09 ...................................... 500 485
Morgan Stanley Capital, Inc. - CTF 1998- WF1 Cl. A1
6.25% due 03/15/30 ...................................... 205 207
Morgan Stanley Capital, Inc. - Pass Thru Certs. Ser.
1999-RM1
6.37% due 12/15/31 ...................................... 603 633
Morgan Stanley Group, Inc.
6.1% due 04/15/06 ....................................... 1,065 1,121
6.75% due 04/15/11 ...................................... 250 274
Prudential Commercial Mortgage Trust - Cl. A2
4.493% due 02/11/36 ..................................... 450 428
Salomon Brothers Commercial & Mortgage Trust - Ser.
2000-C3 Pass Thru Certs Cl. A2
6.592% due 12/18/33 ..................................... 500 544
Salomon Brothers Mortgage Securities Inc. - Pass Thru
Certs - Ser. 2000-C1 Cl. A2
7.52% due 12/18/09 ...................................... 300 339
Wells Fargo & Co. - Sub. Notes
6.875% due 04/01/06 ..................................... 1,100 1,173
------
8,576
Diversified Telecommunication Services - 1.2% AT&T Corp. -
Notes
6.5% due 03/15/13 ....................................... 340 316
Bell Canada
7.75% due 04/01/06 ...................................... 125 134
Bellsouth Corp. - Notes
6.875% due 10/15/31 ..................................... 200 208
British Telecommunications plc - Notes
8.375% due 12/15/10 ..................................... 200 234
8.875% due 12/15/30 ..................................... 130 160
France Telecom SA - Notes
8.7% due 03/01/06 ....................................... 350 375
10.0% due 03/01/31 ...................................... 100 126
GTE Corp. - Debs.
6.94% due 04/15/28 ...................................... 100 102
Telefonica Europe BV - Notes
8.25% due 09/15/30 ...................................... 100 122
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
BOND INDEX FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Diversified Telecommunication Services - Continued
Vodafone Group plc
7.75% due 02/15/10 ...................................... $ 500 $ 573
------
2,350
Electric Utilities - 0.0%
CalEnergy Co., Inc. - Bonds
8.48% due 09/15/28 ...................................... 60 72
Electric/Gas - 1.4%
Alabama Power Co. - Sr. Notes
5.5% due 10/15/17 ....................................... 100 99
5.7% due 02/15/33 ....................................... 80 76
Cincinnati Gas & Electric Co. - Debs
5.7% due 09/15/12 ....................................... 300 307
Constellation Energy Group, Inc. - Notes
7.0% due 04/01/12 ....................................... 240 261
Dominion Resources, Inc.
8.125% due 06/15/10 ..................................... 200 231
Duke Energy Co. - Sr. Notes
5.625% due 11/30/12 ..................................... 400 399
Keyspan Corp.
7.25% due 11/15/05 ...................................... 100 106
Niagara Mohawk Power Corp.
7.75% due 10/01/08 ...................................... 200 225
Oncor Electric Delivery Co. - Sr. Sec. Notes
6.375% due 05/01/12 ..................................... 400 428
Ontario Hydro
6.1% due 01/30/08 ....................................... 100 107
Progress Energy, Inc. - Sr. Notes
7.1% due 03/01/11 ....................................... 500 548
------
2,787
Finance - 3.8%
Ameritech Capital Funding Corp.
6.875% due 10/15/27 ..................................... 60 62
Anardarko Finance Co. - Sr. Notes
6.75% due 05/01/11 ...................................... 200 220
Boeing Capital Corp. - Sr. Notes
7.1% due 09/27/05 ....................................... 500 528
Countrywide Funding Corp.
5.5% due 02/01/07 ....................................... 200 209
Deutsche Telekom International Finance
8.75% due 06/15/30 ...................................... 300 365
Devon Financing Corp. United L C - Notes
6.875% due 09/30/11 ..................................... 400 435
Financing Corp.
8.6% due 09/26/19 ....................................... 150 196
General Electric Capital Corp.
6.0% due 06/15/12 ....................................... 550 580
6.125% due 02/22/11 ..................................... 1,150 1,232
Household Finance Corp. - Notes
8.0% due 07/15/10 ....................................... 350 406
Household Finance Corp. - Sr. Unsub. Notes
5.875% due 02/01/09 ..................................... 280 296
KFW International Finance, Inc. - Sr. Notes
5.25% due 06/28/06 ...................................... $ 300 $ 314
Lehman Brothers Holdings, Inc. - Notes
6.25% due 05/15/06 ...................................... 500 528
Lehman Brothers, Inc. - Sr. Sub. Notes
7.5% due 08/01/26 ....................................... 150 171
National Rural Utilities Cooperative Finance - Notes
5.75% due 08/28/09 ...................................... 700 739
Sprint Capital Corp.
6.875% due 11/15/28 ..................................... 150 144
7.625% due 01/30/11 ..................................... 300 332
Sumitomo Bank International Finance NV - Notes
8.5% due 06/15/09 ....................................... 100 116
Verizon Global Funding Corp. - Notes
7.25% due 12/01/10 ...................................... 230 257
Washington Mutual Capital I
8.375% due 06/01/27 ..................................... 60 67
Washington Mutual Finance Corp. - Sr. Notes
6.25% due 05/15/06 ...................................... 300 318
------
7,515
Financials - 0.1%
Aetna Inc.
7.625% due 08/15/26 ..................................... 100 112
Food & Drug Retailing - 0.3%
Albertson's, Inc. - Notes
6.625% due 06/01/28 ..................................... 50 49
Albertson's, Inc. - Sr. Notes
7.5% due 02/15/11 ....................................... 345 389
Safeway, Inc. - Notes
5.8% due 08/15/12 ....................................... 150 151
------
589
Food Products - 0.8%
Conagra Foods, Inc. - Notes
7.875% due 09/15/10 ..................................... 250 289
Conagra, Inc. - Debs.
9.75% due 03/01/21 ...................................... 75 100
General Mills, Inc. - Notes
6.0% due 02/15/12 ....................................... 250 262
Kellogg Co. - Debs. - Ser. B
7.45% due 04/01/31 ...................................... 100 115
Kraft Foods, Inc. - Notes
4.625% due 11/01/06 ..................................... 300 307
5.25% due 10/01/13 ...................................... 325 317
Sara Lee Corp. - Notes
6.25% due 09/15/11 ...................................... 100 108
The Kroger Co.
8.05% due 02/01/10 ...................................... 150 173
------
1,671
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
BOND INDEX FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Foreign Governmental - 2.3%
Government of Canada
5.25% due 11/05/08 ...................................... $ 125 $ 132
Government of New Zealand - Debs.
8.75% due 12/15/06 ...................................... 120 135
Hydro-Quebec
8.4% due 01/15/22 ....................................... 100 128
Kingdom of Spain
7.0% due 07/19/05 ....................................... 250 262
Malaysia - Bonds
8.75% due 06/01/09 ...................................... 50 59
Manitoba Province Canada - Ser. BU
9.625% due 12/01/18 ..................................... 300 424
Province of Ontario - Bonds
6.0% due 02/21/06 ....................................... 300 315
Province of Quebec - Debs.
7.5% due 07/15/23 ....................................... 100 120
Republic of Greece - Notes
6.95% due 03/04/08 ...................................... 405 446
Republic of Italy - Debs.
6.875% due 04/15/03 ..................................... 460 520
Republic of Korea - Unsub. Notes
8.875% due 04/15/08 ..................................... 600 696
United Mexican States - Notes
9.875% due 02/01/10 ..................................... 970 1,165
United Mexican States - Notes Ser. A
8.3% due 08/15/31 ....................................... 200 210
------
4,612
Gas Utilities - 0.2%
Sempra Energy - Notes
6.0% due 02/01/13 ....................................... 400 413
Home Equity Loan - 0.1%
Countrywide Home Loan Corp.
6.25% due 04/15/09 ...................................... 250 267
Insurance - 0.3%
Allstate Corp.
7.2% due 12/01/09 ....................................... 170 194
AXA - Sub Notes
8.6% due 12/15/30 ....................................... 120 147
Hartford Life, Inc. - Debs.
7.65% due 06/15/27 ...................................... 50 58
Torchmark, Inc. - Debs.
8.25% due 08/15/09 ...................................... 100 113
Travelers Property Casualty Corp. - Sr. Notes
7.75% due 04/15/26 ...................................... 50 57
------
569
Machinery - 0.2%
Caterpillar, Inc. - Debs.
8.0% due 02/15/23 ....................................... 50 61
John Deere Capital Corp. - Global Notes
5.1% due 01/15/13 ....................................... 170 169
John Deere Capital Corp. - Notes
6.0% due 02/15/09 ....................................... $ 60 $ 64
------
294
Media - 1.7%
Clear Channel Communications, Inc.
7.65% due 09/15/10 ...................................... 400 451
Comcast Cable Communications - Notes
8.875% due 05/01/17 ..................................... 75 91
Cox Communications, Inc. - Notes
5.5% due 10/01/15 ....................................... 300 289
News America Holdings, Inc. - Debs.
7.7% due 10/30/25 ....................................... 100 113
News America Holdings, Inc. - Sr. Debs.
7.75% due 01/20/24 ...................................... 180 204
TCI Communications, Inc. - Sr. Notes
7.125% due 02/15/28 ..................................... 70 73
The Walt Disney Co. - Sr. Notes
6.75% due 03/30/06 ...................................... 1,000 1,059
Time Warner Entertainment, Inc. - Sr. Notes
8.375% due 07/15/33 ..................................... 200 234
Time Warner, Inc.
7.625% due 04/15/31 ..................................... 75 81
Time Warner, Inc. - Debs.
7.25% due 10/15/17 ...................................... 350 379
Viacom, Inc.
7.875% due 07/30/30 ..................................... 50 59
Viacom, Inc. - Sr. Notes
7.75% due 06/01/05 ...................................... 350 366
------
3,399
Metals & Mining - 0.2%
ALCOA, Inc. - Notes
7.375% due 08/01/10 ..................................... 200 227
Noranda, Inc. - Debs.
7.0% due 07/15/05 ....................................... 200 206
------
433
Multi-Utilities - 0.2%
United Technologies Corp. - Notes
6.1% due 05/15/12 ....................................... 180 193
United Utilities plc - Notes
6.875% due 08/15/28 ..................................... 100 104
------
297
Multiline Retail - 0.3%
Federated Department Stores, Inc.
6.625% due 04/01/11 ..................................... 200 217
Target Corp. - Notes
7.5% due 08/15/10 ....................................... 100 115
Wal Mart Stores, Inc.
7.55% due 02/15/30 ...................................... 110 132
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
BOND INDEX FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Multiline Retail - Continued
Wal-Mart Stores, Inc. - Debs.
6.75% due 10/15/23 ...................................... $ 100 $ 110
------
574
Municipal - 0.3%
Illinois Saint
5.1% due 06/01/33 ....................................... 230 204
Massachusetts Special Purpose Trust - Ser. BEC-1 Cl. A5
7.03% due 03/15/12 ...................................... 150 167
Tennessee Valley Authority
6.75% due 11/01/25 ...................................... 260 289
------
660
Oil & Gas - 0.6%
Burlington Resources, Inc - Debs.
9.125% due 10/01/21 ..................................... 90 116
Chevron Texaco Capital Co. - Notes
3.5% due 09/17/07 ....................................... 600 599
Norsk Hydro A/S
7.25% due 09/23/27 ...................................... 75 84
Occidental Petroleum Corp. - Debs.
7.2% due 04/01/28 ....................................... 40 45
Phillips Petroleum Co. - Debs.
6.65% due 07/15/18 ...................................... 50 55
Tosco Corp.
8.125% due 02/15/30 ..................................... 110 136
Trans-Canada Pipelines
7.7% due 06/15/29 ....................................... 100 118
Union Oil Co. of California
7.5% due 02/15/29 ....................................... 60 68
------
1,221
Other Mortgage - 1.0%
GMAC Commercial Mortgaged Securities, Inc. - CTF - Ser.
1998-C1 Cl. A2
6.7% due 05/15/30 ....................................... 900 974
LB Commercial Conduit Mortgage Trust - Ser. 1999-C2 Pass
Thru Certs. Cl. A2
7.325% due 09/15/09 ..................................... 400 448
LU UBS Commercial Mortgage Trust - Ser. 2000-C5 Pass Thru
Certs. Cl. A1
6.41% due 01/15/10 ...................................... 592 629
------
2,051
Paper & Forest Products - 0.5%
International Paper Co. - Notes
6.75% due 09/01/11 ...................................... 250 271
MeadWestvaco Corp. - Notes
6.85% due 04/01/12 ...................................... 100 107
Westvaco Corp. - Notes
7.1% due 11/15/09 ....................................... 35 39
Weyerhaeuser Co.
7.125% due 07/15/23 ..................................... 130 137
Weyerhaeuser Co. - Notes
6.125% due 03/15/07 ..................................... $ 450 $ 476
------
1,030
Personal Products - 0.2%
Procter & Gamble Co. - Debs.
6.45% due 01/15/26 ...................................... 100 107
Unilever Capital
7.125% due 11/01/10 ..................................... 200 226
------
333
Pharmaceuticals - 0.6%
Abbott Laboratories - Notes
5.625% due 07/01/06 ..................................... 250 262
Bristol Myers Squibb Co. - Notes
5.75% due 10/01/11 ...................................... 300 313
Eli Lilly & Co. - Notes
7.125% due 06/01/25 ..................................... 80 92
Schering Plough Corp. - Sr. Notes
5.3% due 12/01/13 ....................................... 250 245
Wyeth - Notes
5.25% due 03/15/13 ...................................... 200 193
------
1,105
Real Estate Investment Trust - 0.4%
Simon Property Group Puerto - Notes
6.375% due 11/15/07 ..................................... 700 749
Real Estate Operations - 0.2%
EOP Operating LP - Notes
6.8% due 01/15/09 ....................................... 150 162
EOP Operating, Ltd. Partenership - Notes
7.0% due 07/15/11 ....................................... 250 273
------
435
Road & Rail - 0.8%
Burlington Northern Railroad Company
6.125% due 03/15/09 ..................................... 150 159
Canadian National Railway Co. - Notes
6.375% due 10/15/11 ..................................... 300 324
CSX Corp. - Debs.
7.45% due 05/01/07 ...................................... 125 137
Norfolk Southern Corp. - Notes
7.35% due 05/15/07 ...................................... 855 937
Union Pacific Corp. - Debs.
6.625% due 02/01/29 ..................................... 85 87
------
1,644
Specialty Retail - 0.0%
Dayton Hudson Corp. - Debs.
6.75% due 01/01/28 ...................................... 25 27
U.S. Government Agencies - 44.5%
Federal Home Loan Bank
3.875% due 06/14/13 ..................................... 1,750 1,610
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
BOND INDEX FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
U.S. Government Agencies - Continued
Federal Home Loan Bank - Bonds
4.5% due 06/01/18 ....................................... $ 923 $ 904
5.0% due 06/01/19 ....................................... 200 201
Federal Home Loan Bank - Disc. Notes
5.125% due 03/06/06 ..................................... 1,400 1,453
Federal Home Loan Bank - Sr. Notes
5.8% due 09/02/08 ....................................... 225 240
Federal Home Loan Mortgage Corp. - Bonds
4.0% due 09/01/18 ....................................... 236 225
4.0% due 10/01/18 ....................................... 703 671
4.5% due 08/01/18 ....................................... 1,476 1,445
4.5% due 11/01/18 ....................................... 373 365
4.5% due 05/01/24 ....................................... 250 240
4.5% due 08/01/33 ....................................... 342 320
4.5% due 10/01/33 ....................................... 196 184
5.0% due 01/01/18 ....................................... 825 827
5.0% due 02/01/18 ....................................... 966 969
5.0% due 03/01/18 ....................................... 355 357
5.0% due 04/01/24 ....................................... 396 391
5.0% due 06/01/33 ....................................... 546 529
5.0% due 09/01/33 ....................................... 956 926
5.0% due 10/01/33 ....................................... 1,441 1,396
5.0% due 05/01/34 ....................................... 150 145
5.0% due 05/01/34 ....................................... 100 97
5.0% due 06/01/34 ....................................... 250 242
5.5% due 06/01/16 ....................................... 215 220
5.5% due 03/01/17 ....................................... 131 135
5.5% due 06/01/17 ....................................... 196 200
5.5% due 01/01/18 ....................................... 257 263
5.5% due 01/01/18 ....................................... 118 121
5.5% due 02/01/23 ....................................... 501 508
5.5% due 04/01/32 ....................................... 141 141
5.5% due 01/01/33 ....................................... 742 742
5.5% due 02/01/33 ....................................... 864 863
5.5% due 04/01/33 ....................................... 975 974
5.5% due 06/01/33 ....................................... 405 404
5.5% due 12/01/33 ....................................... 280 280
5.5% due 01/01/34 ....................................... 373 373
5.5% due 02/01/34 ....................................... 484 483
5.5% due 05/01/34 ....................................... 250 249
6.0% due 08/01/14 ....................................... 65 68
6.0% due 10/01/14 ....................................... 164 171
6.0% due 07/01/16 ....................................... 122 127
6.0% due 11/01/16 ....................................... 67 70
6.0% due 02/01/17 ....................................... 143 150
6.0% due 02/01/17 ....................................... 131 137
6.0% due 06/01/22 ....................................... 134 139
6.0% due 05/01/29 ....................................... 187 192
6.0% due 08/01/29 ....................................... 110 113
6.0% due 07/01/31 ....................................... 102 104
6.0% due 01/01/32 ....................................... 119 122
6.0% due 02/01/32 ....................................... 326 333
6.0% due 02/01/32 ....................................... 292 299
6.0% due 11/01/32 ....................................... $ 649 $ 663
6.0% due 12/01/32 ....................................... 434 445
6.0% due 02/01/33 ....................................... 250 255
6.0% due 11/01/33 ....................................... 225 230
6.0% due 01/01/34 ....................................... 191 195
6.5% due 11/01/15 ....................................... 33 35
6.5% due 07/01/16 ....................................... 76 81
6.5% due 11/01/16 ....................................... 121 127
6.5% due 05/01/17 ....................................... 63 66
6.5% due 01/01/21 ....................................... 39 41
6.5% due 06/01/21 ....................................... 139 146
6.5% due 09/01/28 ....................................... 49 51
6.5% due 06/01/29 ....................................... 8 9
6.5% due 07/01/29 ....................................... 16 17
6.5% due 07/01/29 ....................................... 118 124
6.5% due 11/01/30 ....................................... 54 56
6.5% due 12/01/30 ....................................... 38 40
6.5% due 03/01/31 ....................................... 180 188
6.5% due 05/01/31 ....................................... 186 194
6.5% due 05/01/31 ....................................... 44 46
6.5% due 07/01/31 ....................................... 23 25
6.5% due 11/01/31 ....................................... 113 118
6.5% due 11/01/31 ....................................... 83 87
6.5% due 12/01/31 ....................................... 323 337
6.5% due 04/01/32 ....................................... 94 98
6.5% due 05/01/32 ....................................... 33 34
6.5% due 08/01/32 ....................................... 150 156
6.5% due 08/01/32 ....................................... 177 185
6.5% due 08/01/32 ....................................... 92 96
6.5% due 08/01/32 ....................................... 164 171
7.0% due 02/01/16 ....................................... 53 56
7.0% due 04/01/17 ....................................... 202 215
7.0% due 04/01/29 ....................................... 160 170
7.0% due 02/01/30 ....................................... 92 98
7.0% due 04/01/31 ....................................... 20 21
7.0% due 05/01/31 ....................................... 20 21
7.0% due 05/01/31 ....................................... 26 28
7.0% due 07/01/31 ....................................... 33 35
7.0% due 08/01/31 ....................................... 77 81
7.0% due 04/01/32 ....................................... 163 172
7.1% due 04/10/07 ....................................... 2,500 2,744
7.5% due 02/01/16 ....................................... 18 19
7.5% due 09/01/30 ....................................... 13 14
7.5% due 11/01/30 ....................................... 66 71
7.5% due 03/01/32 ....................................... 130 140
8.0% due 02/01/30 ....................................... 38 41
8.0% due 09/01/30 ....................................... 35 38
8.5% due 10/01/31 ....................................... 44 48
Federal Home Loan Mortgage Corp. - Debs.
5.75% due 04/15/08 ...................................... 2,500 2,668
6.0% due 06/15/11 ....................................... 1,000 1,074
6.25% due 07/15/32 ...................................... 400 421
7.0% due 07/15/05 ....................................... 4,855 5,089
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
BOND INDEX FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
U.S. Government Agencies - Continued
Federal Home Loan Mortgage Corp. -
Notes
2.75% due 08/15/06 ...................................... $1,300 $1,291
4.0% due 05/01/09 ....................................... 140 140
5.0% due 11/01/07 ....................................... 98 100
5.0% due 10/01/09 ....................................... 109 111
6.0% due 01/01/09 ....................................... 80 82
Federal National Mortgage Assoc. - Bonds
4.0% due 09/01/18 ....................................... 204 194
4.0% due 12/01/18 ....................................... 332 317
4.0% due 04/01/19 ....................................... 100 95
4.5% due 04/01/18 ....................................... 587 575
4.5% due 05/01/18 ....................................... 987 968
4.5% due 10/01/18 ....................................... 803 787
4.5% due 12/01/18 ....................................... 797 781
4.5% due 09/01/33 ....................................... 216 203
4.5% due 10/01/33 ....................................... 534 500
5.0% due 12/01/17 ....................................... 432 434
5.0% due 04/01/18 ....................................... 858 862
5.0% due 06/01/18 ....................................... 408 410
5.0% due 03/01/23 ....................................... 917 920
5.0% due 08/01/23 ....................................... 580 574
5.0% due 11/01/32 ....................................... 445 432
5.0% due 06/01/33 ....................................... 400 388
5.0% due 06/01/33 ....................................... 653 633
5.0% due 08/01/33 ....................................... 1,227 1,189
5.0% due 09/01/33 ....................................... 809 784
5.0% due 09/01/33 ....................................... 1,071 1,038
5.0% due 12/01/33 ....................................... 624 605
5.0% due 05/01/34 ....................................... 400 387
5.5% due 03/01/16 ....................................... 48 49
5.5% due 04/01/16 ....................................... 34 35
5.5% due 02/01/17 ....................................... 242 248
5.5% due 04/01/17 ....................................... 145 148
5.5% due 07/01/17 ....................................... 258 265
5.5% due 09/01/17 ....................................... 200 205
5.5% due 09/01/17 ....................................... 224 230
5.5% due 02/01/23 ....................................... 386 391
5.5% due 01/01/32 ....................................... 662 662
5.5% due 01/01/32 ....................................... 93 93
5.5% due 12/01/32 ....................................... 463 462
5.5% due 02/01/33 ....................................... 482 482
5.5% due 03/01/33 ....................................... 395 394
5.5% due 04/01/33 ....................................... 945 944
5.5% due 04/01/33 ....................................... 790 788
5.5% due 06/01/33 ....................................... 1,126 1,124
5.5% due 06/25/33 ....................................... 400 399
5.5% due 08/01/33 ....................................... 1,570 1,567
5.5% due 12/01/33 ....................................... 691 689
5.5% due 12/01/33 ....................................... 220 220
5.5% due 01/01/34 ....................................... 782 780
5.5% due 06/01/34 ....................................... 140 140
6.0% due 05/01/14 ....................................... 37 39
6.0% due 02/01/16 ....................................... 93 97
6.0% due 07/01/17 ....................................... $ 400 $ 417
6.0% due 08/01/17 ....................................... 178 186
6.0% due 01/01/29 ....................................... 183 188
6.0% due 08/01/30 ....................................... 231 237
6.0% due 07/01/31 ....................................... 95 99
6.0% due 11/01/31 ....................................... 270 277
6.0% due 01/01/32 ....................................... 334 342
6.0% due 02/01/32 ....................................... 119 122
6.0% due 03/01/32 ....................................... 205 210
6.0% due 03/01/32 ....................................... 158 161
6.0% due 04/01/32 ....................................... 199 203
6.0% due 10/01/32 ....................................... 384 392
6.0% due 12/01/32 ....................................... 211 215
6.0% due 04/01/33 ....................................... 318 325
6.0% due 05/01/33 ....................................... 590 603
6.0% due 02/01/34 ....................................... 254 259
6.125% due 03/15/12 ..................................... 1,000 1,078
6.5% due 02/01/15 ....................................... 39 41
6.5% due 07/01/16 ....................................... 48 51
6.5% due 07/01/16 ....................................... 216 229
6.5% due 07/01/17 ....................................... 86 90
6.5% due 03/01/22 ....................................... 207 216
6.5% due 11/01/29 ....................................... 80 83
6.5% due 12/01/30 ....................................... 54 56
6.5% due 01/01/31 ....................................... 6 7
6.5% due 02/01/31 ....................................... 19 20
6.5% due 02/01/31 ....................................... 18 19
6.5% due 02/01/31 ....................................... 78 81
6.5% due 07/01/31 ....................................... 65 67
6.5% due 08/01/31 ....................................... 75 78
6.5% due 12/01/31 ....................................... 149 155
6.5% due 02/01/32 ....................................... 184 192
6.5% due 04/01/32 ....................................... 242 252
6.5% due 04/01/32 ....................................... 60 62
6.5% due 04/01/32 ....................................... 103 107
6.5% due 04/01/32 ....................................... 94 98
6.5% due 05/01/32 ....................................... 43 45
6.5% due 05/01/32 ....................................... 595 620
6.5% due 07/01/32 ....................................... 236 246
6.5% due 07/01/32 ....................................... 241 251
7.0% due 12/01/15 ....................................... 69 73
7.0% due 03/01/16 ....................................... 61 64
7.0% due 01/01/30 ....................................... 71 75
7.0% due 02/01/31 ....................................... 101 107
7.0% due 04/01/31 ....................................... 19 20
7.0% due 05/01/31 ....................................... 97 103
7.0% due 08/01/31 ....................................... 155 163
7.0% due 12/01/31 ....................................... 201 212
7.0% due 02/01/32 ....................................... 121 128
7.0% due 05/01/32 ....................................... 72 76
7.0% due 10/01/32 ....................................... 142 150
7.125% due 01/15/30 ..................................... 559 651
7.25% due 05/15/30 ...................................... 150 177
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
BOND INDEX FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
U.S. Government Agencies - Continued
7.5% due 10/01/15 ....................................... $ 61 $ 65
7.5% due 09/01/30 ....................................... 68 72
7.5% due 09/01/30 ....................................... 61 65
7.5% due 11/01/30 ....................................... 16 17
7.5% due 06/01/31 ....................................... 86 93
7.5% due 06/01/31 ....................................... 38 40
7.5% due 08/01/31 ....................................... 110 118
8.0% due 08/01/30 ....................................... 31 34
8.0% due 09/01/31 ....................................... 155 168
8.5% due 09/01/30 ....................................... 34 37
Federal National Mortgage Assoc. - Debs.
6.25% due 05/15/29 ...................................... 1,165 1,226
6.375% due 06/15/09 ..................................... 800 875
6.625% due 11/15/30 ..................................... 130 143
Federal National Mortgage Assoc. - Notes
4.0% due 11/01/10 ....................................... 417 408
5.0% due 01/15/07 ....................................... 400 416
5.5% due 01/01/09 ....................................... 91 93
6.0% due 10/01/12 ....................................... 110 114
6.625% due 09/15/09 ..................................... 750 830
Government National Mortgage Assoc. -
Bonds
4.5% due 05/15/19 ....................................... 100 98
4.5% due 08/15/33 ....................................... 191 180
5.0% due 05/15/18 ....................................... 195 197
5.0% due 08/15/33 ....................................... 466 453
5.0% due 09/15/33 ....................................... 186 181
5.0% due 10/15/33 ....................................... 190 184
5.0% due 10/15/33 ....................................... 289 280
5.5% due 11/15/32 ....................................... 990 991
5.5% due 03/15/33 ....................................... 447 447
5.5% due 04/15/33 ....................................... 378 378
5.5% due 09/15/33 ....................................... 384 384
5.5% due 06/15/34 ....................................... 175 175
6.0% due 04/15/17 ....................................... 114 120
6.0% due 07/15/29 ....................................... 153 158
6.0% due 05/15/31 ....................................... 205 211
6.0% due 04/15/32 ....................................... 251 258
6.0% due 11/15/32 ....................................... 462 475
6.0% due 01/15/33 ....................................... 243 250
6.0% due 11/15/33 ....................................... 303 311
6.0% due 01/15/34 ....................................... 145 149
6.5% due 01/15/16 ....................................... 36 38
6.5% due 05/15/28 ....................................... 203 213
6.5% due 04/15/31 ....................................... 95 100
6.5% due 05/15/31 ....................................... 77 80
6.5% due 05/15/31 ....................................... 162 170
6.5% due 08/15/31 ....................................... 144 150
6.5% due 01/15/32 ....................................... 255 266
6.5% due 05/15/32 ....................................... 146 153
6.5% due 05/15/32 ....................................... 77 81
7.0% due 08/15/29 ....................................... 101 108
7.0% due 12/15/30 ....................................... 212 225
7.0% due 03/15/31 ....................................... 251 267
7.0% due 06/15/31 ....................................... $ 42 $ 44
7.0% due 08/15/31 ....................................... 77 82
7.0% due 09/15/31 ....................................... 134 142
7.0% due 05/15/32 ....................................... 99 105
7.5% due 08/15/29 ....................................... 104 112
7.5% due 09/15/30 ....................................... 73 78
7.5% due 01/15/31 ....................................... 13 14
7.5% due 06/15/32 ....................................... 170 183
8.0% due 02/15/31 ....................................... 119 131
8.0% due 04/15/31 ....................................... 79 87
8.0% due 07/15/31 ....................................... 5 6
8.5% due 09/15/30 ....................................... 7 8
9.0% due 01/15/31 ....................................... 27 29
-------
88,494
U.S. Governmental - 20.7%
U.S. Treasury - Bonds
5.375% due 02/15/31 ..................................... 645 651
5.5% due 08/15/28 ....................................... 270 274
6.125% due 11/15/27 ..................................... 520 570
6.125% due 08/15/29 ..................................... 100 110
6.25% due 05/15/30 ...................................... 1,850 2,071
6.5% due 11/15/26 ....................................... 300 343
6.625% due 02/15/27 ..................................... 295 342
6.75% due 08/15/26 ...................................... 775 911
7.5% due 11/15/16 ....................................... 1,250 1,541
7.875% due 02/15/21 ..................................... 900 1,162
8.125% due 08/15/19 ..................................... 1,000 1,310
8.75% due 08/15/20 ...................................... 1,400 1,939
8.875% due 08/15/17 ..................................... 1,450 1,987
9.25% due 02/15/16 ...................................... 800 1,111
10.375% due 11/15/12 .................................... 4,800 5,861
11.25% due 02/15/15 ..................................... 260 401
11.75% due 02/15/10 ..................................... 250 265
11.75% due 11/15/14 ..................................... 465 639
12.0% due 08/15/13 ...................................... 1,000 1,320
12.75% due 11/15/10 ..................................... 1,000 1,138
13.25% due 05/15/14 ..................................... 1,200 1,699
U.S. Treasury - Notes
1.25% due 05/31/05 ...................................... 100 99
2.0% due 05/15/06 ....................................... 200 198
3.25% due 08/15/07 ...................................... 525 526
3.375% due 12/15/08 ..................................... 1,000 987
4.25% due 08/15/13 ...................................... 400 390
4.625% due 05/15/06 ..................................... 300 311
4.75% due 11/15/08 ...................................... 1,700 1,775
4.75% due 05/15/14 ...................................... 750 758
5.0% due 02/15/11 ....................................... 1,100 1,151
5.0% due 08/15/11 ....................................... 2,685 2,803
5.5% due 02/15/08 ....................................... 500 535
6.0% due 08/15/09 ....................................... 500 549
6.5% due 10/15/06 ....................................... 3,550 3,832
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
BOND INDEX FUND
Par Market
Name of Issuer Value Value
-------------- ------- --------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
U.S. Governmental - Continued
7.0% due 07/15/06 ..................................... $ 1,450 $ 1,571
--------
41,130
Wireless Telecommunications Services - 0.2%
Alltel Corp. - Sr. Notes
7.6% due 04/01/09 ..................................... 100 113
AT&T Wireless, Inc. - Notes
7.875% due 03/01/11 ................................... 300 341
--------
454
--------
TOTAL PUBLICLY-TRADED BONDS-
(Cost $192,378) 97.4% 193,480
INVESTMENT COMPANIES HELD
AS COLLATERAL ON LOANED
SECURITIES - 25.7%
State Street Navigator Securities Lending Portfolio ... 51,182 51,182
SHORT-TERM INVESTMENTS - 1.7%
Investment in joint trading account
1.344% due 07/01/04
(Cost $3,357) ......................................... 3,357 3,357
------- --------
TOTAL INVESTMENTS-
(Cost $246,917) 124.8% 248,019
Payables, less cash and receivables- (24.8)% (49,289)
------- --------
NET ASSETS- 100.% $198,730
======= ========
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Bond Index Fund (the "Fund") is a diversified series of John
Hancock Variable Series Trust I (the "Trust"), an open-end investment management
company registered under the Investment Company Act of 1940. The Trust is
organized as a Massachusetts business trust and consists of thirty different
funds as of June 30, 2004. The results of this Fund are included in this report.
The results of the other Funds in the Trust are presented under separate cover.
The Trust may add or delete Funds in the future to accommodate various
investment objectives. The Trust has issued shares of beneficial interest
exclusively to John Hancock Variable Life Account U ("JHVLAU"), John Hancock
Variable Life Account V ("JHVLAV"), John Hancock Variable Life Account S
("JHVLAS"), and John Hancock Variable Annuity Account I ("JHVAAI") to fund
policies and contracts issued by the John Hancock Variable Life Insurance
Company ("JHVLICO"), and to John Hancock Variable Annuity Account U ("JHVAAU"),
John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock Variable Life
Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H ("JHVAAH"), and
John Hancock Variable Annuity Account JF ("JHVAAJF") to fund contracts and
policies issued by John Hancock Life Insurance Company ("John Hancock" or
"JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"), and to John
Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Debt investment securities having a primary market over-the-counter are
valued on the basis of valuations furnished by a pricing service which
determines valuations for normal institutional size trading units of debt
securities, without exclusive reliance upon quoted prices.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected
security as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including,
but not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Discount and premium on debt securities: The Fund accretes discount and
amortizes premium from par value on securities from either the date of issue or
the date of purchase over the life of the security.
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York . These agreements enable the Fund to participipate in an unsecured
line of credit, which permits borrowings up to $125 and $75 million,
respectively. Interest is charged to the Fund, based on its borrowing. In
addition, a commitment fee is charged to the Fund based on the average daily
unused portion of the line of credit and is allocated among the participating
Funds in the Trust. Interest expense paid under the line of credit is included
under the caption "Other fees" in the Statement of Operations. For the period
ended June 30, 2004, the Fund had no bank borrowings.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Securities lending: The Fund has entered into an agreement with SSBT to
lend its securities to certain qualified brokers who pay the Fund's negotiated
lender fees. This loan is collateralized at all times wih cash or securities
with a market value at least equal to the market value of the securities on
loan. Cash collateral is invested in a short-term instrument. As with other
extensions of credit, the Fund may bear the risk of delay of the loaned
securities in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. At June 30, 2004, the market value
of the securities loaned and the market value of the collateral for the Fund was
as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$50,439 $51,182
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investment against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had no capital loss carryforwards on a
tax basis to be applied against any future taxable gains.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of it's fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
Between
$100 Million and Excess Over
First $100 Million $250 Million $250 Million
- ------------------ ---------------- ------------
0.15% 0.13% 0.11%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. Accordingly,
for the period ended June 30, 2004, the reimbursements paid from John Hancock
and JHVLICO were $21 to the Fund.
John Hancock has entered into a Sub-Advisory Agreement with Standish Mellon
Asset Management Company, and under its supervision, is responsible for the
day-to-day investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$20,300 $20,482
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, commercial paper and collateral for
securities lending) and their respective gross unrealized appreciation and
depreciation for Federal income tax purposes at December 31, 2003 were as
follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ -------------
$262,513 $6,719 $(987) $5,732
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
Fund if not distributed, and, therefore, will be distributed to shareholders at
least annually. Earnings and profits distributed to shareholders on redemption
of fund shares may be utilized by the Fund, to the extent permissible, as part
of the Fund's dividends-paid deduction on its federal income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
relate to certain securities sold at a loss and premium amortization and market
discount accretion on debt securities. Additionally, as a result, net investment
income (loss) and net realized gain (loss) on investment transactions for a
reporting period may differ significantly from distributions during such period.
Accordingly, the Fund may periodically make reclassifications among certain of
its capital accounts without impacting the net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $-- $5,732
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $9,830 $1,105 $689
2002 9,249 179 217
Inception: May 1, 1996
- --------------------------------------------------------------------------------
Earnings Growth Fund
Fidelity Management & Research Company Joseph Day
- --------------------------------------------------------------------------------
.. Year to date, the Fund returned 1.71%, underperforming its benchmark, the
Russell 1000 Growth Index. Relative to Morningstar peers, the Fund has a
below average rating of 1 with an average risk profile.
.. The Fund underperformed its benchmark primarily due to unfavorable security
selection, especially in the information technology and telecom sectors.
.. The Fund's exposure to the consumer staples and industrial sectors were the
largest contributors to absolute performance, while exposure to the
information technology sector was the largest detractor.
.. The manager employs a bottom-up, research approach to identify companies
with above average, long term growth potential and that are reasonably
priced.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
Microsoft Corp. 5.4%
Pfizer, Inc. 5.4%
Cisco Systems, Inc. 3.0%
General Electric Co. 3.0%
Intel Corp. 2.7%
Merck & Co., Inc. 2.6%
Gillette Co. 2.3%
Johnson & Johnson 2.3%
Procter & Gamble Co. 2.1%
Wal-Mart Stores, Inc. 2.1%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Earnings Earnings Growth
Growth Fund Benchmark/1/
----------- ---------------
YTD/3/ 1.71% 2.74%
1 Year 14.88 17.89
3 Years -10.30 -2.84
5 Years -9.81 -1.37
Since Inception (5/1/96) 2.90 6.09
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Large Growth
MORNINGSTAR RISK/1/:
.. Average (VL/VUL)
.. Average (VA)
MORNINGSTAR RATING/1/:
.. * (VL/VUL)
.. * (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
Assets
------
Information Technology 26%
Health Care 24%
Consumer Staples 15%
Consumer Discretionary 11%
Industrials 10%
Financials 7%
Energy 5%
Telecommunication Services 2%
Materials 0%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 1,143 VL/VUL subaccounts and 2,144 VA subaccounts in the
Morningstar Large Growth category. This represents the Morningstar 3 year
rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represents
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The performance of the fund on this page
is reported net of Trust level charges (i.e. investment management fees and
operating expenses). It does not reflect expense and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
/4/ The Earnings Growth Benchmark represents the Russell Mid Cap Growth Index
from May 1996 to April 2002 and then the Russell 1000 Growth Index from May
2002-present.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Earnings Growth Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $7,741 of securities
loaned (Note B)) ............................................... $ 162,694
Net unrealized appreciation of investments ........................ 27,744
Short-term investments at value ................................... 8,540
---------
Total investments ........................................... 198,978
Receivable for:
Investments sold ............................................... 3,485
Dividends ...................................................... 155
---------
Total assets ...................................................... 202,618
---------
LIABILITIES
Payables for:
Investments purchased .......................................... 1,757
Collateral for securities on loan .............................. 7,815
Accrued operating expenses ..................................... 12
Other liabilities .............................................. 1
---------
Total liabilities ................................................. 9,585
---------
Net assets ........................................................ $ 193,033
=========
Shares outstanding, $0.01 Par Value (unlimited shares
authorized) .................................................... 23,257
---------
Net asset value per share ......................................... $ 8.30
=========
Composition of net assets:
Capital paid-in ................................................ $ 477,418
Accumulated net realized loss on investments, futures and
foreign currency transactions ............................... (312,131)
Undistributed net investment income ............................ 2
Net unrealized appreciation of investments ..................... 27,744
---------
Net assets ........................................................ $ 193,033
=========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Earnings Growth Fund
(000's Omitted)
INVESTMENT INCOME
Interest ......................................................... $ 12
Dividends (net of foreign withholding tax of $1) ................. 1,110
Securities lending ............................................... 26
-------
Total investment income ............................................. 1,148
-------
EXPENSES
Investment advisory fee .......................................... 919
Auditors fees .................................................... 13
Custodian fees ................................................... 30
Legal fees ....................................................... 12
Printing & mailing fees .......................................... 16
Trustees' fees ................................................... 3
Other fees ....................................................... 3
-------
Total expenses ...................................................... 996
Less custodian expense reduction offset by commission recapture
arrangement (Note C) .......................................... (8)
-------
Net expenses ........................................................ 988
-------
Net investment income ............................................... 160
-------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on investments ................................. 4,851
Change in unrealized depreciation on investments ................. (1,750)
-------
Net realized and unrealized gain .................................... 3,101
-------
Net increase in net assets resulting from operations ................ $ 3,261
=======
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
Earnings Growth Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income ..................................... $ 160 $ 301
Net realized gain ......................................... 4,851 2,598
Change in net unrealized appreciation (depreciation) ...... (1,750) 36,150
--------- --------
Net increase in net assets resulting from operations ... 3,261 39,049
Distributions to shareholders from:
Net investment income ..................................... (158) (108)
Realized gains ............................................ (3,020)
--------- --------
Decrease in net assets resulting from distributions .... (158) (3,128)
From fund share transactions:
Proceeds from shares sold ................................. 17,982 40,423
Distributions reinvested .................................. 158 3,128
Payment for shares redeemed ............................... (24,575) (42,966)
--------- --------
Increase (decrease) in net assets from fund share
transactions ........................................ (6,435) 585
--------- --------
NET INCREASE (DECREASE) IN NET ASSETS ........................ (3,332) 36,506
NET ASSETS
Beginning of Period ....................................... 196,365 159,859
--------- --------
End of Period (including undistributed net investment
income of $2 and $0, respectively) ..................... $ 193,033 $196,365
========= ========
Analysis of fund share transactions:
Sold ...................................................... 2,176 5,521
Reinvested ................................................ 19 388
Redeemed .................................................. (2,980) (5,896)
--------- --------
Net increase (decrease) in fund shares outstanding ........... (785) 13
========= ========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Earnings Growth Fund
-----------------------------------------------------------------
Unaudited Period Year Ended December 31,
Ended June 30, ----------------------------------------------
2004 2003(c) 2002 2001 2000
---------------- -------- -------- -------- --------
Net Assets Value at Beginning of Period ............... $ 8.17 $ 6.65 $ 9.84 $ 15.60 $ 29.22
Income from Investment Operations:
Net Investment Income (Loss) ....................... 0.01 (0.04) (0.06) (0.05)
Net Realized and Unrealized Gain (Loss)
on Investment(a) ................................ 0.14 1.64 (3.15) (5.70) (10.49)
-------- -------- -------- -------- --------
Total From Investment Operations ................... 0.14 1.65 (3.19) (5.76) (10.54)
Less Distributions:
Distribution from Net Investment Income ............ (0.01)
Distribution from Net Realized Gains on
Investments ..................................... (0.13) (0.41)
Distribution from Excess of Net Investment
Income/Gains .................................... (1.61)
Distribution from Capital Paid-in .................. (1.06)
-------- -------- -------- -------- --------
Total Distributions ................................ (0.01) (0.13) (3.08)
-------- -------- -------- -------- --------
Net Assets Value at End of Period ..................... 8.30 $ 8.17 $ 6.65 $ 9.84 $ 15.60
======== ======== ======== ======== ========
Total Investment Return(b) ............................ 1.71%(f) 24.80% (32.39)% (36.93)% (35.86)%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net Assets 1.04%(e)(g) 1.05%(d) 1.04% 0.94% 0.85%
Ratio of Net Investment Income (Loss) to
Average Net Assets .............................. 0.17%(g) 0.17% (0.42)% (0.49)% (0.43)%
Portfolio Turnover Rate ............................ 13.96%(f) 124.28% 192.54% 111.69% 140.94%
Net Assets End of Period (000's Omitted) .............. $193,033 $196,365 $159,859 $245,899 $393,988
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) The Fund entered into a new sub-advisory agreement with Fidelity Management
Company during the period shown.
(d) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made the expense ratio would have been 1.07% for the years ended
December 31, 2003.
(e) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
(f) Not annualized.
(g) Annualized.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
EARNINGS GROWTH FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK
Aerospace & Defense - 0.8%
Boeing Co. * ............................................ 26,900 $1,374
Precision Castparts Corp. ............................... 4,300 235
------
1,609
Air Freight & Couriers - 1.0%
United Parcel Service, Inc. - Cl. B ..................... 26,300 1,977
Auto Components - 0.2%
Gentex Corp. * .......................................... 8,500 337
Banks - 0.9%
Bank of America Corp. * ................................. 10,500 888
Bank One Corp. * ........................................ 12,000 612
Silicon Valley Bancshares * ............................. 5,800 230
------
1,730
Beverages - 2.6%
Coca-Cola Co. * ......................................... 55,200 2,786
PepsiCo, Inc. * ......................................... 42,500 2,290
------
5,076
Biotechnology - 2.1%
Amgen, Inc. * ........................................... 16,100 879
Biogen IDEC, Inc. * ..................................... 10,800 683
Cephalon, Inc. * ........................................ 7,000 378
Genetech, Inc. * ........................................ 32,200 1,810
Millennium Pharmaceuticals, Inc. * ...................... 22,200 306
------
4,056
Chemicals - 0.3%
Praxair, Inc. * ......................................... 15,300 611
Commercial Services & Supplies - 3.2%
Automatic Data Processing, Inc. ......................... 33,800 1,415
Avery Dennison Corp. * .................................. 6,400 410
Career Education Corp. * ................................ 8,200 374
First Data Corp. * ...................................... 38,300 1,705
Herman Miller, Inc. * ................................... 13,900 402
Paychex, Inc. ........................................... 23,400 793
Waste Management, Inc. * ................................ 33,200 1,018
------
6,117
Communications Equipment - 3.4%
Cisco Systems, Inc. * ................................... 243,115 5,762
Qualcomm, Inc. * ........................................ 11,000 803
------
6,565
Computers & Peripherals - 3.6%
Dell, Inc. * ............................................ 82,600 2,959
EMC Corp. * ............................................. 114,100 1,301
International Business Machines Corp. ................... 29,500 2,600
------
6,860
Diversified Financials - 3.3%
American Express Co. * .................................. 37,000 1,901
Charles Schwab Corp. * .................................. 26,000 250
Citigroup, Inc. * ....................................... 28,403 $1,321
Federal National Mortgage Assoc. * ...................... 18,809 1,342
MBNA Corp. * ............................................ 30,300 782
Morgan Stanley, Dean Witter, Discover & Co. ............. 14,900 786
------
6,382
Diversified Telecommunication Services - 1.9%
Qwest Communications International, Inc. ................ 64,500 232
SBC Communications, Inc. * .............................. 62,500 1,516
Verizon Communications * ................................ 54,500 1,972
------
3,720
Electronic Equipment & Instruments - 0.8%
Amphenol Corp. - Cl. A * ................................ 6,200 207
Molex, Inc. * ........................................... 13,200 424
Thermo Electron Corp. * ................................. 16,500 507
Waters Corp. * .......................................... 8,400 401
------
1,539
Energy Equipment & Services - 4.6%
Baker Hughes, Inc. * .................................... 54,800 2,063
BJ Services Co. * ....................................... 36,900 1,691
Nabors Industries, Ltd. * ............................... 45,800 2,071
Rowan Cos., Inc. * ...................................... 18,900 460
Schlumberger, Ltd. * .................................... 28,100 1,785
Transocean Sedco Forex, Inc. * .......................... 12,100 350
Weatherford Bermuda * ................................... 9,600 432
------
8,852
Food & Drug Retailing - 1.5%
Safeway, Inc. * ......................................... 35,200 892
Sysco Corp. * ........................................... 19,600 703
Walgreen Co. * .......................................... 38,700 1,401
------
2,996
Food Products - 1.6%
ConAgra, Inc. ........................................... 29,000 785
Hershey Foods Corp. * ................................... 14,800 685
J.M. Smucker Co. * ...................................... 19,400 891
Kellogg Co. * ........................................... 16,100 674
------
3,035
Health Care Equipment & Supplies - 3.4%
Alcon, Inc. * ........................................... 7,200 566
Bausch & Lomb, Inc. * ................................... 3,400 221
Baxter International, Inc. .............................. 34,800 1,201
Becton, Dickinson & Co. * ............................... 14,500 751
Boston Scientific Corp. * ............................... 15,700 672
Medtronic, Inc. * ....................................... 54,980 2,679
St. Jude Medical, Inc. * ................................ 6,200 469
------
6,559
Health Care Providers & Services - 2.7%
Cardinal Health, Inc. * ................................. 19,647 1,376
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
EARNINGS GROWTH FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK - Continued
Health Care Providers & Services - Continued
Health Management Assoc., Inc. - Cl. A * ................ 28,800 $ 646
McKesson HBOC, Inc. ..................................... 12,700 436
Quest Diagnostics, Inc. * ............................... 5,800 493
UnitedHealth Group, Inc. * .............................. 36,980 2,302
-------
5,253
Hotels Restaurants & Leisure - 0.3%
McDonald's Corp. * ...................................... 21,600 562
Household Durables - 0.3%
Leggett & Platt, Inc. * ................................. 22,700 606
Household Products - 3.4%
Clorox Co. * ............................................ 20,400 1,097
Colgate-Palmolive Co. ................................... 23,500 1,373
Procter & Gamble Co. * .................................. 73,800 4,018
-------
6,488
Industrial Conglomerates - 5.4%
3M Co. .................................................. 38,600 3,474
General Electric Co. * .................................. 177,800 5,761
Tyco International, Ltd. * .............................. 37,700 1,249
-------
10,484
Insurance - 2.6%
AFLAC, Inc. * ........................................... 25,170 1,027
Ambac Financial Group, Inc. ............................. 7,700 565
American International Group, Inc. * .................... 49,000 3,493
-------
5,085
Internet & Catalog Retail - 1.3%
Amazon.com, Inc. * ...................................... 30,010 1,633
eBay, Inc. * ............................................ 9,800 901
-------
2,534
Internet Software & Services - 0.6%
Yahoo, Inc. * ........................................... 34,600 1,257
IT Consulting & Services - 0.4%
Affiliated Computer Services, Inc. - Cl. A * ............ 14,100 746
Machinery - 1.2%
Danaher Corp. * ......................................... 23,800 1,234
Dover Corp. ............................................. 9,800 413
Parker-Hannifin Corp. ................................... 10,500 624
-------
2,271
Media - 4.3%
Clear Channel Communications, Inc. ...................... 21,500 794
Comcast Corp. - Cl. A ................................... 35,700 1,001
EchoStar Communications Corp. - Cl. A * ................. 5,025 155
Fox Entertainment Group, Inc. - Cl. A * ................. 25,800 689
Omnicom Group, Inc. ..................................... 9,700 736
The Walt Disney Co. * ................................... 51,400 1,310
Time Warner, Inc. * ..................................... 129,651 2,279
Univision Communications, Inc. - Cl. A * ................ 18,500 591
Viacom, Inc. - Cl. B * .................................. 20,700 $ 739
-------
8,294
Multiline Retail - 2.8%
Big Lots, Inc. * ........................................ 50,600 732
J.C. Penney Co., Inc. * ................................. 17,600 664
Wal-Mart Stores, Inc. * ................................. 75,000 3,957
-------
5,353
Oil & Gas - 0.4%
Exxon Mobil Corp. * ..................................... 18,400 817
Personal Products - 3.1%
Avon Products, Inc. ..................................... 35,660 1,645
Gillette Co. ............................................ 102,900 4,363
-------
6,008
Pharmaceuticals - 15.3%
Abbott Laboratories * ................................... 59,900 2,442
Allergan, Inc. * ........................................ 10,000 895
Eli Lilly & Co. * ....................................... 13,925 973
Forest Laboratories, Inc. * ............................. 13,230 749
Johnson & Johnson ....................................... 78,100 4,350
Merck & Co., Inc. * ..................................... 102,500 4,869
Pfizer, Inc. * .......................................... 302,124 10,357
Schering-Plough Corp. * ................................. 136,300 2,519
Wyeth * ................................................. 63,900 2,311
-------
29,465
Semiconductor Equipment & Products - 8.0%
Altera Corp. * .......................................... 47,600 1,058
Analog Devices, Inc. * .................................. 52,000 2,448
Applied Materials, Inc. * ............................... 76,095 1,493
Intel Corp. ............................................. 183,300 5,059
KLA-Tencor Corp. * ...................................... 16,045 792
Linear Technology Corp. * ............................... 13,500 533
Texas Instruments, Inc. * ............................... 121,475 2,937
Xilinx, Inc. * .......................................... 31,900 1,063
-------
15,383
Software - 7.1%
BEA Systems, Inc. * ..................................... 111,300 915
Cadence Design Systems, Inc. * .......................... 27,400 401
Intuit, Inc. * .......................................... 21,000 810
Microsoft Corp. * ....................................... 363,210 10,373
Oracle Corp. * .......................................... 98,400 1,174
-------
13,673
Specialty Retail - 2.7%
Gap, Inc. ............................................... 47,000 1,140
Home Depot, Inc. * ...................................... 65,700 2,313
Lowe's Cos., Inc. * ..................................... 13,600 715
Sherwin-Williams Co. * .................................. 11,000 457
Staples, Inc. * ......................................... 21,200 621
-------
5,246
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
EARNINGS GROWTH FUND
Market
Name of Issuer Shares Value
-------------- ------ --------
(000's)
COMMON STOCK - Continued
Textiles & Apparel - 0.8%
Nike, Inc. - Cl. B ...................................... 19,600 $ 1,485
Tobacco - 0.3%
Altria Group, Inc. ...................................... 11,600 581
Wireless Telecommunications Services - 0.4%
Nextel Communications, Inc. - Cl. A * ................... 31,000 826
--------
TOTAL COMMON STOCK-
(Cost $162,694) 98.6% 190,438
Par
Value
-------
(000's)
INVESTMENT COMPANIES HELD AS COLLATERAL ON LOANED
SECURITIES - 4.1%
State Street Navigator Securities Lending Portfolio .. $7,815 7,815
SHORT-TERM INVESTMENTS - 0.4%
Investment in joint trading account
1.344% due 07/01/04
(Cost $725) ....................................... 725 725
------ --------
TOTAL INVESTMENTS-
(Cost $171,234) 103.1% 198,978
Payables, less cash and receivables- (3.1)% (5,945)
------ --------
NET ASSETS- 100.0% $193,033
====== ========
* Non-income producing security.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Earnings Growth Fund, (formerly Multi Cap Growth), (the
"Fund") is a diversified series of John Hancock Variable Series Trust I (the
"Trust"), an open-end investment management company registered under the
Investment Company Act of 1940. The Trust is organized as a Massachusetts
business trust and consists of thirty different funds as of June 30, 2004. The
results of this Fund are included in this report. The results of the other Funds
in the Trust are presented under separate cover. The Trust may add or delete
Funds in the future to accommodate various investment objectives. The Trust has
issued shares of beneficial interest exclusively to John Hancock Variable Life
Account U ("JHVLAU"), John Hancock Variable Life Account V ("JHVLAV"), John
Hancock Variable Life Account S ("JHVLAS"), and John Hancock Variable Annuity
Account I ("JHVAAI") to fund policies and contracts issued by the John Hancock
Variable Life Insurance Company ("JHVLICO"), and to John Hancock Variable
Annuity Account U ("JHVAAU"), John Hancock Variable Annuity Account V
("JHVAAV"), John Hancock Variable Life Account UV ("JHVLAUV"), John Hancock
Variable Annuity Account H ("JHVAAH"), and John Hancock Variable Annuity Account
JF ("JHVAAJF") to fund contracts and policies issued by John Hancock Life
Insurance Company ("John Hancock" or "JHLICO"), to John Hancock Variable Life
Account PPM-1 ("PPM-1"), and to John Hancock Variable Life Account PPM-2
("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected
security as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including,
but not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations. For period ended June 30,
2004, the Fund had no bank borrowings.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Securities lending: The Fund has entered into an agreement with SSBT to
lend its securities to certain qualified brokers who pay the Fund's negotiated
lender fees. This loan is collateralized at all times with cash or securities
with a market value at least equal to the market value of the securities on
loan. Cash collateral is invested in a short-term instrument. As with other
extensions of credit, the Fund may bear the risk of delay of the loaned
securities in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. At June 30, 2004, the market value
of the securities loaned and the market value of the collateral for the Fund was
as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$7,741 $7,815
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004 the Fund had no open
financial futures contracts.
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge Fund's investments against currency fluctuations. Neither type of forward
foreign currency transaction will eliminate fluctuations in the prices of the
Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $207,299, $105,946 and $2,956 which expire in 2009, 2010 and 2011,
respectively.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Dividend
income for the Fund is shown net of foreign taxes withheld of $1. Realized gains
and losses from security transactions are determined on the basis of identified
cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
Excess Over
First $100 Million $100 Million
- ------------------ ------------
1.00% 0.90%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. For the period
ended June 30, 2004, there were no reimbursements paid to the Fund.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $8.
John Hancock has entered into a Sub-Advisory Agreement with Fidelity
Management & Research Company, and under its supervision, is responsible for the
day-to-day investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$26,717 $30,458
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, commercial paper and collateral for
securities lending) and their respective gross unrealized appreciation and
depreciation for Federal income tax purposes at December 31, 2003 were as
follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$215,297 $30,476 $(1,764) $28,712
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends paid deduction on it's federal
income tax return.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations, which may differ from accounting principles generally accepted in
the United States of America. These differences primarily relate to certain
securities sold at a loss. Additionally, as a result, net investment income
(loss) and net realized gain (loss) on investment transactions for a reporting
period may differ significantly from distributions during such period.
Accordingly, the Fund may periodically make reclassifications among certain of
its capital accounts without impacting the net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $316,201 $28,712
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $118 $-- $3,010
2002 -- -- --
Inception: May 1, 1996
- --------------------------------------------------------------------------------
Equity Index Fund
SSgA Funds Management, Inc. J. Tucker/J. May
- --------------------------------------------------------------------------------
.. Year to date, the Fund returned 3.34%, underperforming its benchmark, the
S&P 500 Index. Relative to Morningstar peers, the Fund has an average
rating of 3 with an average / above average risk profile.
.. The Fund underperformed its benchmark primarily due to investment
management fees.
.. The Fund continues to meet its investment objective to closely track the
performance of the S&P 500 Index, which covers the broad U.S. equity
market.
.. The manager attempts to track the performance of the Index by using a full
replication strategy in which the Fund invests in each security at the
weight represented within the index. The Fund is broadly diversified across
sectors with sector weights similar to the benchmark.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
General Electric Co. 3.2%
Microsoft Corp. 2.9%
Exxon Mobil Corp. 2.7%
Pfizer, Inc. 2.5%
Citigroup, Inc. 2.3%
Wal-Mart Stores, Inc. 2.1%
American International Group, Inc. 1.8%
Intel Corp. 1.7%
Bank of America Corp. 1.6%
Johnson & Johnson 1.6%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS*
Equity Index S&P 500(R)
Fund/4/ Index/5/
------------ ----------
YTD/3/ 3.34% 3.44%
1 Year 18.85 19.10
3 Years -0.90 -0.70
5 Years -2.35 -2.20
Since Inception (5/1/96) 8.48 8.75
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Large Blend
MORNINGSTAR RISK/2/:
.. Above Average (VL/VUL)
.. Average (VA)
MORNINGSTAR RATING/1/:
.. *** (VL/VUL)
.. *** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
Assets
------
Financials 20%
Information Technology 17%
Health Care 13%
Industrials 12%
Consumer Discretionary 11%
Consumer Staples 11%
Energy 7%
TelecommunicationServices 3%
Materials 3%
Utilities 3%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts. Hancock VL/VUL subaccounts were
rated against 1,110 VL/VUL subaccounts and 1,932 VA subaccounts in the
Morningstar Large Blend category. This represents the Morningstar 3 year
rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The performance of the fund on this page
is reported net of Trust level charges (i.e. investment management fees and
operating expenses.) It does not reflect expense and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
/4/ Returns reflect waiver of advisory fee, reimbursement of all non-advisory
fund expenses, and extra-ordinary capital contributions of $84,000 in 1996
and $250,000 in 1997.
/5/ "Standard & Poor's 500(R)" is a trademark of McGraw-Hill Companies, Inc.
and has been licensed for use by John Hancock Life Insurance Company. The
product is not sponsored, endorsed, sold or promoted by Standard & Poor's
and Standard & Poor's makes no representation regarding the advisability of
investing in the product.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Equity Index Fund
(000's Omitted)
ASSETS
Long term investments at cost ...................................... $731,480
Net unrealized depreciation of investments ......................... (32,522)
Short-term investments at value .................................... 20,788
--------
Total investments ............................................ 719,746
Receivable for:
Dividends ....................................................... 786
Futures contracts variation margin .............................. 86
Other receivables ............................................... 68
--------
Total assets ....................................................... 720,686
--------
LIABILITIES
Payables for:
Accrued operating expenses ...................................... 203
Other payables .................................................. 24
Other liabilities ............................................... 3
--------
Total liabilities .................................................. 230
--------
Net assets ......................................................... $720,456
========
Shares outstanding, $0.01 Par Value (unlimited shares
authorized) ..................................................... 49,494
--------
Net asset value per share .......................................... $ 14.56
========
Composition of net assets:
Capital paid-in ................................................. $784,188
Accumulated net realized loss on investments, futures and
foreign currency transactions ................................ (31,409)
Undistributed net investment income ............................. 74
Net unrealized appreciation (depreciation) of:
Investments .................................................. (32,522)
Futures ...................................................... 125
--------
Net assets ......................................................... $720,456
========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Equity Index Fund
(000's Omitted)
INVESTMENT INCOME
Interest ........................................................ $ 126
Dividends ....................................................... 5,619
--------
Total investment income ............................................ 5,745
--------
EXPENSES
Investment advisory fee ......................................... 467
Auditors fees ................................................... 43
Custodian fees .................................................. 95
Fidelity Bond fees .............................................. 1
Legal fees ...................................................... 42
Printing & mailing fees ......................................... 56
Trustees' fees .................................................. 12
Other fees ...................................................... 37
--------
Total expenses ..................................................... 753
Less custodian expense reduction offset by
commission recapture arrangement (Note C) .................... (24)
--------
Net expenses ....................................................... 729
--------
Net investment income .............................................. 5,016
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on:
Investments .................................................. 830
Financial futures contracts .................................. 1,038
Change in unrealized appreciation (depreciation) on:
Investments .................................................. 16,077
Futures ...................................................... (574)
--------
Net realized and unrealized gain ................................... 17,371
--------
Net increase in net assets resulting from operations ............... $ 22,387
========
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Equity Index Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE(DECREASE) IN NET ASSETS
From operations
Net investment income ....................................... $ 5,016 $ 8,718
Net realized gain (loss) .................................... 1,868 (1,233)
Change in net unrealized appreciation ....................... 15,503 135,781
-------- --------
Net increase in net assets resulting from operations ..... 22,387 143,266
Distributions to shareholders from:
Net investment income ....................................... (4,942) (14,075)
Realized gains .............................................. (3,229)
-------- --------
Decrease in net assets resulting from distributions ...... (4,942) (17,304)
From fund share transactions:
Proceeds from shares sold ................................... 96,177 162,921
Distributions reinvested .................................... 4,942 17,304
Payment for shares redeemed ................................. (79,789) (90,764)
-------- --------
Increase in net assets from fund share transactions ...... 21,330 89,461
-------- --------
NET INCREASE IN NET ASSETS ..................................... 38,775 215,423
NET ASSETS
Beginning of Period ......................................... 681,681 466,258
-------- --------
End of Period (including undistributed net investment
income of $74 and $0, respectively) ...................... $720,456 $681,681
======== ========
Analysis of fund share transactions:
Sold ..................................................... 6,664 13,034
Reinvested ............................................... 343 1,303
Redeemed ................................................. (5,572) (7,307)
-------- --------
Net increase in fund shares outstanding ........................ 1,435 7,030
======== ========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Equity Index Fund
-----------------------------------------------------------------
Unaudited
Period Ended Year Ended December 31,
June 30, ------------------------------------------------
2004 2003 2002 2001 2000
------------ -------- -------- -------- --------
Net Assets Value at Beginning of Period ........... $ 14.18 $ 11.36 $ 14.85 $ 17.64 $ 20.46
Income from Investment Operations:
Net Investment Income .......................... 0.10 0.20 0.16 0.19 0.22
Net Realized and Unrealized Gain (Loss) on
Investment(a) ............................... 0.38 3.00 (3.48) (2.30) (2.09)
-------- -------- -------- -------- --------
Total From Investment Operations ............... 0.48 3.20 (3.32) (2.11) (1.87)
Less Distributions:
Distribution from Net Investment Income ........ (0.10) (0.31) (0.11) (0.19) (0.22)
Distribution from Net Realized Gains on
Investments ................................. (0.07) (0.06) (0.49) (0.72)
Distribution from Capital Paid-in .............. (0.01)
-------- -------- -------- -------- --------
Total Distributions ............................ (0.10) (0.38) (0.17) (0.68) (0.95)
-------- -------- -------- -------- --------
Net Assets Value at End of Period ................. $ 14.56 $ 14.18 $ 11.36 $ 14.85 $ 17.64
======== ======== ======== ======== ========
Total Investment Return(b) ........................ 3.34%(e) 28.42% (22.31)% (11.98)% (9.15)%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net
Assets ...................................... 0.22%(c)(f) 0.21%(c) 0.23% 0.20% 0.19%
Ratio of Net Investment Income to Average Net
Assets ...................................... 1.43%(f) 1.59% 1.39% 1.20% 1.12%
Portfolio Turnover Rate ........................ 4.41%(e) 4.91% 10.63% 17.61%(d) 34.11%
Net Assets End of Period (000's Omitted) .......... $720,456 $681,681 $466,258 $538,791 $525,659
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
(d) Excludes merger activity.
(e) Not annualized.
(f) Annualized.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK
Aerospace & Defense - 1.7%
B.F. Goodrich Co. * ..................................... 8,450 $ 273
Boeing Co. * ............................................ 55,237 2,822
General Dynamics Corp. * ................................ 13,292 1,320
Lockheed Martin Corp. ................................... 30,232 1,575
Northrop Grumman Corp. .................................. 24,200 1,300
Raytheon Co. * .......................................... 29,759 1,064
Rockwell Collins, Inc. * ................................ 11,166 372
United Technologies Corp. * ............................. 34,285 3,136
-------
11,862
Air Freight & Couriers - 1.0%
Fedex Corp. ............................................. 20,014 1,635
Ryder System, Inc. ...................................... 4,988 200
United Parcel Service, Inc. - Cl. B ..................... 74,800 5,622
-------
7,457
Airlines - 0.1%
Delta Air Lines, Inc. * ................................. 6,679 48
Southwest Airlines Co. .................................. 51,958 871
-------
919
Auto Components - 0.2%
Cooper Tire & Rubber Co. * .............................. 5,206 120
Dana Corp. .............................................. 10,930 214
Delphi Automotive Systems Corp. * ....................... 37,483 400
Goodyear Tire & Rubber Co. * ............................ 13,231 120
Johnson Controls, Inc. .................................. 12,750 681
Visteon Corp. * ......................................... 9,756 114
-------
1,649
Automobiles - 0.7%
Ford Motor Co. .......................................... 122,297 1,914
General Motors Corp. * .................................. 37,198 1,733
Harley-Davidson, Inc. * ................................. 19,640 1,216
-------
4,863
Banks - 6.5%
AmSouth Bancorp. * ...................................... 23,039 587
Bank of America Corp. * ................................. 134,945 11,419
Bank of New York Co., Inc. .............................. 51,270 1,512
Bank One Corp. * ........................................ 74,345 3,792
BB&T Corp. * ............................................ 35,737 1,321
Charter One Financial, Inc. ............................. 14,130 624
Comerica, Inc. .......................................... 11,460 629
Fifth Third Bancorp * ................................... 37,691 2,027
First Horizon National Corp. ............................ 8,300 377
Golden West Financial Corp. * ........................... 10,110 1,075
Huntington Bancshares, Inc. * ........................... 15,896 364
JP Morgan Chase & Co. ................................... 135,237 5,243
KeyCorp * ............................................... 27,217 814
M & T Bank Corp. * ...................................... 7,800 681
Marshall & Ilsley Corp. * ............................... 15,100 590
Mellon Financial Corp. * ................................ 28,694 842
National City Corp. * ................................... 40,674 1,424
North Fork Bancorporation, Inc. * ....................... 11,800 $ 449
Northern Trust Corp. .................................... 14,524 614
PNC Bank Corp. * ........................................ 18,620 988
Regions Financial Corp. ................................. 14,831 542
SouthTrust Corp. * ...................................... 21,333 828
Suntrust Banks, Inc. * .................................. 18,625 1,210
Synovus Financial Corp. * ............................... 20,372 516
Union Planters Corp. * .................................. 12,098 361
US Bancorp * ............................................ 124,890 3,442
Wachovia Corp. * ........................................ 87,185 3,880
Zions Bancorp * ......................................... 5,634 346
-------
46,497
Beverages - 2.6%
Adolph Coors Co. - Cl. B * .............................. 2,054 148
Anheuser-Busch Cos., Inc. ............................... 53,005 2,862
Brown-Forman Corp. - Cl. B * ............................ 7,600 367
Coca-Cola Co. * ......................................... 160,517 8,103
Coca-Cola Enterprises, Inc. * ........................... 29,348 851
Pepsi Bottling Group, Inc. * ............................ 16,918 517
PepsiCo, Inc. * ......................................... 112,291 6,050
-------
18,898
Biotechnology - 1.1%
Amgen, Inc. * ........................................... 84,798 4,627
Biogen IDEC, Inc. * ..................................... 21,083 1,334
Chiron Corp. * .......................................... 11,876 530
Genzyme Corp. * ......................................... 15,000 710
MedImmune, Inc. * ....................................... 15,409 361
-------
7,562
Building Products - 0.2%
Crane Co. * ............................................. 4,637 146
Masco Corp. ............................................. 30,469 950
-------
1,096
Chemicals - 1.5%
Air Products & Chemicals, Inc. * ........................ 14,732 773
Dow Chemical Co. * ...................................... 62,048 2,525
E.I. du Pont de Nemours & Co. * ......................... 65,699 2,918
Eastman Chemical Co. * .................................. 5,012 232
Ecolab, Inc. * .......................................... 17,172 544
Engelhard Corp. * ....................................... 8,490 274
Great Lakes Chemical Corp. .............................. 4,273 116
Hercules, Inc. * ........................................ 6,957 85
International Flavors & Fragrances, Inc. * .............. 5,639 211
Monsanto Co. ............................................ 17,136 660
PPG Industries, Inc. * .................................. 11,245 703
Praxair, Inc. * ......................................... 21,514 858
Rohm & Haas Co. ......................................... 14,547 605
Sigma-Aldrich Corp. * ................................... 4,410 263
-------
10,767
Commercial Services & Supplies - 1.9%
Allied Waste Industries, Inc. ........................... 21,697 286
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK - Continued
Commercial Services & Supplies - Continued
Apollo Group, Inc. - Cl. A * ............................ 11,800 $ 1,042
Automatic Data Processing, Inc. ......................... 38,608 1,617
Avery Dennison Corp. * .................................. 6,960 445
Cendant Corp. * ......................................... 67,407 1,650
Cintas Corp. * .......................................... 11,446 546
Convergys Corp. * ....................................... 10,749 166
Deluxe Corp. * .......................................... 3,303 144
Equifax, Inc. * ......................................... 8,608 213
First Data Corp. * ...................................... 57,525 2,561
Fiserv, Inc. * .......................................... 12,181 474
H & R Block, Inc. * ..................................... 11,866 566
Monster Worldwide, Inc. ................................. 7,355 189
Paychex, Inc. ........................................... 24,493 830
Pitney Bowes, Inc. * .................................... 14,859 657
R.R. Donnelley & Sons Co. * ............................. 14,071 465
Robert Half International, Inc. * ....................... 11,155 332
Sabre Group Holdings, Inc. * ............................ 9,067 251
Waste Management, Inc. * ................................ 37,567 1,151
-------
13,585
Communications Equipment - 3.0%
ADC Telecommunications, Inc. * .......................... 58,737 167
Andrew Corp. * .......................................... 10,368 207
Avaya, Inc. * ........................................... 29,715 469
Ciena Corp. * ........................................... 44,876 167
Cisco Systems, Inc. * ................................... 445,461 10,557
Comverse Technology, Inc. * ............................. 11,970 239
Corning, Inc. * ......................................... 88,753 1,159
JDS Uniphase Corp. * .................................... 95,191 361
Lucent Technologies, Inc. * ............................. 285,478 1,079
Motorola, Inc. .......................................... 155,589 2,840
Qualcomm, Inc. * ........................................ 53,401 3,897
Scientific-Atlanta, Inc. * .............................. 9,437 326
Tellabs, Inc. * ......................................... 28,695 251
-------
21,719
Computers & Peripherals - 3.5%
Apple Computer, Inc. * .................................. 24,708 804
Dell, Inc. * ............................................ 166,183 5,953
EMC Corp. * ............................................. 159,122 1,814
Gateway, Inc. * ......................................... 22,870 103
Hewlett-Packard Co. * ................................... 200,550 4,232
International Business Machines Corp. ................... 111,027 9,787
Lexmark International Group, Inc. - Cl. A * ............. 8,387 809
NCR Corp. * ............................................. 6,440 319
Network Appliance, Inc. * ............................... 22,373 482
NVIDIA Corp. * .......................................... 11,803 242
Sun Microsystems, Inc. * ................................ 212,926 924
-------
25,469
Construction & Engineering - 0.1%
American Standard Cos., Inc. * .......................... 14,100 568
Construction & Engineering - Continued Fluor Corp. * .... 5,615 $ 268
-------
836
Construction Materials - 0.1%
United States Steel Corp. * ............................. 7,229 254
Vulcan Materials Co. * .................................. 6,447 306
-------
560
Containers & Packaging - 0.2%
Ball Corp. .............................................. 3,380 244
Bemis Co., Inc. * ....................................... 7,554 213
Pactiv Corp. * .......................................... 9,831 245
Sealed Air Corp. * ...................................... 5,318 283
Temple-Inland, Inc. * ................................... 3,472 241
-------
1,226
Credit Card - 0.3%
MBNA Corp. * ............................................ 83,771 2,160
Diversified Financials - 6.9%
American Express Co. * .................................. 84,624 4,348
Bear Stearns Cos., Inc. * ............................... 6,569 554
Capital One Financial Corp. ............................. 15,203 1,040
Charles Schwab Corp. * .................................. 90,091 866
Citigroup, Inc. * ....................................... 340,127 15,816
Countrywide Credit Industries, Inc. * ................... 17,844 1,254
E*TRADE Group, Inc. * ................................... 23,900 266
Federated Investments, Inc. - Cl. B ..................... 6,900 209
Franklin Resources, Inc. * .............................. 16,385 821
Goldman Sachs Group, Inc. ............................... 32,100 3,023
Janus Capgroup, Inc. .................................... 14,819 244
Lehman Brothers Holdings, Inc. .......................... 17,858 1,344
Merrill Lynch & Co., Inc. * ............................. 64,407 3,477
Moody's Corp. * ......................................... 9,529 616
Morgan Stanley, Dean Witter, Discover & Co. ............. 72,818 3,843
Principal Financial Group. * ............................ 21,400 744
Providian Financial Corp. * ............................. 17,815 261
SLM Corp. * ............................................. 28,911 1,169
State Street Corp. ...................................... 21,517 1,055
T. Rowe Price Group, Inc. * ............................. 8,279 417
Washington Mutual, Inc. * ............................... 56,953 2,201
Wells Fargo & Co. * ..................................... 111,013 6,353
-------
49,921
Diversified Telecommunication Services - 2.7%
Alltel Corp. * .......................................... 20,955 1,061
AT&T Corp. * ............................................ 51,385 752
BellSouth Corp. ......................................... 121,726 3,192
CenturyTel, Inc. ........................................ 9,805 294
Citizens Communications Co. * ........................... 17,115 207
Qwest Communications International, Inc. ................ 117,484 422
SBC Communications, Inc. * .............................. 217,295 5,269
Sprint Corp. * .......................................... 92,920 1,635
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- --------- ---------
(000's)
COMMON STOCK - Continued
Diversified Telecommunication Services - Continued
Verizon Communications * ............................ 181,180 $ 6,557
-------
19,389
Electric Utilities - 2.2%
AES Corp. * ......................................... 38,692 384
Allegheny Energy, Inc. * ............................ 6,781 104
Ameren Corp. * ...................................... 12,200 524
American Electric Power Co. * ....................... 25,329 811
Calpine Corp. ....................................... 30,034 130
CenterPoint Energy, Inc. ............................ 19,857 228
Cinergy Corp. * ..................................... 12,331 469
CMS Energy Corp. * .................................. 12,192 111
Consolidated Edison, Inc. * ......................... 16,408 652
Constellation Energy Group, Inc. * .................. 11,138 422
Dominion Resources, Inc. ............................ 21,731 1,371
DTE Energy Co. * .................................... 11,740 476
Edison International * .............................. 21,838 558
Entergy Corp. * ..................................... 14,938 837
Exelon Corp. * ...................................... 42,832 1,426
Firstenergy Corp. * ................................. 22,081 826
FPL Group, Inc. ..................................... 12,056 771
PG & E Corp. * ...................................... 26,663 745
Pinnacle West Capital Corp. * ....................... 5,523 223
PPL Corp. ........................................... 11,912 547
Progress Energy, Inc. * ............................. 16,572 730
Public Services Enterprise Group, Inc. * ............ 15,902 637
Southern Co. ........................................ 49,120 1,432
Teco Energy, Inc. * ................................. 13,497 162
TXU Corp. ........................................... 20,786 842
Xcel Energy, Inc. ................................... 26,349 440
-------
15,858
Electric/Gas - 0.2%
Duke Energy Co. ..................................... 60,311 1,224
Electrical Equipment - 0.4%
American Power Conversion ........................... 13,984 275
Cooper Industries, Ltd. - Cl. A * ................... 6,136 364
Emerson Electric Co. ................................ 27,823 1,768
Power One, Inc. * ................................... 6,714 74
Rockwell International Corp. * ...................... 12,266 460
Thomas & Betts Corp. * .............................. 4,485 122
-------
3,063
Electronic Equipment & Instruments - 0.6%
Agilent Technologies, Inc. * ........................ 30,938 906
Broadcom Corp. - Cl. A * ............................ 20,303 950
Jabil Circuit, Inc. * ............................... 13,478 339
Molex, Inc. * ....................................... 12,634 405
PerkinElmer, Inc. * ................................. 8,578 172
Sanmina Corp. * ..................................... 34,365 313
Solectron Corp. * ................................... 67,770 438
Symbol Technologies, Inc. * ......................... 14,629 216
Tektronix, Inc. * ................................... 5,036 171
Thermo Electron Corp. * ............................. 10,264 316
Waters Corp. * ...................................... 7,500 $ 358
-------
4,584
Energy Equipment & Services - 0.9%
Baker Hughes, Inc. * ................................ 21,288 802
BJ Services Co. * ................................... 10,900 500
Halliburton Co. * ................................... 28,124 851
Nabors Industries, Ltd. * ........................... 9,914 448
Noble Corp. * ....................................... 8,295 314
Rowan Cos., Inc. * .................................. 7,437 181
Schlumberger, Ltd. * ................................ 39,234 2,492
Transocean Sedco Forex, Inc. * ...................... 21,398 619
-------
6,207
Food & Drug Retailing - 1.1%
Albertson's, Inc. * ................................. 23,466 623
CVS Corp. ........................................... 25,372 1,066
Safeway, Inc. * ..................................... 28,835 731
SuperValu, Inc. * ................................... 8,593 263
Sysco Corp. * ....................................... 43,178 1,549
The Kroger Co. ...................................... 49,179 895
Walgreen Co. * ...................................... 67,180 2,432
Winn-Dixie Stores, Inc. * ........................... 8,104 58
-------
7,617
Food Products - 1.2%
Archer Daniels Midland Co. * ........................ 42,244 709
Campbell Soup Co. * ................................. 27,394 736
ConAgra, Inc. ....................................... 34,381 931
General Mills, Inc. * ............................... 24,529 1,166
H.J. Heinz Co. ...................................... 22,607 886
Hershey Foods Corp. * ............................... 16,998 787
Kellogg Co. * ....................................... 27,390 1,146
McCormick & Co., Inc. ............................... 9,100 309
Sara Lee Corp. * .................................... 51,361 1,181
WM Wrigley Jr. Co. .................................. 15,029 948
-------
8,799
Gas Utilities - 0.3%
El Paso Corp. ....................................... 41,028 323
KeySpan Corp. * ..................................... 10,600 389
Kinder Morgan, Inc. * ............................... 8,166 484
Nicor, Inc. ......................................... 2,666 91
Peoples Energy Corp. * .............................. 1,951 82
Sempra Energy * ..................................... 14,904 513
Williams Cos., Inc. * ............................... 32,248 384
-------
2,266
Health Care Equipment & Supplies - 2.2%
Applera Corporation - Applied Biosystems Group ...... 12,907 281
Bausch & Lomb, Inc. * ............................... 3,678 239
Baxter International, Inc. .......................... 39,562 1,365
Becton, Dickinson & Co. * ........................... 16,575 859
Biomet, Inc. * ...................................... 16,615 738
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- --------- ---------
(000's)
COMMON STOCK - Continued
Health Care Equipment & Supplies - Continued
Boston Scientific Corp. * ........................... 54,568 $ 2,336
C.R. Bard, Inc. * ................................... 7,348 416
Guidant Corp. ....................................... 20,546 1,148
IMS Health, Inc. * .................................. 16,187 380
Medtronic, Inc. * ................................... 80,458 3,920
Millipore Corp. * ................................... 2,868 162
St. Jude Medical, Inc. * ............................ 10,950 828
Stryker Corp. * ..................................... 26,570 1,461
Zimmer Holdings, Inc. * ............................. 15,715 1,386
-------
15,519
Health Care Providers & Services - 1.9%
Aetna US Healthcare, Inc. * ......................... 10,007 851
Amerisource Bergen Corp. * .......................... 7,355 440
Anthem, Inc. * ...................................... 9,000 806
Cardinal Health, Inc. * ............................. 28,679 2,009
Caremark Rx, Inc. * ................................. 28,550 940
CIGNA Corp. * ....................................... 8,918 614
Express Scripts, Inc. - Cl. A * ..................... 5,300 420
HCA-The Healthcare Corp. * .......................... 32,432 1,349
Health Management Assoc., Inc. - Cl. A * ............ 15,856 355
Humana, Inc. * ...................................... 9,547 161
Manor Care, Inc. * .................................. 6,265 205
McKesson HBOC, Inc. ................................. 19,047 654
Quest Diagnostics, Inc. * ........................... 6,900 586
Tenet Healthcare Corp. * ............................ 30,658 411
UnitedHealth Group, Inc. * .......................... 40,622 2,529
Wellpoint Health Networks, Inc. * ................... 10,084 1,129
-------
13,459
Hotels Restaurants & Leisure - 1.3%
Carnival Corp. ...................................... 41,750 1,962
Darden Restaurants, Inc. * .......................... 10,658 219
Harrah's Entertainment, Inc. ........................ 7,670 415
Hilton Hotels Corp. * ............................... 24,936 465
International Game Technology * ..................... 23,232 897
Marriott International, Inc. - Cl. A * .............. 15,555 776
McDonald's Corp. * .................................. 84,081 2,186
Starbucks Corp. * ................................... 25,653 1,115
Starwood Hotels & Resorts Worldwide, Inc. * ......... 13,689 614
Wendy's International, Inc. * ....................... 7,165 250
Yum Brands, Inc. * .................................. 18,728 697
-------
9,596
Household Durables - 0.5%
Black & Decker Corp. * .............................. 5,400 335
Centex Corp. * ...................................... 7,772 356
Fortune Brands, Inc. * .............................. 9,522 718
KB Home * ........................................... 2,764 190
Leggett & Platt, Inc. * ............................. 13,185 352
Maytag Corp. * ...................................... 6,111 150
Newell Rubbermaid, Inc. ............................. 17,604 414
Pulte Homes, Inc.. * ................................ 7,772 404
Snap-On, Inc. * ..................................... 3,084 $ 103
Stanley Works * ..................................... 5,324 243
Whirlpool Corp. * ................................... 4,697 322
-------
3,587
Household Products - 2.0%
Clorox Co. * ........................................ 14,044 755
Colgate-Palmolive Co. ............................... 35,516 2,076
Kimberly-Clark Corp. * .............................. 33,474 2,205
Procter & Gamble Co. * .............................. 169,368 9,221
-------
14,257
Industrial Conglomerates - 4.8%
3M Co. .............................................. 51,546 4,640
General Electric Co. * .............................. 695,400 22,531
Honeywell International, Inc. ....................... 56,739 2,078
Textron, Inc. * ..................................... 9,305 552
Tyco International, Ltd. * .......................... 132,647 4,396
-------
34,197
Insurance - 4.6%
Ace, Ltd. ........................................... 17,900 757
AFLAC, Inc. * ....................................... 34,365 1,402
Allstate Corp. ...................................... 46,354 2,158
Ambac Financial Group, Inc. ......................... 6,854 503
American International Group, Inc. * ................ 172,326 12,283
Aon Corp. * ......................................... 21,681 617
Chubb Corp. * ....................................... 12,055 822
Cincinnati Financial Corp. * ........................ 10,850 472
Hartford Financial Services Group, Inc. * ........... 18,745 1,289
Jefferson-Pilot Corp. * ............................. 9,496 482
Lincoln National Corp. * ............................ 11,673 552
Loews Corp. * ....................................... 12,487 749
Marsh & McLennan Cos., Inc. * ....................... 35,502 1,611
MBIA, Inc. * ........................................ 9,716 555
Metlife, Inc. * ..................................... 49,590 1,778
MGIC Investment Corp. * ............................. 6,156 467
Progressive Corp. ................................... 14,205 1,212
Prudential Financial, Inc. * ........................ 34,700 1,613
Safeco Corp. * ...................................... 9,186 404
St. Paul Cos., Inc. ................................. 43,894 1,779
Torchmark, Inc. * ................................... 7,282 392
UnumProvident Corp. * ............................... 19,771 314
XL Capital, Ltd. - Cl. A * .......................... 8,794 664
-------
32,875
Internet & Catalog Retail - 0.6%
eBay, Inc. * ........................................ 42,900 3,945
Internet Software & Services - 0.5%
Yahoo, Inc. * ....................................... 88,444 3,213
IT Consulting & Services - 0.3%
Affiliated Computer Services, Inc. - Cl. A * ........ 8,900 471
Computer Sciences Corp. * ........................... 11,845 550
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- --------- ---------
(000's)
COMMON STOCK - Continued
IT Consulting & Services - Continued
Electronic Data Systems Corp. * ..................... 31,681 $ 607
SunGard Data Systems, Inc. * ........................ 19,400 504
Unisys Corp. * ...................................... 21,261 295
-------
2,427
Leisure Equipment & Products - 0.2%
Brunswick Corp. * ................................... 6,427 262
Eastman Kodak Co. * ................................. 18,922 510
Hasbro, Inc. * ...................................... 10,976 209
Mattel, Inc. * ...................................... 28,327 517
-------
1,498
Machinery - 1.4%
Caterpillar, Inc. * ................................. 22,699 1,803
Cummins Engine Co., Inc. ............................ 2,460 154
Danaher Corp. * ..................................... 20,814 1,079
Deere & Co. * ....................................... 15,608 1,095
Dover Corp. ......................................... 12,996 547
Eaton Corp. * ....................................... 10,032 650
Illinois Tool Works, Inc. * ......................... 20,542 1,970
Ingersoll-Rand Co. - Cl. A * ........................ 11,349 775
ITT Industries, Inc. * .............................. 6,228 517
Navistar International Corp., Inc. - Cl. B * ........ 4,486 174
Paccar, Inc. * ...................................... 11,799 684
Pall Corp. * ........................................ 7,379 193
Parker-Hannifin Corp. ............................... 8,020 477
-------
10,118
Media - 3.5%
Clear Channel Communications, Inc. .................. 40,754 1,506
Comcast Corp. - Cl. A ............................... 147,967 4,148
Dow Jones & Co., Inc. * ............................. 5,726 258
Gannett Co., Inc. * ................................. 18,185 1,543
Interpublic Group Cos., Inc. * ...................... 28,046 385
Knight-Ridder, Inc. * ............................... 5,306 382
McGraw-Hill Cos., Inc. .............................. 12,284 941
Meredith Corp. * .................................... 2,872 158
New York Times Co. - Cl. A * ........................ 9,832 440
Omnicom Group, Inc. ................................. 12,269 931
The Walt Disney Co. * ............................... 135,940 3,465
Time Warner, Inc. * ................................. 299,094 5,258
Tribune Co. * ....................................... 21,099 961
Univision Communications, Inc. - Cl. A * ............ 20,903 667
Viacom, Inc. - Cl. B * .............................. 114,151 4,077
-------
25,120
Metals & Mining - 0.6%
Alcoa, Inc. * ....................................... 57,349 1,894
Allegheny Technologies, Inc. * ...................... 3,867 70
Freeport-McMoran Copper & Gold, Inc. - Cl. B ........ 10,609 352
Newmont Mining Corp. ................................ 28,485 1,104
Nucor Corp. ......................................... 4,913 377
Phelps Dodge Corp. * ................................ 6,110 474
Worthington Industries, Inc. * ...................... 5,124 $ 105
-------
4,376
Multi-Utilities - 0.1%
Dynegy, Inc. - Cl.A * ............................... 29,874 127
NiSource, Inc. * .................................... 16,466 340
-------
467
Multiline Retail - 3.2%
Big Lots, Inc. * .................................... 6,765 98
Costco Wholesale Corp. .............................. 30,754 1,263
Dillard's, Inc. - Cl. A * ........................... 4,824 108
Dollar General Corp. ................................ 22,027 431
Family Dollar Stores, Inc. .......................... 11,350 345
Federated Department Stores, Inc. * ................. 11,787 579
J.C. Penney Co., Inc. * ............................. 18,083 683
Kohl's Corp. * ...................................... 21,784 921
May Department Stores Co. * ......................... 18,385 505
Nordstrom, Inc. ..................................... 8,795 375
Sears, Roebuck & Co. * .............................. 14,178 535
Target Corp. * ...................................... 60,608 2,574
Wal-Mart Stores, Inc. * ............................. 282,598 14,910
-------
23,327
Office Electronics - 0.1%
Xerox Corp. * ....................................... 51,710 750
Oil & Gas - 5.3%
Amerada Hess Corp. * ................................ 6,056 480
Anadarko Petroleum Corp. * .......................... 16,637 975
Apache Corp. ........................................ 20,890 910
Ashland, Inc. ....................................... 4,501 238
Burlington Resources, Inc. * ........................ 26,036 942
ChevronTexaco Corp. * ............................... 70,839 6,667
Conoco Phillips ..................................... 45,448 3,467
Devon Energy Corp. * ................................ 14,988 989
EOG Resources, Inc. * ............................... 7,169 428
Exxon Mobil Corp. * ................................. 430,845 19,134
Kerr-McGee Corp. * .................................. 6,315 339
Marathon Oil Corp. * ................................ 22,749 861
Occidental Petroleum Corp. * ........................ 26,147 1,266
Sunoco, Inc. * ...................................... 5,422 345
Unocal Corp. * ...................................... 16,854 640
Valero Energy Corp. ................................. 8,300 612
-------
38,293
Paper & Forest Products - 0.6%
Boise Cascade Corp. * ............................... 6,062 228
Georgia-Pacific Corp. * ............................. 16,755 620
International Paper Co. * ........................... 31,669 1,416
Louisiana-Pacific Corp. * ........................... 7,452 176
MeadWestvaco Corp. * ................................ 13,833 406
Plum Creek Timber Co., Inc. * ....................... 11,400 371
Weyerhaeuser Co. .................................... 14,935 943
-------
4,160
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK - Continued
Personal Products - 0.6%
Alberto-Culver Co. - Cl. B * ............................ 6,273 $ 315
Avon Products, Inc. ..................................... 31,090 1,434
Gillette Co. ............................................ 66,934 2,838
-------
4,587
Pharmaceuticals - 7.8%
Abbott Laboratories * ................................... 103,642 4,224
Allergan, Inc. * ........................................ 8,391 751
Bristol-Myers Squibb Co. * .............................. 128,926 3,159
Eli Lilly & Co. * ....................................... 73,835 5,162
Forest Laboratories, Inc. * ............................. 24,012 1,360
Hospira, Inc. ........................................... 10,334 285
Johnson & Johnson ....................................... 196,061 10,921
King Pharmaceuticals, Inc. * ............................ 16,622 190
Medco Health Solutions, Inc. * .......................... 17,605 660
Merck & Co., Inc. * ..................................... 147,135 6,989
Mylan Laboratories, Inc. ................................ 17,100 346
Pfizer, Inc. * .......................................... 503,385 17,256
Schering-Plough Corp. * ................................. 97,428 1,800
Watson Pharmaceuticals, Inc. * .......................... 6,654 179
Wyeth * ................................................. 88,512 3,201
-------
56,483
Real Estate Investment Trust - 0.3%
Apartment Investment & Management Co. ................... 6,200 193
Equity Office Properties Trust * ........................ 25,990 707
Equity Residential Properties Trust * ................... 18,386 547
Prologis Trust .......................................... 11,300 372
Simon Property Group, Inc. .............................. 12,900 663
-------
2,482
Road & Rail - 0.4%
Burlington Northern Santa Fe Corp. * .................... 24,170 848
CSX Corp. * ............................................. 14,410 472
Norfolk Southern Corp. * ................................ 25,459 675
Union Pacific Corp. ..................................... 16,561 985
-------
2,980
Semiconductor Equipment & Products - 3.4%
Advanced Micro Devices, Inc. ............................ 23,600 375
Altera Corp. * .......................................... 25,562 568
Analog Devices, Inc. * .................................. 24,723 1,164
Applied Materials, Inc. * ............................... 112,154 2,200
Applied Micro Circuits Corp. * .......................... 19,737 105
Intel Corp. ............................................. 426,140 11,761
KLA-Tencor Corp. * ...................................... 12,570 621
Linear Technology Corp. * ............................... 20,446 807
LSI Logic Corp. * ....................................... 24,026 183
Maxim Integrated Products, Inc. * ....................... 21,777 1,142
Micron Technology, Inc. ................................. 40,167 615
National Semiconductor Corp. * .......................... 24,104 530
Novellus Systems, Inc. * ................................ 10,207 321
PMC-Sierra, Inc. * ...................................... 12,439 $ 178
QLogic Corp. * .......................................... 5,834 155
Teradyne, Inc. * ........................................ 11,754 267
Texas Instruments, Inc. * ............................... 115,225 2,786
Xilinx, Inc. * .......................................... 22,084 736
-------
24,514
Software - 4.4%
Adobe Systems, Inc. ..................................... 15,148 705
Autodesk, Inc. * ........................................ 7,856 336
BMC Software, Inc. * .................................... 16,054 297
Citrix Systems, Inc. .................................... 10,669 217
Computer Associates International, Inc. ................. 38,763 1,088
Compuware Corp. * ....................................... 27,435 181
Electronic Arts, Inc. * ................................. 19,100 1,042
Intuit, Inc. * .......................................... 13,203 509
Mercury Interactive Corp. * ............................. 6,104 304
Microsoft Corp. * ....................................... 712,569 20,351
Novell, Inc. * .......................................... 23,124 194
Oracle Corp. * .......................................... 346,764 4,137
Parametric Technology Corp. ............................. 20,384 102
Peoplesoft, Inc. * ...................................... 25,528 472
Siebel Systems, Inc. * .................................. 33,059 353
Symantec Corp. * ........................................ 20,500 898
Veritas Software Corp. * ................................ 28,063 777
-------
31,963
Specialty Retail - 2.2%
AutoNation, Inc. * ...................................... 17,500 299
AutoZone, Inc. * ........................................ 5,763 462
Bed Bath & Beyond, Inc. * ............................... 19,020 731
Best Buy Co., Inc. * .................................... 20,807 1,056
Circuit City Stores, Inc. ............................... 11,603 150
Gap, Inc. ............................................... 60,025 1,456
Home Depot, Inc. * ...................................... 146,444 5,155
Limited, Inc. * ......................................... 31,734 593
Lowe's Cos., Inc. * ..................................... 52,319 2,749
Office Depot, Inc. * .................................... 21,548 386
RadioShack Corp. * ...................................... 10,370 297
Sherwin-Williams Co. * .................................. 8,928 371
Staples, Inc. * ......................................... 32,761 960
Tiffany & Co. * ......................................... 9,212 340
TJX Cos., Inc. * ........................................ 33,016 797
Toys "R" Us, Inc. * ..................................... 13,687 218
-------
16,020
Textiles & Apparel - 0.3%
Jones Apparel Group, Inc. ............................... 8,900 351
Liz Claiborne, Inc. * ................................... 6,652 239
Nike, Inc. - Cl. B ...................................... 17,094 1,295
Reebok International, Ltd. * ............................ 3,485 126
V.F. Corp. * ............................................ 7,263 354
-------
2,365
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------- --------
(000's)
COMMON STOCK - Continued
Tobacco - 1.0%
Altria Group, Inc. ..................................... 134,299 $ 6,722
R.J. Reynolds Tobacco Holdings, Inc. ................... 5,700 385
UST, Inc. * ............................................ 10,337 372
--------
7,479
Trading Companies & Distributors - 0.1%
Genuine Parts Co. * .................................... 12,000 476
W.W. Grainger, Inc. * .................................. 6,238 359
--------
835
U.S. Government Agencies - 1.0%
Federal Home Loan Mortgage Corp. ....................... 45,807 2,899
Federal National Mortgage Assoc. * ..................... 63,855 4,557
--------
7,456
Wireless Telecommunications Services - 0.6%
AT&T Wireless Group * .................................. 181,349 2,597
Nextel Communications, Inc. - Cl. A * .................. 73,513 1,960
--------
4,557
--------
TOTAL COMMON STOCK-
(Cost $731,480) 97.0% 698,958
Par
Value
-------
(000's)
SHORT-TERM INVESTMENTS
Investment in joint trading account - 2.7%
1.344% due 07/01/04 .................................... $19,395 19,395
U.S. Treasury Bills - 0.2%
1.25% due 09/09/04 (a) ................................. 1,393 1,393
------- --------
TOTAL SHORT-TERM INVESTMENTS-
(Cost $20,788) 2.9% 20,788
------- --------
TOTAL INVESTMENTS-
(Cost $752,268) 99.9% 719,746
Cash and Receivables, less payables- 0.1% 710
------- --------
NET ASSETS- 100.0% $720,456
======= ========
* Non-income producing security.
(a) Security segregated to cover initial margin requirements on open financial
futures.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Equity Index Fund (the "Fund") is a diversified series of John
Hancock Variable Series Trust I (the "Trust"), an open-end investment management
company registered under the Investment Company Act of 1940. The Trust is
organized as a Massachusetts business trust and consists of thirty different
funds as of June 30, 2004. The results of this Fund are included in this report.
The results of the other Funds in the Trust are presented under separate cover.
The Trust may add or delete Funds in the future to accommodate various
investment objectives. The Trust has issued shares of beneficial interest
exclusively to John Hancock Variable Life Account U ("JHVLAU"), John Hancock
Variable Life Account V ("JHVLAV"), John Hancock Variable Life Account S
("JHVLAS"), and John Hancock Variable Annuity Account I ("JHVAAI") to fund
policies and contracts issued by the John Hancock Variable Life Insurance
Company ("JHVLICO"), and to John Hancock Variable Annuity Account U ("JHVAAU"),
John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock Variable Life
Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H ("JHVAAH"), and
John Hancock Variable Annuity Account JF ("JHVAAJF") to fund contracts and
policies issued by John Hancock Life Insurance Company ("John Hancock" or
"JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"), and to John
Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected
security as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including,
but not limited to, a swing in the U.S. market
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
indexes, a swing in particular foreign market indexes, or a significant price
change in Exchange Traded Funds in a particular foreign market.
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit with Fleet Bank. This agreement
enables the Fund to participate in an unsecured line of credit, which permits
borrowing up to $10 million. Interest is charged to the Fund, based on its
borrowing. In addition, a commitment fee is charged to the Fund based on the
average daily unused portion of the line of credit and is allocated among the
participating Funds in the Trust. Interest expense paid under the line of credit
is included under the caption "Other fees" in the Statement of Operations. For
the period ended June 30, 2004, the Fund had no bank borrowings.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, open financial futures
contracts for the Fund were as follows:
Open Unrealized
Contracts Position Expiration Month Appreciation
--------- -------- ---------------- ------------
S&P 500 Index Futures 75 Long September 04 $125
====
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $396 and $15,815 which expire in 2009 and 2010, respectively.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
Between
$75 Million and Excess Over
First $75 Million $125 Million $125 Million
- ----------------- --------------- ------------
0.15% 0.14% 0.13%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. Accordingly,
for the period ended June 30, 2004, there were no reimbursements paid to the
Fund.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $24.
John Hancock has entered into a Sub-Advisory Agreement with State Street
Global Advisers Funds Management, Inc., and under its supervision, is
responsible for the day-to-day investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2,
and some are also officers of John Hancock. Fees for independent trustees are
paid by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$51,977 $30,098
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, and commercial paper) and their
respective gross unrealized appreciation and depreciation for Federal income tax
purposes at December 31, 2003 were as follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Depreciation
- ---------- ------------ ------------ --------------
$747,395 $47,147 $(112,113) $(64,966)
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends paid deduction on its federal
income tax return.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
relate to certain securities sold at a loss. Additionally, as a result, net
investment income (loss) and net realized gain (loss) on investment transactions
for a reporting period may differ significantly from distributions during such
period. Accordingly, the Fund may periodically make reclassifications among
certain of its capital accounts without impacting the net asset value of the
Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Depreciation
- ------------- ------------- ------------- --------------
$-- $-- $16,211 $(64,966)
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $16,969 $ -- $335
2002 4,601 2,918 --
Included in the Fund's 2003 distributions from ordinary income is $2,813 in
excess of investment company taxable income, which in accordance with
applicable US tax law, is taxable to shareholders as ordinary income
distributions.
Inception: April 30, 1997
- --------------------------------------------------------------------------------
Financial Industries Fund
John Hancock Advisors, LLC J. Schmidt/L. Welch
- --------------------------------------------------------------------------------
.. Year-to-date, the Fund returned 1.61%, underperforming its benchmark, the
S&P 500 Financials Sector Index. Relative to Morningstar peers, the Fund
has a below average rating of 1/2 with an average risk profile.
.. The Fund underperformed its benchmark due to unfavorable sub-sector
allocation decisions broadly across subsectors, while stock selection
decisions contributed positively to performance.
.. The Fund's exposures to multi-line insurance and thrifts & mortgage
financial sub-sectors were among the largest contributors to absolute
performance, while exposure to investment banking & brokerage was the
biggest detractor.
.. The manager selects stocks using bottom-up fundamental research and focuses
on stocks presenting opportunities based upon market themes, takeover
potential and value relative to balance sheet, earnings and liquidity.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
Bank of America Corp. 5.7%
Citigroup, Inc. 4.8%
Wells Fargo & Co. 4.3%
Fifth Third Bancorp 4.2%
State Street Corp. 4.0%
Berkshire Hathaway, Inc. 3.9%
American Express Co. 3.1%
Marsh & McLennan Cos., Inc. 3.0%
Federal National Mortgage Assoc. 2.9%
Merrill Lynch & Co., Inc. 2.9%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Financial Standard &
Industries Poor's Financial S&P 500(R)
Fund Index(4) Index(5)
---------- ---------------- ----------
YTD/3/ 1.61% 2.37% 3.44%
1 Year 17.32 19.33 19.10
3 Years -2.02 2.27 -0.70
5 Years 0.93 3.86 -2.20
Since Inception (4/30/97) 6.82 10.23 6.64
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Specialty Financial
MORNINGSTAR RISK/1/:
.. (VL/VUL) Average
.. (VA) Average
MORNINGSTAR RATING/1/:
.. ** (VL/VUL)
.. * (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
Assets
------
Banks: Outside New York City 38.0%
Diversified Financial Services 18.0%
Insurance: Property-Casualty 8.9%
Financial Miscellaneous 8.6%
Insurance: Multi-Line 7.7%
Securities Brokerage & Services 5.2%
Banks: New York City 4.8%
Multi-Sector Companies 3.9%
Insurance: Life 2.1%
Savings & Loan 1.2%
Financial Data Processing Svcs and Systems 0.6%
Renting and Leasing Services: Commercial 0.5%
Investment Management Companies 0.3%
Finance: Small Loan 0.2%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 32 VL/VUL subaccounts and 84 VA subaccounts in the
Morningstar Financial Industries category. This represents the Morningstar
3 year rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The performance of the fund on this page
is reported net of Trust level charges (i.e. investment management fees and
operating expenses). It does not reflect expense and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus. There are
additional risks associated with a non diversified fund, as outlined in the
current prospectus. Performance would be lower if expenses and charges of
the separate accounts and products were reflected.
/3/ Year to date returns are not annualized.
/4/ The Standard & Poor's Financial Index is an unmanaged index of financial
sector stocks in the Standard & Poor's 500(R) Index.
/5/ "S&P 500(R)" is an unmanaged stock index commonly used as a broad measure
of stock market performance.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Financial Industries Fund
(000's Omitted)
ASSETS
Long term investments at cost ...................................... $ 55,835
Net unrealized appreciation of investments ......................... 4,792
Short-term investments at value .................................... 1,244
--------
Total investments ............................................ 61,871
Receivable for:
Investments sold ................................................ 225
Dividends ....................................................... 66
Other receivables ............................................... 2
--------
Total assets ....................................................... 62,164
--------
LIABILITIES
Payables for:
Fund shares purchased ........................................... 469
Accrued operating expenses ...................................... 9
--------
Total liabilities .................................................. 478
--------
Net assets ......................................................... $ 61,686
========
Shares outstanding, $0.01 Par Value (unlimited shares
authorized) ..................................................... 4,249
--------
Net asset value per share .......................................... $ 14.52
========
Composition of net assets:
Capital paid-in ................................................. 67,806
Accumulated net realized loss on investments, futures and
foreign currency transactions ................................ (10,923)
Undistributed net investment income ............................. 11
Net unrealized appreciation of investments ...................... 4,792
--------
Net assets ......................................................... $ 61,686
========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Financial Industries Fund
(000's Omitted)
INVESTMENT INCOME
Interest ......................................................... $ 6
Dividends ........................................................ 622
-------
Total investment income ............................................. 628
-------
EXPENSES
Investment advisory fee .......................................... 253
Auditors fees .................................................... 3
Custodian fees ................................................... 14
Legal fees ....................................................... 4
Printing & mailing fees .......................................... 18
Trustees' fees ................................................... 1
-------
Total Expenses ...................................................... 293
Less expenses reimbursed ......................................... (21)
Less custodian expense reduction offset by commission recapture
arrangement (Note C) .......................................... (6)
-------
Net expenses ........................................................ 266
-------
Net Investment Income ............................................... 362
-------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on investments ................................. 2,467
Change in unrealized depreciation investments .................... (1,868)
-------
Net realized and unrealized gain .................................... 599
-------
Net increase in net assets resulting from operations ................ $ 961
=======
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
Financial Industries Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income ......................................................... $ 362 $ 791
Net realized gain (loss) ...................................................... 2,467 (1,519)
Change in net unrealized appreciation (depreciation) .......................... (1,868) 14,169
------- --------
Net increase in net assets resulting from operations ....................... 961 13,441
Distributions to shareholders from:
Net investment income ......................................................... (351) (914)
Realized gains ................................................................ (114)
------- --------
Decrease in net assets resulting from distributions ........................ (351) (1,028)
From fund share transactions:
Proceeds from shares sold ..................................................... 3,497 4,734
Distributions reinvested ...................................................... 351 1,028
Payment for shares redeemed ................................................... (5,760) (12,562)
------- --------
Decrease in net assets from fund share transactions ........................ (1,912) (6,800)
------- --------
NET INCREASE (DECREASE) IN NET ASSETS ............................................ (1,302) 5,613
NET ASSETS
Beginning of Period ........................................................... 62,988 57,375
------- --------
End of Period (including undistributed net investment income of $11 and $0,
respectively) .............................................................. $61,686 $ 62,988
======= ========
Analysis of fund share transactions:
Sold .......................................................................... 237 318
Reinvested .................................................................... 24 59
Redeemed ...................................................................... (396) (619)
------- --------
Decrease in fund shares outstanding .............................................. (135) (242)
======= ========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Financial Industries Fund
------------------------------------------------------------------
Unaudited Period Year Ended December 31,
Ended June 30, -----------------------------------------------
2004 2003(f) 2002 2001 2000
---------------- -------- ------- ------- -------
Net Assets Value at Beginning of Period ...... $ 14.37 $ 11.60 $ 14.56 $ 18.34 $ 14.46
Income from Investment Operations:
Net Investment Income ..................... 0.05 0.18 0.12 0.11 0.06
Net Realized and Unrealized Gain (Loss)
on Investment(a) ....................... 0.18 2.82 (2.95) (3.33) 3.87
------- ------- ------- ------- -------
Total From Investment Operations .......... 0.23 3.00 (2.83) (3.22) 3.93
Less Distributions:
Distribution from Net Investment Income ... (0.08) (0.20) (0.13) (0.09) (0.05)
Distribution from Net Realized Gains on
Investments ............................ (0.03) (0.47)
Distribution from Capital Paid-in .........
------- ------- ------- ------- -------
Total Distributions ....................... (0.08) (0.23) (0.13) (0.56) (0.05)
Capital Contributions .....................
------- ------- ------- ------- -------
Net Assets Value at End of Period ............ $ 14.52 $ 14.37 $ 11.60 $ 14.56 $ 18.34
======= ======= ======= ======= =======
Total Investment Return(b) ................... 1.61%(c) 26.03%(c) (19.46)% (17.51)% 27.16%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average
Net Assets ............................. 0.87%(d)(g)(h) 0.85%(d) 0.90% 0.89% 0.90%
Ratio of Net Investment Income to
Average Net Assets ..................... 1.15%(d) 1.35%(d) 0.87% 0.71% 0.36%
Portfolio Turnover Rate ................... 24.39%(c) 50.20%(c)(e) 2.00% 97.00%(e) 41.00%
Net Assets End of Period (000's Omitted) ..... $61,686 $62,988 $57,375 $88,920 $71,367
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Not annualized.
(d) Annualized.
(e) Excludes merger activity.
(f) Commencement of investment operations.
(g) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made the expense ratio would have been 0.93% for the period ending
June 30, 2004.
(h) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
FINANCIAL INDUSTRIES FUND
Market
Name of Issuer Shares Value
-------------- ------ --------
(000's)
COMMON STOCK
Banks - 36.0%
Bank of America Corp. * ................................. 40,653 $ 3,440
Bank of New York Co., Inc. .............................. 48,000 1,415
Bank One Corp. * ........................................ 23,000 1,173
Banknorth Group, Inc. * ................................. 9,000 292
City National Corp. ..................................... 14,000 920
Fifth Third Bancorp * ................................... 47,842 2,573
First Horizon National Corp. ............................ 8,000 364
Golden West Financial Corp. * ........................... 6,600 702
M & T Bank Corp. * ...................................... 14,400 1,257
Mellon Financial Corp. * ................................ 46,500 1,364
National City Corp. * ................................... 15,000 525
PNC Bank Corp. * ........................................ 18,344 974
SouthTrust Corp. * ...................................... 20,000 776
Suntrust Banks, Inc. * .................................. 6,500 422
US Bancorp * ............................................ 38,000 1,047
Wachovia Corp. * ........................................ 32,942 1,466
Wells Fargo & Co. * ..................................... 46,000 2,633
Wintrust Financial Corp. ................................ 3,250 164
Zions Bancorp * ......................................... 11,000 676
-------
22,183
Commercial Services & Supplies - 1.1%
Fiserv, Inc. * .......................................... 8,800 342
Marlin Business Services Corp. * ........................ 21,050 317
-------
659
Diversified Financials - 34.8%
American Express Co. * .................................. 37,000 1,901
Ameritrade Holding Corp. * .............................. 13,750 156
Assured Guaranty, Ltd. * ................................ 22,330 378
Bear Stearns Cos., Inc. * ............................... 7,400 624
Citigroup, Inc. * ....................................... 63,000 2,930
Countrywide Credit Industries, Inc. * ................... 13,500 948
Doral Financial Corp. ................................... 15,000 518
Federal Home Loan Mortgage Corp. ........................ 22,000 1,393
Federal National Mortgage Assoc. * ...................... 25,000 1,784
Goldman Sachs Group, Inc. ............................... 18,500 1,742
JP Morgan Chase & Co. ................................... 39,000 1,512
Legg Mason, Inc. * ...................................... 3,000 273
Lehman Brothers Holdings, Inc. .......................... 15,500 1,166
MBNA Corp. * ............................................ 48,475 1,250
Merrill Lynch & Co., Inc. * ............................. 32,800 1,771
Morgan Stanley, Dean Witter, Discover & Co. ............. 7,000 369
National Financial Partners Corp. * ..................... 5,060 178
Nelnet, Inc. - Cl. A * .................................. 7,993 142
State Street Corp. ...................................... 50,000 2,452
-------
21,487
Insurance - 26.4%
Ace, Ltd. ............................................... 13,000 550
Allstate Corp. .......................................... 14,500 675
American International Group, Inc. * .................... 23,000 1,640
Arch Capital Group, Ltd. * .............................. 29,200 1,165
Axis Capital Holdings, Ltd. * ........................... 20,085 $ 562
Benfield * .............................................. 13,795 63
Berkshire Hathaway, Inc. - Cl. B * ...................... 800 2,364
Conseco, Inc. ........................................... 27,200 541
Direct General Corp. * .................................. 8,500 274
Genworth Financial, Inc. - Cl. A * ...................... 18,483 424
Hartford Financial Services Group, Inc. * ............... 10,000 687
Marsh & McLennan Cos., Inc. * ........................... 40,000 1,815
Metlife, Inc. * ......................................... 11,000 394
Montpelier Re Holdings, Ltd. ............................ 3,750 131
PartnerRe, Ltd. ......................................... 22,000 1,248
Prudential Financial, Inc. * ............................ 4,000 186
Radian Group, Inc. ...................................... 14,750 707
Renaissancere Holdings, Ltd. ............................ 18,000 971
Scottish Annuity & Life ................................. 22,500 523
Torchmark, Inc. * ....................................... 12,900 694
Transatlantic Holdings, Inc. ............................ 6,200 502
United National Group, Ltd. - Cl. A * ................... 2,050 31
XL Capital, Ltd. - Cl. A * .............................. 2,000 151
-------
16,298
-------
TOTAL COMMON STOCK-
(Cost $55,835) 98.3% 60,627
Par
Value
-------
(000's)
SHORT-TERM INVESTMENTS - 2.0%
Investment in joint trading account
1.344% due 07/01/04
(Cost $1,244) .......................................... $1,244 1,244
------ -------
TOTAL INVESTMENTS-
(Cost $57,079) 100.3% 61,871
Payables, less cash and receivables- (0.3)% (185)
------ -------
NET ASSETS- 100.0% $61,686
====== =======
* Non-income producing security.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Financial Industries Fund (the "Fund") is a diversified series
of John Hancock Variable Series Trust I (the "Trust"), an open-end investment
management company registered under the Investment Company Act of 1940. The
Trust is organized as a Massachusetts business trust and consists of thirty
different funds as of June 30, 2004. The results of this Fund are included in
this report. The results of the other Funds in the Trust are presented under
separate cover. The Trust may add or delete Funds in the future to accommodate
various investment objectives. The Trust has issued shares of beneficial
interest exclusively to John Hancock Variable Life Account U ("JHVLAU"), John
Hancock Variable Life Account V ("JHVLAV"), John Hancock Variable Life Account S
("JHVLAS"), and John Hancock Variable Annuity Account I ("JHVAAI") to fund
policies and contracts issued by the John Hancock Variable Life Insurance
Company ("JHVLICO"), and to John Hancock Variable Annuity Account U ("JHVAAU"),
John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock Variable Life
Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H ("JHVAAH"), and
John Hancock Variable Annuity Account JF ("JHVAAJF") to fund contracts and
policies issued by John Hancock Life Insurance Company ("John Hancock" or
"JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"), and to John
Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations.
The Fund had borrowings under the line of credit during the period ended
June 30, 2004 as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Average Daily Loan Balance
During the Period for which Weighted Average
Loans were Outstanding Interest Rate Interest Expense
- --------------------------- ---------------- ----------------
$91 1.52% $--
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's acquire exposure to foreign currencies, while contracts to
sell are used to hedge the Fund's investments against currency fluctuations.
Neither type of forward foreign currency transaction will eliminate fluctuations
in the prices of the securities or prevent loss if the price of such securities
should decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $1,143, $9,571 and $2,372 which expire in 2006, 2008 and 2011,
respectively. Certain of the above losses may be limited under sections 382 -
384 of the Internal Revenue Code, as amended.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the rate of 0.80% on an annual basis of the
Fund's net assets.
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH
AFFILIATES--Continued
and JHVLICO will reimburse the Fund for such excess. Accordingly, the period
ended June 30, 2004, the reimbursements paid from John Hancock and JHVLICO
were $21 to the Fund.
John Hancock has entered into a Sub-Advisory Agreement with John Hancock
Advisers, with respect to the Fund. John Hancock Advisers is an affiliate of
John Hancock, and under its supervision, is responsible for the day-to-day
investment management of the Fund.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $6.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2,
and some are also officers of John Hancock. Fees for independent trustees are
paid by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$15,233 $16,485
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, and commercial paper) and their
respective gross unrealized appreciation and depreciation for Federal income tax
purposes at December 31, 2003 were as follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ ---------------
$56,440 $8,483 $(2,003) $6,480
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax return.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
relate to certain securities sold at a loss. Additionally, as a result, net
investment income (loss) and
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
net realized gain (loss) on investment transactions for a reporting period may
differ significantly from distributions during such period. Accordingly, the
Fund may periodically make reclassifications among certain of its capital
accounts without impacting the net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $13,086 $6,480
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $787 $-- $241
2002 -- -- --
NOTE E--COMBINATION
On April 25, 2003, the shareholders of the Fund (acquiring fund) approved
the combination of the funds in the following table:
Acquiring Fund Target Fund
- ------------------------ -----------------------
VST Financial Industries VA Financial Industries
This combination provided for the transfer of substantially all of the
assets and liabilities of the target fund to the acquiring fund in exchange
solely for the fund shares of the acquiring fund. Accordingly, the former VA
Financial Industries is the accounting survivor of this merger and historical
performance for it's periods prior to April 28, 2003 will be used by the
surviving fund. The acquisition was accounted for as tax-free exchange as
follows:
Trust Shares Target Fund Acquiring Fund Acquiring Fund
Acquiring Fund Issued by Target Fund Unrealized Net Assets Prior Aggregate Net Assets
vs. Target Fund Acquiring Fund Net Assets Depreciation to Combination After Combination
- --------------- -------------- ----------- ------------ ---------------- --------------------
VST Financial
Industries vs.
VA Financial
Industries 4,640 $55,074 $(5,280) $200 $55,274
Inception: August 31, 1999
- --------------------------------------------------------------------------------
Fundamental Growth Fund
Independence Investment LLC Paul F. McManus
- --------------------------------------------------------------------------------
.. Year-to-date, the Fund returned 0.18% underperforming its benchmark, the
Russell Growth Index. Relative to Morningstar peers, the Fund has a below
average rating of 2 with an above average risk profile.
.. Independence assumed management of the Fund in December 2003.
.. The Fund underperformed its benchmark primarily due to unfavorable stock
selection decisions broadly especially within the information technology
and consumer discretionary sectors, with sector allocation exposures also
detracting.
.. The largest absolute performance contributors were exposures to companies
in the industrials sector, while exposures to information technology
companies were the largest detractors.
.. The manager uses both fundamental equity research and quantitative
portfolio construction to identify stocks having both favorable valuations
and improving earnings growth prospects. The Fund is broadly diversified
across sectors with sector weights similar to the benchmark.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
Microsoft Corp. 4.6%
Intel Corp. 4.0%
Pfizer, Inc. 4.0%
Cisco Systems, Inc. 3.6%
American International Group, Inc. 2.7%
Procter & Gamble Co. 2.5%
Johnson & Johnson 2.4%
Home Depot, Inc. 2.2%
Standard and Poor's Depositary Receipts 2.2%
3M Co. 2.2%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Fundamental Fundamental Growth
Growth Fund Benchmark/4/
----------- ------------------
YTD/3/ 0.18% 2.74%
1 Year 16.33 23.48
3 Years -7.50 -0.79
Since Inception (8/31/99) -1.38 0.76
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Mid Cap Growth
MORNINGSTAR RISK/1/:
.. Above Average (VL/VUL)
.. Above Average (VA)
MORNINGSTAR RATING/1/:
.. ** (VL/VUL)
.. ** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
Assets
------
Information Technology 30%
Health Care 18%
Financials 14%
Consumer Discretionary 12%
Industrials 12%
Consumer Staples 10%
Energy 3%
Materials 1%
Telecommunication Services 0%
Utilities 0%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. Data reviewed by MorningStar
reflects the Fund's previous investment strategy. VL represents Variable
Life subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 482 VL/VUL subaccounts and 850 VA subaccounts in the
Morningstar Mid Cap Growth category. This represents the Morningstar 3 year
rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The performance of the fund on this page
is reported net of Trust level charges (i.e. investment management fees and
operating expenses). It does not reflect expense and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
/4/ The Fundamental Growth Benchmark represents the Russell Mid Cap Growth
Index from August 1999 to December 2003 and then the Russell 1000 Growth
Index from January 2004 to present.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Fundamental Growth Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $473 of securities loaned
(Note B)) ....................................................... $ 24,239
Net unrealized appreciation of investments ......................... 1,004
Short-term investments at value .................................... 762
--------
Total investments ............................................ 26,005
Receivable for:
Investments sold ................................................ 837
Dividends ....................................................... 22
--------
Total assets ....................................................... 26,864
--------
LIABILITIES
Payables for:
Investments purchased ........................................... 933
Collateral for securities on loan ............................... 478
Accrued operating expenses ...................................... 7
Other payables .................................................. 2
--------
Total liabilities .................................................. 1,420
--------
Net assets ......................................................... $ 25,444
========
Shares outstanding, $0.01 Par Value (unlimited shares authorized) .. 3,561
--------
Net asset value per share .......................................... $ 7.15
========
Composition of net assets:
Capital paid-in ................................................. $ 57,696
Accumulated net realized loss on investments, futures and
foreign currency transactions ................................ (33,261)
Undistributed net investment income ............................. 5
Net unrealized appreciation of investments ...................... 1,004
--------
Net assets ......................................................... $ 25,444
========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Fundamental Growth Fund
(000's Omitted)
INVESTMENT INCOME
Interest ..................................................... $ 1
Dividends .................................................... 123
--------
Total investment income ............................................ 124
--------
EXPENSES
Investment advisory fee ...................................... 112
Auditors fees ................................................ 2
Custodian fees ............................................... 10
Legal fees ................................................... 10
Printing & mailing fees ...................................... 4
--------
Total expenses ..................................................... 138
Less expenses reimbursed ..................................... (12)
Less custodian expense reduction offset by commission
recapture arrangement (Note C) ............................ (7)
--------
Net expenses ....................................................... 119
--------
Net investment income .............................................. 5
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on investments ................................ 241
Change in unrealized depreciation on investments ................ (211)
--------
Net realized and unrealized gain ................................... 30
--------
Net increase in net assets resulting from operations ............... $ 35
========
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
Fundamental Growth Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income (loss) ................................................ $ 5 $ (86)
Net realized gain ........................................................... 241 1,982
Change in net unrealized appreciation (depreciation) ........................ (211) 4,240
------- --------
Net increase in net assets resulting from operations ..................... 35 6,136
Distributions to shareholders from:
Realized gains .............................................................. (2,176)
--------
Decrease in net assets resulting from distributions ...................... (2,176)
From fund share transactions:
Proceeds from shares sold ................................................... 1,920 6,270
Distributions reinvested .................................................... 2,176
Payment for shares redeemed ................................................. (2,568) (6,414)
------- --------
Increase (decrease) in net assets from fund share transactions ........... (648) 2,032
------- --------
NET INCREASE (DECREASE) IN NET ASSETS .......................................... (613) 5,992
NET ASSETS
Beginning of Period ......................................................... 26,057 20,065
------- --------
End of Period (including undistributed net investment income of $5 and $0,
respectively) ............................................................ $25,444 $ 26,057
======= ========
Analysis of fund share transactions:
Sold ........................................................................ 269 907
Reinvested .................................................................. 309
Redeemed .................................................................... (361) (956)
------- --------
Net increase (decrease) in fund shares outstanding ............................. (92) 260
======= ========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Fundamental Growth Fund
-------------------------------------------------------------------
Unaudited Period Year Ended December 31,
Ended June 30, -------------------------------------------
2004 2003(i) 2002 2001 2000(e)
---------------- ------- ------- ------- -------
Net Assets Value at Beginning of Period ...... $ 7.13 $ 5.91 $ 8.48 $ 12.52 $ 14.42
Income from Investment Operations:
Net Investment Loss ....................... (0.01) (0.06) (0.03) (0.02)
Net Realized and Unrealized Gain (Loss)
on Investment(a) ....................... 0.02 1.88 (2.51) (4.01) (0.44)
------- ------- ------- ------- -------
Total From Investment Operations .......... 0.02 1.87 (2.57) (4.04) (0.46)
Less Distributions:
Distribution from Net Realized Gains on
Investments ............................ (0.65) (0.76)
Distribution from Excess of Net
Investment Income/Gains ................ (0.65)
Distribution from Capital Paid-in ......... (0.03)
------- ------- ------- ------- -------
Total Distributions ....................... (0.65) (1.44)
------- ------- ------- ------- -------
Net Assets Value at End of Period ............ $ 7.15 $ 7.13 $ 5.91 $ 8.48 $ 12.52
======= ======= ======= ======= =======
Total Investment Return(b) ................... 0.18%(c) 31.77% (30.28)% (32.23)% (3.03)%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average
Net Assets ............................. 0.98%(d)(f)(g) 1.00% 1.00%(f) 1.00%(f) 0.96%(f)
Ratio of Net Investment Income (Loss) to
Average Net Assets ..................... 0.04%(d) (0.38)% (0.52)% (0.46)% (0.38)%
Portfolio Turnover Rate ................... 50.86%(c) 201.18% 93.77% 118.01%(h) 250.46%
Net Assets End of Period (000's Omitted) ..... $25,444 $26,057 $20,065 $37,897 $46,114
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Not annualized.
(d) Annualized.
(e) The fund entered into a new sub-advisory agreement with Putnam Investment
Management, Inc. during the period shown.
(f) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made the expense ratio would have been 1.08% for the period ending
June 30, 2004, and 1.16%, 1.19%, and 1.00% for the years ended December 31,
2002, 2001, and 2000, respectively.
(g) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
(h) Excludes merger activity.
(i) The Fund entered into a new Sub-Advisory Agreement with Independence
Investment LLC during the period shown.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
FUNDAMENTAL GROWTH FUND
Market
Name of Issuer Shares Value
-------------- ------ -------
(000's)
COMMON STOCK
Aerospace & Defense - 2.3%
Boeing Co. * ............................................. 6,100 $ 312
United Technologies Corp. * .............................. 3,000 274
------
586
Air Freight & Couriers - 0.5%
Fedex Corp. .............................................. 1,400 114
Airlines - 0.4%
JetBlue Airways Corp. * .................................. 3,500 103
Automobiles - 0.5%
Harley-Davidson, Inc. * .................................. 2,100 130
Beverages - 4.1%
Anheuser-Busch Cos., Inc. ................................ 1,900 103
Coca-Cola Co. * .......................................... 9,900 500
PepsiCo, Inc. * .......................................... 8,100 436
------
1,039
Biotechnology - 2.5%
Amgen, Inc. * ............................................ 5,600 306
Biogen IDEC, Inc. * ...................................... 5,400 341
------
647
Building Products - 1.0%
American Standard Cos., Inc. * ........................... 6,400 258
Chemicals - 0.6%
Ecolab, Inc. * ........................................... 4,900 155
Commercial Services & Supplies - 1.1%
Apollo Group, Inc. - Cl. A * ............................. 1,100 97
Automatic Data Processing, Inc. .......................... 4,300 180
------
277
Commingled Fund - 2.2%
Standard and Poor's Depositary Receipts .................. 4,800 550
Communications Equipment - 5.8%
Cisco Systems, Inc. * .................................... 38,200 906
Motorola, Inc. ........................................... 11,300 206
Qualcomm, Inc. * ......................................... 4,800 350
------
1,462
Computers & Peripherals - 3.5%
Dell, Inc. * ............................................. 13,600 487
EMC Corp. * .............................................. 10,900 124
International Business Machines Corp. .................... 3,100 274
------
885
Diversified Financials - 8.7%
American Express Co. * ................................... 6,900 355
Bear Stearns Cos., Inc. * ................................ 1,100 93
Capital One Financial Corp. .............................. 2,300 157
Chicago Mercantile Exchange * ............................ 900 130
Citigroup, Inc. * ........................................ 6,100 284
Federal National Mortgage Assoc. * ....................... 5,900 421
Goldman Sachs Group, Inc. ................................ 3,100 292
MBNA Corp. * ............................................. 7,500 $ 193
Merrill Lynch & Co., Inc. * .............................. 5,400 291
------
2,216
Electronic Equipment & Instruments - 0.4%
Sanmina Corp. * .......................................... 12,200 111
Energy Equipment & Services - 1.0%
Grant Prideco, Inc. * .................................... 13,200 244
Food & Drug Retailing - 0.3%
Whole Foods Market, Inc. * ............................... 800 76
Health Care Equipment & Supplies - 3.0%
Boston Scientific Corp. * ................................ 4,800 206
Guidant Corp. ............................................ 2,700 151
St. Jude Medical, Inc. * ................................. 3,400 257
Zimmer Holdings, Inc. * .................................. 1,600 141
------
755
Health Care Providers & Services - 2.1%
Cardinal Health, Inc. * .................................. 2,900 203
DaVita, Inc. * ........................................... 2,400 74
UnitedHealth Group, Inc. * ............................... 2,700 168
Wellpoint Health Networks, Inc. * ........................ 900 101
------
546
Household Products - 2.5%
Procter & Gamble Co. * ................................... 11,500 626
Industrial Conglomerates - 5.1%
3M Co. ................................................... 6,100 549
General Electric Co. * ................................... 11,400 369
Tyco International, Ltd. * ............................... 11,600 385
------
1,303
Insurance - 4.5%
AFLAC, Inc. * ............................................ 5,000 204
American International Group, Inc. * ..................... 9,400 670
Hartford Financial Services Group, Inc. * ................ 4,100 282
------
1,156
Internet & Catalog Retail - 1.6%
eBay, Inc. * ............................................. 3,000 276
Interactive Corp. ........................................ 4,700 142
------
418
Internet Software & Services - 1.4%
Yahoo, Inc. * ............................................ 9,700 352
Machinery - 2.4%
Danaher Corp. * .......................................... 4,400 228
Illinois Tool Works, Inc. * .............................. 1,700 163
Oshkosh Truck Corp. ...................................... 2,600 149
Pall Corp. * ............................................. 3,000 79
------
619
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
FUNDAMENTAL GROWTH FUND
Market
Name of Issuer Shares Value
-------------- ------ --------
(000's)
COMMON STOCK - Continued
Media - 3.8%
Comcast Corp. - Cl. A ................................... 2,200 $ 62
E.W. Scripps Co. - Cl. A ................................ 1,500 157
Lamar Advertising Co. * ................................. 3,000 130
Pixar, Inc. * ........................................... 2,200 153
The Walt Disney Co. * ................................... 7,400 189
Time Warner, Inc. * ..................................... 15,500 272
-------
963
Multiline Retail - 2.3%
Target Corp. * .......................................... 5,600 238
Wal-Mart Stores, Inc. * ................................. 6,500 343
-------
581
Oil & Gas - 1.6%
Devon Energy Corp. * .................................... 2,000 132
Murphy Oil Corp. ........................................ 2,600 191
Newfield Exploration Co. * .............................. 1,700 95
-------
418
Personal Products - 0.7%
Avon Products, Inc. ..................................... 3,600 166
Pharmaceuticals - 9.8%
Abbott Laboratories * ................................... 6,200 253
Johnson & Johnson ....................................... 11,100 618
Medicinesco ............................................. 7,500 229
Merck & Co., Inc. * ..................................... 5,300 252
Pfizer, Inc. * .......................................... 29,200 1,001
Sepracor, Inc. * ........................................ 2,600 137
-------
2,490
Semiconductor Equipment & Products - 7.4%
Analog Devices, Inc. * .................................. 5,100 240
Applied Materials, Inc. * ............................... 17,400 341
Intel Corp. ............................................. 37,000 1,021
RF Micro Devices, Inc. * ................................ 11,700 88
Texas Instruments, Inc. * ............................... 8,000 194
-------
1,884
Software - 8.8%
Electronic Arts, Inc. * ................................. 6,000 327
Microsoft Corp. * ....................................... 41,000 1,171
Oracle Corp. * .......................................... 34,200 408
Take Two Interactive Software * ......................... 5,800 178
Veritas Software Corp. * ................................ 5,900 163
-------
2,247
Specialty Retail - 5.6%
Advanced Auto Parts * ................................... 3,300 146
Best Buy Co., Inc. * .................................... 3,500 178
CDW Corp. ............................................... 6,000 383
Home Depot, Inc. * ...................................... 15,800 556
TJX Cos., Inc. * ........................................ 7,100 171
-------
1,434
Textiles & Apparel - 0.7%
Coach, Inc. * ........................................... 3,700 $ 167
Tobacco - 1.0%
Altria Group, Inc. ...................................... 5,300 265
-------
TOTAL COMMON STOCK-
(Cost $24,239) 99.2% 25,243
Par
Value
-------
(000's)
INVESTMENT COMPANIES HELD
AS COLLATERAL ON LOANED
SECURITIES - 1.9%
State Street Navigator Securities Lending
Portfolio ............................................ $ 478 478
SHORT-TERM INVESTMENTS - 1.1%
Investment in joint trading account
1.344% due 07/01/04
(Cost $284)........................................ 284 284
------ -------
TOTAL INVESTMENTS-
(Cost $25,001) 102.2% 26,005
Payables, less cash and receivables- (2.2)% (561)
------ -------
NET ASSETS- 100.0% $25,444
====== =======
* Non-income producing security.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Fundamental Growth Fund (the "Fund") is a diversified series
of John Hancock Variable Series Trust I (the "Trust"), an open-end investment
management company registered under the Investment Company Act of 1940. The
Trust is organized as a Massachusetts business trust and consists of thirty
different funds as of June 30, 2004. The results of this Fund are included in
this report. The results of the other Funds in the Trust are presented under
separate cover. The Trust may add or delete Funds in the future to accommodate
various investment objectives. The Trust has issued shares of beneficial
interest exclusively to John Hancock Variable Life Account U ("JHVLAU"), John
Hancock Variable Life Account V ("JHVLAV"), John Hancock Variable Life Account S
("JHVLAS"), and John Hancock Variable Annuity Account I ("JHVAAI") to fund
policies and contracts issued by the John Hancock Variable Life Insurance Com-
pany ("JHVLICO"), and to John Hancock Variable Annuity Account U ("JHVAAU"),
John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock Variable Life
Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H ("JHVAAH"), and
John Hancock Variable Annuity Account JF ("JHVAAJF") to fund contracts and
policies issued by John Hancock Life Insurance Company ("John Hancock" or
"JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"), and to John
Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash-balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to that
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Trust.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations.
The Fund had borrowings under the line of credit during the period ended
June 30, 2004 as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Average Daily Loan Balance
During the Period for which Weighted Average
Loans were Outstanding Interest Rate Interest Expense
- --------------------------- ---------------- ----------------
$76 1.50% $--
Securities lending: The Fund has entered into an agreement with SSBT to
lend its securities to certain qualified brokers who pay the Fund's negotiated
lender fees. This loan is collateralized at all times with cash or securities
with a market value at least equal to the market value of the securities on
loan. Cash collateral is invested in a short-term instrument. As with other
extensions of credit, the Fund may bear the risk of delay of the loaned
securities in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. At June 30, 2004, the market value
of the securities loaned and the market value of the collateral for the Fund was
as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$473 $478
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $171, $3,441, $20,156 and $9,696 which expire in 2007, 2008, 2009 and
2010, respectively.
Certain of the above losses may be limited under sections 382 - 384 of the
Internal Revenue Code, as amended.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
Between
$500 Million and Excess Over
First $500 Million $1 Billion $1 Billion
- ------------------ ---------------- -----------
0.80% 0.75% 0.70%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. Accordingly,
the period ended June 30, 2004, the reimbursements paid from John Hancock and
JHVLICO were $12 to the Fund.
As of December 15, 2003, John Hancock has entered into a Sub-Advisory
Agreement with Independence Investment LLC, with respect to the Fund.
Independence Investment LLC is an affiliate of John Hancock, and under its
supervision, is responsible for the day-to-day investment management of the
Fund.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $7.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$12,994 $13,728
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, and commercial paper) and their
respective gross unrealized appreciation and depreciation for Federal income tax
purposes at December 31, 2003 were as follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$24,929 $1,193 $(17) $1,176
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends paid deduction on its federal
income tax return.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
relate to certain securities sold at a loss. Additionally, as a result, net
investment income (loss) and net realized gain (loss) on investment transactions
for a reporting period may differ significantly from distributions during such
period. Accordingly, the Fund may periodically make reclassifications among
certain of its capital accounts without impacting the net asset value of the
Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $33,464 $1,176
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $569 $-- $1,607
2002 -- -- --
Included in the Fund's 2003 distributions from ordinary income is $569 in
excess of investment company taxable income, which in accordance with applicable
US tax law, is taxable to shareholders as ordinary income distributions.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE E-OTHER MATTERS
Section 30 and Rule 30d-1(b) under the Investment Company Act of 1940, as
amended, requires registered management investment companies to furnish
information relating to any matter submitted during the reporting period to a
vote of Shareholders of the Trust.
John Hancock Variable Series Trust I solicited a vote at special meeting of
Contract owners/Policyholders held on March 18, 2004 on the following matters:
For Against Abstain
--- ------- -------
To approve, as to the Fundamental Growth Fund, a new 92% 1% 7%
Sub-Management Agreement among the Trust, John
Hancock and Independence Investment LLC
("Independence Investment") to replace the
sub-manager and to decrease the sub-investment
managment fee paid by John Hancock for
management of this Fund.
Inception: August 31, 1999
- --------------------------------------------------------------------------------
Fundamental Value Fund
Wellington Management Company, LLP C. Duckworth
- --------------------------------------------------------------------------------
.. Year-to-date, the Fund returned 1.93%, underperforming its benchmark, the
Russell 1000 Value Index. Relative to Morningstar peers, the Fund has an
average rating of 3 with a below average risk profile.
.. The Fund underperformed its benchmark primarily due to unfavorable security
selection, especially within the information technology and the materials
sectors.
.. The Fund's exposure to the financials and energy sectors were the largest
contributors to absolute performance.
.. The manager's strategy is to combine the firm's research analysts' best
ideas within the large-cap value universe using a bottom-up stock selection
process. The Fund is broadly diversified across sectors and industries with
sector weights closely aligned with the benchmark to minimize
industry-specific risk.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Assets
------
Bank of America Corp. 4.9%
Citigroup, Inc. 4.7%
Golden West Financial Corp. 2.5%
UnionBanCal Corp. 2.4%
Total Fina SA 2.3%
MBIA, Inc. 2.1%
Time Warner, Inc. 2.0%
Altria Group, Inc. 1.9%
Federal Home Loan Mortgage Corp. 1.9%
Exxon Mobil Corp. 1.8%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Fundamental Russell 1000(R)
Value Fund Value Index
------------ ---------------
YTD/3/ 1.93% 3.93%
1 Year 18.05 21.13
3 Years 1.01 2.96
Since Inception (8/31/99) 3.78 3.37
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Large Value
MORNINGSTAR RISK/1/:
.. Below Average (VL/VUL)
.. Below Average (VA)
MORNINGSTAR RATING/1/:
.. *** (VL/VUL)
.. *** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
Assets
------
Financials 35%
Energy 12%
Consumer Discretionary 11%
Industrials 9%
Information Technology 8%
Utilities 6%
Consumer Staples 5%
Materials 5%
Telecommunication Services 5%
Health Care 4%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 594 VL/VUL subaccounts and 1,129 VA subaccounts in the
Morningstar Large Value category. This represents the Morningstar 3 year
rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The performance of the fund on this page
is reported net of Trust level charges (i.e. investment management fees and
operating expenses). It does not reflect expense and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Fundamental Value Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $6,136 of securities
loaned (Note B)) ................................................ $120,393
Net unrealized appreciation of investments ......................... 17,234
Short-term investments at value .................................... 6,469
--------
Total investments ............................................ 144,096
Cash ............................................................... 988
Receivable for:
Investments sold ................................................ 521
Dividends ....................................................... 269
Foreign dividend tax withholdings reclaim ....................... 22
Futures contracts variation margin .............................. 2
Other assets .................................................... 4
--------
Total assets ....................................................... 145,902
--------
LIABILITIES
Payables for:
Investments purchased ........................................... 447
Collateral for securities on loan ............................... 6,339
Foreign dividend tax withholding ................................ 14
Accrued operating expenses ...................................... 17
Line of credit .................................................. 220
--------
Total liabilities .................................................. 7,037
--------
Net assets ......................................................... $138,865
========
Shares outstanding, $0.01 Par Value (unlimited shares authorized) .. 12,443
--------
Net asset value per share .......................................... $ 11.16
========
Composition of net assets:
Capital paid-in ................................................. $142,300
Accumulated net realized loss on investments,
futures and foreign currency transactions .................... (20,650)
Undistributed net investment loss ............................... (20)
Net unrealized appreciation of:
Investments .................................................. 17,234
Futures ...................................................... 1
--------
Net assets ......................................................... $138,865
========
See notes to financial statements
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Fundamental Value Fund
(000's Omitted)
INVESTMENT INCOME
Interest ....................................................... 38
Dividends (net of foreign withholding tax $25) ................. 1,445
Securities lending ............................................. 9
------
Total investment income .............................................. 1,492
------
EXPENSES
Investment advisory fee ........................................ 545
Auditors fees .................................................. 9
Custodian fees ................................................. 32
Legal fees ..................................................... 9
Printing & mailing fees ........................................ 12
Trustees' fees ................................................. 2
Other fees ..................................................... 2
------
Total expenses ....................................................... 611
Less custodian expense reduction offset by commission recapture
arrangement (Note C) ........................................ (23)
------
Net expenses ......................................................... 588
------
Net investment income ................................................ 904
------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on:
Investments .................................................... 5,661
Financial futures contracts .................................... 114
Change in unrealized depreciation on:
Investments .................................................... (3,998)
Futures ........................................................ (56)
------
Net realized and unrealized gain ..................................... 1,721
------
Net increase in net assets resulting from operations ................. 2,625
======
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
Fundamental Value Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income .................................... $ 904 $ 1,751
Net realized gain (loss) ................................. 5,775 (3,702)
Change in net unrealized appreciation (depreciation) ..... (4,054) 32,920
-------- --------
Net increase in net assets resulting from operations .. 2,625 30,969
Distributions to shareholders from:
Net investment income .................................... (924) (1,730)
Realized gains ........................................... -- (135)
-------- --------
Decrease in net assets resulting from distributions ... (924) (1,865)
From fund share transactions:
Proceeds from shares sold ................................ 15,167 32,368
Distributions reinvested ................................. 924 1,865
Payment for shares redeemed .............................. (17,782) (45,584)
-------- --------
Decrease in net assets from fund share transactions ... (1,691) (11,351)
-------- --------
NET INCREASE IN NET ASSETS .................................. 10 17,753
NET ASSETS
Beginning of Period ...................................... 138,855 121,102
-------- --------
End of Period (including undistributed net investment
loss ($20) and $0, respectively) ...................... $138,865 $138,855
======== ========
Analysis of fund share transactions:
Sold ..................................................... 1,356 3,382
Reinvested ............................................... 83 197
Redeemed ................................................. (1,596) (4,906)
-------- --------
Net decrease in fund shares outstanding ..................... (157) (1,327)
======== ========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Fundamental Value Fund
---------------------------------------------------------------------
Unaudited Period Year Ended December 31,
Ended June 30, --------------------------------------------------
2004 2003 2002 2001 2000
---------------- -------- -------- -------- -------
Net Assets Value at Beginning of Period ................ $ 11.02 $ 8.70 $ 10.66 $ 11.57 $ 10.42
Income from Investment Operations:
Net Investment Income ............................... 0.07 0.14 0.12 0.10 0.09
Net Realized and Unrealized Gain (Loss) on
Investment(a) .................................... 0.14 2.33 (1.96) (0.91) 1.30
-------- -------- -------- -------- -------
Total From Investment Operations .................... 0.21 2.47 (1.84) (0.81) 1.39
Less Distributions:
Distribution from Net Investment Income ............. (0.07) (0.14) (0.12) (0.10) (0.10)
Distribution from Net Realized Gains on
Investments ...................................... (0.01) (0.08)
Distribution from Excess of Net Investment Income/
Gains ............................................ (g) (0.06)
-------- -------- -------- -------- -------
Total Distributions ................................. (0.07) (0.15) (0.12) (0.10) (0.24)
-------- -------- -------- -------- -------
Net Assets Value at End of Period ...................... $ 11.16 $ 11.02 $ 8.70 $ 10.66 $ 11.57
======== ======== ======== ======== =======
Total Investment Return(b) ............................. 1.93%(c) 28.70% (17.40)% (6.99)% 13.41%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net
Assets ........................................... 0.87%(d)(h) 0.89%(e)(h) 0.85% 0.99%(e) 1.05%(e)
Ratio of Net Investment Income to Average Net
Assets ........................................... 1.29%(d) 1.44% 1.26% 0.91% 0.97%
Portfolio Turnover Rate ............................. 32.71%(c) 69.21% 82.22% 85.20%(f) 86.97%
Net Assets End of Period (000s Omitted) ................ $138,865 $138,855 $121,102 $161,710 $15,728
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Not annualized.
(d) Annualized.
(e) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made the expense ratio would have been .90%, 1.20%, and 1.36% for the
years ended December 31, 2003, 2001, and 2000, respectively.
(f) Excludes merger activity.
(g) Amount is less than $0.01.
(h) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
FUNDAMENTAL VALUE FUND
Market
Value
Name of Issuer Shares (000's)
-------------- ------- -------
COMMON STOCK
Aerospace & Defense - 2.1%
General Dynamics Corp. * ................................ 17,100 $ 1,698
United Technologies Corp. * ............................. 13,000 1,189
-------
2,887
Air Freight & Couriers - 0.6%
Fedex Corp. ............................................. 10,000 817
Airlines - 0.3%
Continental Airlines, Inc. - Cl. B * .................... 32,800 373
Auto Components - 1.9%
Dana Corp. .............................................. 17,900 351
Johnson Controls, Inc. .................................. 10,400 555
Lear Corp. * ............................................ 28,900 1,705
-------
2,611
Banks - 14.8%
Bank of America Corp. * ................................. 79,400 6,719
City National Corp. ..................................... 8,400 552
Comerica, Inc. .......................................... 19,600 1,076
Commerce Bancshares, Inc. ............................... 18,559 853
Golden West Financial Corp. * ........................... 31,800 3,382
Hibernia Corp. - Cl. A .................................. 84,100 2,043
Regions Financial Corp. ................................. 29,500 1,078
UBS AG .................................................. 19,800 1,407
UnionBanCal Corp. ....................................... 58,900 3,322
Zions Bancorp * ......................................... 1,800 110
-------
20,542
Beverages - 0.8%
Constellation Brands, Inc. - Cl. A * .................... 28,200 1,047
Chemicals - 2.8%
Dow Chemical Co. * ...................................... 29,000 1,181
E.I. du Pont de Nemours & Co. * ......................... 33,500 1,488
Rohm & Haas Co. ......................................... 29,900 1,243
-------
3,912
Commercial Services & Supplies - 1.5%
Cendant Corp. * ......................................... 62,300 1,525
Checkfree Corp. * ....................................... 9,600 288
Pitney Bowes, Inc. * .................................... 1,000 44
The Bisys Group, Inc. * ................................. 14,800 208
-------
2,065
Communications Equipment - 1.5%
Corning, Inc. * ......................................... 85,200 1,113
Motorola, Inc. .......................................... 54,800 1,000
-------
2,113
Computers & Peripherals - 2.2%
International Business Machines Corp. ................... 28,500 2,512
Maxtor Corp. * .......................................... 84,800 562
-------
3,074
Diversified Financials - 12.3%
Capital One Financial Corp. ............................. 10,000 $ 684
Citigroup, Inc. * ....................................... 137,866 6,411
Countrywide Credit Industries, Inc. * ................... 15,249 1,071
Eaton Vance Corp. * ..................................... 8,500 325
Federal Home Loan Mortgage Corp. ........................ 42,000 2,659
Franklin Resources, Inc. * .............................. 17,200 861
Goldman Sachs Group, Inc. ............................... 19,800 1,864
Legg Mason, Inc. * ...................................... 4,400 400
Merrill Lynch & Co., Inc. * ............................. 38,800 2,094
Morgan Stanley, Dean Witter, Discover & Co. ............. 14,600 771
-------
17,140
Diversified Telecommunication Services - 4.2%
AT&T Corp. * ............................................ 53,700 786
Citizens Communications Co. * ........................... 120,000 1,452
Deutsche Telekom AG - ADR ............................... 25,100 444
Qwest Communications International, Inc. ................ 246,700 886
Verizon Communications * ................................ 63,700 2,305
-------
5,873
Electric Utilities - 5.2%
Cinergy Corp. * ......................................... 21,500 817
Dominion Resources, Inc. ................................ 4,700 297
Entergy Corp. * ......................................... 14,200 795
Exelon Corp. * .......................................... 68,524 2,281
PG & E Corp. * .......................................... 32,800 917
TXU Corp. ............................................... 51,200 2,074
-------
7,181
Electrical Equipment - 1.0%
American Power Conversion ............................... 68,800 1,352
Energy Equipment & Services - 1.7%
Halliburton Co. * ....................................... 75,600 2,288
Gas Utilities - 0.9%
UGI Corp. ............................................... 40,500 1,300
Health Care Providers & Services - 1.0%
Anthem, Inc. * .......................................... 7,300 654
McKesson HBOC, Inc. ..................................... 22,700 779
-------
1,433
Hotels Restaurants & Leisure - 0.7%
McDonald's Corp.* ....................................... 37,700 980
Household Durables - 0.4%
Lennar Corp. ............................................ 13,100 586
Household Products - 0.7%
Colgate-Palmolive Co. ................................... 17,600 1,029
Industrial Conglomerates - 2.2%
General Electric Co. * .................................. 37,900 1,228
Tyco International, Ltd. * .............................. 56,200 1,862
-------
3,090
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
FUNDAMENTAL VALUE FUND
Market
Value
Name of Issuer Shares (000's)
-------------- -------- --------
COMMON STOCK - Continued
Insurance - 4.9%
American International Group, Inc. * .................. 15,250 $ 1,087
MBIA, Inc. * .......................................... 51,750 2,956
Prudential Financial, Inc. * .......................... 25,800 1,199
St. Paul Cos., Inc. ................................... 39,800 1,613
--------
6,855
Internet & Catalog Retail - 0.6%
Interactive Corp. ..................................... 26,700 805
Internet Software & Services - 0.4%
VeriSign, Inc. * ...................................... 27,600 549
Machinery - 1.2%
Caterpillar, Inc. * ................................... 5,600 445
ITT Industries, Inc. * ................................ 15,000 1,245
--------
1,690
Media - 5.5%
Comcast Corp. - Cl. A ................................. 7,100 199
Comcast Corp. - Cl. A ................................. 40,300 1,113
Gannett Co., Inc. * ................................... 11,200 950
Liberty Media Corp. - Ser. A * ........................ 135,300 1,216
Liberty Media International, Inc. - Ser. A* ........... 6,765 251
Sirius Satellite Radio, Inc. * ........................ 196,900 607
Time Warner, Inc. * ................................... 158,900 2,794
XM Satellite Radio Holdings, Inc. - Cl. A ............. 17,200 469
--------
7,599
Metals & Mining - 0.9%
Alcoa, Inc. * ......................................... 39,400 1,301
Multiline Retail - 0.5%
Federated Department Stores, Inc. * ................... 13,400 658
Office Electronics - 0.6%
Xerox Corp. * ......................................... 58,200 844
Oil & Gas - 9.8%
BP Amoco plc - ADR .................................... 17,000 911
ChevronTexaco Corp. * ................................. 23,400 2,202
Conoco Phillips ....................................... 20,485 1,563
Exxon Mobil Corp. * ................................... 56,700 2,518
Marathon Oil Corp. * .................................. 54,600 2,066
Premcor, Inc. * ....................................... 28,700 1,076
Total Fina SA - ADR ................................... 33,500 3,219
--------
13,555
Paper & Forest Products - 1.5%
Bowater, Inc. ......................................... 32,700 1,360
Weyerhaeuser Co. ...................................... 12,200 770
--------
2,130
Personal Products - 2.0%
Alberto-Culver Co. - Cl. B * .......................... 12,900 647
Gillette Co. .......................................... 50,600 2,145
--------
2,792
Pharmaceuticals - 3.0%
Abbott Laboratories * ................................. 27,800 $ 1,133
King Pharmaceuticals, Inc. * .......................... 41,300 473
Medco Health Solutions, Inc. * ........................ 16,600 622
Schering-Plough Corp. * ............................... 89,500 1,654
Watson Pharmaceuticals, Inc. * ........................ 8,200 221
--------
4,103
Real Estate Investment Trust - 2.6%
General Growth Properties ............................. 62,300 1,842
Kimco Realty Corp. .................................... 37,950 1,727
--------
3,569
Road & Rail - 0.5%
Canadian National Railway Co. ......................... 16,950 739
Semiconductor Equipment & Products - 1.4%
Fairchild Semiconductor Corp. - Cl. A * ............... 52,400 858
National Semiconductor Corp. * ........................ 47,100 1,035
--------
1,893
Software - 1.0%
Microsoft Corp. * ..................................... 48,000 1,371
Specialty Retail - 1.0%
Abercrombie & Fitch Co. ............................... 11,900 461
Foot Locker, Inc. * ................................... 37,900 923
--------
1,384
Tobacco - 1.9%
Altria Group, Inc. .................................... 53,300 2,668
Wireless Telecommunications Services - 1.0%
Nextel Communications, Inc. - Cl. A * ................. 53,600 1,429
--------
TOTAL COMMON STOCK-
(Cost $120,393) 99.1% 137,627
INVESTMENT COMPANIES HELD AS COLLATERAL ON LOANED
SECURITIES - 4.6%
State Street Navigator Securities Lending Portfolio ... $ 6,339 6,339
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
FUNDAMENTAL VALUE FUND
Par Market
Name of Issuer Value Value
-------------- ------- ---------
(000's) (000's)
SHORT-TERM INVESTMENTS
U.S. Treasury Bills (a)
0.981% due 08/05/04 ................................... $ 20 $ 20
1.07% due 08/26/04 .................................... 50 50
1.164% due 09/02/04 ................................... 35 35
1.302% due 09/23/04 ................................... 25 25
--------
TOTAL SHORT-TERM
INVESTMENTS-
(Cost $130) 0.1% 130
------ --------
TOTAL INVESTMENTS-
(Cost $126,862) 103.8% 144,096
Payables, less cash and receivables- (3.8)% (5,231)
------ --------
NET ASSETS- 100.0% $138,865
====== ========
* Non-income producing security.
(a) Securities segregated to cover initial margin requirements on open
financial futures.
ADR-American Depository Receipt.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Fundamental Value Fund (the "Fund") is a diversified series of
John Hancock Variable Series Trust I (the "Trust"), an open-end investment
management company registered under the Investment Company Act of 1940. The
Trust is organized as a Massachusetts business trust and consists of thirty
different funds as of June 30, 2004. The results of this Fund are included in
this report. The results of the other Funds in the Trust are presented under
separate cover. The Trust may add or delete Funds in the future to accommodate
various investment objectives. The Trust has issued shares of beneficial
interest exclusively to John Hancock Variable Life Account U ("JHVLAU"), John
Hancock Variable Life Account V ("JHVLAV"), John Hancock Variable Life Account S
("JHVLAS"), and John Hancock Variable Annuity Account I ("JHVAAI") to fund
policies and contracts issued by the John Hancock Variable Life Insurance
Company ("JHVLICO"), and to John Hancock Variable Annuity Account U ("JHVAAU"),
John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock Variable Life
Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H ("JHVAAH"), and
John Hancock Variable Annuity Account JF ("JHVAAJF") to fund contracts and
policies issued by John Hancock Life Insurance Company ("John Hancock" or
"JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"), and to John
Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations. For period ended June 30,
2004, the Fund had no bank borrowings.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Securities lending: The Fund has entered into an agreement with SSBT to
lend its securities to certain qualified brokers who pay the Fund's negotiated
lender fees. This loan is collateralized at all times with cash or securities
with a market value at least equal to the market value of the securities on
loan. Cash collateral is invested in a short-term instrument. As with other
extensions of credit, the Fund may bear the risk of delay of the loaned
securities in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. At June 30, 2004, the market value
of the securities loaned and the market value of the collateral for the Fund was
as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$6,136 $6,339
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, open financial futures
contracts for the Fund were as follows:
Open Unrealized
Contracts Position Expiration Month Appreciation
--------- -------- ---------------- ------------
S&P Mini 500 Index Futures 10 Long September 04 $1
---
$1
===
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $406, $18,314 and $5,972 which expire in 2009, 2010 and 2011,
respectively.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Dividend
income for the Fund is shown net of foreign taxes withheld of $25. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
Between Between
$25 Million and $50 Million and Excess Over
First $25 Million $50 Million $100 Million $100 Million
- ----------------- --------------- --------------- ------------
0.95% 0.85% 0.75% 0.65%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. For the period
ended June 30, 2004, there were no reimbursements paid to the Fund.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $23.
John Hancock has entered into a Sub-Advisory Agreement with Wellington
Management Company, and under its supervision, is responsible for the day-to-day
investment management of the Fund.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH
AFFILIATES--Continued
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$45,485 $45,243
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, commercial paper and collateral for
securities lending) and their respective gross unrealized appreciation and
depreciation for Federal income tax purposes at December 31, 2003 were as
follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$121,238 $21,179 $(1,616) $19,563
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
relate to certain securities sold at a loss and to certain distributions
received from investments in Real Estate Investment Trusts. Additionally, as a
result, net investment income (loss) and net realized gain (loss) on investment
transactions for a reporting period may differ significantly from distributions
during such period. Accordingly, the Fund may periodically make
reclassifications among certain of its capital accounts without impacting the
net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $24,692 $19,563
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $1,729 $-- $136
2002 1,766 -- 28
Inception: August 31, 1999
- --------------------------------------------------------------------------------
Fundamental Value B Fund (FORMERLY LARGE CAP VALUE CORE(SM) FUND)
WELLINGTON MANAGEMENT COMPANY, LLP C. Duckworth
- --------------------------------------------------------------------------------
.. Year-to-date, the Fund returned 4.27%, outperforming its benchmark, the
Russell 1000 Value Index. Relative to Morningstar peers, the Fund has an
average/above average rating of 3/4 with a below average risk profile.
.. On May 1st, the Fund's name, investment strategy and sub-adviser were
changed. Wellington implemented an investment strategy for the Fund that is
substantially the same as the investment strategy it now employs for the
Fundamental Value Fund.
.. Since May 1st, the Fund underperformed its benchmark primarily due to
unfavorable security selection decisions, while sector exposures added
modest value.
.. The manager's strategy is to combine the firm's research analysts' best
ideas within the large-cap value universe using a bottom-up stock selection
process. The Fund is broadly diversified across sectors and industries with
sector weights closely aligned with the benchmark to minimize
industry-specific risk.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
Bank of America Corp. 4.9%
Citigroup, Inc. 4.7%
UnionBanCal Corp. 2.5%
Golden West Financial Corp. 2.5%
Total Fina SA 2.3%
Time Warner, Inc. 2.0%
Altria Group, Inc. 2.0%
Federal Home Loan Mortgage Corp. 1.9%
Exxon Mobil Corp. 1.8%
International Business Machines Corp. 1.8%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Fundamental Russell 1000(R)
Value B Fund Value Index
------------ ---------------
YTD/3/ 4.27% 3.93%
1 Year 22.48 21.13
3 Year 1.76 2.96
Since Inception (8/31/99) 2.74 3.37
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Large Value
MORNINGSTAR RISK/1/:
.. Below Average (VL/VUL)
.. Below Average (VA)
MORNINGSTAR RATING/1/:
.. **** (VL/VUL)
.. *** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
assets
------
Financials 35%
Consumer Discretionary 11%
Energy 11%
Industrials 9%
Information Technology 8%
Utilities 6%
Consumer Staples 5%
Materials 5%
Telecommunication Services 5%
Health Care 4%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 594 VL/VUL subaccounts and 1,129 VA subaccounts in the
Morningstar Large Value category. This represents the Morningstar 3 year
rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The performance of the fund on this page
is reported net of Trust level charges (i.e. investment management fees and
operating expenses). It does not reflect expense and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Fundamental Value B Fund
(000's Omitted)
ASSETS
Long term investments at cost ...................................... $ 54,236
Net unrealized appreciation of investments ......................... 2,440
Short-term investments at value .................................... 388
--------
Total investments ............................................ 57,064
Receivable for:
Investments sold ................................................ 112
Dividends ....................................................... 72
Futures contracts variation margin .............................. 1
--------
Total assets ....................................................... 57,249
--------
LIABILITIES
Payables for:
Investment purchased ............................................ 177
Accrued operating expenses ...................................... 9
Other liabilities ............................................... 1
--------
Total liabilities .................................................. 187
--------
Net assets ......................................................... $ 57,062
========
Shares outstanding, $0.01 Par Value (unlimited shares authorized) .. 5,647
--------
Net asset value per share .......................................... $ 10.10
========
Composition of net assets:
Capital paid-in ................................................. $ 55,916
Accumulated net realized loss on investments, futures and
foreign currency transactions ................................ (1,296)
Undistributed net investment income ................................ 1
Net unrealized appreciation of:
Investments .................................................. 2,440
Futures ...................................................... 1
--------
Net assets ......................................................... $ 57,062
========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Fundamental Value B Fund
(000's Omitted)
INVESTMENT INCOME
Interest ..................................................... $ 5
Dividends (net of foreign withholding tax of $7) ............. 635
-------
Total investment income ............................................ 640
-------
EXPENSES
Investment advisory fee ...................................... 228
Auditors fees ................................................ 3
Custodian fees ............................................... 20
Legal fees ................................................... 3
Printing & mailing fees ...................................... 9
Trustees' ................................................... 1
Other fees ................................................... 1
-------
Total expenses ..................................................... 265
-------
Less expenses reimbursed ..................................... (10)
-------
Net expenses ....................................................... 255
-------
Net investment income .............................................. 385
-------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments .................................................. 5,551
Financial futures contracts .................................. (56)
Change in unrealized depreciation on:
Investments .................................................. (3,596)
-------
Net realized and unrealized gain ................................... 1,899
-------
Net increase in net assets resulting from operations ............... $ 2,284
=======
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
Fundamental Value B Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income ....................................................... $ 385 $ 610
Net realized gain ........................................................... 5,495 523
Change in net unrealized appreciation (depreciation) ........................ (3,596) 10,556
------- -------
Net increase in net assets resulting from operations ..................... 2,284 11,689
Distributions to shareholders from:
Net investment income ....................................................... (384) (610)
Realized gains .............................................................. (1,764)
------- -------
Decrease in net assets resulting from distributions ...................... (384) (2,374)
Capital contributions
From fund share transactions:
Proceeds from shares sold ................................................... 6,564 10,099
Distributions reinvested .................................................... 384 2,374
Payment for shares redeemed ................................................. (4,820) (9,519)
------- -------
Increase in net assets from fund share transactions ...................... 2,128 2,954
------- -------
NET INCREASE IN NET ASSETS ..................................................... 4,028 12,269
NET ASSETS
Beginning of Period ......................................................... 53,034 40,765
------- -------
End of Period (including undistributed net investment income of $1 and $0,
respectively) ............................................................ $57,062 $53,034
======= =======
Analysis of fund share transactions:
Sold ........................................................................ 654 1,163
Reinvested .................................................................. 39 254
Redeemed .................................................................... (481) (1,112)
------- -------
Net increase in fund shares outstanding ........................................ 212 305
======= =======
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Fundamental Value B Fund
-------------------------------------------------------------------
Unaudited Period Year Ended December 31,
Ended June 30, ----------------------------------------------
2004(h) 2003 2002 2001 2000
---------------- ------- ------- ------- -------
Net Assets Value at Beginning of Period ........... $ 9.76 $ 7.95 $ 9.83 $ 10.42 $ 10.16
Income from Investment Operations:
Net Investment Income .......................... 0.07 0.12 0.11 0.09 0.15
Net Realized and Unrealized Gain (Loss) on
Investment(a) ............................... 0.34 2.15 (1.88) (0.59) 0.36
------- ------- ------- ------- -------
Total From Investment Operations ............... 0.41 2.27 (1.77) (0.50) 0.51
Less Distributions:
Distribution from Net Investment Income ........ (0.07) (0.12) (0.11) (0.09) (0.15)
Distribution from Net Realized Gains on
Investments ................................. (0.34) (0.06)
Distribution from Excess of Net Investment
Income/Gains ................................ (0.03)
Distribution from Capital Paid-in .............. (0.01)
------- ------- ------- ------- -------
Total Distributions ............................ (0.07) (0.46) (0.11) (0.09) (0.25)
------- ------- ------- ------- -------
Net Assets Value at End of Period ................. $ 10.10 $ 9.76 $ 7.95 $ 9.83 $ 10.42
======= ======= ======= ======= =======
Total Investment Return(b) ........................ 4.27%(c) 28.86% (18.21)% (4.75)% 5.12%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net
Assets ...................................... 0.93%(d)(f) 0.85%(f) 0.84%(f) 0.85%(f) 0.85%(f)
Ratio of Net Investment Income to Average Net
Assets ...................................... 1.39%(d) 1.38% 1.18% 0.98% 1.54%
Portfolio Turnover Rate ........................ 102.73%(c) 105.62% 89.43% 74.91%(e) 59.15%
Net Assets End of Period (000s Omitted) ........... $57,062 $53,034 $40,765 $60,832 $18,164
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Not annualized.
(d) Annualized.
(e) Excludes merger activity.
(f) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made the expense ratio would have been .96% for the period ending June
30, 2004, and .94%, .97%, .88%, and 1.09% for the years ended December 31,
2003, 2002, 2001, and 2000, respectively.
(h) The Fund entered into a new sub-advisory agreement with Wellington
Management Co., LLP, during the period shown.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
FUNDAMENTAL VALUE B FUND
Market
Name of Issuer Shares Value
-------------- ------ -------
(000's)
COMMON STOCK
Aerospace & Defense - 2.1%
General Dynamics Corp. * ................................. 7,000 $ 695
United Technologies Corp. * .............................. 5,200 476
------
1,171
Air Freight & Couriers - 0.6%
Fedex Corp. .............................................. 4,100 335
Airlines - 0.3%
Continental Airlines, Inc. - Cl. B * ..................... 13,200 150
Auto Components - 1.9%
Dana Corp. ............................................... 7,300 143
Johnson Controls, Inc. ................................... 4,200 224
Lear Corp. * ............................................. 11,800 696
------
1,063
Banks - 15.0%
Bank of America Corp. * .................................. 32,886 2,783
City National Corp. ...................................... 3,500 230
Comerica, Inc. ........................................... 8,100 444
Commerce Bancshares, Inc. ................................ 7,700 354
Golden West Financial Corp. * ............................ 13,100 1,393
Hibernia Corp. - Cl. A ................................... 35,600 865
Regions Financial Corp. .................................. 12,200 446
UBS AG. .................................................. 8,200 583
UnionBanCal Corp. ........................................ 25,000 1,410
Zions Bancorp * .......................................... 800 49
------
8,557
Beverages - 0.8%
Constellation Brands, Inc. - Cl. A * ..................... 11,700 434
Chemicals - 2.8%
Dow Chemical Co. * ....................................... 12,000 488
E.I. du Pont de Nemours & Co. * .......................... 13,700 609
Rohm & Haas Co. .......................................... 12,400 516
------
1,613
Commercial Services & Supplies - 1.5%
Cendant Corp. * .......................................... 25,800 631
Checkfree Corp. * ........................................ 3,800 114
Pitney Bowes, Inc. * ..................................... 400 18
The Bisys Group, Inc. * .................................. 5,900 83
------
846
Communications Equipment - 1.6%
Corning, Inc. * .......................................... 35,300 461
Motorola, Inc. ........................................... 23,300 425
------
886
Computers & Peripherals - 2.2%
International Business Machines Corp. .................... 11,800 1,040
Maxtor Corp. * ........................................... 34,000 226
------
1,266
Diversified Financials - 12.3%
Capital One Financial Corp. .............................. 4,000 $ 273
Citigroup, Inc. * ........................................ 57,100 2,655
Countrywide Credit Industries, Inc. * .................... 6,300 443
Eaton Vance Corp. * ...................................... 3,300 126
Federal Home Loan Mortgage Corp. ......................... 17,400 1,101
Franklin Resources, Inc. * ............................... 6,900 346
Goldman Sachs Group, Inc. ................................ 8,100 763
Legg Mason, Inc. * ....................................... 1,800 164
Merrill Lynch & Co., Inc. * .............................. 16,000 864
Morgan Stanley, Dean Witter, Discover & Co. .............. 5,900 311
------
7,046
Diversified Telecommunication Services - 4.3%
AT&T Corp. * ............................................. 21,500 315
Citizens Communications Co. * ............................ 49,300 596
Deutsche Telekom AG - ADR ................................ 14,500 257
Qwest Communications International, Inc. ................. 85,800 308
Verizon Communications * ................................. 26,400 955
------
2,431
Electric Utilities - 5.2%
Cinergy Corp. * .......................................... 8,600 327
Dominion Resources, Inc. ................................. 1,800 113
Entergy Corp. * .......................................... 5,800 325
Exelon Corp. * ........................................... 28,400 945
PG & E Corp. * ........................................... 13,600 380
TXU Corp. ................................................ 21,200 859
------
2,949
Electrical Equipment - 1.0%
American Power Conversion ................................ 28,100 552
Energy Equipment & Services - 1.7%
Halliburton Co. * ........................................ 31,300 947
Gas Utilities - 0.9%
UGI Corp. ................................................ 16,600 533
Health Care Providers & Services - 1.0%
Anthem, Inc. * ........................................... 2,900 260
McKesson HBOC, Inc. ...................................... 9,400 322
------
582
Hotels Restaurants & Leisure - 0.7%
McDonald's Corp. * ....................................... 15,600 406
Household Durables - 0.4%
Lennar Corp. ............................................. 5,200 233
Household Products - 0.7%
Colgate-Palmolive Co. .................................... 7,200 421
Industrial Conglomerates - 2.2%
General Electric Co. * ................................... 15,700 509
Tyco International, Ltd. * ............................... 23,300 772
------
1,281
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
FUNDAMENTAL VALUE B FUND
Market
Name of Issuer Shares Value
-------------- ------ -------
(000's)
COMMON STOCK - Continued
Insurance - 5.0%
Ambac Financial Group, Inc. .............................. 9,100 $ 668
American International Group, Inc. * ..................... 6,315 450
MBIA, Inc. * ............................................. 9,900 566
Prudential Financial, Inc. * ............................. 10,700 497
St. Paul Cos., Inc. ...................................... 16,300 661
-------
2,842
Internet & Catalog Retail - 0.6%
Interactive Corp. ........................................ 10,900 329
Internet Software & Services - 0.4%
VeriSign, Inc. * ......................................... 10,900 217
Machinery - 1.2%
Caterpillar, Inc. * ...................................... 2,300 183
ITT Industries, Inc. * ................................... 6,200 514
-------
697
Media - 5.4%
Comcast Corp. - Cl. A .................................... 2,863 80
Comcast Corp. - Cl. A .................................... 16,700 461
Gannett Co., Inc. * ...................................... 4,600 390
Liberty Media Corp. - Ser. A * ........................... 55,300 497
Liberty Media International, Inc. - Ser. A * ............. 2,765 103
Sirius Satellite Radio, Inc. * ........................... 78,500 242
Time Warner, Inc. * ...................................... 65,400 1,150
XM Satellite Radio Holdings, Inc. - Cl. A ................ 6,900 188
-------
3,111
Metals & Mining - 0.9%
Alcoa, Inc. * ............................................ 16,100 532
Multiline Retail - 0.5%
Federated Department Stores, Inc. * ...................... 5,400 265
Office Electronics - 0.6%
Xerox Corp. * ............................................ 24,100 350
Oil & Gas - 9.7%
BP Amoco plc - ADR ....................................... 6,600 353
ChevronTexaco Corp. * .................................... 9,635 907
Conoco Phillips .......................................... 8,400 641
Exxon Mobil Corp. * ...................................... 23,500 1,044
Marathon Oil Corp. * ..................................... 21,700 821
Premcor, Inc. * .......................................... 11,900 446
Total Fina SA - ADR ...................................... 13,800 1,326
-------
5,538
Paper & Forest Products - 1.5%
Bowater, Inc. ............................................ 13,400 557
Weyerhaeuser Co. ......................................... 5,000 316
-------
873
Personal Products - 2.0%
Alberto-Culver Co. - Cl. B * ............................. 5,200 261
Gillette Co. ............................................. 21,100 894
-------
1,155
Pharmaceuticals - 2.9%
Abbott Laboratories * .................................... 11,500 $ 469
King Pharmaceuticals, Inc. * ............................. 16,600 190
Medco Health Solutions, Inc. * ........................... 6,600 248
Schering-Plough Corp. * .................................. 36,800 680
Watson Pharmaceuticals, Inc. * ........................... 3,200 86
-------
1,673
Real Estate Investment Trust - 2.6%
General Growth Properties ................................ 25,800 763
Kimco Realty Corp. ....................................... 15,700 714
-------
1,477
Road & Rail - 0.5%
Canadian National Railway Co. ............................ 6,900 301
Semiconductor Equipment & Products - 1.4%
Fairchild Semiconductor Corp. - Cl. A * .................. 21,700 355
National Semiconductor Corp. * ........................... 19,500 429
-------
784
Software - 1.0%
Microsoft Corp. * ........................................ 19,900 568
Specialty Retail - 1.0%
Abercrombie & Fitch Co. .................................. 4,700 182
Foot Locker, Inc. * ...................................... 15,700 382
-------
564
Tobacco - 1.9%
Altria Group, Inc. ....................................... 22,100 1,106
Wireless Telecommunications Services - 1.0%
Nextel Communications, Inc. - Cl. A * .................... 22,200 592
-------
TOTAL COMMON STOCK-
(Cost $54,236) 99.3% 56,676
Par
Value
-------
(000's)
SHORT-TERM INVESTMENTS
Investment in joint trading account - 0.5%
1.344% due 07/01/04 .................................... $ 308 308
U.S. Treasury Bills - 0.2%
0.981% due 08/05/04 (a) ................................ 80 80
-------
TOTAL SHORT-TERM INVESTMENTS-
(Cost $388) 0.7% 388
------ -------
TOTAL INVESTMENTS-
(Cost $54,624) 100.0% 57,064
Payables, less cash and receivables- 0.0% (2)
------ -------
NET ASSETS- 100.0% $57,062
====== =======
* Non-income producing security.
ADR-American Depository Receipt.
See notes to financial statements.
(a) Security segregated to cover initial margin requirements on open financial
futures.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Fundamental Value B (formerly John Hancock Large Cap Value
CORE Fund), (the "Fund") is a diversified series of John Hancock Variable Series
Trust I (the "Trust"), an open-end investment management company registered
under the Investment Company Act of 1940. The Trust is organized as a
Massachusetts business trust and consists of thirty different funds as of June
30, 2004. The results of this Fund are included in this report. The results of
the other Funds in the Trust are presented under separate cover. The Trust may
add or delete Funds in the future to accommodate various investment objectives.
The Trust has issued shares of beneficial interest exclusively to John Hancock
Variable Life Account U ("JHVLAU"), John Hancock Variable Life Account V
("JHVLAV"), John Hancock Variable Life Account S ("JHVLAS"), and John Hancock
Variable Annuity Account I ("JHVAAI") to fund policies and contracts issued by
the John Hancock Variable Life Insurance Company ("JHVLICO"), and to John
Hancock Variable Annuity Account U ("JHVAAU"), John Hancock Variable Annuity
Account V ("JHVAAV"), John Hancock Variable Life Account UV ("JHVLAUV"), John
Hancock Variable Annuity Account H ("JHVAAH"), and John Hancock Variable Annuity
Account JF ("JHVAAJF") to fund contracts and policies issued by John Hancock
Life Insurance Company ("John Hancock" or "JHLICO"), to John Hancock Variable
Life Account PPM-1 ("PPM-1"), and to John Hancock Variable Life Account PPM-2
("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations.
The Fund had borrowings under the line of credit during the period ended
June 30, 2004 as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Average Daily Loan Balance
During the Period for which Weighted Average
Loans were Outstanding Interest Rate Interest Expense
- --------------------------- ---------------- ----------------
$397 1.56% $--
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, open financial futures
contracts for the Fund were as follows:
Open Unrealized
Contracts Position Expiration Month Gain
--------- -------- ---------------- ----------
S&P Mini 500 Index Futures 3 Long September 04 $1
---
$1
===
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $491, $5,508 and $616 which expire in 2009, 2010 and 2011,
respectively.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Dividend
income for the Fund is shown net of foreign taxes withheld of $7. Realized gains
and losses from security transactions are determined on the basis of identified
cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
Between Between
$25 Million and $50 Million and Excess Over
First $25 Million $50 Million $100 Million $100 Million
- ----------------- --------------- --------------- ------------
0.95% 0.85% 0.75% 0.65%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. Accordingly,
for the period ended June 30, 2004, the reimbursements paid from John Hancock
and JHVLICO were $10 to the Fund.
As of May 3, 2004, John Hancock has entered into a Sub-Advisory Agreement
with Wellington Management Company, and under its supervision, is responsible
for the day-to-day investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
Purchases Sales and Maturities
- --------- --------------------
$58,688 $56,631
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, and commercial paper) and their
respective gross unrealized appreciation and depreciation for Federal income tax
purposes at December 31, 2003 were as follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$47,104 $6,662 $(802) $5,860
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
relate to certain securities sold at a loss. Additionally, as a result, net
investment income (loss) and net realized gain (loss) or investment transactions
for a reporting period may differ significantly from distributions during such
period. Accordingly, the Fund may periodically make reclassifications among
certain of its capital accounts without impacting the net asset value of the
Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $6,615 $5,860
In addition, the tax character of distributions paid by the Fund are summarized
as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $593 $-- $1,781
2002 581 -- --
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE E--OTHER MATTERS
Section 30 and Rule 30d-1(b) under the Investment Company Act of 1940, as
amended, requires registered management investment companies to furnish
information relating to any matter submitted during the reporting period to a
vote of Shareholders of the Trust.
John Hancock Variable Series Trust I solicited a vote at special meeting of
Contract owners/Policyholders held on March 18, 2004 on the following matters:
For Against Abstain
--- ------- -------
To approve, as to the Fundamental Value B Fund, an 87% 9% 4%
amendment to the current investment mangement
agreement between the Trust and John Hancock to
increase the fees paid by this Fund to John
Hancock.
Inception: May 1, 1996
- --------------------------------------------------------------------------------
Global Bond Fund
Capital Guardian Trust Company Management Team
- --------------------------------------------------------------------------------
.. Year to date, the Fund returned -1.79%, underperforming its benchmark, the
Citigroup World Government Bond Index, Unhedged. Relative to Morningstar
peers, the Fund has a rating of 2/3 with a below average / average risk
profile
.. The Fund underperformed its benchmark primarily due to currency selection
decisions, while duration / yield curve and country allocation decisions
added value.
.. The Fund's exposure to non-US developed countries was the largest
contributor to positive performance, while currency exposure to the Euro
was the largest detractor.
.. The manager employs a multiple-manager approach, with the Fund managed by
several portfolio managers. The managers select securities using
proprietary fundamental research and economic analysis to identify
attractive markets and currencies and undervalued sectors and securities.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
Federal Republic of Germany 18.0%
Government of Japan 12.7%
Government of France 12.5%
U.S. Treasury 10.2%
Kingdom of Spain 3.7%
Kingdom of Sweden 3.4%
KFW International Finance, Inc. 3.0%
U.K. Treasury 2.6%
Republic of Finland 2.6%
Federal National Mortgage Assoc. 1.8%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN/2/
Global Global Bond
Bond Fund/4/ Benchmark/5/
------------ ------------
YTD/3/ -1.79% -1.52%
1 Year 5.26 5.67
3 Years 11.83 11.96
5 Years 8.32 8.92
Since Inception (5/1/96) 7.86 8.57
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. World Bond
MORNINGSTAR RISK/1/:
.. Below Average (VL/VUL)
.. Average (VA)
MORNINGSTAR RATING/1/:
.. ** (VL/VUL)
.. *** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FUND COMPOSITION (as of June 30, 2004)/2/
% of
Credit Quality Assets
- -------------- ------
AAA/Government/Agency 64.01%
AA 5.77%
A 17.84%
BBB 12.39%
BB & lower 0.00%
Not Rated/Other 0.00%
Weighted Average Yield 3.40%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04 VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 51 VL/VUL subaccounts and 104 VA subaccounts in the
Morningstar World Bond category. This represents the Morningstar 3 year
rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. There are special risks associated with a
nondiversified fund and with international investing including currency
fluctuations, political and economic instability, foreign taxation and
different accounting standards, as outlined in the current prospectus. The
performance of the fund on this page is reported net of Trust level charges
(i.e. investment management fees and operating expenses). It does not
reflect expense and charges of the applicable separate accounts and
variable products, all of which vary to a considerable extent and are
described in your product prospectus. Performance would be lower if
expenses and charges of the separate accounts and products were reflected.
/3/ Year to date returns are not annualized.
/4/ Statistics are based on bond assets only, excluding cash.
/5/ Global Bond Benchmark: 75% Lehman Brothers Aggregate Bond and 25% J.P.
Morgan Non-US Government Bond Index, Hedged, from May 1996 to April 1999,
the J.P. Morgan Global Government Bond Index (Hedged), May 1999 to October
2000, and the Citigroup Government Bond Index, Unhedged, November 2000 to
present.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Global Bond Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $9,871 of
securities loaned (Note B)) ..................................... 96,080
Net unrealized appreciation of investments ......................... 9,410
Short-term investments at value .................................... 10,451
--------
Total investments ............................................ 115,941
Receivable for:
Investments sold ................................................ 12
Interest ........................................................ 1,803
Unrealized appreciation in forward currency
contracts .................................................... 108
--------
Total assets ....................................................... 117,864
--------
LIABILITIES
Payables for:
Foreign interest tax expenses ................................... 1
Accrued operating expenses ...................................... 43
Collateral for securities on loan ............................... 10,032
Unrealized depreciation in forward currency
contracts .................................................... 312
--------
Total liabilities .................................................. 10,388
--------
Net assets ......................................................... $107,476
========
Shares outstanding, $0.01 Par Value (unlimited shares
authorized) ..................................................... 9,263
--------
Net asset value per share .......................................... $ 11.60
========
Composition of net assets:
Capital paid-in ................................................. $ 97,693
Accumulated net realized gain on investments,
futures and foreign currency transactions .................... 209
Undistributed net investment income ............................. 362
Net unrealized appreciation (depreciation) of:
Investments .................................................. 9,410
Translation of assets and liabilities in foreign
currencies ................................................ (198)
--------
Net assets ......................................................... $107,476
========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Global Bond Fund
(000's Omitted)
INVESTMENT INCOME
Interest ........................................................ $ 1,933
Securities lending .............................................. 4
--------
Total investment income ............................................ 1,937
--------
EXPENSES
Investment advisory fee ......................................... 456
Auditors fees ................................................... 6
Custodian fees .................................................. 52
Legal fees ...................................................... 7
Printing & mailing fees ......................................... 17
Trustees' fees ................................................. 2
Other fees ...................................................... 1
--------
Total expenses ..................................................... 541
Less expenses reimbursed ........................................ (5)
--------
Net expenses ....................................................... 536
--------
Net investment income .............................................. 1,401
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on:
Investments .................................................. 293
Foreign currency transactions ................................ 1,007
Change in unrealized appreciation (depreciation) on:
Investments .................................................. (4,908)
Translation of assets and liabilities in foreign
currencies ................................................ 208
--------
Net realized and unrealized loss ................................... (3,400)
--------
Net decrease in net assets resulting from operations ............... $ (1,999)
========
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Global Bond Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income ............................................................ $ 1,401 $ 2,744
Net realized gain ................................................................ 1,300 4,561
Change in net unrealized appreciation (depreciation) ............................. (4,700) 6,812
-------- --------
Net increase (decrease) in net assets resulting from operations ............... (1,999) 14,117
Distributions to shareholders from:
Net investment income ............................................................ (1,385) (5,347)
Realized gains ................................................................... (1,873)
-------- --------
Decrease in net assets resulting from distributions ........................... (1,385) (7,220)
From fund share transactions:
Proceeds from shares sold ........................................................ 20,464 73,381
Distributions reinvested ......................................................... 1,385 7,220
Payment for shares redeemed ...................................................... (18,284) (58,674)
-------- --------
Increase in net assets from fund share transactions ........................... 3,565 21,927
-------- --------
NET INCREASE IN NET ASSETS .......................................................... 181 28,824
NET ASSETS
Beginning of Period .............................................................. 107,295 78,471
-------- --------
End of Period (including undistributed net investment income of $362 and $346,
respectively) ................................................................. $107,476 $107,295
======== ========
Analysis of fund share transactions:
Sold ............................................................................. 1,721 6,269
Reinvested ....................................................................... 118 598
Redeemed ......................................................................... (1,541) (4,995)
-------- --------
Net increase in fund shares outstanding ............................................. 298 1,872
======== ========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Global Bond Fund
--------------------------------------------------------------------
Unaudited Period Year Ended December 31,
Ended June 30, -----------------------
2004 2003 2002 2001 2000(c)
---------------- -------- ------- -------- -------
Net Assets Value at Beginning of Period ................ $ 11.97 $ 11.06 $ 9.74 $ 10.34 $ 9.82
Income from Investment Operations:
Net Investment Income ............................... 0.17 0.40 0.40 0.38 0.48
Net Realized and Unrealized Gain (Loss) on
Investment(a) .................................... (0.39) 1.36 1.43 (0.53) 0.67
-------- -------- ------- ------- -------
Total From Investment Operations .................... (0.22) 1.76 1.83 (0.15) 1.15
Less Distributions:
Distribution from Net Investment Income ............. (0.15) (0.63) (0.46) (0.45) (0.63)
Distribution from Net Realized Gains on
Investments ...................................... (0.22) (0.05)
-------- -------- ------- ------- -------
Total Distributions ................................. (0.15) (0.85) (0.51) (0.45) (0.63)
-------- -------- ------- ------- -------
Net Assets Value at End of Period ...................... $ 11.60 $ 11.97 $ 11.06 $ 9.74 $ 10.34
======== ======== ======= ======= =======
Total Investment Return(b) ............................. (1.79)%(f) 15.91% 18.85% (1.45)% 12.00%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net
Assets ........................................... 1.00%(d)(g) 0.95%(d) 0.95%(d) 0.95%(d) 0.81%(d)
Ratio of Net Investment Income to Average Net
Assets ........................................... 2.63%(g) 2.85% 3.53% 3.73%(e) 4.71%
Portfolio Turnover Rate ............................. 17.70%(f) 51.09% 64.15% 41.75% 259.60%
Net Assets End of Period (000s Omitted) ................ $107,476 $107,295 $78,471 $47,646 $68,473
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) The Fund entered into a new sub-advisory agreement with Capital Guardian
Trust Company during the period shown.
(d) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made the expense ratio would have been 1.01% for the period ending
June 30, 2004, and .98%, 1.01%, .95%, and .91%, for the years ended
December 31, 2003, 2002, 2001, and 2000, respectively.
(e) Had the Fund not amortized premiums and accreted discounts on debt
securities, the annual ratio of net investment income to average net assets
would have been 3.96% for the years ended December 31, 2001.
(f) Not annualized.
(g) Annualized.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
GLOBAL BOND FUND
Par Market
Name of Issuer Value Value
-------------- -------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS
Australia - 0.2%
Government of Australia (FG)
5.75% due 06/15/11 .................................. $ 250 $ 173
Canada - 0.8%
Government of Canada (FG)
5.5% due 06/01/10 ................................... 650 509
7.25% due 06/01/07 .................................. 250 204
Government of Canada - Bonds (FG)
7.0% due 12/01/06 ................................... 125 101
Province of British Columbia - Debs. (FG)
6.35% due 06/18/31 .................................. 125 101
-------
915
Denmark - 2.7%
NY Kredit (FB)
5.0% due 10/01/35 ................................... 6,613 1,040
RealKredit Danmark - Notes (JP)
5.0% due 10/01/35 ................................... 11,725 1,843
-------
2,883
Finland - 2.5%
Republic of Finland - Bonds (FB)
5.75% due 02/23/11 .................................. 2,030 2,729
France - 12.2%
Government of France (FG)
5.0% due 10/25/11 ................................... 3,570 4,596
Government of France - Bonds (FG)
5.25% due 04/25/08 .................................. 6,580 8,542
-------
13,138
Germany - 18.4%
Bayer Hypo Vereins - Bonds (JP)
6.0% due 02/14/14 ................................... 400 517
Federal Republic of Germany (FG)
4.5% due 07/04/09 ................................... 3,000 3,800
5.0% due 02/17/06 ................................... 830 1,048
5.25% due 01/04/11 .................................. 7,000 9,176
6.0% due 07/04/07 ................................... 1,900 2,504
6.25% due 01/04/30 .................................. 1,250 1,812
Federal Republic of Germany - Bonds (FG)
5.25% due 01/04/08 .................................. 500 648
Kredit Fuer Wiederaufbau (JP)
5.0% due 07/04/11 ................................... 250 322
-------
19,827
Greece - 0.4%
Hellenic Republic - Bonds (FG)
8.8% due 06/19/07 ................................... 293 415
Italy - 0.2%
Edison (J3)
1.0% due 07/20/07 ................................... 125 168
Japan - 12.5%
Government of Japan (FG)
0.5% due 06/20/13 ................................... $160,000 $ 1,322
Government of Japan - Bonds (FG)
0.9% due 12/22/08 ................................... 685,000 6,323
1.1% due 03/21/11 ................................... 320,000 2,900
Government of Japan (FG)
1.8% due 03/22/10 ................................... 300,000 2,866
-------
13,411
Luxembourg - 2.9%
KFW International Finance, Inc. (FB)
1.75% due 03/23/10 .................................. 330,000 3,119
Netherlands - 1.5%
Government of Netherlands (FG)
5.5% due 01/15/28 ................................... 1,220 1,609
New Zealand - 0.3%
Government of New Zealand - Bonds (FG)
8.0% due 11/15/06 ................................... 500 330
Norway - 0.6%
Kingdom of Norway (FG)
6.0% due 05/16/11 ................................... 3,850 610
Spain - 2.6%
Kingdom of Spain (FG)
6.15% due 01/31/13 .................................. 2,000 2,769
Supra National - 15.4%
Allied Irish Banks plc (JP)
7.5% due 12/29/49 ................................... 500 706
Arena Brands Co. (JG)
6.1% due 11/15/62 ................................... 500 680
Bank of America (JP)
3.625% due 03/03/08 ................................. 250 305
4.75% due 05/06/19 .................................. 400 481
Bank of Ireland (JP)
6.45% due 02/10/10 .................................. 1,000 1,356
BNP Paribas (JP)
5.25% due 01/23/14 .................................. 125 160
Daimler Chrysler International Finance Co.
(FB)
6.125% due 03/21/06 ................................. 850 1,085
Deutsche Telekom International Finance
(FB)
7.5% due 05/29/07 ................................... 125 169
Deutsche Telekom International Finance BV
(FB)
8.125% due 05/29/12 ................................. 540 799
E On International Finance (FB)
5.75% due 05/29/09 .................................. 710 935
Edison Spa (J3)
5.125% due 12/10/10 ................................. 830 1,035
European Investment Bank - Notes (JA)
3.0% due 09/20/06 ................................... 60,000 580
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
GLOBAL BOND FUND
Par Market
Name of Issuer Value Value
-------------- -------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Supra National - Continued
Federal National Mortgage Assoc. - Bonds (FD)
2.125% due 10/09/07 ................................. $100,000 $ 962
Ford Credit Canada, Ltd. (AL)
4.875% due 05/17/07 ................................. 430 534
France Telecom (J1)
8.25% due 03/14/08 .................................. 250 338
9.0% due 03/14/11 ................................... 405 802
GIE Psa Tresorerie - Bonds (BV)
5.875% due 09/27/11 ................................. 250 329
HSBC Capital Funding (FB)
8.03% due 12/29/49 .................................. 350 514
International Bank of Reconstruction &
Development - Notes (JP)
2.0% due 02/18/08 ................................... 80,000 766
International-American Development Bank -
Bonds (JP)
1.9% due 07/08/09 ................................... 100,000 960
Kingdom of Spain - Notes (FG)
3.1% due 09/20/06 ................................... 120,000 1,163
Misuho Finance Cayman (FB)
4.75% due 04/15/14 .................................. 475 581
PLD International Finance LLC (FB)
4.375% due 04/13/11 ................................. 350 415
RWE Finance BV (FB)
6.125% due 10/26/12 ................................. 125 169
Sogerim SA (J1)
7.25% due 04/20/11 .................................. 125 173
Veolia Environment (J6)
4.875% due 05/28/13 ................................. 440 534
-------
16,531
Sweden - 3.9%
Kingdom of Sweden (FG)
5.25% due 03/15/11 .................................. 11,000 1,535
Spintab - Bonds (JP)
6.0% due 04/20/09 ................................... 5,000 710
Swedish Government (FG)
5.0% due 01/28/09 ................................... 14,200 1,963
-------
4,208
United Kingdom - 5.7%
British Telecom Plc (J1)
7.125% due 02/15/11 ................................. 780 1,084
Imperial Tobacco Finance plc (FB)
6.375% due 09/27/06 ................................. 510 660
National Grid Group Finance (FB)
5.25% due 08/23/06 .................................. 410 520
6.125% due 08/23/11 ................................. 250 332
Royal Bank of Scotland (JP)
4.875% due 03/26/09 ................................. 125 158
Standard Chartered Bank (JP)
5.375% due 05/06/09 ................................. 500 641
United Kingdom - Continued
U.K. Treasury (FG)
4.25% due 06/07/32 .................................. $ 320 $ 530
U.K. Treasury - Bonds (FG)
6.0% due 12/07/28 ................................... 50 105
U.K. Treasury (FG)
7.25% due 12/07/07 .................................. 660 1,279
8.0% due 12/07/15 ................................... 250 568
8.0% due 06/07/21 ................................... 125 303
-------
6,180
United States - 15.3%
Bank Americorp - Sr. Notes (JP)
4.875% due 09/15/12 ................................. 400 390
Clear Channel Communications, Inc. (JA)
7.65% due 09/15/10 .................................. 125 141
Dominion Resources, Inc. - Sr. Notes Ser. B
(EU)
4.125% due 02/15/08 ................................. 250 250
Federal National Mortgage Assoc. - Notes
(FD)
6.0% due 05/15/08 ................................... 900 969
General Motors Acceptance Corp. - Notes
(AL)
6.875% due 09/15/11 ................................. 1,025 1,051
Kellogg Co. - Notes Ser. B (JH)
6.6% due 04/01/11 ................................... 500 548
Merrill Lynch Mortgage Investments, Inc. - Ser. 2004
A1 Cl. 2A1 (OC)
4.67% due 02/25/34 .................................. 338 336
Metlife, Inc. - Debs. (JR)
3.911% due 05/15/05 ................................. 190 192
News America, Inc. - Sr. Notes (JA)
6.75% due 01/09/38 .................................. 125 137
NiSource Finance Corp. - Sr. Notes (FB)
6.15% due 03/01/13 .................................. 80 83
Pulte Homes, Inc. - Sr. Notes (BJ)
6.25% due 02/15/13 .................................. 100 102
8.125% due 03/01/11 ................................. 25 29
Schering Plough Corp. - Sr. Notes (JO)
5.3% due 12/01/13 ................................... 125 123
SLM Corp. (JQ)
5.0% due 04/15/15 ................................... 375 355
Sprint Capital Corp. - Notes (J1)
8.375% due 03/15/12 ................................. 100 115
Telstra, Ltd. - Notes (J1)
6.375% due 04/01/12 ................................. 125 134
U.S. Treasury - Notes (TN)
1.125% due 06/30/05 ................................. 1,750 1,734
2.0% due 11/30/04 ................................... 550 551
3.25% due 08/15/07 .................................. 2,500 2,502
5.75% due 08/15/10 .................................. 250 273
6.5% due 02/15/10 ................................... 500 563
6.875% due 05/15/06 ................................. 1,450 1,561
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
GLOBAL BOND FUND
Par Market
Name of Issuer Value Value
-------------- -------- --------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
United States - Continued
U.S. Treasury - Bonds (TB)
5.25% due 02/15/29 ................................ $ 500 $ 490
6.375% due 08/15/27 ............................... 1,000 1,129
8.875% due 08/15/17 ............................... 1,425 1,953
Univision Communications, Inc. - Sr. Notes
(JA)
7.85% due 07/15/11 ................................ 100 115
Viacom, Inc. - Sr. Notes (JA)
6.625% due 05/15/11 ............................... 250 272
Washington Mutual, Inc. (JQ)
5.625% due 01/15/07 ............................... 125 131
Wells Fargo & Co. - Notes (JQ)
3.5% due 04/04/08 ................................. 250 246
--------
16,475
--------
TOTAL PUBLICLY-TRADED BONDS-
(Cost $96,080) .................................... 98.1% 105,490
INVESTMENT COMPANIES HELD
AS COLLATERAL ON LOANED
SECURITIES - 9.3%
State Street Navigator Securities Lending
Portfolio ......................................... 10,032 10,032
SHORT-TERM INVESTMENTS - 0.4%
Investment in joint trading account
1.344% due 07/01/04
(Cost $419) ....................................... 419 419
-------- -------
TOTAL INVESTMENTS-
(Cost $106,531) 107.8% 115,941
Payables, less cash and receivables- (7.8)% (8,465)
-------- --------
NET ASSETS- 100.0% $107,476
======== ========
See notes to financial statements.
SUMMARY OF LONG-TERM SECURITIES BY INDUSTRY
Market % of
Industry Value Long-Term
Industry Abbreviation (000s) Investments
-------- ------------ ------- -----------
Foreign Governmental ................... FG $59,804 56.7%
Finance ................................ FB 13,150 12.5%
Banks .................................. JP 9,895 9.4%
U.S. Treasury Notes .................... TN 7,184 6.8%
U.S. Treasury Bonds .................... TB 3,572 3.4%
Diversified Telecommunication
Services ............................ J1 2,645 2.5%
U.S. Government Agencies ............... FD 1,931 1.8%
Auto Loan .............................. AL 1,585 1.5%
Electric Utilities ..................... J3 1,203 1.2%
Diversified Financials ................. JQ 732 0.7%
Beverages .............................. JG 680 0.7%
Media .................................. JA 664 0.6%
Food Products .......................... JH 548 0.5%
Water Utilities ........................ J6 534 0.5%
Whole Loan CMOs ........................ OC 337 0.3%
Automobiles ............................ BV 329 0.3%
Electric/Gas ........................... EU 250 0.2%
Insurance .............................. JR 193 0.2%
Construction & Engineering ............. BJ 131 0.1%
Pharmaceuticals ........................ JO 123 0.1%
-------- -----
$105,490 100.0%
======== =====
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Global Bond Fund (the "Fund") is a diversified series of John
Hancock Variable Series Trust I (the "Trust"), an open-end investment management
company registered under the Investment Company Act of 1940. The Trust is
organized as a Massachusetts business trust and consists of thirty different
funds as of June 30, 2004. The results of this Fund are included in this report.
The results of the other Funds in the Trust are presented under separate cover.
The Trust may add or delete Funds in the future to accommodate various
investment objectives. The Trust has issued shares of beneficial interest
exclusively to John Hancock Variable Life Account U ("JHVLAU"), John Hancock
Variable Life Account V ("JHVLAV"), John Hancock Variable Life Account S
("JHVLAS"), and John Hancock Variable Annuity Account I ("JHVAAI") to fund
policies and contracts issued by the John Hancock Variable Life Insurance
Company ("JHVLICO"), and to John Hancock Variable Annuity Account U ("JHVAAU"),
John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock Variable Life
Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H ("JHVAAH"), and
John Hancock Variable Annuity Account JF ("JHVAAJF") to fund contracts and
policies issued by John Hancock Life Insurance Company ("John Hancock" or
"JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"), and to John
Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. In the event the Exchange
closes at any time other than 4:00 p.m. Eastern Standard Time on a particular
day, the Fund will determine its net asset value per share as of the close of
the Exchange on that day. All other securities held by the Fund are valued at
the last sale price or official closing price (closing bid price or last
evaluated quote if no sale has occurred) as of the close of business on a
principal securities exchange (domestic or foreign) or, lacking any sales, at
the closing bid price. Investment security transactions are recorded on the date
of purchase or sale.
Debt investment securities having a primary market over-the-counter are
valued on the basis of valuations furnished by a pricing service which
determines valuations for normal institutional size trading units of debt
securities, without exclusive reliance upon quoted prices.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain fund securities, when held by the Fund, are valued
at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available".
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
indexes, a swing in particular foreign market indexes, or a significant price
change in Exchange Traded Funds in a particular foreign market.
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Discount and premium on debt securities: The Fund accretes discount and
amortizes premium from par value on securities from either the date of issue or
the date of purchase over the life of the security.
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Trust's record keeper and custodian, and the Bank of New York. These agreements
enable the Fund to participate in an unsecured line of credit, which permits
borrowings up to $125 and $75 million, respectively. Interest is charged to the
Fund, based on its borrowing. In addition, a commitment fee is charged to the
Fund based on the average daily unused portion of the line of credit and is
allocated among the participating Funds in the Trust. Interest expense paid
under the line of credit is included under the caption "Other fees" in the
Statement of Operations.
The Fund had borrowings under the line of credit during the period ended
June 30, 2004 as follows:
Average Daily Loan Balance
During the Period for which Weighted Average
Loans were Outstanding Interest Rate Interest Expense
- --------------------------- ---------------- ----------------
$161 1.53% $--
Securities lending: The Fund has entered into an agreement with SSBT to
lend its securities to certain qualified brokers who pay the Fund's negotiated
lender fees. This loan is collateralized at all times with cash or securities
with a market value at least equal to the market value of the securities on
loan. Cash collateral is invested in a short-term instrument. As with other
extensions of credit, the Fund may bear the risk of delay of the loaned
securities in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. At June 30, 2004, the market value
of the securities loaned and the market value of the collateral for the Fund was
as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$9,871 $10,032
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, the Fund had no open
financial futures contracts.
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. As of June 30, 2004, the Fund had
open forward currency contracts, which contractually obligate the Fund to
deliver or receive currencies at a specified date, as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Unrealized
Principal Amount Appreciation/
Covered by Contract Expiration Month (Depreciation)
------------------- ---------------- --------------
Currency Purchased
Euro 1,645 August 04 $ 11
Japanese Yen 2,972 July 04 95
Japanese Yen 728 August 04 5
Japanese Yen 1,637 September 04 4
Japanese Yen 7,681 October 04 (7)
-----
$ 108
=====
Currency Sold
Euro 2,262 July 04 $ (52)
Euro 2,792 July 04 (69)
Euro 1,617 August 04 (38)
Euro 7,681 October 04 (153)
-----
$(312)
=====
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $1,028 and $1 which expire in 2008 and 2010, respectively.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred approximately $258 in net realized currency losses. As
permitted by tax regulations, the Fund intends to elect to defer these losses
and treat them as arising in the fiscal year ending on December 31, 2004.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH
AFFILIATES--Continued
Between Between
$150 Million and $300 Million and Excess Over
First $150 Million $300 Million $500 Million $500 Million
- ------------------ ---------------- ---------------- ------------
0.85% 0.80% 0.75% 0.70%
For the period from January 1, 2004 to April 30, 2004, John Hancock and
JVLICO agreed to reimburse the Fund for normal operating expenses, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses that exceed 0.10% of the Fund's daily net asset value.
Accordingly, for the period from January 1, 2004 to April 30, 2004 the Fund was
reimbursed $5 by John Hancock and JVLICO. On March 18, 2004, the Fund's
Shareholders approved the removal of John Hancock and JVLICO's respective
obligations to reimburse the Fund for excess operating expenses effective May 1,
2004.
John Hancock has entered into a Sub-Advisory Agreement with Capital
Guardian Trust Company, and under its supervision, is responsible for the
day-to-day investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$22,758 $18,681
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, commercial paper and collateral for
securities lending) and their respective gross unrealized appreciation and
depreciation for Federal income tax purposes at December 31, 2003 were as
follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$101,162 $14,298 $(42) $14,256
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations, which may differ from accounting principles generally accepted in
the United States of America. These differences primarily relate to certain
securities sold at a loss, premium amortization and market
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
discount accretion on debt securities, and sale of certain foreign currency
denominated debt securities. Additionally, as a result, net investment income
(loss) and net realized gain (loss) on investment transactions for a reporting
period may differ significantly from distributions during such period.
Accordingly, the Fund may periodically make reclassifications among certain of
its capital accounts without impacting the net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $1,029 $14,256
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $6,998 $-- $222
2002 3,132 -- 335
Included in the Fund's 2003 distributions from ordinary income is $1,714 in
excess of investment company taxable income, which in accordance with applicable
US tax law, is taxable to shareholders as ordinary income distributions.
NOTE E--OTHER MATTERS
Section 30 and Rule 30d-1(b) under the Investment Company Act of 1940, as
amended, requires registered management investment companies to furnish
information relating to any matter submitted during the reporting period to a
vote of Shareholders of the Trust.
John Hancock Variable Series Trust I solicited a vote at special meeting of
Contract owners/Policyholders held on March 18, 2004 on the following matters:
For Against Abstain
--- ------- -------
To approve, as to the Global Bond Fund, an amendment 84% 7% 9%
to the current investment mangement agreement
between the Trust and John Hancock to eliminate
John Hancock's obligation to reimburse this
expenses.
Inception: March 29, 1986
- --------------------------------------------------------------------------------
Growth & Income Fund
Independence Investment LLC J. Forelli/T. Spicer
T. Rowe Price Associates, Inc. Robert W. Sharps
- --------------------------------------------------------------------------------
.. Fund employs a multi-style and multi-manager approach with two sub-advisers
independently managing portions of the Fund. The Fund uses three distinct
investment styles intended to complement each other: growth, value and
blend. As of quarter end, Independence managed 81% of the Fund (61% blend
sleeve / 20% value sleeve) and T. Rowe Price managed 19% of the Fund
(growth sleeve).
.. The multi-manager approach seeks to produce more consistent investment
returns over market cycles and to reduce the risk of any one manager or
strategy being out of favor in certain market environments.
.. Independence selects stocks using a combination of fundamental equity
research and quantitative portfolio construction tools. Stocks are
purchased that combine cheapness and improving fundamentals with favorable
valuations and earnings growth prospects.
.. T. Rowe Price selects stocks using a bottom-up, fundamental equity research
approach, focusing on companies with above-average earnings growth and cash
flow relative to peers and sustainable earnings momentum. T. Rowe Price
assumed management of this portion of the Fund in mid December 2003.
Fund Commentary
.. Year-to-date, the Fund returned 2.67%, underperforming its benchmark, the
Russell 1000 Index. Relative to Morningstar peers, the Fund has a below
average rating of 2 with an average risk profile.
Independence Investment LLC
. Blend Sleeve: This portion of the Fund underperformed its benchmark
primarily due to unfavorable stock selection broadly across sectors
and unfavorable sector allocation exposures.
. The largest absolute performance contributors were exposures to
companies in the industrials and energy sectors, while exposures to
consumer discretionary and information technology companies were the
largest detractors.
. Value Sleeve: This portion of the Fund underperformed its benchmark
primarily due to unfavorable stock selection broadly across sectors
and unfavorable sector allocation exposures.
. The largest absolute performance contributors were exposures to
companies in the industrials and energy sectors, while exposures to
information technology companies were the largest detractors.
T. Rowe Price Associates
. Growth Sleeve: This portion of the Fund outperformed its benchmark
primarily due to favorable stock selection especially within
information technology, with sector allocation exposures also
contributing.
. The largest absolute performance contributors were exposures to
companies in industrials and information technology sectors.
Inception: March 29, 1986
- --------------------------------------------------------------------------------
Growth & Income Fund
Independence Investment LLC J. Forelli/T. Spicer
T. Rowe Price Associates, INC. Robert W. Sharps
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
Citigroup, Inc. 3.4%
General Electric Co. 3.2%
Exxon Mobil Corp. 3.2%
Microsoft Corp. 2.7%
Pfizer, Inc. 2.1%
Bank of America Corp. 2.0%
American International Group, Inc. 1.9%
Intel Corp. 1.9%
Johnson & Johnson 1.4%
Cisco Systems, Inc. 1.4%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Growth & Income Growth & Income
Fund Benchmark/4/
--------------- ---------------
YTD/3/ 2.67% 3.32%
1 Year 17.49 19.47
3 Years -2.58 -0.50
5 Years -5.32 -2.09
10 Years 9.09 11.89
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Large Blend
MORNINGSTAR RISK/1/:
.. Average (VL/VUL)
.. Average (VA)
MORNINGSTAR RATING/1/:
.. ** (VL/VUL)
.. ** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
Assets
------
Financials 24%
Information Technology 18%
Consumer Discretionary 15%
Health Care 12%
Industrials 12%
Energy 7%
Consumer Staples 6%
Materials 3%
Telecommunication Services 3%
Utilities 2%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 1,110 VL/VUL subaccounts and 1,932 VA subaccounts in the
Morningstar Large Blend category. This represents the Morningstar 3 year
rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost.
The performance of the Fund on this page is reported net of Trust level
charges (i.e. investment management fees and operating expenses). It does
not reflect expense and charges of the applicable separate accounts and
variable products, all of which vary to a considerable extent and are
described in your product prospectus. Performance would be lower if
expenses and charges of the separate accounts and products were reflected.
/3/ Year to date returns are not annualized.
/4/ The Growth & Income Benchmark represents the S&P 500 Index from April 1986
to April 2002 and then the Russell 1000 from May 2002 to present.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Growth & Income Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $48,887 of
securities loaned (Note B)) .................................. $1,917,817
Net unrealized appreciation of investments ...................... 214,540
Short-term investments at value ................................. 60,336
----------
Total investments ......................................... 2,192,693
Receivable for:
Investments sold ............................................. 3,254
Dividends .................................................... 2,090
----------
Total assets .................................................... 2,198,037
----------
LIABILITIES
Payables for:
Investments purchased ........................................ 2,902
Collateral for securities on loan ............................ 49,792
Foreign dividend tax withholding ............................. 3
Accrued operating expenses ................................... 669
Other payables ............................................... 1
Other liabilities ............................................ 39
----------
Total liabilities ............................................... 53,406
----------
Net assets ...................................................... $2,144,631
==========
Shares outstanding, $0.01 Par Value (unlimited
shares authorized) ........................................... 185,620
----------
Net asset value per share ....................................... $ 11.55
==========
Composition of net assets:
Capital paid-in .............................................. $2,633,615
Accumulated net realized loss on investments,
futures and foreign currency transactions ................. (703,558)
Undistributed net investment income .......................... 34
Net unrealized appreciation of investments ................... 214,540
----------
Net assets ...................................................... $2,144,631
==========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Growth & Income Fund
(000's Omitted)
INVESTMENT INCOME
Interest ..................................................... $ 265
Dividends (net of foreign withholding tax
of $24) ................................................... 14,861
Securities lending ........................................... 39
----------
Total investment income ......................................... 15,165
----------
EXPENSES
Investment advisory fee ...................................... 7,173
Auditors fees ................................................ 137
Custodian fees ............................................... 288
Fidelity Bond fees ........................................... 2
Legal fees ................................................... 133
Printing & mailing fees ...................................... 177
Trustees' fees ............................................... 32
Other fees ................................................... 34
----------
Total expenses .................................................. 7,976
Less custodian expense reduction offset by
commission recapture arrangement
(Note C) .................................................. (423)
----------
Net expenses .................................................... 7,553
----------
Net investment income ........................................... 7,612
----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on investments ............................. 102,409
Change in unrealized depreciation on
investments ............................................... (53,749)
----------
Net realized and unrealized Gain ................................ 48,660
----------
Net increase in net assets resulting from
operations ................................................... $ 56,272
==========
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
Growth & Income Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income ........................................................ $ 7,612 $ 18,856
Net realized gain (loss) ..................................................... 102,409 (24,691)
Change in net unrealized appreciation (depreciation) ......................... (53,749) 429,847
---------- ----------
Net increase in net assets resulting from operations ...................... 56,272 424,012
Distributions to shareholders from:
Net investment income ........................................................ (7,578) (18,865)
Realized gains ............................................................... (10,107)
---------- ----------
Decrease in net assets resulting from distributions ....................... (7,578) (28,972)
Capital contributions
From fund share transactions:
Proceeds from shares sold .................................................... 79,485 104,683
Shares issued in reorganization .............................................. 66,546
Distributions reinvested ..................................................... 7,578 28,972
Payment for shares redeemed .................................................. (119,147) (229,423)
---------- ----------
Decrease in net assets from fund share transactions ....................... (32,084) (29,222)
---------- ----------
NET INCREASE IN NET ASSETS ...................................................... 16,610 365,818
NET ASSETS
Beginning of Period .......................................................... 2,128,021 1,762,203
---------- ----------
End of Period (including undistributed net investment income of $34 and $0,
respectively) ............................................................. $2,144,631 $2,128,021
========== ==========
Analysis of fund share transactions:
Sold ......................................................................... 6,955 10,526
Issued in reorganization ..................................................... 7,117
Reinvested ................................................................... 661 2,786
Redeemed ..................................................................... (10,426) (23,196)
---------- ----------
Net decrease in fund shares outstanding ......................................... (2,810) (2,767)
========== ==========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Growth & Income Fund
---------------------------------------------------------------------------
Unaudited
Period Ended
June 30, Year Ended December 31,
------------------------
2004 2003(f) 2002 2001 2000(c)
------------ ---------- ---------- ---------- ----------
Net Assets Value at Beginning of Period ..... $ 11.29 $ 9.22 $ 11.93 $ 14.18 $ 20.01
Income from Investment Operations:
Net Investment Income .................... 0.04 0.10 0.08 0.06 0.17
Net Realized and Unrealized Gain (Loss)
on Investment(a) ...................... 0.26 2.12 (2.71) (2.25) (2.77)
---------- ---------- ---------- ---------- ----------
Total From Investment Operations ......... 0.30 2.22 (2.63) (2.19) (2.60)
Less Distributions:
Distribution from Net Investment
Income ................................ (0.04) (0.10) (0.08) (0.06) (0.17)
Distribution from Net Realized Gains on
Investments ........................... (0.05) (2.69)
Distribution from Excess of Net Investment
Income/Gains .......................... (0.14)
Distribution from Capital Paid-in ........ (0.23)
---------- ---------- ---------- ---------- ----------
Total Distributions ...................... (0.04) (0.15) (0.08) (0.06) (3.23)
---------- ---------- ---------- ---------- ----------
Net Assets Value at End of Period ........... $ 11.55 $ 11.29 $ 9.22 $ 11.93 $ 14.18
========== ========== ========== ========== ==========
Total Investment Return(b) .................. 2.67%(g) 24.35% (22.18)% (15.44)% (13.10)%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net
Assets ................................ 0.75%(e)(h) 0.73%(e) 0.75% 0.72% 0.40%
Ratio of Net Investment Income to Average
Net Assets ............................ 0.72%(h) 1.00% 0.73% 0.49% 0.84%
Portfolio Turnover Rate .................. 31.87%(g) 91.53%(d) 73.60% 104.47%(d) 112.94%
Net Assets End of Period (000s Omitted) ..... $2,144,631 $2,128,021 $1,762,203 $2,476,319 $3,324,988
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) The fund entered into a new sub-advisory agreement with Putnam Investment
Management, Inc. during the period shown.
(d) Excludes merger activity.
(e) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
(f) The Fund entered into a new Sub-Advisory Agreement with T. Rowe during the
period shown.
(g) Not annualized.
(h) Annualized.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
GROWTH & INCOME FUND
Market
Name of Issuer Shares Value
-------------- --------- --------
(000's)
COMMON STOCK
Aerospace & Defense - 1.6%
Boeing Co. * ......................................... 280,200 $ 14,315
United Technologies Corp. * .......................... 223,400 20,437
--------
34,752
Air Freight & Couriers - 0.8%
Fedex Corp. .......................................... 129,000 10,538
United Parcel Service, Inc. - Cl. B .................. 92,900 6,983
--------
17,521
Auto Components - 0.4%
Borg-Warner Automotive, Inc. ......................... 42,600 1,865
Magna International, Inc. - Cl. A .................... 77,000 6,558
--------
8,423
Automobiles - 1.5%
Ford Motor Co. ....................................... 136,500 2,136
General Motors Corp. * ............................... 414,900 19,330
Harley-Davidson, Inc. * .............................. 183,000 11,335
--------
32,801
Banks - 4.4%
Bank of America Corp. * .............................. 513,262 43,432
Bank One Corp. * ..................................... 252,300 12,867
Golden West Financial Corp. * ........................ 81,500 8,668
SouthTrust Corp. * ................................... 175,400 6,807
US Bancorp * ......................................... 142,900 3,938
Wachovia Corp. * ..................................... 63,300 2,817
Wells Fargo & Co. * .................................. 292,800 16,757
--------
95,286
Beverages - 1.7%
Anheuser-Busch Cos., Inc. ............................ 354,000 19,116
Coca-Cola Co. * ...................................... 179,500 9,061
PepsiCo, Inc. * ...................................... 156,600 8,438
--------
36,615
Biotechnology - 1.8%
Amgen, Inc. * ........................................ 270,000 14,734
Biogen IDEC, Inc. * .................................. 148,200 9,373
Genetech, Inc. * ..................................... 114,000 6,407
Gilead Sciences, Inc. * .............................. 121,000 8,107
--------
38,621
Chemicals - 1.4%
Dow Chemical Co. * ................................... 385,000 15,670
Praxair, Inc. * ...................................... 201,200 8,030
Rohm & Haas Co. ...................................... 172,400 7,168
--------
30,868
Commercial Services & Supplies - 1.1%
Apollo Group, Inc. - Cl. A * ......................... 78,500 6,930
Automatic Data Processing, Inc. ...................... 259,000 10,847
Choicepoint, Inc. * .................................. 111,100 5,073
--------
22,850
Communications Equipment - 3.6%
Cisco Systems, Inc. * ................................ 1,264,200 $ 29,962
Corning, Inc. * ...................................... 367,000 4,793
Harris Corp. ......................................... 28,300 1,436
Juniper Networks, Inc. * ............................. 256,200 6,295
Lucent Technologies, Inc. * .......................... 913,900 3,455
Motorola, Inc. ....................................... 837,500 15,284
Qualcomm, Inc. * ..................................... 109,900 8,020
Research in Motion, Ltd. * ........................... 103,500 7,084
--------
76,329
Computers & Peripherals - 2.6%
Dell, Inc. * ......................................... 775,600 27,782
EMC Corp. * .......................................... 514,500 5,866
International Business Machines Corp. ................ 251,200 22,143
--------
55,791
Diversified Financials - 12.3%
American Express Co. * ............................... 108,100 5,554
Ameritrade Holding Corp. * ........................... 426,800 4,844
Capital One Financial Corp. .......................... 186,000 12,719
CIT Group, Inc. * .................................... 195,000 7,467
Citigroup, Inc. * .................................... 1,562,525 72,657
E*TRADE Group, Inc. * ................................ 225,600 2,515
Federal Home Loan Mortgage Corp. ..................... 250,300 15,844
Federal National Mortgage Assoc. * ................... 253,000 18,054
Goldman Sachs Group, Inc. ............................ 167,800 15,800
JP Morgan Chase & Co. ................................ 732,600 28,403
MBNA Corp. * ......................................... 549,600 14,174
Merrill Lynch & Co., Inc. * .......................... 364,100 19,654
Morgan Stanley, Dean Witter, Discover & Co. .......... 481,500 25,409
SLM Corp. * .......................................... 144,300 5,837
State Street Corp. ................................... 307,300 15,070
--------
264,001
Diversified Telecommunication Services - 2.0%
BellSouth Corp ....................................... 454,800 11,925
SBC Communications, Inc. * ........................... 72,100 1,748
Sprint Corp. * ....................................... 241,900 4,257
Verizon Communications * ............................. 671,500 24,302
--------
42,232
Electric Utilities - 1.7%
Constellation Energy Group, Inc. * ................... 308,100 11,677
Dominion Resources, Inc .............................. 50,400 3,179
Edison International * ............................... 298,200 7,625
Entergy Corp. * ...................................... 73,800 4,134
PG & E Corp. * ....................................... 190,200 5,314
TXU Corp. ............................................ 106,100 4,298
--------
36,227
Electrical Equipment - 0.9%
American Power Conversion ............................ 318,400 6,257
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
GROWTH & INCOME FUND
Market
Name of Issuer Shares Value
-------------- --------- --------
(000's)
COMMON STOCK - Continued
Electrical Equipment - Continued
Rockwell International Corp. * ....................... 343,600 $ 12,888
--------
19,145
Electronic Equipment & Instruments - 0.3%
Sanmina Corp. * ...................................... 775,500 7,057
Energy Equipment & Services - 0.7%
National-Oilwell, Inc. * ............................. 162,000 5,101
Transocean Sedco Forex, Inc. * ....................... 320,300 9,270
--------
14,371
Food & Drug Retailing - 0.7%
Sysco Corp. * ........................................ 261,200 9,369
Walgreen Co. * ....................................... 155,900 5,645
--------
15,014
Gas Utilities - 0.3%
Sempra Energy * ...................................... 158,400 5,454
Health Care Equipment & Supplies - 1.8%
Boston Scientific Corp. * ............................ 170,200 7,285
Guidant Corp. ........................................ 64,500 3,604
Medtronic, Inc. * .................................... 170,800 8,321
St. Jude Medical, Inc. * ............................. 112,600 8,518
Stryker Corp. * ...................................... 43,400 2,387
Zimmer Holdings, Inc. * .............................. 104,400 9,208
--------
39,323
Health Care Providers & Services - 2.4%
Amerisource Bergen Corp. * ........................... 73,000 4,364
Anthem, Inc. * ....................................... 256,800 22,999
UnitedHealth Group, Inc. * ........................... 377,700 23,512
--------
50,875
Hotels Restaurants & Leisure - 1.5%
Carnival Corp. ....................................... 118,400 5,565
Hilton Hotels Corp. * ................................ 299,300 5,585
International Game Technology * ...................... 293,900 11,345
International Speedway Corp. - Cl. A ................. 26,900 1,308
Yum Brands, Inc. * ................................... 200,000 7,444
--------
31,247
Household Durables - 0.9%
Centex Corp. * ....................................... 109,900 5,028
Leggett & Platt, Inc. * .............................. 245,700 6,563
Maytag Corp. * ....................................... 298,700 7,321
--------
18,912
Household Products - 0.7%
Procter & Gamble Co. * ............................... 279,800 15,232
Industrial Conglomerates - 5.2%
3M Co. ............................................... 225,400 20,288
General Electric Co. * ............................... 2,096,800 67,936
Honeywell International, Inc. ........................ 235,700 8,634
Tyco International, Ltd. * ........................... 438,300 $ 14,525
--------
111,383
Insurance - 6.7%
AFLAC, Inc. * ........................................ 215,600 8,799
Allstate Corp ........................................ 310,500 14,454
American International Group, Inc. * ................. 560,700 39,967
Chubb Corp. * ........................................ 60,400 4,118
Everest Re Group, Ltd. ............................... 53,700 4,315
Hartford Financial Services Group, Inc. * ............ 424,100 29,152
Lincoln National Corp. * ............................. 180,200 8,514
Old Republic International Corp. ..................... 101,100 2,398
Protective Life Corp. ................................ 39,100 1,512
Prudential Financial, Inc. * ......................... 470,600 21,869
St. Paul Cos., Inc. .................................. 217,215 8,806
--------
143,904
Internet & Catalog Retail - 1.0%
eBay, Inc. * ......................................... 67,900 6,244
Interactive Corp. .................................... 523,500 15,778
--------
22,022
Internet Software & Services - 0.3%
Yahoo, Inc. * ........................................ 178,600 6,488
IT Consulting & Services - 1.2%
Accenture, Ltd. - Cl. A * ............................ 810,500 22,273
Affiliated Computer Services, Inc. - Cl. A * ......... 75,300 3,986
--------
26,259
Machinery - 2.2%
Danaher Corp. * ...................................... 497,200 25,780
Eaton Corp. * ........................................ 156,000 10,100
ITT Industries, Inc. * ............................... 108,100 8,972
Pall Corp. * ......................................... 92,300 2,417
--------
47,269
Media - 4.6%
Clear Channel Communications, Inc. ................... 236,400 8,735
Comcast Corp. - Cl. A ................................ 707,100 19,820
E.W. Scripps Co. - Cl. A ............................. 61,400 6,447
EchoStar Communications Corp. - Cl. A * .............. 255,900 7,869
Fox Entertainment Group, Inc. - Cl. A * .............. 197,800 5,281
Omnicom Group, Inc. .................................. 77,300 5,866
The Walt Disney Co. * ................................ 687,000 17,512
Time Warner, Inc. * .................................. 1,176,400 20,681
Tribune Co. * ........................................ 134,000 6,103
--------
98,314
Metals & Mining - 0.8%
Alcoa, Inc. * ........................................ 204,300 6,748
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
GROWTH & INCOME FUND
Market
Name of Issuer Shares Value
-------------- --------- ----------
(000's)
COMMON STOCK - Continued
Metals & Mining - Continued
Nucor Corp. ........................................ 49,200 $ 3,777
United States Steel Corp. * ........................ 217,200 7,628
----------
18,153
Multiline Retail - 2.3%
BJ's Wholesale Club, Inc. * ........................ 76,600 1,915
Family Dollar Stores, Inc. ......................... 72,600 2,209
Federated Department Stores, Inc. * ................ 264,500 12,987
Kohl's Corp.* ...................................... 44,400 1,877
Nordstrom, Inc. .................................... 281,300 11,986
Target Corp. * ..................................... 129,200 5,487
Wal-Mart Stores, Inc. * ............................ 237,200 12,515
----------
48,976
Office Electronics - 0.2%
Xerox Corp. * ...................................... 359,800 5,217
Oil & Gas - 6.0%
BP Amoco plc - ADR ................................. 78,400 4,200
Conoco Phillips .................................... 336,200 25,649
Devon Energy Corp. * ............................... 167,400 11,048
Exxon Mobil Corp. * ................................ 1,512,300 67,161
Murphy Oil Corp. ................................... 108,100 7,967
Occidental Petroleum Corp. * ....................... 84,900 4,110
Pioneer Natural Resources Co. ...................... 231,400 8,118
----------
128,253
Paper & Forest Products - 0.7%
Georgia-Pacific Corp. * ............................ 205,000 7,581
International Paper Co. * .......................... 164,000 7,331
----------
14,912
Personal Products - 1.1%
Avon Products, Inc. ................................ 218,200 10,068
Estee Lauder Cos., Inc. - Cl. A .................... 151,000 7,366
Gillette Co. ....................................... 131,900 5,592
----------
23,026
Pharmaceuticals - 5.9%
Abbott Laboratories * .............................. 346,900 14,139
Bristol-Myers Squibb Co. * ......................... 43,300 1,061
Eli Lilly & Co. * .................................. 47,600 3,328
Forest Laboratories, Inc. * ........................ 152,000 8,608
Johnson & Johnson .................................. 542,400 30,212
Merck & Co., Inc. * ................................ 503,100 23,897
Pfizer, Inc. * ..................................... 1,311,960 44,974
Watson Pharmaceuticals, Inc. * ..................... 29,600 796
----------
127,015
Semiconductor Equipment & Products - 4.1%
Analog Devices, Inc. * ............................. 270,600 12,740
Applied Materials, Inc. * .......................... 190,400 3,736
Applied Micro Circuits Corp. * ..................... 166,000 883
Intel Corp. ........................................ 1,443,400 39,838
Maxim Integrated Products, Inc. * .................. 109,400 5,735
Novellus Systems, Inc. * ........................... 180,400 $ 5,672
QLogic Corp. * ..................................... 68,400 1,819
RF Micro Devices, Inc. * ........................... 449,100 3,368
Texas Instruments, Inc. * .......................... 372,100 8,997
Xilinx, Inc. * ..................................... 152,700 5,086
----------
87,874
Software - 4.2%
Electronic Arts, Inc. * ............................ 175,200 9,557
Intuit, Inc. * ..................................... 119,900 4,626
Microsoft Corp. * .................................. 2,040,000 58,263
Oracle Corp. * ..................................... 645,200 7,697
Red Hat, Inc. * .................................... 160,900 3,696
Veritas Software Corp. * ........................... 192,100 5,321
----------
89,160
Specialty Retail - 2.9%
Best Buy Co., Inc. * ............................... 191,200 9,701
CDW Corp. .......................................... 201,900 12,873
Gap, Inc. .......................................... 266,300 6,458
Home Depot, Inc. * ................................. 813,800 28,646
TJX Cos., Inc. * ................................... 217,300 5,246
----------
62,924
Textiles & Apparel - 0.7%
Liz Claiborne, Inc. * .............................. 194,000 6,980
Nike, Inc. - Cl. B ................................. 120,600 9,136
----------
16,116
Tobacco - 1.4%
Altria Group, Inc. ................................. 591,000 29,579
Trading Companies & Distributors - 0.2%
W.W. Grainger, Inc. * .............................. 78,900 4,537
Wireless Telecommunications Services - 0.6%
Nextel Communications, Inc. - Cl. A * .............. 451,200 12,029
----------
TOTAL COMMON STOCK-
(Cost $1,917,817) 99.4% 2,132,357
Par
Value
---------
(000's)
INVESTMENT COMPANIES HELD
AS COLLATERAL ON LOANED
SECURITIES - 2.3%
State Street Navigator Securities
Lending Portfolio ............................... $ 49,792 49,792
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
GROWTH & INCOME FUND
Par Market
Name of Issuer Value Value
-------------- ------- -----------
(000's) (000's)
SHORT-TERM INVESTMENTS - 0.5%
Investment in joint trading account
1.344% due 07/01/04
(Cost $10,544) .................................. $10,544 $ 10,544
------- ----------
TOTAL INVESTMENTS-
(Cost $1,978,153) 102.2% 2,192,693
Payables, less cash and receivables- (2.2)% (48,062)
------- ----------
NET ASSETS- 100.0% $2,144,631
======= ==========
*Non-income producing security.
ADR-American Depository Receipt.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Growth & Income Fund (the "Fund") is a diversified series of
John Hancock Variable Series Trust I (the "Trust"), an open-end investment
management company registered under the Investment Company Act of 1940. The
Trust is organized as a Massachusetts business trust and consists of thirty
different funds as of June 30, 2004. The results of this Fund are included in
this report. The results of the other Funds in the Trust are presented under
separate cover. The Trust may add or delete Funds in the future to accommodate
various investment objectives. The Trust has issued shares of beneficial
interest exclusively to John Hancock Variable Life Account U ("JHVLAU"), John
Hancock Variable Life Account V ("JHVLAV"), John Hancock Variable Life Account S
("JHVLAS"), and John Hancock Variable Annuity Account I ("JHVAAI") to fund
policies and contracts issued by the John Hancock Variable Life Insurance
Company ("JHVLICO"), and to John Hancock Variable Annuity Account U ("JHVAAU"),
John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock Variable Life
Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H ("JHVAAH"), and
John Hancock Variable Annuity Account JF ("JHVAAJF") to fund contracts and
policies issued by John Hancock Life Insurance Company ("John Hancock" or
"JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"), and to John
Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations.
The Fund had borrowings under the line of credit during the period ended
June 30, 2004 as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Average Daily Loan Balance
During the Period for which Weighted Average
Loans were Outstanding Interest Rate Interest Expense
- --------------------------- ---------------- ----------------
$299 1.50% $--
Securities lending: The Fund has entered into an agreement with SSBT to
lend its securities to certain qualified brokers who pay the Fund's negotiated
lender fees. This loan is collateralized at all times with cash or securities
with a market value at least equal to the market value of the securities on
loan. Cash collateral is invested in a short-term instrument. As with other
extensions of credit, the Fund may bear the risk of delay of the loaned
securities in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. At June 30, 2004, the market value
of the securities loaned and the market value of the collateral for the Fund was
as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$48,887 $49,792
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, the Fund had no open
financial futures contracts.
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $158, $101, $1,207, $12,541, $487,252, $232,197 and $54,591 which
expire in 2005, 2006, 2007, 2008, 2009, 2010 and 2011, respectively.
Certain of the above losses may be limited under sections 382-384 of the
Internal Revenue Code, as amended.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Dividend
income for the Fund is shown net of foreign taxes withheld of $24. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT, ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's Net Assets:
Between
$150 Million and Excess Over
First $150 Million $300 Million $300 Million
- ------------------ ---------------- ------------
0.71% 0.69% 0.67%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. Accordingly,
for the period ended June 30, 2004, there were no reimbursements paid to the
Fund.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $423.
John Hancock has entered into a Sub-Advisory Agreement with Independence
Investment LLC, an affiliate of John Hancock, and under its supervision, is
responsible for the day-to-day investment management of the Fund. John Hancock
has also entered into a Sub-Advisory Agreement with T.Rowe Price Associates,
Inc., under its supervision, is also responsible for the day-to-day investment
management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH
AFFILIATES--Continued
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$676,326 $707,453
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, commercial paper and collateral for
securities lending) and their respective gross unrealized appreciation and
depreciation for Federal income tax purposes at December 31, 2003 were as
follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ----------- ------------ ------------ --------------
$ 1,971,792 $ 273,125 $ (22,756) $ 250,369
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
relate to certain securities sold at a loss. Additionally, as a result, net
investment income (loss) and net realized gain (loss) on investment transactions
for a reporting period may differ significantly from distributions during such
period. Accordingly, the Fund may periodically make reclassifications among
certain of its capital accounts without impacting the net asset value of the
Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $788,047 $250,369
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $17,207 $-- $11,765
2002 15,248 -- --
NOTE E--COMBINATION
On April 25, 2003, the shareholders of the Fund (acquiring fund) approved
the combination of the funds in the following table:
Acquiring Fund Target Fund
- ------------------- ----------------------
VST Growth & Income VA Relative Value
VST Growth & Income VA Sovereign Investors
This combination provided for the transfer of substantially all of the
assets and liabilities of the target fund to the acquiring fund in exchange
solely for the fund shares of the acquiring fund. The acquisition was accounted
for as taxfree exchange as follows:
Target Fund
Trust Shares Unrealized Acquiring Fund Acquiring Fund
Acquiring Fund Issued by Target Fund Appreciation/ Net Assets Prior Aggregate Net Assets
vs. Target Fund Acquiring Fund Net Assets (Depreciation) to Combination After Combination
- ----------------- -------------- ----------- -------------- ---------------- --------------------
VST Growth &
Income vs.
VA Relative Value 3,079 $28,786 $ 845 $1,744,162 $1,772,947
VST Growth &
Income vs.
VA Sovereign 4,038 37,760 (415) 1,772,947 1,810,708
Investors
Inception: May 1, 2001
- --------------------------------------------------------------------------------
Health Sciences Fund
Wellington Management Company, LLP Management Team
- --------------------------------------------------------------------------------
.. Year to date, the Fund returned 4.93%, underperforming its benchmark, the
Goldman Sachs Health Care Index. Relative to Morningstar peers, the Fund
has an above average rating of 4 with an average / above average risk
profile.
.. The Fund's exposure to the pharmaceuticals industry, as well as health care
providers & services, were the largest contributors to absolute
performance. On an individual security basis, the Fund's investments in
pharmaceutical holdings Elan and Aventis were the top drivers of absolute
returns.
.. The Fund emphasizes bottom-up fundamental analysis, with a focus on
in-depth understanding of medical science, regulatory developments,
reimbursement policy trends, and individual company business franchises.
Holdings will generally be diversified across sub-sectors of health care,
but will at times be concentrated in sub-sectors that provide the most
compelling opportunities.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
Schering-Plough Corp. 6.6%
AstraZeneca Group Plc 5.6%
Abbott Laboratories 4.6%
McKesson HBOC, Inc. 4.3%
Medco Health Solutions, Inc. 4.1%
Eli Lilly & Co. 4.1%
Novartis AG 3.9%
AVENTIS 3.9%
Genzyme Corp. 3.8%
Medtronic, Inc. 3.3%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Health Goldman Sachs
Sciences Health Care S&P 500(R)
Fund Index/4/ Index/5/
-------- ------------- ---------
YTD/3/ 4.93% 6.18% 3.44%
1 Year 17.69 13.14 19.10
3 Year 2.10 2.05 -0.70
Since Inception (5/1/01) 2.62 3.12 1.11
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Specialty-Health
MORNINGSTAR RISK/1/:
.. Above Average (VL/VUL)
.. Average (VA)
MORNINGSTAR RATING/1/:
.. **** (VL/VUL)
.. **** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
Assets
------
Drugs & Pharmaceuticals 58.7%
Biotechnology Research & Production 16.2%
Health Care Services 11.4%
Electronics: Medical Systems 5.9%
Medical & Dental Instruments & Supplies 5.9%
Health Care Management Services 1.1%
Chemicals 0.8%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04 VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 41 VL/VUL subaccounts and 107 VA subaccounts in the
Morningstar Specialty Health category. This represents the Morningstar 3
year rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original costs. Sector investing entails special risks
as discussed in the prospectus. The performance of the fund on this page is
reported net of Trust level charges (i.e. investment management fees and
operating expenses). It does not reflect expense and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus. There are
additional risks associated with a nondiversified fund, as outlined in the
current prospectus. Performance would be lower if expenses and charges of
the separate accounts and products were reflected.
/3/ Year to date returns are not annualized.
/4/ The Goldman Sachs Healthcare Index is a modified capitalization weighted
index that measures the performance of US healthcare stocks. The index has
a maximum individual stock weighting which is currently 7.5%. The index
includes companies in the following categories: providers of healthcare
related services, researchers, manufacturers and distributors of
pharmaceuticals, drugs and related sciences, and medical supplies,
instruments and products.
/5/ "S&P 500(R)" is an unmanaged stock index commonly used as a broad measure
of stock market performance.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Health Sciences Fund
(000's Omitted)
ASSETS
Long term investments at cost........................................ $32,904
Net unrealized appreciation of investments........................... 5,459
Short-term investments at value...................................... 195
-------
Total investments.............................................. 38,558
Foreign currency at value (cost $13)................................. 13
Cash................................................................. 9
Receivable for:
Investments sold.................................................. 99
Dividends......................................................... 26
Foreign dividend tax withholding reclaim.......................... 13
-------
Total assets......................................................... 38,718
-------
LIABILITIES
Payables for:
Investments purchased............................................. 51
Foreign dividend tax withholding.................................. 3
Accrued operating expenses........................................ 19
-------
Total liabilities.................................................... 73
-------
Net assets .......................................................... $38,645
=======
Shares outstanding, $0.01 Par Value (unlimited shares authorized).... 3,656
-------
Net asset value per share............................................ $ 10.57
=======
Composition of net assets:
Capital paid-in................................................... $36,610
Accumulated net realized loss on investments, futures and foreign
currency transactions.......................................... (3,398)
Undistributed net investment loss................................. (26)
Net unrealized appreciation of:
Investments ................................................... 5,459
-------
Net assets........................................................... $38,645
=======
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Health Sciences Fund
(000's Omitted)
INVESTMENT INCOME
Interest ....................................................... $ 5
Dividends (net of foreign withholding tax of $15) .............. 187
------
Total investment income .............................................. 192
------
EXPENSES
Investment advisory fee ........................................ 189
Auditors fees .................................................. 2
Custodian fees ................................................. 21
Legal fees ..................................................... 2
Printing & mailing fees ........................................ 6
Trustees ....................................................... 1
Other fees ..................................................... 1
------
Total expenses ....................................................... 222
Less expenses reimbursed ....................................... (2)
Less custodian expense reduction offset by commission
recapture arrangement (Note C) .............................. (4)
------
Net expenses ......................................................... 216
------
Net investment loss .................................................. (24)
------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments .................................................... 1,500
Foreign currency transactions .................................. (3)
Change in unrealized appreciation on investments .................. 230
------
Net realized and unrealized gain ..................................... 1,727
------
Net increase in net assets resulting from operations ................. $1,703
======
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
Health Sciences Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment loss ....................................... $ (24) $ (33)
Net realized gain ......................................... 1,497 83
Change in net unrealized appreciation ..................... 230 7,514
------- -------
Net increase in net assets resulting from operations ... 1,703 7,564
Distributions to shareholders from:
Net investment income ..................................... (72)
Realized gains ............................................ (719)
-------
Decrease in net assets resulting from distributions .... (791)
Capital contributions
From fund share transactions:
Proceeds from shares sold ................................. 6,660 11,971
Distributions reinvested .................................. 791
Payment for shares redeemed ............................... (4,536) (7,387)
------- -------
Increase in net assets from fund share transactions .... 2,124 5,375
------- -------
NET INCREASE IN NET ASSETS ................................... 3,827 12,148
NET ASSETS
Beginning of Period ....................................... 34,818 22,670
------- -------
End of Period (including undistributed net investment
loss of $(26) and $(2), respectively) .................. $38,645 $34,818
======= =======
Analysis of fund share transactions:
Sold ...................................................... 632 1,372
Reinvested ................................................ 79
Redeemed .................................................. (432) (893)
------- -------
Net increase in fund shares outstanding ...................... 200 558
======= =======
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Health Sciences Fund
------------------------------------------------------------
Unaudited Year Ended Period from
Period Ended December 31, May 1, to
June 30, -------------------- December 31,
2004 2003(f) 2002 2001(g)
------------ ------- ------- ------------
Net Assets Value at Beginning of Period ....................... $ 10.07 $ 7.82 $ 9.81 $ 10.00
Income from Investment Operations:
Net Investment Income ...................................... (h) (h) 0.01
Net Realized and Unrealized Gain (Loss) on Investment(a) ... 0.50 2.48 (1.98) (0.18)
------- ------- ------- -------
Total From Investment Operations ........................... 0.50 2.48 (1.97) (0.18)
Less Distributions:
Distribution from Net Investment Income .................... (0.02) (0.02)
Distribution from Net Realized Gains on Investments ........ (0.21)
Distribution from Capital Paid-in .......................... (0.01)
------- ------- -------
Total Distributions ........................................ (0.23) (0.02) (0.01)
------- ------- ------- -------
Net Assets Value at End of Period ............................. $ 10.57 $ 10.07 $ 7.82 $ 9.81
======= ======= ======= =======
Total Investment Return(b) .................................... 4.93%(c) 31.74% (19.99)% (1.85)%(c)
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net Assets ........... 1.17%(d)(e)(i) 1.10%(e) 1.07%(e) 1.10%(d)(e)
Ratio of Net Investment Income (Loss) to Average Net
Assets .................................................. (0.13)%(d) (0.12)% 0.10% (0.16)%(d)
Portfolio Turnover Rate .................................... 16.64%(c) 115.75% 98.91% 37.76%(c)
Net Assets End of Period (000s Omitted) ....................... $38,645 $34,818 $22,670 $29,873
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Not annualized.
(d) Annualized.
(e) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made, the expense ratio would have been 1.18% for the period ending
June 30, 2004, and 1.25%, 1.35%, and 1.19% for the years ended December 31,
2003, 2002, and 2001, respectively.
(f) The fund entered into a new sub-advisory agreement with Wellington
Management Company during the period shown.
(g) Commencement of investment operations.
(h) Amount is less than $0.01.
(i) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
HEALTH SCIENCES FUND
Market
Name of Issuer Shares Value
-------------- -------- -------
(000's)
COMMON STOCK
Biotechnology - 17.4%
Abgenix, Inc. * ........................................ 13,100 $ 153
Amylin Pharmaceuticals, Inc. * ......................... 16,400 374
Applera Corp. - Celera Genomics Group * ................ 53,400 615
Cephalon, Inc. * ....................................... 9,300 502
Ciphergen Biosystems, Inc. * ........................... 22,200 162
Connetics Corp. * ...................................... 7,372 149
CV Therapeutics, Inc. * ................................ 19,200 322
Cytokinetics, Inc. * ................................... 2,600 39
Exelixis, Inc. * ....................................... 34,600 349
Genzyme Corp. * ........................................ 30,698 1,453
Gilead Sciences, Inc. * ................................ 8,800 590
Human Genome Sciences, Inc. * .......................... 36,500 424
ICOS Corp. ............................................. 7,100 212
ILEX Oncology, Inc. * .................................. 8,300 207
Millennium Pharmaceuticals, Inc. * ..................... 30,800 425
OSI Pharmaceuticals, Inc. * ............................ 3,300 232
Regeneron Pharmaceuticals * ............................ 16,200 171
Vertex Pharmaceuticals, Inc. * ......................... 11,800 128
Zymogenetics, Inc. * ................................... 11,200 213
-------
6,720
Chemicals - 0.8%
Bayer AG * ............................................. 10,100 292
Health Care Equipment & Supplies - 13.3%
Baxter International, Inc. ............................. 24,080 831
Beckman Coulter, Inc. .................................. 6,900 421
Becton, Dickinson & Co. * .............................. 11,100 575
Bruker Biosciences Corp. * ............................. 34,600 168
CTI Molecular Imaging, Inc. ............................ 21,000 298
Edwards Lifesciences Corp. * ........................... 11,800 411
Guidant Corp. .......................................... 12,813 716
Medtronic, Inc. * ...................................... 26,200 1,276
Nobel Biocare * ........................................ 100 7
Olympus Optical Co. * .................................. 21,000 396
Viasys Healthcare, Inc. * .............................. 1,800 38
-------
5,137
Health Care Providers & Services - 10.9%
Aetna US Healthcare, Inc. * ............................ 4,700 399
Anthem, Inc. * ......................................... 6,017 539
Cardinal Health, Inc. * ................................ 11,722 821
Express Scripts, Inc. - Cl. A * ........................ 5,200 412
Gambro - Ser. A * ...................................... 41,520 403
McKesson HBOC, Inc. .................................... 47,600 1,634
-------
4,208
Pharmaceuticals - 56.9%
Abbott Laboratories * .................................. 43,734 1,783
Ariad Pharmaceuticals, Inc. * .......................... 13,100 98
AstraZeneca Group plc * ................................ 10,779 483
AstraZeneca Group plc - ADR ............................ 36,434 1,663
Atherogenics, Inc. * ................................... 14,100 268
AVENTIS - ADR .......................................... 19,600 1,491
Eisai Co. Ltd. * ....................................... 31,300 $ 899
Elan Corp. plc - ADR * ................................. 47,600 1,178
Eli Lilly & Co. * ...................................... 22,327 1,561
Forest Laboratories, Inc. * ............................ 19,200 1,087
Fujisawa Pharmeceutical Co., Ltd. * .................... 36,000 851
Hospira, Inc. .......................................... 8,673 239
King Pharmaceuticals, Inc. * ........................... 52,200 598
Medco Health Solutions, Inc. * ......................... 42,300 1,586
Medicinesco ............................................ 21,100 644
Novartis AG ............................................ 33,825 1,493
NPS Pharmaceuticals, Inc. * ............................ 9,500 199
Sankyo Co., Ltd. * ..................................... 24,000 519
Schering-Plough Corp. * ................................ 136,500 2,523
Schwarz Pharma AG * .................................... 8,700 268
Shionogi & Co., Ltd. * ................................. 41,000 703
Takeda Chemical Industries * ........................... 8,500 372
Watson Pharmaceuticals, Inc. * ......................... 14,900 401
Wyeth * ................................................ 30,395 1,099
-------
22,006
-------
TOTAL COMMON STOCK-
(Cost $32,904) 99.3% 38,363
Par
Value
--------
(000's)
SHORT-TERM INVESTMENTS - 0.5%
Investment in joint trading account
1.344% due 07/01/04
(Cost $195) ........................................... $ 195 195
-------- -------
TOTAL INVESTMENTS-
(Cost $33,099) 99.8% 38,558
Cash and Receivables, less payables- 0.2% 87
-------- -------
NET ASSETS- 100.0% $38,645
======== =======
* Non-income producing security.
ADR-American Depository Receipt.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Health Sciences Fund (the "Fund") is a diversified series of
John Hancock Variable Series Trust I (the "Trust"), an open-end investment
management company registered under the Investment Company Act of 1940. The
Trust is organized as a Massachusetts business trust and consists of thirty
different funds as of June 30, 2004. The results of this Fund are included in
this report. The results of the other Funds in the Trust are presented under
separate cover. The Trust may add or delete Funds in the future to accommodate
various investment objectives. The Trust has issued shares of beneficial
interest exclusively to John Hancock Variable Life Account U ("JHVLAU"), John
Hancock Variable Life Account V ("JHVLAV"), John Hancock Variable Life Account S
("JHVLAS"), and John Hancock Variable Annuity Account I ("JHVAAI") to fund
policies and contracts issued by the John Hancock Variable Life Insurance
Company ("JHVLICO"), and to John Hancock Variable Annuity Account U ("JHVAAU"),
John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock Variable Life
Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H ("JHVAAH"), and
John Hancock Variable Annuity Account JF ("JHVAAJF") to fund contracts and
policies issued by John Hancock Life Insurance Company ("John Hancock" or
"JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"), and to John
Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations. For period ended June 30,
2004, the Fund had no bank borrowings.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, the Fund had no open
financial futures contracts.
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $184, $3,104 and $900 which expire in 2009, 2010 and 2011,
respectively.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred approximately $107 in net realized capital losses. As
permitted by tax regulations, the Fund intends to elect to defer these losses
and treat them as arising in the fiscal year ending on December 31, 2004.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Dividend
income for the Fund is shown net of foreign taxes withheld of $15. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
Excess Over
First $250 Million $250 Million
- ------------------ ------------
1.00% 0.95%
For the period from January 1, 2004 to April 30, 2004, John Hancock and
JVLICO agreed to reimburse the Fund for normal operating expenses, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses that exceed 0.10% of the Fund's daily net asset value.
Accordingly, for the period from January 1, 2004 to April 30, 2004 the Fund was
reimbursed $2 by John Hancock and JVLICO. On March 18, 2004, the Fund's
Shareholders approved the removal of John Hancock and JVLICO's respective
obligations to reimburse the Fund for excess operating expenses effective May 1,
2004.
John Hancock has entered into a Sub-Advisory Agreement with Wellington
Management Company, and under its supervision, is responsible for the day-to-day
investment management of the Fund.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $4.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$8,817 $6,142
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, and commercial paper) and their
respective gross unrealized appreciation and depreciation for Federal income tax
purposes at December 31, 2003 were as follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$30,629 $4,837 $(208) $4,629
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations, which may differ from accounting principles generally accepted in
the United States of America. These differences primarily relate to certain
securities sold at a loss. Additionally, as a result, net investment income
(loss) and net realized gain (loss) on investment transactions for a reporting
period may differ significantly from distributions during such period.
Accordingly, the Fund may periodically make reclassifications among certain of
its capital accounts without impacting the net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $4,188 $4,629
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $72 $-- $719
2002 56 -- --
NOTE E--OTHER MATTERS
Section 30 and Rule 30d-1(b) under the Investment Company Act of 1940, as
amended, requires registered management investment companies to furnish
information relating to any matter submitted during the reporting period to a
vote of Shareholders of the Trust.
John Hancock Variable Series Trust I solicited a vote at special meeting of
Contract owners/Policyholders held on March 18, 2004 on the following matters:
For Against Abstain
--- ------- -------
To approve, as to the Health Sciences Fund, an 81% 9% 10%
amendment to the current investment mangement
agreement between the Trust and John Hancock to
eliminate John Hancock's obligation to reimburse
expenses.
Inception: May 1, 1998
- --------------------------------------------------------------------------------
High Yield Bond Fund
Wellington Management Company, LLP Earl E. McEvoy
- --------------------------------------------------------------------------------
.. Year to date, the Fund returned 0.49%, underperforming its custom
benchmark. Relative to Morningstar peers, the Fund has a below average
rating of 1 with a high risk profile.
.. The Fund underperformed its benchmark primarily due to both unfavorable
sector allocation and security selection decisions.
.. The Fund's exposure to the chemicals sector contributed the most to
absolute performance while exposure to the wireless sector was the largest
detractor.
.. The manager employs rigorous bottom-up fundamental research, 100% of which
is conducted in-house. The manager continues to focus on capturing the
attractive yields currently available in the high yield market, while
minimizing credit losses, and focuses on the upper tier of the high yield
market.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
CSC Holdings, Inc. 1.8%
Williams Cos, Inc. 1.7%
Georgia Pacific Corp. 1.7%
Nextel Communications, Inc. 1.7%
Host Marriott LP 1.5%
Qwest Corp. 1.4%
Insight Midwest LP Capital, Inc. 1.2%
Owens Brockway Glass Container 1.1%
Rogers Wireless, Inc. 1.1%
Tyco International Group SA 1.1%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
High Yield High Yield
Bond Fund/4/ Bond Benchmark/5/
------------ -----------------
YTD/3/ 0.49% 1.19%
1 Year 6.40 8.84
3 Years 2.73 7.61
5 Years 0.78 4.08
Since Inception (5/1/98) 0.62 3.35
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. High Yield Bond
MORNINGSTAR RISK/1/:
.. High (VL/VUL)
.. High (VA)
MORNINGSTAR RATING/1/:
.. * (VL/VUL)
.. * (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FUND COMPOSITION (as of June 30, 2004)/2/
% of
Credit Quality Assets
------
AAA/Government/Agency 1.01%
AA 0%
A 0%
BBB 1.79%
BB & lower 96.70%
Not Rated/Other 0.50%
Weighted Average Yield 7.40%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 292 VL/VUL subaccounts and 487 VA subaccounts in the
Morningstar High Yield Bond category. This represents the Morningstar 3
year rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The performance of the fund on this page
is reported net of Trust level charges (i.e. investment management fees and
operating expenses). It does not reflect expense and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus. There are
special risks associated with investing in high yield bonds, as outlined in
the current prospectus. Performance would be lower if expenses and charges
of the separate accounts and products were reflected.
/3/ Year to date returns are not annualized.
/5/ Lehman Brothers High Yield Bond Index: from May 1998 to December 2002 and
then represents a 50% Lehman Brothers B Index and 50% Lehman Brothers BB
Index from January 2003 to present.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
High Yield Bond Fund
(000's Omitted)
ASSETS
Long term investments at cost ...................................... $ 89,489
Net unrealized appreciation of investments ......................... 810
Short-term investments at value .................................... 1,410
--------
Total investments ............................................ 91,709
Cash ............................................................... 39
Receivable for:
Investments sold ................................................ 25
Interest ........................................................ 1,991
--------
Total assets ....................................................... 93,764
--------
LIABILITIES
Payables for:
Investments purchased ........................................... 490
Accrued operating expenses ...................................... 20
--------
Total liabilities .................................................. 510
--------
Net assets ......................................................... $ 93,254
========
Shares outstanding, $0.01 Par Value (unlimited shares
authorized) ..................................................... 14,938
Net asset value per share .......................................... $ 6.24
========
Composition of net assets:
Capital paid-in ................................................. $107,626
Accumulated net realized loss on investments,
futures and foreign currency transactions .................... (15,215)
Undistributed net investment income ............................. 33
Net unrealized appreciation of investments ...................... 810
--------
Net assets ......................................................... $ 93,254
========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
High Yield Bond Fund
(000's Omitted)
INVESTMENT INCOME
Interest ........................................................ $ 3,558
EXPENSES
Investment advisory fee ......................................... 380
Auditors fees ................................................... 6
Custodian fees .................................................. 43
Legal fees ...................................................... 6
Printing & mailing fees ......................................... 8
Trustees' ...................................................... 1
Other fees ...................................................... 1
--------
Total expenses ..................................................... 445
Less expenses reimbursed ........................................ (18)
--------
Net expenses ....................................................... 427
--------
Net investment income .............................................. 3,131
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on investments ................................ 1,825
Change in unrealized depreciation on investments ................ (4,505)
--------
Net realized and unrealized loss ................................... (2,680)
--------
Net increase in net assets resulting from operations ............... $ 451
========
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
High Yield Bond Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE(DECREASE) IN NET ASSETS
From operations
Net investment income ........................................................ $ 3,131 $ 5,394
Net realized gain (loss) ..................................................... 1,825 (724)
Change in net unrealized appreciation (depreciation) ......................... (4,505) 7,272
-------- --------
Net increase in net assets resulting from operations ...................... 451 11,942
Distributions to shareholders from:
Net investment income ........................................................ (3,098) (5,404)
Realized gains (249)
-------- --------
Decrease in net assets resulting from distributions ....................... (3,098) (5,653)
From fund share transactions:
Proceeds from shares sold .................................................... 16,754 109,079
Distributions reinvested ..................................................... 3,098 5,653
Payment for shares redeemed .................................................. (20,967) (84,786)
-------- --------
Increase (decrease) in net assets from fund share transactions ............ (1,115) 29,946
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS ........................................... (3,762) 36,235
NET ASSETS
Beginning of Period .......................................................... 97,016 60,781
-------- --------
End of Period (including undistributed net investment income of $33 and $0,
respectively) ............................................................. $ 93,254 $ 97,016
======== ========
Analysis of fund share transactions:
Sold ......................................................................... 2,630 17,586
Reinvested ................................................................... 488 909
Redeemed ..................................................................... (3,295) (13,667)
-------- --------
Net increase (decrease) in fund shares outstanding .............................. (177) 4,828
======== ========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
High Yield Bond Fund
-----------------------------------------------------------
Unaudited
Period Ended Year Ended December 31,
June 30, -------------------------------------------
2004 2003 2002 2001 2000
------------ -------- ------- ------- -------
Net Assets Value at Beginning of Period ............... $ 6.42 $ 5.91 $ 6.83 $ 7.33 $ 8.99
Income from Investment Operations:
Net Investment Income .............................. 0.21 0.42 0.57 0.73 0.73
Net Realized and Unrealized Gain (Loss) on
Investment(a) ................................... (0.18) 0.53 (0.87) (0.55) (1.65)
------- ------- ------- ------- -------
Total From Investment Operations ................... 0.03 0.95 (0.30) 0.18 (0.92)
Less Distributions:
Distribution from Net Investment Income ............ (0.21) (0.42) (0.62) (0.68) (0.74)
Distribution from Net Realized Gains on
Investments ..................................... (0.02)
------- ------- ------- ------- -------
Total Distributions ................................ (0.21) (0.44) (0.62) (0.68) (0.74)
------- ------- ------- ------- -------
Net Assets Value at End of Period ..................... $ 6.24 $ 6.42 $ 5.91 $ 6.83 $ 7.33
======= ======= ======= ======= =======
Total Investment Return(b) ............................ 0.49%(e) 16.51% (4.51)% 2.13% (10.81)%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net Assets ... 0.90%(c)(f) 0.90%(c) 0.90%(c) 0.80%(c) 0.75%(c)
Ratio of Net Investment Income to Average Net
Assets .......................................... 6.63%(f) 6.81% 9.84% 10.39%(d) 8.88%
Portfolio Turnover Rate ............................ 31.82%(e) 47.82% 89.30% 32.50% 21.94%
Net Assets End of Period (000s Omitted) ............... $93,254 $97,016 $60,781 $51,274 $25,978
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made the expense ratio would have been .94% for the period ending June
30, 2004, and .95%, .96%, .90%, and .87%, for the years ended December 31,
2003, 2002, 2001, and 2000, respectively.
(d) Had the Fund not amortized premiums and accreted discounts on debt
securities, the annual ratio of net investment income to average net assets
would have been 9.35% for the years ended December 31, 2001.
(e) Not annualized.
(f) Annualized.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
HIGH YIELD BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS
Aerospace & Defense - 1.2%
Alliant Techsystems, Inc. - Sr. Sub. Notes
8.5% due 05/15/11 .................................... $ 95 $ 103
Argo-Tech Corp. - Sr. Notes 144A (a)
9.25% due 06/01/11 ................................... 105 108
K & F Industries, Inc. - Sr. Notes Ser. B
9.625% due 12/15/10 .................................. 435 477
Sequa Corp.
9.0% due 08/01/09 .................................... 275 293
Sequa Corp. - Sr. Notes
8.875% due 04/01/08 .................................. 105 111
------
1,092
Airlines - 0.6%
American Airlines, Inc.
7.024% due 04/15/11 .................................. 130 129
Continental Airlines - Ser. 1997-4 Cl. 4A
6.9% due 01/02/18 .................................... 96 90
Continental Airlines, Inc. - Ser. 1999-2 Cl. A2
7.056% due 09/15/09 .................................. 170 168
Delta Air Lines, Inc. - Notes
7.9% due 12/15/09 .................................... 290 148
Northwest Airlines - Ser. 2001 Cl. 1A2
6.841% due 10/01/12 .................................. 80 77
------
612
Auto Components - 3.2%
Arvinmeritor, Inc. - Notes
8.75% due 03/01/12 ................................... 420 456
Cummins, Inc. - Sr. Notes
9.5% due 12/01/10 .................................... 45 51
Dana Corp. - Notes
9.0% due 08/15/11 .................................... 320 374
Dura Operating Corp. - Sr. Notes Ser. B
8.625% due 04/15/12 .................................. 260 265
Eagle Picher, Inc. - Sr. Notes
9.75% due 09/01/13 40 43
Goodyear Tire & Rubber Co. - Notes
7.857% due 08/15/11 .................................. 100 91
R.J. Towercorp - Gtd. Sr. Notes
12.0% due 06/01/13 ................................... 235 224
Tenneco Automotive, Inc. - Sr. Sec. Notes Ser. B
10.25% due 07/15/13 .................................. 130 146
TRW, Inc. - Sr. Notes
9.375% due 02/15/13 .................................. 376 425
Visteon Corp.
8.25% due 08/01/10 ................................... 250 265
Visteon Corp. - Notes
7.0% due 03/10/14 .................................... 660 639
------
2,979
Automobiles - 0.7%
Navistar International Corp., Inc. - Sr. Notes
7.5% due 06/15/11 .................................... 70 71
Navistar International Corp., Inc. - Sr. Notes Ser. B
9.375% due 06/01/06 .................................. $100 $ 107
United Rentals North America, Inc. - Sr. Notes
6.5% due 02/15/12 .................................... 485 456
------
634
Banks - 0.7%
Chevy Chase Bank - Sub. Debs
6.875% due 12/01/13 .................................. 175 176
Western Financial Bank - Sub. Debs
9.625% due 05/15/12 .................................. 415 452
------
628
Beverages - 0.7%
Constellation Brands, Inc. - Sr. Sub. Notes
8.125% due 01/15/12 .................................. 430 454
The Great Atlantic & Pacific Tea Co, Inc. - Sr. Notes
9.125% due 12/15/11 .................................. 270 232
------
686
Biotechnology - 0.1%
Bio Rad Laboratories, Inc. - Sr. Sub. Notes
7.5% due 08/15/13 .................................... 80 84
Building Products - 0.9%
American Standard Cos., Inc.
7.375% due 02/01/08 .................................. 110 119
7.625% due 02/15/10 .................................. 305 335
Koppers, Inc. Pennsylvania - Sr. Sec. Notes
9.875% due 10/15/13 .................................. 200 219
Texas Industries, Inc. - Sr. Notes
10.0% due 06/01/11 ................................... 195 217
------
890
Chemicals - 4.9%
Acetex Corp. - Sr. Notes
10.875% due 08/01/09 ................................. 75 82
Airgas, Inc. - Sr. Sub. Notes
9.125% due 10/01/11 .................................. 335 377
Equistar Chemical - Sr. Notes
10.125% due 09/01/08 ................................. 58 64
Equistar Chemicals LP - Sr. Notes
10.625% due 05/01/11 ................................. 155 172
FMC Corp. - Sr. Sec. Notes
10.25% due 11/01/09 .................................. 50 58
Huntsman LLC - Sr. Sec. Notes
11.625% due 10/15/10 ................................. 125 138
IMC Global, Inc. - Debs
6.875% due 07/15/07 .................................. 290 297
IMC Global, Inc. - Sr. Notes
10.875% due 08/01/13 ................................. 470 569
Lyondell Chemical Co.
9.875% due 05/01/07 .................................. 60 63
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
HIGH YIELD BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Chemicals - Continued
Lyondell Chemical Co. - Notes Ser. A
9.625% due 05/01/07 .................................. $800 $ 836
Methanex Corp. - Sr. Notes
8.75% due 08/15/12 ................................... 260 292
Millenium America, Inc. - Sr. Notes
9.25% due 06/15/08 ................................... 275 296
NALCO Co. - Sr. Notes 144A (a)
7.75% due 11/15/11 ................................... 180 188
Nova Chemicals Corp. - Notes
7.0% due 05/15/06 .................................... 210 219
Nova Chemicals Corp. - Sr. Notes
6.5% due 01/15/12 .................................... 80 79
Omnova Solutions, Inc. - Sr. Sec. Notes
11.25% due 06/01/10 .................................. 245 272
Pioneer Americas LLC
4.79% due 12/31/06 ................................... 10 9
Resolution Performance Products - Sr. Notes
9.5% due 04/15/10 .................................... 310 321
Union Carbide Chemicals & Plastics
7.875% due 04/01/23 .................................. 55 53
Union Carbide Corp. - Debs
6.79% due 06/01/25 ................................... 180 182
------
4,567
Commercial Services & Supplies - 3.0%
Advanstar Communications, Inc. - Sr. Sec Notes
10.75% due 08/15/10 .................................. 75 83
Allied Waste North America, Inc. - Sr. Notes
8.5% due 12/01/08 .................................... 270 296
8.875% due 04/01/08 .................................. 355 388
Iron Mountain, Inc. - Sr. Sub. Notes
8.625% due 04/01/13 .................................. 130 138
Iron Mountain, Inc. Delaware - Sr. Sub. Notes
8.25% due 07/01/11 ................................... 115 119
Iron Mountain, Inc. Pennsylvania - Sr. Sub. Notes
7.75% due 01/15/15 ................................... 145 144
Mail Welli Corp. - Sr. Notes
9.625% due 03/15/12 .................................. 440 475
National Waterworks, Inc. - Sr. Sub. Notes - Ser. B
10.5% due 12/01/12 ................................... 385 433
Poindexter JB, Inc. - Sr. Notes 144A (a)
8.75% due 03/15/14 ................................... 235 238
SPX Corp. - Sr. Notes
7.5% due 01/01/13 .................................... 310 316
Vertis, Inc. - Sr. Notes
9.75% due 04/01/09 ................................... 105 114
10.875% due 06/15/09 ................................. 25 27
------
2,771
Construction & Engineering - 3.0%
Beazer Homes USA, Inc. - Sr. Notes
8.375% due 04/15/12 .................................. $ 55 $ 58
8.625% due 05/15/11 .................................. 390 413
Horton, Inc. - Sr. Sub. Notes
9.375% due 03/15/11 .................................. 370 412
KB Home - Sr. Sub. Notes
8.625% due 12/15/08 .................................. 200 214
Meritage Corp. - Sr. Notes
7.0% due 05/01/14 .................................... 180 171
9.75% due 06/01/11 ................................... 90 99
Nortek, Inc. - Sr. Sub. Notes Ser. B
9.875% due 06/15/11 .................................. 50 57
Ryland Group, Inc. - Sr. Sub. Notes
9.125% due 06/15/11 .................................. 345 381
Standard Pacific Corp. - Sr. Notes
6.5% due 10/01/08 .................................... 310 311
6.875% due 05/15/11 .................................. 110 109
Toll Brothers, Inc.
8.25% due 02/01/11 ................................... 450 486
Toll Corp. - Sr. Sub. Notes
8.25% due 12/01/11 ................................... 65 70
------
2,781
Containers & Packaging - 3.3%
AEP Industries, Inc. - Sr. Sub. Notes
9.875% due 11/15/07 .................................. 45 46
Anchor Glass Container Corp. - Sr. Notes Ser. B
11.0% due 02/15/13 ................................... 355 406
Graphic Packaging International, Inc. - Sr. Notes
8.5% due 08/15/11 .................................... 210 225
Greif Bros. Corp. - Sr. Sub. Notes
8.875% due 08/01/12 .................................. 25 27
Owens Brockway Glass Container - Sr. Notes 144A (a)
8.75% due 11/15/12 ................................... 490 534
Owens Brockway Glass Container - Sr. Sec Notes
7.75% due 05/15/11 ................................... 415 430
Pliant Corp. - Sr. Sec. Notes
11.125% due 09/01/09 ................................. 230 247
Portola Packaging, Inc. - Sr. Notes 144A (a)
8.25% due 02/01/12 ................................... 75 61
Stone Container Corp. - Sr. Notes
9.25% due 02/01/08 ................................... 200 219
9.75% due 02/01/11 ................................... 525 577
Tekni Plex, Inc. - Sr. Sec. Notes 144A (a)
8.75% due 11/15/13 ................................... 305 291
------
3,063
Distributors - 0.8%
ADESA, Inc. - Sr. Sub. Notes
7.625% due 06/15/12 .................................. 230 231
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
HIGH YIELD BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Distributors - Continued
Owens & Minor
8.5% due 07/15/11 .................................... $ 445 $ 487
------
718
Diversified Financials - 0.5%
Fairfax Financial Holdings, Ltd.
6.875% due 04/15/08 .................................. 15 15
Fairfax Financial Holdings, Ltd. - Notes
7.375% due 03/15/06 .................................. 150 156
Johnson Diversey, Inc. -Sr. Sub. Notes Ser. B
9.625% due 05/15/12 .................................. 215 234
Von Hoffmann Corp. - Sr. Notes
10.25% due 03/15/09 .................................. 20 21
------
426
Diversified Telecommunication Services - 5.6%
Alaska Communications Systems - Sr. Notes
9.875% due 08/15/11 .................................. 400 416
American Cellular Corp. - Sr. Notes Ser. B
10.0% due 08/01/11 ................................... 595 518
Avaya, Inc. - Sr. Sec. Notes
11.125% due 04/01/09 ................................. 358 420
Cincinnati Bell, Inc. - Sub. Notes
8.375% due 01/15/14 .................................. 150 135
Corning, Inc. - Notes
6.2% due 03/15/16 .................................... 145 135
Fairpoint Communications, Inc. - Sr. Notes
11.875% due 03/01/10 ................................. 180 207
GCI, Inc. - Sr. Notes 144A (a)
7.25% due 02/15/14 ................................... 475 456
Intelsat, Ltd. - Sr. Notes
5.25% due 11/01/08 ................................... 30 29
7.625% due 04/15/12 .................................. 75 72
MasTec, Inc. - Sr. Sub. Notes
7.75% due 02/01/08 ................................... 410 361
MCI, Inc.
5.908% due 05/01/07 .................................. 145 141
MCI, Inc. - Notes
7.735% due 05/01/14 .................................. 100 89
National Cable plc - Sr. Notes 144A (a)
8.75% due 04/15/14 ................................... 75 77
Nortel Networks, Ltd. - Notes
6.125% due 02/15/06 .................................. 460 461
Panamsat Corp. - Sr. Notes
8.5% due 02/01/12 .................................... 365 413
Qwest Corp. - Notes 144A(a)
8.875% due 03/15/12 .................................. 1,150 1,256
------
5,186
Electric Utilities - 0.5%
Centerpoint Energy Resources Corp. - Sr. Notes
7.875% due 04/01/13 .................................. 390 437
Electric/Gas - 6.3%
AES Corp. - 144A (a)
8.75% due 05/15/13 ................................... $ 485 $ 519
AES Corp. Sr. Sec. Notes 144A (a)
9.0% due 05/15/15 .................................... 335 358
Avista Corp. - Sr. Notes
9.75% due 06/01/08 ................................... 590 696
CMS Energy Corp - Sr. Notes
8.5% due 04/15/11 .................................... 535 546
DPL, Inc. - Sr. Notes
6.875% due 09/01/11 .................................. 225 228
Edison Mission Energy - Sr. Notes
9.875% due 04/15/11 .................................. 455 472
El Paso Natural Gas Co. - Sr. Notes
7.625% due 08/01/10 .................................. 230 236
EL Paso Production Holding Co. - Sr. Notes
7.75% due 06/01/13 ................................... 525 484
Nevada Power Co. - Notes Ser. E
10.875% due 10/15/09 ................................. 355 402
Nevada Power Co. - Notes Ser. G
9.0% due 08/15/13 .................................... 345 374
NRG Energy, Inc. - Sr. Sec. Notes 144A (a)
8.0% due 12/15/13 .................................... 365 370
Semco Energy, Inc. - Sr. Notes
7.125% due 05/15/08 .................................. 165 169
7.75% due 05/15/13 ................................... 60 63
Southern Natural Gas Co. - Sr. Notes
8.875% due 03/15/10 .................................. 425 463
TNP Enterprises, Inc. - Sr. Sub. Notes
10.25% due 04/01/10 .................................. 275 286
Western Resources, Inc. - Sr. Notes
9.75% due 05/01/07 ................................... 155 177
------
5,843
Electrical Equipment - 0.7%
General Cable Corp. - Sr. Notes
9.5% due 11/15/10 .................................... 210 225
ITT Corp. - Debs.
7.375% due 11/15/15 .................................. 30 30
Wesco Distribution, Inc. - Ser. B
9.125% due 06/01/08 .................................. 380 390
------
645
Electronic Equipment & Instruments - 1.5%
Itron, Inc. - Sr. Sub. Notes 144A (a)
7.75% due 05/15/12 ................................... 35 35
Sanmina SCI Corp. - Sr. Sec. Notes
10.375% due 01/15/10 ................................. 560 644
Solectron Corp. - Sr. Notes
9.625% due 02/15/09 .................................. 605 662
Thomas & Betts Corp.
6.39% due 02/10/09 ................................... 15 15
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
HIGH YIELD BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Electronic Equipment & Instruments - Continued
Thomas & Betts Corp. - Notes
7.25% due 06/01/13 ................................... $ 65 $ 69
------
1,425
Energy Equipment & Services - 0.0%
Rayovac Corp. - Sr. Sub. Notes
8.5% due 10/01/13 .................................... 25 26
Finance - 4.8%
Arch Western Finance LLC - Sr. Notes 144A (a)
6.75% due 07/01/13 ................................... 230 229
BCP Caylux Holdings Lux SCA - Sr. Sub. Notes 144A (a)
9.625% due 06/15/14 .................................. 455 473
Bowater Canada Finance Corp. - Notes
7.95% due 11/15/11 ................................... 425 440
Crown European Holdings SA - Sr. Sec. Notes
9.5% due 03/01/11 .................................... 410 450
10.875% due 03/01/13 ................................. 85 97
Hampshire Donnelly Finance Corp. - Sr. Sub. Notes
144A (a)
10.875% due 12/15/12 ................................. 125 145
Insight Midwest LP Capital, Inc. - Sr. Notes
10.5% due 11/01/10 ................................... 965 1,050
iStar Financial, Inc. - Sr. Notes
8.75% due 08/15/08 ................................... 82 90
MDP Acquisitions plc - Sr. Notes
9.625% due 10/01/12 .................................. 370 411
New Asat Finance, Ltd. - Sr. Notes 144A (a)
9.25% due 02/01/11 ................................... 325 323
RH Donnelley Finance - Sr. Notes 144A (a)
8.875% due 12/15/10 .................................. 60 66
RH Donnelly Finance Corp. - Sr. Sub. Notes
10.875% due 12/15/12 ................................. 120 140
RH Donnelly Finance Corp. - Sr. Notes
8.875% due 12/15/10 .................................. 90 99
Ucar Finance, Inc. - Sr. Notes
10.25% due 02/15/12 .................................. 170 189
UGS Corp.
10.0% due 06/01/12 ................................... 225 239
------
4,441
Food & Drug Retailing - 0.7%
Winn Dixie Stores, Inc. - Sr. Notes
8.875% due 04/01/08 .................................. 695 643
Food Products - 0.8%
Dole Food, Inc. - Sr. Notes
7.25% due 06/15/10 ................................... 10 10
8.875% due 03/15/11 .................................. 600 635
United Agricultural Products, Inc. - Sr. Notes 144A (a)
8.25% due 12/15/11 ................................... 60 66
------
711
Gas Utilities - 1.7%
Williams Cos, Inc. - Notes
7.125% due 09/01/11 .................................. $ 305 $ 310
8.125% due 03/15/12 .................................. 740 788
Williams Cos, Inc. - Sr. Notes
8.625% due 06/01/10 .................................. 430 472
------
1,570
Health Care Equipment & Supplies - 2.1%
Alaris Medical Systems, Inc. - Sr. Notes
7.25% due 07/01/11 ................................... 260 287
Apogent Technologies, Inc. - Sr. Sub. Notes
6.5% due 05/15/13 .................................... 360 366
Fisher Scientific International, Inc. - Sr. Sub. Notes
8.125% due 05/01/12 .................................. 578 619
Kinetic Concepts, Inc. - Sr. Sub. Notes Ser. B
7.375% due 05/15/13 .................................. 39 41
Radiologix, Inc. - Sr. Notes
10.5% due 12/15/08 ................................... 370 389
Sybron Dental Specialties, Inc. - Sr. Sub. Notes
8.125% due 06/15/12 .................................. 75 80
Valmont Industries, Inc. - Sr. Sub. Notes 144A (a)
6.875% due 05/01/14 .................................. 40 39
VWR International - Sr. Notes 144A (a)
6.875% due 04/15/12 .................................. 55 55
VWR International, Inc. - Sr. Sub. Notes 144A (a)
8.0% due 04/15/14 .................................... 90 92
------
1,968
Health Care Providers & Services - 3.1%
Coventry Health Care, Inc. - Sr. Notes
8.125% due 02/15/12 .................................. 225 247
HCA, Inc. - Notes
6.3% due 10/01/12 .................................... 930 929
Iasis Healthcare LLC - Sr. Sub. Notes 144A (a)
8.75% due 06/15/14 ................................... 205 209
NCD Healthcorp - Sr. Sub. Notes
10.5% due 12/01/12 ................................... 220 242
Neighborcare, Inc. - Sr. Sub. Notes 144A (a)
6.875% due 11/15/13 .................................. 230 244
Omnicare, Inc. - Sr. Sub. Notes Ser. B
8.125% due 03/15/11 .................................. 525 562
Triad Hospitals, Inc. - Sr. Notes
7.0% due 05/15/12 .................................... 470 471
------
2,904
Hotels Restaurants & Leisure - 7.4%
Argosy Gaming Co. - Sr. Sub. Notes
9.0% due 09/01/11 .................................... 40 44
Argosy Gaming Co. - Sr. Sub. Notes 144A (a)
7.0% due 01/15/14 .................................... 130 127
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
HIGH YIELD BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Hotels Restaurants & Leisure - Continued
AZTAR Corp. - Sr. Sub. Notes
9.0% due 08/15/11 .................................... $ 645 $ 713
Boyd Gaming Corp. - Sr. Sub. Notes
7.75% due 12/15/12 ................................... 165 166
Boyd Gaming Corp. - Sr. Sub. Notes 144A (a)
6.75% due 04/15/14 ................................... 60 56
Host Marriott LP - Sr. Notes Ser. I
9.5% due 01/15/07 .................................... 1,170 1,284
Host Marriott LP - Sr. Notes Ser. J
7.125% due 11/01/13 .................................. 95 93
Isle Capri Casinos, Inc. - Sr. Sub. Notes 144A (a)
7.0% due 03/01/14 .................................... 240 223
John Q. Hammons Hotels - Notes Ser. B
8.875% due 05/15/12 .................................. 115 126
Mandalay Resort Group - Sr. Sub. Notes
9.375% due 02/15/10 .................................. 380 414
Mandalay Resort Group - Sr. Sub. Notes Ser. B
10.25% due 08/01/07 .................................. 305 342
MGM Mirage, Inc.
8.5% due 09/15/10 .................................... 130 140
MGM Mirage, Inc. - Sr. Sub. Notes
8.375% due 02/01/11 .................................. 700 735
Park Place Entertainment Corp. - Notes
8.5% due 11/15/06 .................................... 25 27
Park Place Entertainment Corp. - Sr. Notes
7.0% due 04/15/13 .................................... 410 414
Park Place Entertainment Corp. - Sr. Sub. Notes
8.875% due 09/15/08 .................................. 215 234
Seneca Gaming Corp. - Sr. Notes 144A (a)
7.25% due 05/01/12 ................................... 215 214
Six Flags, Inc. - Sr. Notes
8.875% due 02/01/10 .................................. 235 234
Six Flags, Inc. - Sr. Notes 144A (a)
9.625% due 06/01/14 .................................. 60 60
Speedway Motorsports, Inc. - Sr. Sub. Notes
6.75% due 06/01/13 ................................... 100 101
Starwood Hotels & Resorts Worldwide, Inc. - Sr. Notes
7.875% due 05/01/12 .................................. 620 662
Station Casinos, Inc. - Sr. Sub. Notes
6.5% due 02/01/14 .................................... 480 460
------
6,869
Household Products - 0.3%
Hercules, Inc. - Sr. Notes
11.125% due 11/15/07 ................................. 200 234
Scotts Co. - Sr. Sub. Notes
6.625% due 11/15/13 .................................. 40 40
------
274
Industrial Conglomerates - 1.6%
Invesys plc - Sr. Notes 144A (a)
9.875% due 03/15/11 .................................. 520 519
Trinity Industries, Inc. - Sr. Notes 144A (a)
6.5% due 03/15/14 .................................... $ 45 $ 41
Tyco International Group SA - Notes
6.75% due 02/15/11 ................................... 405 439
Tyco International Group SA - Sr. Notes
6.375% due 10/15/11 .................................. 485 519
------
1,518
Internet Software & Services - 0.4%
Unisys Corp. - Sr. Notes
6.875% due 03/15/10 .................................. 355 366
Leisure Equipment & Products - 0.2%
Bombadier Recreational Products - Sr. Sub. Notes 144A (a)
8.375% due 12/15/13 .................................. 200 198
K2, Inc. - Sr. Notes 144A (a)
7.375% due 07/01/14 .................................. 35 36
------
234
Machinery - 1.1%
Case New Holland, Inc. - Sr. Notes 144A (a)
9.25% due 08/01/11 ................................... 410 433
9.25% due 08/01/11 ................................... 440 464
NMHG Holding Co. - Sr. Notes
10.0% due 05/15/09 ................................... 165 181
------
1,078
Media - 9.8%
American Media Operations, Inc. - Sr. Sub. Notes
8.875% due 01/15/11 .................................. 285 276
Canwest Media, Inc. - Sr. Sub. Notes
10.625% due 05/15/11 ................................. 280 314
Charter Communication Operating LLC - Sr. Notes 144A (a)
8.0% due 04/30/12 .................................... 430 417
Charter Communications Operating LLC - Sr. Notes 144A (a)
8.375% due 04/30/14 .................................. 40 39
Citizens Communications Co. - Notes
9.25% due 05/15/11 ................................... 90 94
Corus Entertainment, Inc. - Sr. Sub. Notes
8.75% due 03/01/12 ................................... 510 542
CSC Holdings, Inc. - Sr. Notes
7.625% due 04/01/11 .................................. 1,410 1,421
CSC Holdings, Inc. - Sr. Notes 144A (a)
6.75% due 04/15/12 ................................... 185 179
Dex Media East LLC - Sr. Notes
9.875% due 11/15/09 .................................. 170 191
Dex Media West LLC - Sr. Notes
8.5% due 08/15/10 .................................... 200 217
Direct TV Holdings LLC - Sr. Notes
8.375% due 03/15/13 .................................. 370 410
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
HIGH YIELD BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Media - Continued
EchoStar DBS Corp. - Notes
6.375% due 10/01/11 .................................. $685 $ 675
EchoStar DBS Corp. - Sr. Notes
9.125% due 01/15/09 .................................. 179 196
Houghton Mifflin Co. - Sr. Notes
8.25% due 02/01/11 ................................... 445 446
L 3 Communications Corp. - Sr. Sub. Notes
6.125% due 07/15/13 .................................. 270 261
Lamar Media Corp. - Sr. Sub. Notes
7.25% due 01/01/13 ................................... 110 112
LBI Media, Inc. - Sr. Sub. Notes
10.125% due 07/15/12 ................................. 5 6
Lodgenet Entertainment Corp. - Sr. Sub. Notes
9.5% due 06/15/13 .................................... 85 92
Mediacom Broadband LLC - Sr. Notes
11.0% due 07/15/13 ................................... 465 493
Mediacom LLC - Sr. Notes
9.5% due 01/15/13 .................................... 200 194
Medianews Group, Inc. - Sr. Sub. Notes 144A (a)
6.875% due 10/01/13 .................................. 220 208
Quebecor Media, Inc. - Sr. Notes
11.125% due 07/15/11 ................................. 795 906
Readers Digest Association, Inc. - Sr. Notes
6.5% due 03/01/11 .................................... 10 10
Rogers Cable, Inc. - Sr. Sec. 2nd Priority Notes
7.875% due 05/01/12 .................................. 35 37
Rogers Cable, Inc. Sr. Notes
6.25% due 06/15/13 ................................... 265 252
Shaw Communications, Inc.
7.25% due 04/06/11 ................................... 15 16
Shaw Communications, Inc. - Sr. Notes
8.25% due 04/11/10 ................................... 260 283
Sinclair Broadcast Group, Inc. - Sr. Sub. Notes
8.0% due 03/15/12 .................................... 105 107
8.75% due 12/15/11 ................................... 135 144
Videotron Ltee - Sr. Notes
6.875% due 01/15/14 .................................. 245 238
Vivendi Universal - Sr. Notes Ser. B
9.25% due 04/15/10 ................................... 200 236
Warner Music Group - Sr. Sub. Notes 144A (a)
7.375% due 04/15/14 .................................. 155 149
------
9,161
Metals & Mining - 2.8%
AK Steel Corp.
7.875% due 02/15/09 .................................. 245 229
American Rock Salt Co. LLC - Gtd. Sr. Sec Notes 144A (a)
9.5% due 03/15/14 .................................... 55 56
Century Aluminum Co.
11.75% due 04/15/08 .................................. 320 357
Compass Minerals Group, Inc. - Sr. Sub. Notes
10.0% due 08/15/11 ................................... 275 306
Consol Energy, Inc. - Notes
7.875% due 03/01/12 .................................. $200 $ 206
Kennametal, Inc. - Sr. Notes
7.2% due 06/15/12 .................................... 75 80
Massey Energy Co. - Sr. Notes
6.625% due 11/15/10 .................................. 110 110
Massey Energy Corp. - Notes
6.95% due 03/01/07 ................................... 190 195
Peabody Energy Corp. - Sr. Notes
6.875% due 03/15/13 .................................. 360 365
Russel Metals, Inc. - Sr. Notes
6.375% due 03/01/14 .................................. 45 42
Steel Dynamics, Inc. - Sr. Notes
9.5% due 03/15/09 .................................... 45 50
9.5% due 03/15/09 .................................... 155 171
Timken Co. - Notes
5.75% due 02/15/10 ................................... 205 205
United States Steel Corp. - Sr. Notes
10.75% due 08/01/08 .................................. 244 278
------
2,650
Multiline Retail - 0.5%
J.C. Penney Co., Inc. - Notes
8.0% due 03/01/10 .................................... 225 251
J.C. Penney Co., Inc.. - Notes
7.375% due 08/15/08 .................................. 195 211
Petro Stopping Centers - Sr. Sec. Notes 144A (a)
9.0% due 02/15/12 .................................... 45 44
------
506
Office Electronics - 1.0%
Xerox Corp.
7.2% due 04/01/16 .................................... 190 182
Xerox Corp. - Sr. Notes
9.75% due 01/15/09 ................................... 645 735
------
917
Oil & Gas - 6.5%
ANR Pipeline Co. - Sr. Notes
8.875% due 03/15/10 .................................. 425 463
Chesapeake Energy Corp.
7.5% due 09/15/13 .................................... 280 290
Chesapeake Energy Corp. - Sr. Notes
7.75% due 01/15/15 ................................... 35 36
8.125% due 04/01/11 .................................. 545 589
Dynegy, Inc. - Sr. Sec. Notes 144A (a)
10.125% due 07/15/13 ................................. 270 293
Encore Acquisition Co. - Sr. Sub. Notes
8.375% due 06/15/12 .................................. 70 74
Evergreen Resources, Inc. - Sr. Sub. Notes 144A (a)
5.875% due 03/15/12 .................................. 55 55
EXCO Resources, Inc. - Sr. Notes
7.25% due 01/15/11 ................................... 230 233
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
HIGH YIELD BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Oil & Gas - Continued
Forest Oil Corp. - Sr. Notes
8.0% due 06/15/08 .................................... $102 $ 109
8.0% due 12/15/11 .................................... 270 289
Giant Industries, Inc. - Sr. Sub. Notes
8.0% due 05/15/14 .................................... 90 90
11.0% due 05/15/12 ................................... 179 200
Key Energy Services, Inc. - Sr. Notes
6.375% due 05/01/13 .................................. 50 47
Magnum Hunter Resources, Inc. - Sr. Notes
9.6% due 03/15/12 .................................... 500 550
Newfield Exploration Co. - Sr. Sub. Notes
8.375% due 08/15/12 .................................. 215 232
Parker Drilling Co. - Notes
9.625% due 10/01/13 .................................. 210 219
Petroleum Geo Services ASA - Sr. Notes
10.0% due 11/05/10 ................................... 220 227
Plains Exploration & Production Co. - Sr. Notes 144A (a)
7.125% due 06/15/14 .................................. 60 61
Plains Exploration & Production Co. - Sr. Sub. Notes
8.75% due 07/01/12 ................................... 45 49
Premcor Refining Group, Inc. - Sr. Notes
6.75% due 02/01/11 ................................... 290 296
9.5% due 02/01/13 .................................... 345 395
Pride International, Inc. - Sr. Notes 144A (a)
7.375% due 07/15/14 .................................. 270 273
Tesoro Petroleum Corp. - Sr. Sec. Notes
8.0% due 04/15/08 .................................... 235 251
Tesoro Petroleum Corp. - Sr. Sub. Notes
9.625% due 11/01/08 .................................. 90 98
Western Oil Sands, Inc. - Sr. Sec. Notes
8.375% due 05/01/12 .................................. 205 222
Westport Resources Corp. - Sr. Sub. Notes
8.25% due 11/01/11 ................................... 295 334
Whiting Petroleum Corp. - Sr. Sub. Notes 144A (a)
7.25% due 05/01/12 ................................... 105 105
XTO Energy, Inc. - Sr. Notes
6.25% due 04/15/13 ................................... 20 21
------
6,101
Paper & Forest Products - 4.8%
Abitibi-Consolidated, Inc. - Notes
8.55% due 08/01/10 ................................... 880 922
Blue Ridge Paper Products, Inc. - Sr. Sec. Notes
9.5% due 12/15/08 .................................... 225 210
Boise Cascade Corp. - Sr. Notes
6.5% due 11/01/10 .................................... 220 224
Bowater, Inc. - Notes
6.5% due 06/15/13 .................................... 35 33
Caraustar Industries, Inc. - Sr. Sub. Notes
9.875% due 04/01/11 .................................. 230 228
Georgia Pacific Corp. - Sr. Notes
8.875% due 02/01/10 .................................. $590 $ 671
9.375% due 02/01/13 .................................. 780 887
Jefferson Smurfit Corp. - Sr. Notes
8.25% due 10/01/12 ................................... 115 119
Longview Fibre Co. - Sr. Sub. Notes
10.0% due 01/15/09 ................................... 245 265
Norske Skog Canada, Ltd. - Sr. Notes 144A (a)
7.375% due 03/01/14 .................................. 425 415
Tembec Industries, Inc. - Sr. Notes
8.5% due 02/01/11 .................................... 495 500
------
4,474
Personal Products - 0.5%
Armkel LLC - Sr. Sub. Notes
9.5% due 08/15/09 .................................... 230 251
Playtex Products, Inc. - Sr. Sec. Notes 144A (a)
8.0% due 03/01/11 .................................... 240 250
------
501
Pharmaceuticals - 1.0%
AmeriSource Bergen Corp. - Sr. Notes
7.25% due 11/15/12 ................................... 535 548
8.125% due 09/01/08 .................................. 140 151
Biovail Corp. - Sr. Sub. Notes
7.875% due 04/01/10 .................................. 230 228
------
927
Real Estate Investment Trust - 1.1%
FelCor Lodging, Ltd. - Sr. Notes
8.5% due 06/01/11 .................................... 400 414
IStar Financial, Inc. - Sr. Notes
4.875% due 01/15/09 .................................. 335 323
6.0% due 12/15/10 .................................... 95 94
Thomburg Mortgage, Inc. - Sr. Notes
8.0% due 05/15/13 .................................... 200 200
------
1,031
Real Estate Operations - 0.4%
CB Richard Ellis Services, Inc. - Sr. Notes
9.75% due 05/15/10 ................................... 320 352
Road & Rail - 0.4%
Kansas City Southern Railway Co.
9.5% due 10/01/08 .................................... 340 368
Kansas City Southern Railway Co. - Sr. Notes
7.5% due 06/15/09 .................................... 25 25
------
393
Semiconductor Equipment & Products - 0.8%
Amkor Technology, Inc.
9.25% due 02/15/08 ................................... 410 430
Amkor Technology, Inc. - Sr. Notes
7.75% due 05/15/13 ................................... 345 326
------
756
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
HIGH YIELD BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Specialty Retail - 1.2%
Gap, Inc. - Notes
10.55% due 12/15/08 .................................. $ 185 $ 224
Pantry, Inc. - Sr. Sub. Notes
7.75% due 02/15/14 ................................... 105 102
Pathmark Stores, Inc. - Sr. Sub. Notes
8.75% due 02/01/12 ................................... 60 60
Rite Aid Corp. - Sr. Sec. Notes
8.125% due 05/01/10 .................................. 180 190
Rite Aid Corp. Sr. Notes
9.5% due 02/15/11 .................................... 440 485
Suburban Propane Partners - Sr. Notes
6.875% due 12/15/13 .................................. 30 29
-------
1,090
Tobacco - 0.2%
Dimon, Inc. - Sr. Notes
9.625% due 10/15/11 .................................. 145 147
Standard Commercial Corp. - Sr. Notes 144A (a)
8.0% due 04/15/12 .................................... 75 73
-------
220
Wireless Telecommunications Services - 3.4%
Nextel Communications, Inc. - Sr. Notes
6.875% due 10/31/13 .................................. 1,510 1,491
Rogers Wireless, Inc. - Sr. Sec. Notes
9.625% due 05/01/11 .................................. 855 960
Rural Cellular Corp. - Sr. Sec. Notes 144A (a)
8.25% due 03/15/12 ................................... 95 98
Triton PCS, Inc. - Sr. Notes
8.5% due 06/01/13 .................................... 400 381
Triton PCS, Inc. - Sr. Sub. Notes
8.75% due 11/15/11 ................................... 55 45
9.375% due 02/01/11 .................................. 205 176
-------
3,151
-------
TOTAL PUBLICLY-TRADED BONDS-
(Cost $89,489) 96.8% 90,299
SHORT-TERM INVESTMENTS - 1.5%
Investment in joint trading account
1.344% due 07/01/04
(Cost $1,410) ........................................ 1,410 1,410
----- -------
TOTAL INVESTMENTS-
(Cost $90,899) 98.3% 91,709
Cash and Receivables, less payables- 1.7% 1,545
----- -------
NET ASSETS- 100.0% $93,254
===== =======
(a) Pursuant to Rule 144A under the Securities Act of 1933, these securities
may be resold in transactions exempt from registration, normally to
qualified institutional buyers. At June 30, 2004, securities aggregated
$11,054 or 11.9% of net assets of the Portfolio.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock High Yield Bond (the "Fund") is a diversified series of John
Hancock Variable Series Trust I (the "Trust"), an open-end investment management
company registered under the Investment Company Act of 1940. The Trust is
organized as a Massachusetts business trust and consists of thirty different
funds as of June 30, 2004. The results of this Fund are included in this report.
The results of the other Funds in the Trust are presented under separate cover.
The Trust may add or delete Funds in the future to accommodate various
investment objectives. The Trust has issued shares of beneficial interest
exclusively to John Hancock Variable Life Account U ("JHVLAU"), John Hancock
Variable Life Account V ("JHVLAV"), John Hancock Variable Life Account S
("JHVLAS"), and John Hancock Variable Annuity Account I ("JHVAAI") to fund
policies and contracts issued by the John Hancock Variable Life Insurance
Company ("JHVLICO"), and to John Hancock Variable Annuity Account U ("JHVAAU"),
John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock Variable Life
Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H ("JHVAAH"), and
John Hancock Variable Annuity Account JF ("JHVAAJF") to fund contracts and
policies issued by John Hancock Life Insurance Company ("John Hancock" or
"JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"), and to John
Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Debt investment securities having a primary market over-the-counter are
valued on the basis of valuations furnished by a pricing service which
determines valuations for normal institutional size trading units of debt
securities, without exclusive reliance upon quoted prices.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Discount and premium on debt securities: The Fund accretes discount and
amortizes premium from par value on securities from either the date of issue or
the date of purchase over the life of the security.
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
The Fund had borrowings under the line of credit during the period ended
June 30, 2004 as follows:
Average Daily Loan Balance
During the Period for which Weighted Average
Loans were Outstanding Interest Rate Interest Expense
- --------------------------- ---------------- ----------------
$479 1.56% $--
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, the Fund had no open
financial futures contracts.
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $275, $513, $2,223, $8,179 and $5,903 which expire in 2007, 2008, 2009,
2010 and 2011, respectively.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
Excess Over
First $100 Million $100 Million
- ------------------ ------------
0.80% 0.70%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. Accordingly,
for the period ended June 30, 2004, the reimbursements paid from John Hancock
and JHVLICO were $18 to the Fund.
John Hancock has entered into a Sub-Advisory Agreement with Wellington
Management Company, and under its supervision, is responsible for the day-to-day
investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the year ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$29,773 $29,545
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, and commercial paper) and their
respective gross unrealized appreciation and depreciation for Federal income tax
purposes at December 31, 2003 were as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$89,864 $5,481 $(113) $5,368
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
relate to certain securities sold at a loss and premium amortization and market
discount accretion on debt securities. Additionally, as a result, net investment
income (loss) and net realized gain (loss) on investment transactions for a
reporting period may differ significantly from distributions during such period.
Accordingly, the Fund may periodically make reclassifications among certain of
its capital accounts without impacting the net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $17,093 $5,368
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $5,469 $-- $184
2002 5,697 -- --
Inception: May 2, 1988
- --------------------------------------------------------------------------------
International Equity Index Fund
SSgA Funds Management, Inc. J. Francis/J. Beach
- --------------------------------------------------------------------------------
.. Year to date, the Fund returned 3.70%, underperforming its benchmark, the
MSCI All Country World Ex US Index. Relative to Morningstar peers, the Fund
has an above average rating of 4/5 with an average risk profile.
.. On March 25th, the Fund's sub-adviser was changed, with the Fund continuing
to seek to track the performance of the MSCI All Country World ex-US Index.
.. The manager employs a passive management strategy by normally investing in
each stock in roughly the same proportion as represented in the Index. The
manager seeks to replicate as closely as possible the aggregate risk
characteristics and country diversification of the Index.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Assets
------
BP Amoco plc 2.1%
HSBC Holdings plc 1.8%
Vodafone AirTouch plc 1.6%
GlaxoSmithKline plc 1.3%
Toyota Motor Corp. 1.3%
Total Fina SA 1.2%
Nestle SA 1.2%
Royal Dutch Petroleum Co. 1.2%
Novartis AG 1.2%
Mitsubishi 1.0%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
International International Equity
Equity Index Fund Index Benchmark/4/
----------------- --------------------
YTD/3/ 3.70% 4.11%
1 Year 32.33 34.38
3 Years 4.10 5.14
5 Years 0.32 1.10
10 Years 3.72 5.18
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY:/1/
.. Foreign Large Blend
MORNINGSTAR RISK:/1/
.. Average (VL/VUL)
.. Average (VA)
MORNINGSTAR RATING:/1/
.. *****(VL/VUL)
.. ****(VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DIVERSIFICATION BY REGION AND COUNTRY/5/
(as of June 30, 2004)
% of
Assets
------
Europe (excluding U.K.) 42.7%
United Kingdom (U.K.) 21%
Japan 20.2%
Emerging Markets 7.1%
Pacific Basin (excluding Japan) 7%
United States 1.3%
Other .2%
DIVERSIFICATION BY REGION/6/
Developed Markets 90%
Emerging Markets 10%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 363 VL/VUL subaccounts and 603 VA subaccounts in the
Morningstar Foreign Large Blend category. This represents the Morningstar 3
year rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions, and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The performance of the fund on this page
is reported net of Trust level charges (i.e. investment management fees and
operating expenses). It does not reflect expense and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus. There are
special risks associated with international investing, including currency
fluctuations, political and economic instability, foreign taxation and
different accounting standards, as outlined in the current prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
/4/ The International Equity Benchmark represents the MSCI EAFE from May 1988
to April 1998 and then MSCI EAFE GDP weighted from May 1998 to June 1999
and then 90% MSCI EAFE GDP/10% MSCI Emerging Markets Free from July 1999 to
October 2003 and now the MSCI All Country World Free excluding U.S. from
November 2003 to present.
/5/ Calculations based upon country in which security is traded (listed).
/6/ Calculations based upon country in which security is domiciled.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
International Equity Index Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $43,874 of
securities loaned (Note B)) ..................................... $220,877
Net unrealized appreciation on investments ......................... 20,745
Short-term investments at value .................................... 47,912
--------
Total investments ............................................ 289,534
Foreign currency at value (cost $2,271) ............................ 2,264
Segregated cash--futures margin .................................... 402
Receivable for:
Investments sold ................................................ 71
Dividends ....................................................... 540
Foreign dividend tax withholding reclaim ........................ 51
Futures contracts variation margin .............................. 223
Other receivables ............................................... 4
--------
Total assets ....................................................... 293,089
--------
LIABILITIES
Payables for:
Investments purchased ........................................... 44
Collateral for securities on loan ............................... 46,017
Foreign dividend tax withholding ................................ 30
Foreign interest tax withholding ................................ 3
Forward foreign currency exchange contracts purchased ........... 24
Accrued operating expenses ...................................... 49
Accrued Distribution fees--Series I ............................. 20
Accrued Distribution fees--Series II ............................ 4
Other payables .................................................. 90
Other liabilities ............................................... 5
--------
Total liabilities .................................................. 46,286
--------
Net assets ......................................................... $246,803
========
Shares outstanding, $0.01 Par Value (unlimited shares authorized) .. 17,454
--------
Net asset value per share .......................................... $ 14.14
========
Composition of net assets:
Capital paid-in ................................................. $245,620
Accumulated net realized loss on investments,
futures and foreign currency transactions .................... (19,230)
Undistributed net investment loss ............................... (375)
Net unrealized appreciation (depreciation) of:
Investments .................................................. 20,745
Futures ...................................................... 74
Translation of assets and liabilities in foreign currencies .. (31)
--------
Net assets ......................................................... $246,803
========
Other Information:
Net Assets:
NAV Series ...................................................... $167,073
Series I ........................................................ $ 58,340
Series II ....................................................... $ 21,390
Shares outstanding, $0.01 par value per share:
NAV Series ...................................................... 11,814
Series I ........................................................ 4,126
Series II ....................................................... 1,514
Net asset value per share:
NAV Series ...................................................... $ 14.14
Series I ........................................................ $ 14.14
Series II ....................................................... $ 14.13
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
International Equity Index Fund
(000's Omitted)
INVESTMENT INCOME
Interest ..................................................... $ 36
Dividends (net of foreign withholding tax of $337) ........... 2,641
Securities lending ........................................... 76
--------
Total investment income ............................................ 2,753
--------
EXPENSES
Investment advisory fee ...................................... 147
Distribution fee for Series I (Note C) ....................... 20
Distribution fee for Series II (Note C) ...................... 4
Auditors fees ................................................ 10
Custodian fees ............................................... 40
Legal fees ................................................... 10
Printing & mailing fees ...................................... 63
Trustees' fees ............................................... 2
Other fees ................................................... 5
--------
Total expenses ..................................................... 301
Less expenses reimbursed ..................................... (16)
--------
Net expenses ....................................................... 285
--------
Net investment income .............................................. 2,468
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments .................................................. 3,870
Financial futures contracts .................................. 14
Foreign currency transactions ................................ (85)
Realized Thai tax ............................................ (33)
Change in unrealized appreciation (depreciation) on:
Investments .................................................. 7,743
Futures ...................................................... (5)
Translation of assets and liabilities in foreign currencies .. (90)
--------
Net realized and unrealized gain ................................... 11,414
--------
Net increase in net assets resulting from operations ............... $ 13,882
========
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
International Equity Index Fund
(000's Omitted)
Unaudited
Six-Month Year Ended
Period Ended December 31,
June 30, 2004 2003
------------- ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income ....................................... 2,468 $ 2,614
Net realized gain (loss) .................................... 3,766 (6,337)
Change in net unrealized appreciation (depreciation) ........ 7,648 51,040
-------- --------
Net increase in net assets resulting from operations ..... 13,882 47,317
Distributions to shareholders from:
Net investment income ....................................... (2,422) (3,183)
Net realized gains .......................................... (981)
-------- --------
Decrease in net assets resulting from distributions ...... (2,422) (4,164)
From fund share transactions:
Proceeds from shares sold ................................... 49,118 97,542
Issued in reorganization .................................... 45,097
Unrealized appreciation/(depreciation) from merger .......... (5,399)
Distributions reinvested .................................... 2,422 4,164
Payment for shares redeemed ................................. (14,931) (84,740)
-------- --------
Increase in net assets from fund share transactions ...... 76,307 16,966
-------- --------
NET INCREASE IN NET ASSETS ..................................... 87,767 60,119
NET ASSETS
Beginning of Period ......................................... 159,036 98,917
-------- --------
End of Period (including undistributed net investment loss
of $(375) and $(421), respectively) ...................... $246,803 $159,036
======== ========
Analysis of fund share transactions:
Sold ........................................................ 3,623 9,143
Issued in reorganization .................................... 3,212
Reinvested .................................................. 172 358
Redeemed .................................................... (1,061) (7,833)
-------- --------
Net increase in fund shares outstanding ........................ 5,946 1,668
======== ========
Other Information:
Unaudited Unaudited Unaudited
Six Month Period from Period from
Period Ended May 3, to May 3, to
June 30, June 30, June 30,
Fund share transactions 2004 2004 2004
------------ ------------ -----------
NAV Series Series I Series II
------------ ------------ -----------
Dollars
Sold ................................................ $ 15,838 $32,262 $ 1,018
Issued in reorganization ............................ 24,566 20,531
Unrealized appreciation/(depreciation) from merger .. 621 (6,020)
Reinvested .......................................... 2,200 187 35
Redeemed ............................................ (13,596) (992) (343)
-------- ------- -------
Net increase ........................................ $ 4,442 $56,644 $15,221
======== ======= =======
Shares
Sold ................................................ 1,116 2,435 72
Issued in reorganization ............................ 1,749 1,463
Reinvested .......................................... 156 13 3
Redeemed ............................................ (966) (71) (24)
-------- ------- -------
Net increase ........................................ 306 4,126 1,514
======== ======= =======
Distributions
Net investment income ............................... $ 2,200 $ 187 $ 35
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
International Equity Index--NAV Series
------------------------------------------------------------------
Unaudited
Period Ended Year Ended December 31,
June 30, -------------------------------------------------
2004(f) 2003 2002 2001 2000
------------ -------- ------- -------- --------
Net Assets Value at Beginning of Period ................ $ 13.82 $ 10.05 $ 12.07 $ 15.39 $ 19.64
Income from Investment Operations:
Net Investment Income ............................... 0.20 0.24 0.21 0.22 0.23
Net Realized and Unrealized Gain (Loss) on
Investment(a) .................................... 0.31 3.91 (2.02) (3.32) (3.64)
-------- -------- ------- -------- --------
Total From Investment Operations .................... 0.51 4.15 (1.81) (3.10) (3.41)
Less Distributions:
Distribution from Net Investment Income ............. (0.19) (0.29) (0.21) (0.17) (0.18)
Distribution from Net Realized Gains on
Investments ...................................... (0.09) (0.59)
Distribution from Excess of Net Investment
Income/ Gains ....................................
Distribution from Capital Paid-in ................... (0.05) (0.07)
-------- -------- ------- -------- --------
Total Distributions ................................. (0.19) (0.38) (0.21) (0.22) (0.84)
-------- -------- ------- -------- --------
Net Assets Value at End of Period ...................... $ 14.14 $ 13.82 $ 10.05 $ 12.07 $ 15.39
======== ======== ======= ======== ========
Total Investment Return(b) ............................. 3.70%(d) 41.99% (15.18)% (20.30)% (17.42)%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net Assets .... 0.29%(c)(e) 0.27%(c) 0.28%(c) 0.27%(c) 0.28%(c)
Ratio of Net Investment Income (Loss) to Average
Net Assets ....................................... 2.84%(e) 2.13% 1.85% 1.66% 1.40%
Portfolio Turnover Rate ............................. 21.42%(d) 37.90% 17.55% 8.31% 14.86%
Net Assets End of Period (000s Omitted) ................ $167,073 $159,036 $98,917 $122,020 $195,012
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made the expense ratio would have been .31% for the period ending June
30, 2004, and .42%, .46%, .40%, and .37%, for the years ended December 31,
2003, 2002, 2001, and 2000, respectively.
(d) Not annualized.
(e) Annualized.
(f) The fund entered into a new sub-advisory agreement with SSgA Funds
Management, Inc. during the period shown.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
International International
Equity Index-- Equity Index--
Series I Series II
------------------ ------------------
Period from Period from
May 3, to June 30, May 3, to June 30,
2004(c) 2004(c)
------------------ ------------------
Net Assets Value at Beginning of Period ....................... $ 13.89 $ 13.89
Income from Investment Operations:
Net Investment Income ...................................... 0.05 0.05
Net Realized and Unrealized Gain (Loss) on Investment(a) ... 0.26 0.26
------- -------
Total From Investment Operations ........................... 0.31 0.31
Less Distributions:
Distribution from Net Investment Income .................... (0.06) (0.07)
------- -------
Total Distributions ........................................ (0.06) (0.07)
------- -------
Net Assets Value at End of Period ............................. $ 14.14 $ 14.13
======= =======
Total Investment Return(b) .................................... 2.26%(d) 2.22%(d)
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net Assets ........... 0.74%(e) 0.97%(e)
Ratio of Net Investment Income (Loss) to
Average Net Assets ......................................... 2.55%(e) 0.94%(e)
Portfolio Turnover Rate .................................... 21.42%(d) 21.42%(d)
Net Assets End of Period (000s Omitted) ....................... $58,340 $21,390
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Commencement of investment operations.
(d) Not annualized.
(e) Annualized.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------ -------
(000's)
COMMON STOCK
Argentina - 0.0%
Telecom Argentina Stet-France Telecom SA - ADR (J1) ...... 2,196 $ 20
Australia - 3.7%
Alumina, Ltd. (BF) ....................................... 29,205 107
Amcor, Ltd. (BE) ......................................... 22,366 108
AMP, Ltd. (JR) ........................................... 47,637 210
Ansell, Ltd. (JL) ........................................ 4,303 23
Aristocrat Leisure Limited (BZ) .......................... 7,900 27
Australia & New Zealand Banking Group, Ltd. * (JP) ....... 46,741 594
Australian Gas & Light Co., Ltd. (J4) .................... 11,777 99
Australian Stock Exchange, Ltd. (JQ) ..................... 2,627 28
BHP Steel * (BF) ......................................... 19,407 91
Boral, Ltd. * (BD) ....................................... 14,676 66
Brambles Industries, Ltd. * (BO) ......................... 25,025 104
Broken Hill Proprietary Co., Ltd. * (BF) ................. 97,223 847
Centro Properties Group Development (JS) ................. 16,287 45
CFS Gandel Retail Trust (JS) ............................. 33,022 32
Coca Cola Amatil * (JG) .................................. 11,720 57
Cochlear, Ltd. (JL) ...................................... 1,405 22
Coles Myer, Ltd. * (JF) .................................. 28,246 169
Commonwealth Bank of Australia (JP) ...................... 32,654 740
Commonwealth Property Office (JS) ........................ 32,475 26
Computershare, Ltd. (BO) ................................. 11,036 24
CSL, Ltd. * (JO) ......................................... 4,901 76
CSR, Ltd. (BD) ........................................... 24,041 37
Deutsche Office Trust (JS) ............................... 29,430 24
Foster's Brewing Group, Ltd. * (JG) ...................... 51,854 170
Futuris Corp., Ltd. (JH) ................................. 14,218 16
General Property Trust (JS) .............................. 54,363 132
Harvey Norman Holdings, Ltd. (JD) ........................ 13,516 27
Iluka Resources, Ltd. (BF) ............................... 5,843 18
ING Industrial Fund (JS) ................................. 16,218 20
Insurance Australia Group (JR) ........................... 45,748 159
Investa Property Group (JS) .............................. 35,871 49
Jame Hardie Industries NV (BD) ........................... 11,821 49
John Fairfax Holdings Ltd. (JA) .......................... 22,918 59
Leighton Holdings, Ltd. (BJ) ............................. 3,516 22
Lend Lease Corp. (JS) .................................... 9,607 69
Lion Nathan, Ltd. (JG) ................................... 7,524 35
Macquarie Goodman Industrial Trust (JS) .................. 39,783 46
Macquarie Infrastructure Group (BT) ...................... 49,784 114
Macquariebank, Ltd. (JP) ................................. 5,815 137
Mayne Group, Ltd. (BP) ................................... 18,642 44
Mirvac Group (JS) ........................................ 17,628 53
National Australia Bank, Ltd. (JP) ....................... 39,010 809
National Mutual Holdings, Ltd. * (JR) .................... 17,701 41
Newcrest Mining, Ltd. (BF) ............................... 8,453 81
News Corp., Ltd. (JA) .................................... 35,273 311
Onesteel. Ltd. (BF) ...................................... 14,186 25
Orica, Ltd. (BC) ......................................... 7,135 $ 75
Origin Energy (BB) ....................................... 17,049 67
Pacific Brands Holding Pty., Ltd. * (BY) ................. 12,597 23
Paperlinx (BG) ........................................... 11,377 38
Patrick Corp., Ltd. (BT) ................................. 13,061 49
Perpetual Trustees Australia. Ltd. (JQ) .................. 963 31
Publishing & Broadcasting, Ltd. (JA) ..................... 3,397 30
QBE Insurance Group, Ltd. * (JR) ......................... 17,319 154
Rinker Group (BD) ........................................ 24,288 136
Rio Tinto, Ltd. (BF) ..................................... 8,039 201
Santos, Ltd. * (BB) ...................................... 14,960 72
Sonic Healthcare, Ltd. (JM) .............................. 6,200 39
Southcorp, Ltd. (JG) ..................................... 16,353 36
Stockland (JS) ........................................... 32,694 118
Suncorp-Metway, Ltd. (JP) ................................ 14,513 143
TAB (BZ) ................................................. 11,576 40
Tabcorp Holdings, Ltd. (BZ) .............................. 10,658 106
Telstra Corp., Ltd. * (J1) ............................... 55,414 194
Toll Holdings, Ltd. (BP) ................................. 5,855 44
Transurban Group (BT) .................................... 12,511 42
Wesfarmers (BL) .......................................... 9,716 199
Westfield Holdings, Ltd. (JS) ............................ 10,964 117
Westfield Trust (JS) ..................................... 58,827 180
Westpac Banking Corp., Ltd. (JP) ......................... 46,619 570
WMC Resources, Ltd. * (BF) ............................... 29,135 100
Woodside Petroleum, Ltd. (BB) ............................ 12,694 147
Woolworth's, Ltd. * (JF) ................................. 26,261 208
------
9,201
Austria - 0.2%
Bank Austria Credit * (JP) ............................... 987 58
Bohler-Uddeholm AG (BF) .................................. 200 17
Erste Bank * (JP) ........................................ 802 126
Flughafen Wien AG (BT) ................................... 298 17
Immofinanz Immobilien * (JS) ............................. 5,578 45
Mayr-Melnhof Karton AG (BE) .............................. 107 14
Oesterreichische Elektrizitaetswirtschafts AG (J3) ....... 133 23
OMV AG (BB) .............................................. 361 70
RHI AG (BD) .............................................. 481 11
Telecom Austria * (J1) ................................... 7,404 113
VA Technologie AG (BM) ................................... 253 14
Voest Alpine AG (BF) ..................................... 601 30
Wienerberger Baustoffindustrie AG (BI) ................... 1,342 47
------
585
Belgium - 1.0%
Agfa Gevaert NV (BX) ..................................... 2,456 61
Barco NV (JY) ............................................ 324 29
Bekaert NV (BK) .......................................... 397 23
Belgacom SA (J1) ......................................... 4,215 129
Cofinimmo SA (JS) ........................................ 131 18
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- --------- -------
(000's)
COMMON STOCK - Continued
Belgium - Continued
Colruyt NV (JF) ........................................ 461 $ 57
Compagnie Maritime Belge SA (BR) ....................... 93 11
D' Ieteren SA (JB) ..................................... 77 16
Delhaize SA (JF) ....................................... 1,975 101
DEXIA * (JP) ........................................... 17,540 292
Electrabel SA (J3) ..................................... 743 239
Fortis * (JQ) .......................................... 31,682 702
GPE Bruxelles LAM (JQ) ................................. 1,875 120
Interbew (JG) .......................................... 4,077 130
KBC Bancassurance Holding NV (JP) ...................... 2,888 166
Mobistar SA * (J1) ..................................... 770 48
NV Union Miniere SA (BF) ............................... 604 38
Omega Pharma SA (JL) ................................... 569 29
Solvay SA (BC) ......................................... 1,712 140
UCB SA * (JO) .......................................... 2,367 110
------
2,459
Brazil - 0.1%
Aracruz Celulose SA - ADR * (BG) ....................... 897 29
Centrais Electricas Brasileiras SA ADR - ADR (J3) ...... 3,676 19
Compahnia Vale Do Rio Doce * (BF) ...................... 900 42
Petrol Brasilieros (BB) ................................ 1,700 47
Souza Cruz (JI) ........................................ 2,100 20
Tele Norte Leste Participacoes SA * (J1) ............... 1,500,000 16
Usinas Siderurgicas de Minas Gerais SA - ADR * (BF) .... 1,669 17
------
190
Canada - 5.1%
Aber Diamond Corp. * (BF) .............................. 1,300 38
Abitibi Consolidated, Inc. * (BG) ...................... 10,200 70
Agnico-Eagle Mines, Ltd. (BF) .......................... 2,200 29
Agrium, Inc. (BC) ...................................... 3,300 48
Alcan Aluminum, Ltd. (BF) .............................. 9,500 391
Aliant, Inc. (J1) ...................................... 1,100 23
Angiotech Pharmaceuticals, Inc. (JO) ................... 2,100 43
ATI Technologies, Inc. (JX) ............................ 6,200 116
Ballard Power Systems, Inc. (BK) ....................... 2,000 18
Bank Nova Scotia Halifax * (JP) ........................ 26,000 695
Bank of Montreal (JP) .................................. 12,900 514
Barrick Gold Corp. (BF) ................................ 13,100 260
BCE, Inc. (J1) ......................................... 7,800 155
Biovail Corp. * (JO) ................................... 3,500 66
Bombardier, Inc. - Cl. B * (BH) ........................ 36,200 109
Brascan Corp. - Cl. A (BL) ............................. 6,000 167
Brookfield Properties Corp. * (JS) ..................... 2,300 66
CAE, Inc. (BH) ......................................... 6,300 28
Cameco Corp. (BF) ...................................... 1,500 87
Canadian Imperial Bank of Commerce (JP) ................ 9,400 457
Canadian National Railway Co. (BS) ..................... 7,300 315
Canadian Natural Resources, Ltd. (BB) .................. 6,600 197
Canadian Pacific Railway (BS) .......................... 4,100 $ 100
Canadian Tire, Ltd. - Cl. A * (JD) ..................... 2,000 73
Celestica, Inc. * (JY) ................................. 5,100 102
CGI Group, Inc. - Cl. A (JU) ........................... 7,400 50
CI Fund Management, Inc. (JQ) .......................... 4,200 50
Cognos, Inc. * (JV) .................................... 2,100 75
Cott Corp. * (JG) ...................................... 1,300 42
CP Ships, Ltd. Common (BR) ............................. 2,300 41
Dofasco, Inc. (BF) ..................................... 2,000 59
Domtar, Inc. (BG) ...................................... 5,000 64
Enbridge, Inc. (J4) .................................... 4,200 153
Encana Corp. (BB) ...................................... 11,800 507
Fairfax Financial Holdings, Ltd. (JR) .................. 300 51
Fairmont Hotels Resorts, Inc. (BZ) ..................... 2,000 54
Falconbridge, Ltd. (BF) ................................ 2,100 51
Finning International, Inc. (BM) ....................... 2,000 50
Four Seasons Hotels, Inc. (BZ) ......................... 600 36
Glamis Gold, Ltd. (BF) ................................. 3,300 58
Goldcorp, Inc. (BF) .................................... 4,900 57
Great West Lifeco, Inc. (JR) ........................... 3,400 122
Hudson's Bay Co. (JD) .................................. 1,800 19
Husky Energy, Inc. (BB) ................................ 3,300 63
IGM Financial, Inc. (JQ) ............................... 3,100 76
Imperial Oil, Ltd. (BB) ................................ 3,300 154
Inco, Ltd. * (BF) ...................................... 4,800 165
Intrawest Corp. (BZ) ................................... 1,200 19
Kinross Gold Corp. * (BF) .............................. 7,600 42
Loblaw Co., Ltd. (JF) .................................. 2,800 128
Magna International, Inc. (BU) ......................... 2,500 212
Manulife Financial Corp. (JR) .......................... 20,700 835
Masonite International Corp. * (BI) .................... 1,400 36
MDS, Inc. * (JM) ....................................... 3,600 55
Meridian Gold, Inc. (BF) ............................... 2,600 33
Methanex Corp. * (BC) .................................. 3,100 41
MI Developments, Inc. - Cl. A (JS) ..................... 1,200 33
Molson Cos., Ltd. (JG) ................................. 2,700 68
National Bank of Canada (JP) ........................... 4,500 144
Nexen, Inc. (BB) ....................................... 3,200 124
Noranda, Inc. (BF) ..................................... 4,400 75
Nortel Networks Corp. (JW) ............................. 107,100 534
NOVA Chemicals Corp. (BC) .............................. 2,200 63
ONEX Corp. (JY) ........................................ 3,200 41
Open Text Corp. * (JT) ................................. 1,000 32
Penn West Petroleum, Ltd. (BB) ......................... 1,300 60
Petro Canada (BB) ...................................... 5,800 249
Placer Dome, Inc. (BF) ................................. 10,600 177
Potash Corp. of Saskatchewan, Inc. * (BC) .............. 1,400 134
Power Corp. Canada (JQ) ................................ 4,100 162
Power Financial Corp. (JQ) ............................. 3,100 127
Precision Drilling Corp. (BA) .......................... 1,400 67
QLT, Inc. (JN) ......................................... 1,800 36
Quebecor World, Ltd. (JA) .............................. 2,200 48
Rogers Comunications, Inc. - Cl. B (J1) ................ 4,300 77
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK - Continued
Canada - Continued
Royal Bank of Canada (JP) ............................... 16,900 $ 745
Shaw Communications, Inc. (JA) .......................... 5,100 85
Shell Canada, Ltd. (BB) ................................. 1,800 87
Shoppers Drug Mart Corp. * (JF) ......................... 4,900 122
SNC-Lavalin Group, Inc. (BJ) ............................ 1,300 48
Sun Life Financial, Inc. * (JR) ......................... 15,400 441
Suncor Energy, Inc. (BB) ................................ 11,600 294
Talisman Energy, Inc. (BB) .............................. 9,900 215
Teck Cominco, Ltd. - Cl. B (BF) ......................... 4,700 84
Telus Corp. (J1) ........................................ 3,300 50
Thomson Corp. (JA) ...................................... 5,900 196
Transalta Corp. (J5) .................................... 4,900 61
TransCanada Corp. (J4) .................................. 12,400 244
TSX Group, Inc. (FB) .................................... 900 32
Weston George, Ltd. (JF) ................................ 1,300 90
-------
12,610
Chile - 0.0%
Sociedad Quimica y Minera de Chile SA - ADR (BC) ........ 736 30
Czech Republic - 0.1%
Ceske Energeticke Zavody AS (J3) ........................ 3,996 28
Komercni Banka AS * (JP) ................................ 293 33
Philip Morris Credit AS (JI) ............................ 18 11
SPT Telecom AS * (J1) ................................... 3,106 38
-------
110
Denmark - 0.7%
A P Moller-Maersk AS - Cl. B (BR) ....................... 29 200
Bang & Olufsen AS - Ser. B (BW) ......................... 300 17
Carlsberg AS (JG) ....................................... 900 48
Coloplast (JL) .......................................... 350 33
Danisco AS (JH) ......................................... 1,450 75
Danske Bank (JP) ........................................ 12,600 299
DSV (BS) ................................................ 575 27
FLS Industries AS - Cl. B (BJ) .......................... 600 8
GN Store Nord (JW) ...................................... 6,000 53
Group 4 Falck (BO) ...................................... 1,973 51
H. Lundbeck AS * (JO) ................................... 1,900 41
ISS AS (BO) ............................................. 1,150 57
Kobenhauns Lufthavne AS (BT) ............................ 175 26
NKT Holdings AS (BK) .................................... 400 8
Novo Nordisk AS (JO) .................................... 7,000 361
Novozymes AS - Ser. B (BC) .............................. 1,500 68
Ostasiatiske Kompagni (JH) .............................. 500 23
Tele Danmark AS (J1) .................................... 3,500 114
Topdanmark AS * (JR) .................................... 625 37
Vestas Wind Systems AS (BK) ............................. 4,633 68
William Demant Holdings AS (JL) ......................... 700 26
-------
1,640
Finland - 1.2%
Amer Group, Ltd. (BX) ................................... 600 31
ELISA Corp. - Ser. A (J1) ............................... 3,660 49
Fortum Oyj (BB) ......................................... 9,200 $ 118
KCI Konecranes Oyj (BM) ................................. 350 13
Kesko Oyj (JF) .......................................... 1,600 32
Kone Oyj - Ser. B (BM) .................................. 938 57
Metso OYJ * (BM) ........................................ 2,700 34
Nokia Oyj * (JW) ........................................ 128,600 1,858
Nokian Renkaat (BU) ..................................... 275 27
Orion - Ser. B (JO) ..................................... 1,000 26
Outokumpu Oyj (BF) ...................................... 2,400 38
Pohoja Group plc - Ser. D (JR) .......................... 1,519 16
Rautaruukki Oyj (BF) .................................... 2,300 19
Sampo Insurance Co. plc (JR) ............................ 7,400 72
Stora Enso Oyj * (BG) ................................... 16,500 224
Tietoenator Oyj (JU) .................................... 2,220 67
UPM-Kymmene Corp. * (BG) ................................ 14,000 267
Uponor Oyj (BI) ......................................... 800 26
Wartsila (BM) ........................................... 1,000 22
-------
2,996
France - 7.9%
Accor SA (BZ) ........................................... 5,173 219
Air Liquide * (BC) ...................................... 2,880 477
Air Liquide SA * (JL) ................................... 638 88
Alcatel * (JW) .......................................... 31,994 494
Alstom (BK) ............................................. 25,536 29
Areclor (BF) ............................................ 10,477 176
Atos Origin SA * (JU) ................................... 1,193 77
Autoroutes du Sud de la France (BT) ..................... 1,791 71
Aventis SA * (JO) ....................................... 18,265 1,380
AXA * (JR) .............................................. 34,954 771
BNP Paribas * (JP) ...................................... 21,462 1,321
Bouygues SA * (J2) ...................................... 5,236 175
Business Objects (JV) ................................... 1,738 39
Caisse National Credit Agricole (JP) .................... 17,378 423
Cap Gemini SA * (JU) .................................... 3,361 135
Carrefour SA * (JF) ..................................... 15,146 736
Casino Guichard-Perrachon SA (JF) ....................... 940 85
CIE De St. Gobain * (BI) ................................ 8,044 401
CNP Assurances (JR) ..................................... 889 52
Dassault Systemes SA * (JV) ............................. 1,491 69
EADS, Inc. (BH) ......................................... 6,391 178
Essilor International (JL) .............................. 2,615 171
Euronext NV (JQ) ........................................ 2,421 68
France Telecom * (J1) ................................... 29,239 763
Gecina (JS) ............................................. 680 53
Groupe Air France * (BQ) ................................ 3,199 55
Groupe Danone * (JH) .................................... 6,306 551
Hermes International * (BY) ............................. 243 49
Imerys (BI) ............................................. 854 50
Klepierre (JS) .......................................... 583 40
L'Oreal SA * (JK) ....................................... 7,973 638
Lafarge SA * (BD) ....................................... 4,384 391
LaFarge SA (BI) ......................................... 494 55
Lagardere SCA (JA) ...................................... 3,422 214
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------ -------
(000's)
COMMON STOCK - Continued
France - Continued
LVMH * (Louis Vuitton Moet Hennessy) (BY) ................ 6,420 $ 465
Michelin (BU) ............................................ 3,750 208
Pernod Ricard (JG) ....................................... 1,437 184
Peugoet SA (BV) .......................................... 4,460 249
Pinault-Printemps-Redoute SA * (JD) ...................... 1,842 189
Publicis Groupe SA * (JA) ................................ 2,928 87
Renault (BV) ............................................. 4,854 370
Sagem SA (JW) ............................................ 475 53
Sanofi-Synthelabo SA * (JO) .............................. 9,603 609
Schneider SA * (BK) ...................................... 5,469 374
Societe BIC SA (BO) ...................................... 857 38
Societe Generale - Cl. A * (JP) .......................... 8,677 738
Societe Television Francaise (JA) ........................ 3,079 97
Sodexho Alliance SA * (BZ) ............................... 2,478 65
STMicroelectronics * (J0) ................................ 15,349 337
SUEZ (J5) ................................................ 21,058 439
Technip SA (BA) .......................................... 491 67
Thomson CFS (BH) ......................................... 2,004 73
Thomson Multimedia * (BW) ................................ 6,171 122
Total Fina SA - Cl. B * (BB) ............................. 15,399 2,939
Unibail SA (JS) .......................................... 1,154 119
Valeo SA (BU) ............................................ 1,913 80
Veolia Environment * (J5) ................................ 7,432 210
Vinci SA * (BJ) .......................................... 1,881 190
Vivendi Universal SA * (JA) .............................. 26,678 741
Zodiac SA (BH) ........................................... 1,036 35
-------
19,572
Germany - 5.4%
Adidas-Salomon AG (BY) ................................... 1,193 143
Allianz AG * (JR) ........................................ 7,991 867
Altana AG (JO) ........................................... 1,809 109
BASF AG (BC) ............................................. 13,732 736
Bayer AG * (BC) .......................................... 17,003 491
Bayerische Vereinsbank AG * (JP) ......................... 15,156 270
Beiersdorf AG (JK) ....................................... 444 52
Celesio AG * (JM) ........................................ 778 47
Commerzbank AG (JP) ...................................... 13,118 231
Continental AG (BU) ...................................... 3,570 172
DaimlerChrysler AG * (BV) ................................ 22,341 1,045
Depfa Bank plc (JP) ...................................... 9,088 132
Deutsche Bank AG * (JP) .................................. 13,628 1,072
Deutsche Boerse AG (JQ) .................................. 2,722 138
Deutsche Post AG (BP) .................................... 11,499 249
Deutsche Telekom AG * (J1) ............................... 65,376 1,150
Douglas Holding AG (JE) .................................. 880 25
E.On AG (J3) ............................................. 16,180 1,169
Epcos AG * (JY) .......................................... 1,239 26
Fresenius Medical Care AG (JM) ........................... 909 67
Heidelberg Zement (BD) ................................... 1,566 78
Hypo Real Estate (JQ) .................................... 3,364 99
Infineon Technologies AG * (J0) .......................... 16,985 228
Karstadt AG (JD) ......................................... 1,005 22
Linde AG (BM) ............................................ 2,225 $ 123
Lufthansa AG (BQ) ........................................ 5,765 78
MAN AG (BM) .............................................. 2,723 99
Marschollek Lauten (JR) .................................. 1,569 23
Merck KGAA (JO) .......................................... 1,229 74
Metro AG (JD) ............................................ 3,770 179
Muenchener Rueckversicherungs- Gesellschaft AG * (JR) .... 4,508 489
Puma AG (BY) ............................................. 439 112
Qiagen NV (JL) ........................................... 2,971 35
RWE AG (J5) .............................................. 10,193 480
SAP AG * (JV) ............................................ 5,272 875
Schering AG * (JO) ....................................... 4,593 271
Siemens AG * (BK) ........................................ 20,836 1,500
Suedzucker AG (JH) ....................................... 1,350 27
Thyssen Krupp AG * (BF) .................................. 7,996 136
Tui AG (BZ) .............................................. 3,297 63
Volkswagen AG (BV) ....................................... 5,838 247
-------
13,429
Greece - 0.3%
Alpha Credit Bank (JP) ................................... 4,566 116
Bank of Piraeus (JP) ..................................... 3,850 45
Commercial Bank of Greece (JP) ........................... 1,180 31
Cosmote Mobile Telephone (J2) ............................ 2,658 41
Duty Free Shops (JD) ..................................... 340 6
EFG Eurobank (JP) ........................................ 4,330 94
Folli-Folie (BY) ......................................... 270 9
Germanos SA (JE) ......................................... 556 16
Hellenic Bottling Co. SA (JH) ............................ 1,900 44
Hellenic Petroleum SA (BB) ............................... 2,460 21
Hellenic Technodomiki Tev SA (BJ) ........................ 1,170 5
Hellenic Telecommunication Organization SA * (J1) ........ 5,770 75
Hyatt Regency Hotel (BZ) ................................. 975 10
Intracom SA (JW) ......................................... 1,970 9
National Bank of Greece SA (JP) .......................... 5,687 123
OPAP SA (BZ) ............................................. 3,653 69
Public Power Corp. (J3) .................................. 2,392 57
Technical Olympic SA (BJ) ................................ 1,330 6
Titan Cement Co. (BI) .................................... 1,320 31
Viohalco (BF) ............................................ 2,530 18
-------
826
Hong Kong - 2.1%
Aluminum Corp. of China, Ltd. * (BF) ..................... 76,000 41
Angang Steel (BF) ........................................ 28,000 10
Anhui Conch Cement Co., Ltd. (BD) ........................ 12,000 13
ASM Pacific Technology, Ltd. (J0) ........................ 4,500 17
Avichina Industry * (BV) ................................. 48,000 6
Bank of East Asia, Ltd. (JP) ............................. 31,400 90
Beijing Capital International (BT) ....................... 32,000 10
Beijing Datang Power Generation Co., Ltd. (J3) ........... 44,990 35
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK - Continued
Hong Kong - Continued
Beijing Enterprise (BL) ................................. 8,000 $ 10
BOC Hong Kong Holdings, Ltd. (JP) ....................... 88,500 151
Brilliance China Automotive Holdings, Ltd. (BV) ......... 68,000 20
BYD Co., Ltd. * (BL) .................................... 4,500 13
Cathay Pacific Airways (BQ) ............................. 24,000 45
Cheung Kong Holdings, Ltd. * (JS) ....................... 36,000 265
Cheung Kong Infrastructure Holdings, Ltd. (BD) .......... 12,000 29
China East Airline * (BQ) ............................... 50,000 10
China Everbright, Ltd. (JQ) ............................. 12,000 5
China Life Insurance Co., Ltd. * (JR) ................... 208,000 124
China Merchants Holdings International Co., Ltd. *
(BL) ................................................. 34,000 46
China Overseas and Land Invest (JS) ..................... 98,000 17
China Petroleum (BB) .................................... 416,000 152
China Pharma Group * (JO) ............................... 22,000 6
China Resources Enterprise, Ltd. * (JB) ................. 26,000 31
China Shipping Development * (BR) ....................... 40,620 24
China Southern Airlines Co. Ltd * (BQ) .................. 36,300 14
China Telecom Corp. * (J1) .............................. 408,000 143
China Telecom, Ltd. * (J2) .............................. 152,699 462
China Travel International (BZ) ......................... 60,000 10
Citic Pacific, Ltd. * (BL) .............................. 34,000 83
CLP Holdings, Ltd. (J3) ................................. 42,900 235
CNOOC, Ltd. (BB) ........................................ 382,000 162
Cofco International, Ltd. (JH) .......................... 18,000 9
Cosco Pacific, Ltd. (BR) ................................ 34,000 47
Denway Motors, Ltd. * (BV) .............................. 130,000 47
Esprit Holdings, Ltd. (JE) .............................. 17,000 76
Fujian Zijin Minin (BF) ................................. 26,000 9
Giordano International Ltd. (JE) ........................ 38,000 24
Guangshen Railway Co., Ltd. * (BS) ...................... 28,990 8
Guangzhou Investment Co., Ltd. (BL) ..................... 96,000 8
Hang Lung Properties (JS) ............................... 28,000 36
Hang Seng Bank, Ltd. * (JP) ............................. 18,300 235
Henderson Land Development Co., Ltd. * (JS) ............. 18,000 78
Hong Kong & China Gas Co., Ltd. (J4) .................... 87,490 143
Hong Kong Electric Holding, Ltd. (J3) ................... 33,000 137
Hong Kong Exchange & Clearing, Ltd. (JQ) ................ 26,000 53
Hopewell Holdings, Ltd. (BL) ............................ 14,000 28
Huadian Power International Corp. * (J3) ................ 44,000 15
Huaneng Power International * (J3) ...................... 94,000 84
Hutchison Whampoa, Ltd. * (BL) .......................... 50,800 347
Hysan Development Co., Ltd. (JS) ........................ 15,266 23
Jiangxi Copper Co., Ltd. * (BF) ......................... 22,000 10
Jianssu Expressway Company, Ltd. (BT) ................... 38,000 18
Johnson Electric Holdings, Ltd. * (BK) .................. 35,000 35
Kerry Properties, Ltd. (JS) ............................. 11,000 17
Kingboard Chemical Holding Co., Ltd. * (JY) ............. 10,000 $ 17
Legend Holdings * (JX) .................................. 104,899 29
Li & Fung, Ltd. * (JB) .................................. 38,000 56
Maanshan Iron & Steel Co., Ltd. (BF) .................... 50,000 16
MTR Corp. * (BS) ........................................ 31,500 48
New World Development Co., Ltd. (JS) .................... 53,000 39
Orient Overseas International, Ltd. (BR) ................ 5,000 15
PCCW, Ltd. (J1) ......................................... 82,860 56
PetroChina Company, Ltd. (BB) ........................... 490,000 226
PICC Property & Casualty (JR) ........................... 66,000 25
Semiconductor Manufacturing (J0) ........................ 171,000 37
Shanghai Industrial Holdings, Ltd. (BL) ................. 12,000 22
Shanghai Petrochemical Co., Ltd. (BC) ................... 72,000 24
Shangri-La Asia, Ltd. (BZ) .............................. 28,000 27
Shenzhen Expressway Co., Ltd. (BT) ...................... 24,000 8
Sino Landco (JS) ........................................ 22,257 12
Sinopec Beijing Yanhua Petrochemical Co., Ltd. (BC) ..... 32,000 10
Sinotrans, Ltd. * (BT) .................................. 44,000 16
Smartone Telecommunication Holdings, Ltd. (J2) .......... 7,500 8
South China MP Group Ltd. (JA) .......................... 24,000 10
Sun Hung Kai Properties, Ltd. * (JS) .................... 32,000 263
Swire Pacific, Ltd. - Cl. A * (JQ) ...................... 22,000 142
TCL International Holdings, Ltd. * (BW) ................. 24,000 7
Techtronic Industrials (BM) ............................. 20,000 32
Television Broadcasts (JA) .............................. 7,000 30
Texwinca Holdings * (BY) ................................ 14,000 11
Travelesky Technology, Ltd. (BO) ........................ 10,000 7
Tsingtao Brewery - Ser. H (JG) .......................... 10,000 9
Weiqiao Textile Co., Ltd. * (BY) ........................ 8,500 12
Wharf Holdings, Ltd. (JS) ............................... 29,000 83
Yanzhou Coal Mining * (BF) .............................. 32,000 35
Yizheng Chemical Fibre Co., Ltd. - Cl. A (BC) ........... 44,000 8
Yue Yuen Industrial Holdings, Ltd. (JE) ................. 11,500 28
Zhejiang Expressway Co., Ltd (BT) ....................... 44,000 31
------
5,165
Hungary - 0.1%
Gedeon Richter * (JO) ................................... 386 39
Magyar Tavkozlesi * (J1) ................................ 12,959 52
Mol Magyar Olaj-es Gazipari (BB) ........................ 2,093 83
OTP Bank (JP) ........................................... 6,957 142
------
316
India - 0.5%
ABB, Ltd. (BK) .......................................... 277 4
Ashok Leyland, Ltd. * (BU) .............................. 11,340 6
Asian Paints, Ltd. * (BC) ............................... 784 5
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK - Continued
India - Continued
Associated Cement Companies, Ltd. * (BD) ................ 1,118 $ 6
Bajaj Auto, Ltd. (BV) ................................... 800 15
Bank of Baroda (JP) ..................................... 1,258 4
Bharat Heavy Electricals, Ltd. (BK) ..................... 1,601 17
Bharat Petroleum Corp., Ltd. (BB) ....................... 1,635 13
Britannia Industries, Ltd. (JH) ......................... 164 2
Castrol, Ltd. (BB) ...................................... 809 3
Cipla (JO) .............................................. 1,529 7
Colgate Palmolive Co. * (JJ) ............................ 889 2
Dr. Reddys Labs (JO) .................................... 1,355 22
Flex Solutions (BL) ..................................... 1,018 13
Gail LD (J4) ............................................ 6,914 26
GlaxoSmithKline Pharmaceuticals (JO) .................... 380 5
Grasim Industries, Ltd. (BL) ............................ 924 20
Gujarat Ambuja Cements Ltd. (BD) ........................ 1,221 8
HDFC Bank Ltd. (JP) ..................................... 4,269 34
Hero Honda Motors, Ltd. (BV) ............................ 2,177 24
Hindlaco Industries (BF) ................................ 1,008 22
Hindustan Lever Ltd. (JJ) ............................... 20,996 58
Hindustan Petroleum Corp., Ltd. (BB) .................... 2,219 16
Housing Development Financing Corp., Ltd. (JQ) .......... 4,683 53
Icici Banking (JP) ...................................... 12,848 68
Indian Hotels Co., Ltd. (BZ) ............................ 443 3
Indian Petrochemical (BC) ............................... 2,097 7
Infosys Technologies, Ltd. * (JU) ....................... 1,177 141
ITC, Ltd. (JI) .......................................... 1,889 37
Larsen & Toubro (BJ) .................................... 1,004 15
Mahanagar Telephone Nigam, Ltd. (J1) .................... 5,151 15
Mahindra & Mahindra (BV) ................................ 1,107 11
Maruti Udyog (BV) ....................................... 1,890 17
Moser Baer (JX) ......................................... 912 4
Nestle India, Ltd. (JH) ................................. 492 6
Oil & Natural Gas (BB) .................................. 4,663 64
Punjab Tractors, Ltd. (BM) .............................. 497 2
Ranbaxy Laboratories, Ltd. (JO) ......................... 1,922 38
Reliance Industries, Inc. * (BC) ........................ 17,125 160
Satyam Computer Services, Ltd. (JU) ..................... 6,117 41
State Bank of India (JP) ................................ 2,237 22
Sun Pharmaceutical (JO) ................................. 1,264 10
Tata Ironsteel (BF) ..................................... 2,413 16
Tata Engineering and Locomotive Co., Ltd. (BM) .......... 4,410 36
Tata Power Co. (J3) ..................................... 1,051 5
Tata Tea Ltd. (JH) ...................................... 582 5
Ultratech Cemco, Ltd. (BI) .............................. 803 10
Videsh Sanchar Nigam, Ltd. (J1) ......................... 1,553 5
Wipro Ltd. * (JU) ....................................... 2,472 29
Zee Telefilms Ltd. (JA) ................................. 5,509 15
1,167
------
Indonesia - 0.1%
Astra International (BV) ................................ 47,000 27
Bank Central Asia (JP) .................................. 104,000 $ 21
Bank Danamon (JP) ....................................... 31,500 9
Bank Mandiri (JP) ....................................... 149,500 19
Bank Rakyat * (JP) ...................................... 100,000 18
Bumi Resources Tbk (BF) ................................. 290,000 18
HM Sampoerna (JI) ....................................... 73,000 39
Indofood Suskes Mak Tbk (JH) ............................ 90,500 7
PT Gudang Garam Tbk (JI) ................................ 14,500 21
PT Telekomunikasi Indonesia - ADR (J1) .................. 8,229 128
------
307
Ireland - 0.6%
Allied Irish Banks Plc * (JP) ........................... 22,340 346
Bank of Ireland (JP) .................................... 25,586 342
CRH plc * (BD) .......................................... 13,920 294
DCC plc (BL) ............................................ 1,787 33
Eircom Group plc * (J1) ................................. 2,400 4
Elan Corp. (JO) ......................................... 10,191 252
Fyffes plc (JF) ......................................... 8,095 17
Grafton Group * (99) .................................... 5,146 41
Greencore Group plc (JH) ................................ 3,727 14
Independent Newspapers, Ltd. (JA) ....................... 10,062 24
Irish Life & Permanent plc (JR) ......................... 7,219 111
Kerry Group plc (JH) .................................... 2,683 57
Kingspan Group plc (BI) ................................. 579 4
Waterford Wedgewood plc (BW) ............................ 14,503 3
------
1,542
Israel - 0.4%
AudioCodes, Ltd. * (JW) ................................. 612 7
Bank Hapoalim (JP) ...................................... 20,565 55
Bank Leumi Le-Israel * (JP) ............................. 17,471 34
Bezeq Israeli Telecommunication Corp., Ltd. (J1) ........ 25,030 25
CLAL Industries (BL) .................................... 1,333 6
CLAL Insurance Enterprises * (JR) ....................... 428 7
Discount Investor Corp. (JQ) ............................ 504 13
Elbit Systems, Ltd. (BH) ................................ 419 8
ICL Israel Chemicals, Ltd. (BC) ......................... 13,243 26
IDB Development Corp, Ltd. (JQ) ......................... 631 16
Israel Discount Bank - Ser. A (JP) ...................... 12,114 13
Koor Industries, Ltd. * (BL) ............................ 303 14
Makteshim-Agan Industries, Ltd. (BC) .................... 5,706 27
Migdal Insurance (JR) ................................... 4,413 6
Nice Systems, Ltd. (JW) ................................. 286 7
Osem Investment, Ltd. (JH) .............................. 796 8
Partner Communications * (J2) ........................... 1,754 14
Retalix, Ltd. (JV) ...................................... 416 9
Strauss Elite, Ltd. - Ser. A * (JH) ..................... 676 7
Supersol, Ltd. * (JF) ................................... 2,619 6
Teva pharmaceutical Industries, Ltd. *(JO) .............. 15,958 542
The Israel Corp., Ltd. (JQ) ............................. 47 9
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK - Continued
Israel - Continued
United Mizrahi Bank (JP) ................................ 2,090 $ 7
------
866
Italy - 3.1%
Alleanza Assicurazioni * (JR) ........................... 12,142 139
Assicurazioni Generali * (JR) ........................... 25,047 676
Autogrill SpA (BZ) ...................................... 2,959 42
Autostrade Spa * (BT) ................................... 4,460 88
Banca Antonveneta Spa (BL) .............................. 6,234 128
Banca Fideuram (JQ) ..................................... 7,686 43
Banca Intesa SpA (JP) ................................... 85,109 333
Banca Intesa SpA (JP) ................................... 24,140 73
Banca Nazionale del Lavoro (JP) ......................... 31,748 74
Banca Popolare di Milano (JP) ........................... 9,953 64
BCA Di Roma * (JP) ...................................... 37,324 117
BCE Pop Unite (JI) ...................................... 8,645 143
BCP Pop Veron (JP) ...................................... 9,662 166
Benetton Group SPA * (BY) ............................... 1,441 16
Bulgari SpA (BY) ........................................ 3,421 35
Edison International (J3) ............................... 21,263 37
Enel SpA * (J3) ......................................... 63,477 510
ENI * (BB) .............................................. 68,141 1,355
Fiat SpA * (BV) ......................................... 13,520 113
FinecoGroup (JP) ........................................ 4,168 26
Finmeccanica SA (BH) .................................... 159,498 127
GR Education L Espresso (JA) ............................ 4,435 27
Italcementi SpA (BD) .................................... 2,135 29
Luxottica Group (JL) .................................... 3,589 60
Mediaset SpA * (JA) ..................................... 15,446 176
Mediobanca SpA (JP) ..................................... 12,168 148
Mediolanum SpA * (JQ) ................................... 6,564 42
Mondadori Editore SpA (JA) .............................. 3,396 32
Monte Paschi Siena (JP) ................................. 29,845 96
Pirelli & Co. Spa (BL) .................................. 47,334 49
Riunione Adriatica di Sicorta SpA (JR) .................. 8,105 147
San Paolo-IMI SpA * (JP) ................................ 24,633 297
Seat Pagine Gialle * (JA) ............................... 87,872 37
Snam Rete Gas (J4) ...................................... 23,683 102
Sorin Spa * (JL) ........................................ 669 2
Telecom Italia (J1) ..................................... 367,311 1,006
Telecom Italia Media (JA) ............................... 32,454 13
Telecom Italia Mobile SpA (J2) .......................... 99,187 563
Tiscali SPA (JT) ........................................ 4,811 22
UniCredito Italiano SpA * (JP) .......................... 115,317 570
------
7,723
Japan - 19.8%
Acom Co., Ltd. (JQ) ..................................... 1,860 121
Aderans Co., Ltd. (JK) .................................. 900 19
Advantest (J0) .......................................... 1,700 114
Aeon Credit Service Co., Ltd. (JQ) ...................... 600 40
Aiful Corp. * (JQ) ...................................... 1,150 120
Aisin Seiki Co. (BU) .................................... 4,100 85
Ajinomoto Co., Inc. (JH) ................................ 15,000 180
Alfresa Holdings Corp. * (JL) ........................... 500 $ 28
All Nippon Airways Co., Ltd. (BQ) ....................... 12,000 39
Alps Electric Co. (JY) .................................. 5,000 71
Amada Co., Ltd (BM) ..................................... 9,000 59
Amano Corp. (BO) ........................................ 1,000 9
Anritsu Corp. (JY) ...................................... 2,000 13
Aoyama Trading Co. (JE) ................................. 1,300 35
Ariake Japan Co., Ltd. (JH) ............................. 450 13
Asahi Breweries, Ltd. (JG) .............................. 9,800 108
Asahi Chemical Industry Co., Ltd. (BC) .................. 31,000 160
Asahi Glass Co., Ltd. (BI) .............................. 21,000 218
Asatsu DK (JA) .......................................... 1,000 26
Autobacs Seven Co. (JE) ................................. 700 23
Bandai Co. * (BX) ....................................... 1,600 43
Bank of Yokohama, Ltd. * (JP) ........................... 26,000 162
Bellsystem24, Inc. (BO) ................................. 80 17
Benesse Corp. (BO) ...................................... 1,600 52
Bridgestone Corp. (BU) .................................. 17,000 319
Canon, Inc. * (JZ) ...................................... 21,800 1,146
CAPCOM Co. (JV) ......................................... 1,100 12
Casio Computer Co. (BW) ................................. 4,000 60
Central Glass Co. (BI) .................................. 4,000 34
Central Japan Railway Co. (BS) .......................... 26 221
Chiba Bank, Ltd. (JP) ................................... 18,000 110
Chubu Electric Power (J3) ............................... 17,000 358
Chugai Pharmaceutical Co., Ltd. * (JO) .................. 7,100 111
Circle K Japan Co., Ltd. (JF) ........................... 1,100 29
Citizen Watch Co., Ltd. (JY) ............................ 7,000 79
Coca Cola West Japan Co., Ltd. (JG) ..................... 1,200 30
Comsys Holdings * (BJ) .................................. 3,000 24
Credit Saison Co., Ltd. (JQ) ............................ 3,600 108
CSK Corp. * (JU) ........................................ 1,700 82
Dai-Ichi Pharmaceutical Co., Ltd. * (JO) ................ 6,600 117
Dai-Nippon Ink & Chemicals, Inc. (BC) ................... 17,000 44
Dai-Nippon Printng Co., Ltd. (BO) ....................... 16,000 255
Daicel Chemical Industries, Ltd. (BC) ................... 7,000 37
Daikin Industries, Ltd. (BM) ............................ 5,000 134
Daimaru, Inc. (JD) ...................................... 6,000 54
Dainippon Screen Manufacturing Co., Ltd. (JY) ........... 5,000 29
Daito Trust Construction Co., Ltd. (BW) ................. 2,200 85
Daiwa Bank Holdings (JP) ................................ 123,000 218
Daiwa House Industry Co., Ltd. (BW) ..................... 12,000 139
Daiwa Securities Group, Inc. (JQ) ....................... 30,900 222
Denki Kagaku Kogyo (BC) ................................. 10,000 35
Denso Corp. (BU) ........................................ 13,400 311
Dentsu, Inc. (JA) ....................................... 45 116
Dowa Mining Co. (BF) .................................... 7,000 41
East Japan Railway Co. (BS) ............................. 88 493
Ebara Corp. (BM) ........................................ 7,000 34
Eisai Co. Ltd. * (JO) ................................... 6,200 178
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK - Continued
Japan - Continued
FamilyMart Co., Ltd. (JF) ............................... 1,600 $ 52
Fanuc, Ltd. * (BK) ...................................... 3,800 226
Fast Retailing Co. (JE) ................................. 1,400 113
Fuji Electric Holdings Co. (BK) ......................... 13,000 35
Fuji Photo Film * (BX) .................................. 12,000 375
Fuji Soft ABC, Inc. (JV) ................................ 800 31
Fuji Television Network, Inc. (JA) ...................... 18 41
Fujikura (BK) ........................................... 10,000 56
Fujisawa Pharmeceutical Co., Ltd. * (JO) ................ 7,200 170
Fujitsu, Ltd. * (JX) .................................... 44,000 309
Furukawa Electric Co. (BK) .............................. 14,000 60
Goodwill Group, Inc. (BO) ............................... 9 23
Gunze, Ltd. (BY) ........................................ 5,000 26
Hankyu Department Stores (JD) ........................... 4,000 35
Hino Motors, Ltd. (BM) .................................. 6,000 43
Hirose Electric Co., Ltd. * (JY) ........................ 700 77
Hitachi Cable, Ltd. (BK) ................................ 4,000 19
Hitachi Chemical * (JY) ................................. 2,600 43
Hitachi Construction Macinery Co., Ltd. (BM) ............ 1,000 12
Hitachi Credit Corp. (JQ) ............................... 1,400 26
Hitachi Software (JV) ................................... 700 16
Hitachi, Ltd. (JY) ...................................... 83,000 570
Hogukin Financial Group, Inc. (JQ) ...................... 20,000 51
Hokkaido Electric Power Co., Inc. (J3) .................. 4,600 82
Honda Motor Co. * (BV) .................................. 20,300 977
House Foods Corp. (JH) .................................. 1,700 24
Hoya Corp. * (JY) ....................................... 3,000 313
Isetan Co., Ltd. (JD) ................................... 4,200 60
Ishihara Sangyo Kaisha * (BC) ........................... 7,000 15
Ishikawajima-Harima Heavy Industries Co., Ltd. (BM) ..... 28,000 46
Ito En, Ltd. (JG) ....................................... 700 33
Ito-Yokado Co., Ltd. * (JD) ............................. 9,000 384
Itochu Corp. (BN) ....................................... 35,000 157
Itochu Techno-Sciences Corp. (JU) ....................... 1,000 43
JAFCO Co., Ltd. (JQ) .................................... 700 53
Japan Airlines (BQ) ..................................... 16,000 51
Japan Real Estate (JS) .................................. 6 42
Japan Retail Fund Investment Corp. (99) ................. 5 34
Japan Tobacco, Inc. (JI) ................................ 18 140
JFE Holdings, Inc. * (BF) ............................... 13,700 335
JGC Corp. (BJ) .......................................... 5,000 48
Joyo Bank, Ltd. (JP) .................................... 17,000 75
JSR Corp. (BC) .......................................... 4,700 88
Jusco Co., Ltd. * (JD) .................................. 6,700 268
Kajima Corp. (BJ) ....................................... 22,000 82
Kamigumi Co., Ltd. (BR) ................................. 6,000 44
Kanebo, Ltd. * (JK) ..................................... 11,000 10
Kaneka Corp. (BC) ....................................... 7,000 66
Kansai Electric Power Co., Inc. (J3) .................... 19,100 347
Kansai Paint Co., Ltd. (BC) ............................. 5,000 30
KAO Corp. (JJ) .......................................... 15,000 $ 361
Karen Pharmaceuticals Co., Ltd. (JO) .................... 1,000 6
Katokichi Co., Ltd. (JH) ................................ 1,100 22
Kawasaki Heavy Industry, Ltd. (BM) ...................... 30,000 48
Kawasaki Kisen (BR) ..................................... 12,000 61
Keihin Electric Express Railway Co., Ltd. (BS) .......... 10,000 63
Keio Teito Electric Railway (BS) ........................ 15,000 86
Keyence Corp. (JY) ...................................... 900 205
Kikkoman Corp. (JH) ..................................... 5,000 43
Kinden Corp. (BJ) ....................................... 4,000 25
Kinki Nippon Railway (BS) ............................... 42,000 159
Kirin Brewery Co. * (JG) ................................ 17,000 168
Kobe Steel International * (BF) ......................... 62,000 92
Kokuyo Co. (BO) ......................................... 1,900 24
Komatsu, Ltd. (BM) ...................................... 27,000 163
Komori Corp. (BM) ....................................... 1,000 17
Konami Co., Ltd. (JV) ................................... 2,100 53
Konica Corp. (BX) ....................................... 10,500 145
Koyo Seiko Co., Ltd. (BM) ............................... 2,000 24
Kubota Corp. * (BM) ..................................... 25,000 133
Kuraray Co., Ltd. (BC) .................................. 9,000 74
Kuraya Sanseido, Inc. (JM) .............................. 2,300 35
Kurita Water Industries, Ltd. (BJ) ...................... 2,500 34
Kyocera Corp. * (JY) .................................... 4,200 356
Kyowa Hakko Kogyo Co., Ltd. (JO) ........................ 10,000 72
Kyushu Electric Power (J3) .............................. 10,900 203
Lawson (JF) ............................................. 1,500 62
LeoPalace21 Corp. (JS) .................................. 2,600 49
Mabuchi Motor Co. * (JY) ................................ 800 59
Makita Corp. * (BW) ..................................... 3,000 45
Marubeni Corp. (BN) ..................................... 33,000 81
Marui Co., Ltd. * (JD) .................................. 8,900 120
Matsumotokiyoshi Co., Ltd. (JF) ......................... 1,000 30
Matsushita Electric Industrial Co. * (BW) ............... 58,000 822
Matsushita Electric Works (BK) .......................... 8,000 72
Meiji Diaries Corp. (JH) ................................ 6,000 33
Meiji Seika Kaisha, Ltd. (JH) ........................... 7,000 31
Meitic Corp. (JU) ....................................... 900 36
Millea Holdings, Inc. * (JR) ............................ 38 563
Minebea Co., Ltd. (BM) .................................. 10,000 47
Mitsubishi Chemical Corp. (BC) .......................... 42,000 111
Mitsubishi Corp. (BN) ................................... 28,000 271
Mitsubishi Electric Corp. (BK) .......................... 46,000 226
Mitsubishi Estate Co., Ltd. * (JS) ...................... 26,000 322
Mitsubishi Gas Co. (BC) ................................. 9,000 37
Mitsubishi Heavy Industries, Ltd. * (BM) ................ 76,000 206
Mitsubishi Logistcs Corp. (BR) .......................... 3,000 28
Mitsubishi Materials Corp. (BF) ......................... 23,000 52
Mitsubishi Rayon Co., Ltd. (BC) ......................... 12,000 47
Mitsubishi Tokyo Finance (JP) ........................... 118 1,090
Mitsui & Co., Ltd. (BN) ................................. 33,000 247
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------- ------
(000's)
COMMON STOCK - Continued
Japan - Continued
Mitsui Engineering & Shipbuilding Co., Ltd. (BM) ......... 16,000 $ 28
Mitsui Fudosan Co., Ltd. * (JS) .......................... 18,000 215
Mitsui Marine & Fire Insurance Co., Ltd. * (JR) .......... 33,000 309
Mitsui Mining & Smelting Co., Ltd. (BF) .................. 14,000 65
Mitsui OSK Lines, Ltd. (BR) .............................. 25,000 131
Mitsui Petrochemical Co. (BC) ............................ 14,000 70
Mitsui Trust Holdings (JQ) ............................... 14,000 102
Mitsukoshi, Ltd. (JD) .................................... 9,000 50
Mitsumi Electric (JX) .................................... 1,700 20
Mizuho Financial GB * (JP) ............................... 197 892
Murata Manufacturing Co., Ltd. * (J0) .................... 5,900 336
Namco, Ltd. (BZ) ......................................... 1,000 28
NEC Corp. * (JX) ......................................... 43,000 302
NEC Electronics Corp. (J0) ............................... 1,000 61
Net One Systems Co., Ltd. (JU) ........................... 14 54
NGK Insulators (BM) ...................................... 7,000 56
NGK Spark Plug Co. (BU) .................................. 5,000 48
Nichii Gakkan Co. (BO) ................................... 500 23
Nichirei Corp. (JH) ...................................... 7,000 25
Nidec Corp. * (JY) ....................................... 1,100 113
Nikko Securities Co., Ltd. * (JQ) ........................ 36,000 174
Nikon Corp. (J0) ......................................... 7,000 79
Nintendo Corp., Ltd. (BW) ................................ 2,600 301
Nippon Building Fund (JS) ................................ 6 43
Nippon Express Co., Ltd. (BS) ............................ 22,000 129
Nippon Kayaku Co., Ltd. (BC) ............................. 4,000 22
Nippon Light Metal, Inc. (BF) ............................ 11,000 26
Nippon Meat Packers, Inc. (JH) ........................... 5,000 62
Nippon Mining & Holding * (BB) ........................... 13,500 67
Nippon Mitsubishi Oil Co., Ltd. (BB) ..................... 35,000 220
Nippon Sanso Corp. (BC) .................................. 4,000 21
Nippon Sheet Glass Co., Ltd. (BI) ........................ 9,000 36
Nippon Shokubai Co., Ltd. (BC) ........................... 4,000 32
Nippon Steel Co. (BF) .................................... 160,000 335
Nippon Telegraph & Telephone Corp. * (J1) ................ 137 730
Nippon Unipac Holding, Co. (BG) .......................... 22 115
Nippon Yusen Kabushiki Kaisha (BR) ....................... 25,000 115
Nippon Zeon Co., Ltd. (BC) ............................... 4,000 29
Nishimatsu Construction Co., Ltd. (BJ) ................... 6,000 21
Nissan Chemical Industries (BC) .......................... 5,000 40
Nissan Motor Acceptance Corp. (BV) ....................... 64,600 717
Nisshin Seifun Group, Inc. (JH) .......................... 4,000 41
Nisshin Steel Co. (BF) ................................... 20,000 40
Nisshinbo Industries, Inc. (BY) .......................... 4,000 30
Nissho Iwai Nichimen Holdings Corp. * (BN) ............... 4,800 24
Nissin Food Products Co., Ltd. (JH) ...................... 2,100 54
Nitori Co., Ltd. (JE) .................................... 450 28
Nitto Denko Corp. * (BK) ................................. 4,300 219
NOK Corp. (BU) ........................................... 2,500 93
Nomura Research Institute, Ltd. (JU) ..................... 600 $ 64
Nomura Securities Co., Ltd. * (JQ) ....................... 48,000 709
NSK, Ltd. (BM) ........................................... 11,000 55
NTN Corp. (BM) ........................................... 12,000 61
NTT Data Corp. (JU) ...................................... 33 106
NTT Mobile Communications Network, Inc. * (J2) ........... 522 931
Obayashi Corp. (BJ) ...................................... 16,000 86
OBIC, Co. * (JU) ......................................... 100 21
Odakyu Electric Railway (BS) ............................. 17,000 92
Oji Paper Co. (BG) ....................................... 21,000 134
Oki Electric Industry Co. * (JY) ......................... 13,000 52
Okumura Corp. (BJ) ....................................... 4,000 21
Olympus Optical Co. * (JL) ............................... 6,000 113
Omron Corp. (JY) ......................................... 5,400 126
Onward Kashiyama Co., Ltd. (BY) .......................... 4,000 64
Oracle Corp. (JV) ........................................ 1,000 55
Oriental Land Co., Ltd. (BZ) ............................. 1,200 79
Orix Corp. * (JQ) ........................................ 2,100 240
Osaka Gas Co. (J4) ....................................... 51,000 141
Pioneer Corp. * (BW) ..................................... 3,900 101
Promise Co., Ltd. * (JQ) ................................. 2,300 153
QP Corp. (JH) ............................................ 2,800 24
Rakuten, Inc. (JC) ....................................... 10 76
Ricoh Co., Ltd. (JZ) ..................................... 17,000 361
Rinnai Corp. (BW) ........................................ 1,000 30
Rohm Co., Ltd. * (JY) .................................... 2,800 334
Ryohin Keikaku Co., Ltd. (JD) ............................ 600 31
Saizyeria Co., Ltd. (BZ) ................................. 700 10
Sammy Corp. * (BX) ....................................... 1,000 48
Sanden Corp. (BU) ........................................ 3,000 19
Sanken Electric Co., Ltd. (J0) ........................... 3,000 39
Sankyo Co. (BX) .......................................... 1,200 49
Sankyo Co., Ltd. * (JO) .................................. 9,700 210
Sanwa Shutter Corp. (BI) ................................. 5,000 27
Sanyo Electric Co. * (BW) ................................ 39,000 160
Sapporo Holdings (JG) .................................... 7,000 26
Secom Co. * (BO) ......................................... 5,500 233
Sega Corp. (BW) .......................................... 3,000 38
Seiko Epson Corp. (J0) ................................... 2,600 94
Seino Transportion (BS) .................................. 4,000 41
Sekisui Chemical Co. (BW) ................................ 10,000 84
Sekisui House, Ltd. * (BW) ............................... 13,000 144
Seven-Eleven Japan * (JF) ................................ 10,000 326
Sharp Corp. (BW) ......................................... 25,000 399
Shimacu Co. (JE) ......................................... 1,200 33
Shimamura Co., Ltd. * (JE) ............................... 500 43
Shimano, Inc. (BX) ....................................... 1,900 45
Shimizu Corp. (BJ) ....................................... 13,000 59
Shin-Etsu Chemical Co. * (BC) ............................ 9,600 342
Shinsei Bank, Ltd. * (JP) ................................ 14,000 89
Shionogi & Co., Ltd. * (JO) .............................. 7,000 120
Shiseido Co., Ltd. * (JK) ................................ 10,000 126
Shizuoka Bank, Ltd. (JP) ................................. 16,000 141
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------ -------
(000's)
COMMON STOCK - Continued
Japan - Continued
Showa Denko (BC) ......................................... 26,000 $ 65
Showa Shell Sekiyu KK (BB) ............................... 3,500 31
Skylark Co., Ltd. (BZ) ................................... 2,000 40
SMC Corp. * (BM) ......................................... 1,500 162
Snow Brand Milk Products Co., Ltd. * (JH) ................ 3,500 12
Softbank Corp. (JT) ...................................... 6,200 272
Sony Corp. * (BW) ........................................ 24,100 906
Stanley Electric (BU) .................................... 3,800 63
Sumitomo Bakelite Co., Ltd. (BC) ......................... 5,000 35
Sumitomo Chemical Co. (BC) ............................... 35,000 163
Sumitomo Corp. * (BN) .................................... 21,000 152
Sumitomo Electric Industries (BK) ........................ 18,000 183
Sumitomo Heavy Industry * (BM) ........................... 13,000 41
Sumitomo Metal Industries (BF) ........................... 98,000 116
Sumitomo Metal Mining Co. (BF) ........................... 15,000 98
Sumitomo Mitsui GR (JP) .................................. 105 718
Sumitomo Osaka Cement (BD) ............................... 10,000 27
Sumitomo Realty & Development (JS) ....................... 11,000 136
Sumitomo Trust & Banking (JQ) ............................ 28,000 199
Suruga Bank (JP) ......................................... 5,000 38
Suzuken Co., Ltd. (JM) ................................... 1,240 38
T&D Holdings, Inc. * (JR) ................................ 4,200 209
Taiheiyo Cement (BD) ..................................... 20,000 50
Taisei Corp. (BJ) ........................................ 20,000 75
Taisho Pharmaceutical Co., Ltd. * (JO) ................... 5,000 111
Taiyo Yuden Co., Ltd. * (JY) ............................. 3,000 42
Takara Shuzo Co., Ltd. (JG) .............................. 4,000 32
Takashimaya Co. (JD) ..................................... 8,000 92
Takeda Chemical Industries * (JO) ........................ 23,300 1,021
Takefuji Corp. * (JQ) .................................... 1,690 122
Takuma Co., Ltd. (BM) .................................... 1,000 7
TDK Corp. * (JY) ......................................... 3,100 235
Teijin, Ltd. (BC) ........................................ 20,000 75
Teikoku Oil Co., Ltd. (BB) ............................... 5,000 27
Terumo Corp. * (JL) ...................................... 4,300 108
The 77 Bank, Ltd. (JP) ................................... 10,000 68
The Bank of Fukuoka, Ltd. (JP) ........................... 14,000 83
The Gunma Bank, Ltd. (JP) ................................ 10,000 50
THK Co. (BM) ............................................. 2,500 47
TIS, Inc. (JU) ........................................... 900 38
Tobu Railway Co., Ltd. (BS) .............................. 19,000 83
Toda Corp. (BJ) .......................................... 5,000 20
Toho Co., Ltd. (JA) ...................................... 3,500 51
Tohoku Electric Power (J3) ............................... 11,500 193
Tokyo Broadcasting (JA) .................................. 1,000 18
Tokyo Electric Power (J3) ................................ 29,900 677
Tokyo Electron, Ltd. * (J0) .............................. 4,500 252
Tokyo Gas Co. (J4) ....................................... 68,000 241
Tokyo Style Co. (BY) ..................................... 1,000 11
Tokyu Corp. * (BS) ....................................... 26,000 133
Tokyu Land Corp. (JS) .................................... 9,000 29
Tonengeneral Sekiyu (BB) ................................. 7,000 60
Toppan Printing Co. * (BO) ............................... 15,000 169
Toray Industries, Inc. * (BC) ............................ 31,000 $ 146
Toshiba Corp. * (JX) ..................................... 74,000 297
Tosoh Corp. ADR (BC) ..................................... 12,000 43
Tostem Corp. (BI) ........................................ 6,000 129
Toto, Ltd. (BI) .......................................... 7,000 74
Toyo Seikan Kaisha, Ltd. (BE) ............................ 4,000 69
Toyo Suisan Kaisha (JH) .................................. 2,000 26
Toyobo Co. (BY) .......................................... 14,000 35
Toyoda Gosei (BU) ........................................ 1,100 26
Toyota Industries (BU) ................................... 5,300 127
Toyota Motor Corp. * (BV) ................................ 75,500 3,052
Trend Micro, Inc. (JV) ................................... 2,500 111
Ube Industries (BC) ...................................... 19,000 30
UFJ Holdings, Inc. * (JP) ................................ 99 436
Uni-Charm Corp. (JJ) ..................................... 1,300 65
Uniden Corp. * (JW) ...................................... 1,000 22
UNY Co., Ltd. (JD) ....................................... 4,000 51
Ushio, Inc. (BK) ......................................... 3,000 54
USS Co., Ltd. (JE) ....................................... 540 46
Wacoal Corp. * (BY) ...................................... 2,000 21
West Japan Railway (BS) .................................. 42 169
World Co., Ltd. (BY) ..................................... 1,100 33
Yahoo Japan Corp. (JT) ................................... 25 242
Yakult Honsha Co. (JH) ................................... 3,000 43
Yamada Denki Co. (JE) .................................... 2,000 74
Yamaha Corp. (BX) ........................................ 4,000 66
Yamaha Motor Co. (BV) .................................... 4,000 62
Yamanouchi Pharmaceutical Co., Ltd. * (JO) ............... 8,200 275
Yamato Transport Co., Ltd. (BP) .......................... 10,000 163
Yamazaki Baking Co., Ltd. (JH) ........................... 4,000 39
Yasuda F & M Insurance (JR) .............................. 21,000 214
Yokogawa Electric (JY) ................................... 6,000 80
-------
48,855
Malaysia - 0.4%
AMMB Holdings (JQ) ....................................... 25,400 22
Astro All Asia Network plc * (JA) ........................ 15,300 19
Bandar Raya Developments Berhad (BL) ..................... 6,000 4
Berjaya Sports Toto Berhad (BZ) .......................... 10,800 11
British American Tobacco Berhad (JI) ..................... 3,600 48
Cimb Berhad (JP) ......................................... 5,000 7
Commerce Asset Holdings * (JP) ........................... 39,800 51
DRB-Hicom Berhad * (BV) .................................. 11,000 5
Edaren Otomobil (JE) ..................................... 2,000 5
Gamuda Berhad (BJ) ....................................... 15,100 22
Genting Berhad (BZ) ...................................... 10,000 40
Golden Hope Plants (JH) .................................. 6,000 5
Guiness Anchor Berhad (JG) ............................... 4,000 5
Highlands & Lowlands Bhd (JH) ............................ 4,000 3
Hong Leong Bank Berhad (JP) .............................. 12,700 16
Hong Leong Credit (JQ) ................................... 6,000 6
Hong Leong Industries Berhad (BL) ........................ 2,000 2
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------ -------
(000's)
COMMON STOCK - Continued
Malaysia - Continued
IGB Corp. Berhad (JS) .................................... 16,000 $ 5
IJM Corporation Berhad (BJ) .............................. 6,000 8
IOI Corp. (JH) ........................................... 17,300 37
IOI Properties (JS) ...................................... 2,000 4
Kuala Lumpur Kepong Berhad (JH) .......................... 7,000 12
LaFarge Malayan Cement Berhad (BD) ....................... 25,000 5
MAA Holdings Berhad (JR) ................................. 3,000 4
Magnum Corp. Berhad * (BZ) ............................... 20,000 13
Malakoff Berhad (J3) ..................................... 14,000 22
Malay Airline Systems (BQ) ............................... 5,000 6
Malayan Banking Berhad * (JP) ............................ 44,800 119
Malaysia Airport Holdings, Berhad (BT) ................... 8,000 3
Malaysia International Shipping Berhad (BR) .............. 12,800 40
Malaysian Bulk Carriers Berhad (BR) ...................... 7,000 4
Malaysian Oxygen Berhad (BC) ............................. 2,000 6
Malaysian Pacific Industries (J0) ........................ 2,000 8
Maxis Communications Bhd (J2) ............................ 17,300 40
MK Land Holdings Berhad (JS) ............................. 8,000 5
MMC Corp. (BF) ........................................... 8,000 4
Mulpha International Berhad * (JQ) ....................... 23,000 4
Multi-Purpose Holdings Berhad * (JQ) ..................... 16,000 5
Nestle Berhad (JH) ....................................... 2,000 12
New Straits Times Press Berhad (JA) ...................... 3,000 3
Oriental Holdings Berhad (BV) ............................ 4,000 4
OSK Holdings Berhad (JQ) ................................. 7,000 3
OYL Industries Berhad (BI) ............................... 2,300 22
Petronas Dagangan Berhad (BB) ............................ 3,000 5
Petronas Gas Berhad (J4) ................................. 11,300 20
Plus Expressways Berhad (BT) ............................. 36,100 21
PPB Group Berhad (JH) .................................... 4,000 7
Proton Holdings Berhad * (BU) ............................ 7,000 15
Public Bank Berhad (JQ) .................................. 26,775 47
Resorts World Berhad * (BZ) .............................. 13,100 31
RHB Capital Berhad (JP) .................................. 17,000 8
Road Builder, Inc. (BJ) .................................. 8,000 6
Sime Darby Berhad * (BL) ................................. 30,800 45
SP Setia (JS) ............................................ 12,000 13
Star Publications (JA) ................................... 4,000 7
TA Enterprise Berhad (JQ) ................................ 18,000 3
Tan Chong Motor Holdings (BV) ............................ 9,000 3
Tanjong plc (BZ) ......................................... 5,000 17
Telekom Malaysia Berhad (J1) ............................. 22,800 62
Tenaga Nasional Berhad (J3) .............................. 21,800 58
Transmile Group Berhad (BP) .............................. 3,000 5
UMW Holdings Berhad (BU) ................................. 4,000 5
Unisem Berhad (J0) ....................................... 2,000 4
YTL Corp., Berhad (J3) ................................... 12,060 15
------
1,066
Mexico - 0.6%
Alfa, S.A. * (BL) ........................................ 6,338 21
America Movil SA de CV - Ser L * (J2) .................... 188,993 343
Cemex SA de CV * (BD) .................................... 32,576 $ 188
Cifra SA de CV - Ser. V * (JD) ........................... 48,314 143
Coca-Cola Femsa, SA - Ser. L NPV (JG) .................... 5,412 12
Consoricoara SA (BW) ..................................... 2,800 8
Control Common Mexico (JD) ............................... 6,800 8
Corp. GEO SA De CV - Ser. B * (BW) ....................... 9,700 13
Corporacion Interamericana de Entretenimiento SA * (JA) .. 6,763 14
Fomento Economico Mexicano SA de CV * (JG) ............... 17,440 80
GPO Continental (JG) ..................................... 4,100 6
Grupo Aeroportuario del Sureste SA de CV * (BT) .......... 4,222 8
Grupo Carso SA de CV - Ser. A1 * (BL) .................... 6,330 26
Grupo Financiero Banorte SA (JP) ......................... 5,456 19
Grupo Modelo SA de CV - Ser. C * (JG) .................... 14,825 37
Grupo SA de CV - Ser. A (JH) ............................. 7,946 17
Grupo Televisa SA * (JA) ................................. 57,826 130
Industrias Penoles SA * (BF) ............................. 1,948 7
Kimberly-Clark de Mexico SA de CV * (JJ) ................. 13,426 37
Nuevo Grupo Mexico (BF) .................................. 6,330 20
Telephonos de Mexico SA - Ser. L (J1) .................... 186,343 310
TV Azteca (JA) ........................................... 33,398 18
Vitro Sa de CV - Ser. A (BE) ............................. 4,500 4
------
1,469
Monacco - 0.0%
BQE Maroccomm (JP) ....................................... 118 6
ONA (BL) ................................................. 111 11
------
17
Netherlands - 4.2%
ABN Amro Holding NV * (JP) ............................... 42,658 934
Aegon NV * (JR) .......................................... 36,480 440
Akzo Nobel NV * (BC) ..................................... 7,418 273
ASM Lithography Holding NV (J0) .......................... 12,638 214
Corio NV (JS) ............................................ 1,149 49
DSM NV (BC) .............................................. 2,137 105
Elsevier NV * (JA) ....................................... 18,764 264
Getronics NV (JU) ........................................ 13,351 37
Hagemeyer NV (BN) ........................................ 13,276 28
Heineken NV (JG) ......................................... 6,686 220
IHC Caland NV * (BM) ..................................... 841 39
ING Groep NV (JQ) ........................................ 47,836 1,130
Koninklijke * (Royal) Philips Electronics NV (BW) ........ 35,262 951
Koninklijke Ahold NV * (JF) .............................. 41,522 326
Koninklijke KPN NV * (J1) ................................ 53,331 407
Koninklijke Numica NV * (JH) ............................. 4,017 129
Koninklijke Vendex KBB NV (JE) ........................... 457 8
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------ -------
(000's)
COMMON STOCK - Continued
Netherlands - Continued
Oce NV (JZ) .............................................. 2,107 $ 34
Randstad Holdings NV * (BO) .............................. 1,208 33
Rodamco Europe NV (JS) ................................... 1,203 73
Royal Dutch Petroleum Co. * (BB) ......................... 55,855 2,870
TNT Post Group NV (BP) ................................... 8,335 191
Unilever NV * (JH) ....................................... 15,315 1,047
Vedior * (BO) ............................................ 4,384 64
VNU NV * (JA) ............................................ 6,187 180
Wereldhave NV (JS) ....................................... 555 46
Wolters Kluwer NV * (JA) ................................. 7,651 139
-------
10,231
New Zealand - 0.2%
Auckland International (BT) .............................. 6,406 27
Carter Holt Harvey, Ltd. (BG) ............................ 23,251 30
Contact Energy Limited (J3) .............................. 7,747 29
Fisher & Paykel AP (BW) .................................. 6,188 18
Fisher & Paykel Industries, Inc. (JL) .................... 2,447 20
Fletcher Building (BD) ................................... 11,497 33
Fletcher Challenge Forests (BG) .......................... 543 1
Indpendent Newspapers, Ltd. (JA) ......................... 2,928 9
NGC Holdings, Ltd. (J4) .................................. 3,744 7
Sky City Entertainment Group, Ltd.(BZ) ................... 10,903 33
Sky Network Television, Ltd. * (JA) ...................... 2,653 8
Telecom Corp. of New Zealand, Ltd. (J1) .................. 50,497 188
The Warehouse Group, Ltd. (JD) ........................... 3,629 10
Tower, Ltd. * (JR) ....................................... 7,494 8
Waste Management, Inc. (BO) .............................. 2,576 8
-------
429
Norway - 0.4%
Aker Kvaerner - Notes (BB) ............................... 650 10
Den Norske Bank (JP) ..................................... 16,600 113
Frontlinel, Ltd. (BR) .................................... 1,050 36
Norsk Hydro ASA (BB) ..................................... 3,740 243
Norske Skogindustrier ASA - Cl. A * (BG) ................. 2,850 51
Orkla ASA * (JG) ......................................... 4,900 123
Petroleum Geo-Services SA * (BB) ......................... 464 19
Schibsted ASA (JA) ....................................... 1,300 23
Smedvig * (BA) ........................................... 850 10
Statoil ASA * (BB) ....................................... 11,200 142
Storebrand ASA (JR) ...................................... 5,600 38
Tandberg ASA (JY) ........................................ 3,475 37
Telenor AS * (J1) ........................................ 19,800 138
Tomra Systems ASA (BM) ................................... 4,700 22
Yara International (BC) .................................. 5,303 43
-------
1,048
Peru - 0.0%
Credicorp, Ltd. (JP) ..................................... 1,076 14
Minas Buenaventura SA (BF) ............................... 1,722 37
Southern Peru Copper Corp. (BF) .......................... 272 $ 11
-------
62
Philippines - 0.0%
Ayala Corp (JQ) .......................................... 90,000 9
Ayala Land, Inc. * (JS) .................................. 91,000 9
Bank of the Philippine Islands (JP) ...................... 15,141 11
Globe Telecom, Inc. (J2) ................................. 586 9
Philippine Long Distance Telephone Co. * (J1) ............ 816 17
San Miguel Corp. - Cl. B (JG) ............................ 6,500 9
SM Prime Holdings, Inc. (JS) ............................. 63,000 7
-------
71
Poland - 0.1%
AGORA (JA) ............................................... 480 6
Bank Pekao SA (JP) ....................................... 1,873 62
Bank Przemyslowo-Handlowy (JP) ........................... 243 28
Bank Zachodni (JP) ....................................... 620 15
BRE Bank SA (JP) ......................................... 245 7
Budimex SA - Ser. B * (BJ) ............................... 325 4
Celuloza Swiecie (BG) .................................... 355 6
Computerland SA * (JX) ................................... 170 5
DEBICA - Ser. A * (BU) ................................... 175 6
Grupa Kety SA (BF) ....................................... 165 6
KGHM Polska Miedz (BF) ................................... 3,102 24
Orbis SA * (BZ) .......................................... 715 5
Polska Groupa Farmaceutyczna (JM) ........................ 260 4
Polski Koncern Nafto * (BB) .............................. 8,450 68
Prokom Software SA (JU) .................................. 272 12
Telekomunikacja * (J1) ................................... 19,753 82
-------
340
Portugal - 0.3%
Banco Comercial Portgues SA (JP) ......................... 48,762 114
Banco Espirito Santo SA * (JP) ........................... 2,782 46
BPI-SGPS SA (JQ) ......................................... 9,900 36
Brisa-Auto Estradas de Portugal SA (BT) .................. 9,798 71
Cimpor-Cimentos de Portugal (BD) ......................... 5,487 27
Electricidade de Portugal SA (J3) ........................ 48,264 135
Jeronimo Martins SA (JF) ................................. 240 3
Jeronimo Martins SGPS SA * (JF) .......................... 767 8
Part Multimedia SGPS (JA) ................................ 1,267 28
Portugal Telecom SA * (J1) ............................... 23,897 258
Sonae SGPS SA (BL) ....................................... 26,406 29
-------
755
Singapore - 0.7%
Allgreen Properties, Ltd. (JS) ........................... 13,000 7
Ascendas Real Estate Investment Trust (JS) ............... 13,000 11
Capital Commercial (99) .................................. 3,600 2
Capitaland, Ltd. (JS) .................................... 26,000 21
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK - Continued
Singapore - Continued
CapitaMall Trust (JS) ................................... 15,000 $ 15
Chartered Semiconductor Manufacturing (J0) .............. 25,000 20
City Developments, Ltd. (JS) ............................ 12,000 38
Comfort DelGro Corp., Ltd. (BS) ......................... 47,000 34
Creative Technology, Ltd. (JX) .......................... 1,400 15
Cycle & Carriage, Ltd. (JB) ............................. 3,000 11
Datacraft Asia, Ltd. (JW) ............................... 6,000 6
DBS Group Holdings, Ltd. (JP) ........................... 29,000 243
Fraser and Neave, Ltd. (JG) ............................. 4,620 38
Haw Par Value Corp., Ltd. (BL) .......................... 2,490 7
Keppel Corp., Ltd. - Cl. A (JQ) ......................... 15,000 61
Keppel Land, Ltd. (JS) .................................. 9,000 8
Neptune Orient Lines, Ltd. (BR) ......................... 28,000 38
Oversea-Chinese Banking Corp., Ltd. (JP) ................ 26,000 183
Overseas Union Enterprise, Ltd. (BZ) .................... 1,000 4
Parkway Holdings, Ltd. (JM) ............................. 15,000 10
Saint Assembly Test Service * (J0) ...................... 10,000 8
Sembcorp Industries, Ltd. (BL) .......................... 25,000 19
Sembcorp Logistics, Ltd. (BT) ........................... 8,000 9
Sembcorp Marine (BM) .................................... 13,000 7
Singapore Airlines (BQ) ................................. 15,000 98
Singapore Exchange, Ltd. (JQ) ........................... 19,000 19
Singapore Land, Ltd. (JS) ............................... 4,000 10
Singapore Post, Ltd. (BP) ............................... 36,000 18
Singapore Press (JA) .................................... 42,500 103
Singapore Technology Engineering, Ltd. * (BH) ........... 36,000 43
Singapore Telecommunications, Ltd. * (J1) ............... 167,000 218
SMRT Corp. (BS) ......................................... 17,000 7
United Overseas Bank, Ltd. * (JP) ....................... 32,000 249
United Overseas Land, Ltd. (BZ) ......................... 10,000 14
Venture Manufacturing, Ltd. * (JY) ...................... 6,000 63
Wing Tai Holdings, Ltd. (JS) ............................ 12,000 6
------
1,663
South Africa - 1.3%
African Bank Investments, Ltd. * (JQ) ................... 12,310 23
Alexander Forbes, Ltd. (JQ) ............................. 9,096 15
Anglo American Platinum Corp., Ltd. *(BF) .............. 1,744 66
Anglo American plc * (BF) ............................... 38,023 777
Anglogold * (BF) ........................................ 3,574 116
Aveng, Ltd. (BJ) ........................................ 8,700 10
AVI, Ltd. (BL) .......................................... 8,722 25
Barlow, Ltd. * (BL) ..................................... 5,533 59
Bidvest Group, Ltd. (BL) ................................ 6,766 57
Edgars Consolidated Stores * (JE) ....................... 700 17
FirstRand, Ltd. (JP) .................................... 81,374 133
Foschini, Ltd. (JE) ..................................... 4,044 14
Gold Fields Mining * (BF) ............................... 10,658 112
Harmony Gold Mining * (BF) .............................. 6,944 73
Impala Platinum Holdings, Ltd. (BF) ..................... 1,741 $ 132
Imperial Holdings, Ltd. (JE) ............................ 5,307 59
Investec Ltd. (JQ) ...................................... 622 12
Iscor, Ltd. (BF) ........................................ 5,433 34
JD Group, Ltd. (JE) ..................................... 4,381 30
Liberty Life Association of Africa, Ltd. (JR) ........... 3,689 30
M-Cell, Ltd. (J2) ....................................... 35,908 165
Massmart Holdings, Ltd. * (JF) .......................... 4,100 22
Metro Cash and Carry (JF) ............................... 46,981 18
Metropolitan Holdings, Ltd. (JR) ........................ 15,632 18
Murray & Roberts Holdings, Ltd. (BL) .................... 7,300 15
Nampak, Ltd. (BE) ....................................... 15,580 36
Naspers, Ltd. - N Shares (JA) ........................... 7,666 57
Nedcor, Ltd. * (JP) ..................................... 5,226 52
Network Healthcare Holdings, Ltd. (JM) .................. 31,257 22
Old Mutual plc * (JR) ................................... 103,966 195
Pick'n Pay Stores, Ltd. (JF) ............................ 4,044 11
Reunert, Ltd. (JY) ...................................... 4,300 17
Sanlam, Ltd. (JR) ....................................... 71,246 101
Sappi, Ltd. * (BG) ...................................... 5,840 89
Sasol, Ltd. * (BB) ...................................... 15,473 239
Shoprite Holdings, Ltd. (JF) ............................ 11,051 17
Standard Bank Investment Corp., Ltd. (JP) ............... 36,301 251
Steinhoff International Holdings (BW) ................... 22,957 31
Telkom Group, Ltd. (J1) ................................. 4,510 58
Tiger Brands Ltd. (JH) .................................. 4,510 64
Tongaat Hulett Group (JH) ............................... 1,500 10
Truworths International, Ltd. (JE) ...................... 12,417 20
Woolworth's Holdings, Ltd. (JD) ......................... 22,783 26
------
3,328
South Korea - 1.7%
Amorepacific Corp. (JK) ................................. 130 24
Cheil Communications, Inc. (JA) ......................... 60 8
Cheil Industries (BY) ................................... 1,210 14
CJ Corp. (JH) ........................................... 450 24
Dae Duck Electronic (JY) ................................ 1,010 8
Daegu Bank (JP) ......................................... 3,420 18
Daelim Industrial Co., Ltd. (BJ) ........................ 680 21
Daewoo Engineering & Construction (BL) .................. 4,050 14
Daewoo Heavy Industries, Ltd. (BM) ...................... 1,800 12
Daewoo Securities Co. (JQ) .............................. 2,610 8
Daewoo Shipbuilding & Marine * (BM) ..................... 2,600 31
Daishin Securities * (JQ) ............................... 750 9
Daum Communications Corp. (JT) .......................... 280 13
Hana Bank * (JP) ........................................ 3,370 71
Hanjin Shipping Co., Ltd. (BR) .......................... 1,260 19
Hankook Tire Co., Ltd. (BU) ............................. 2,630 23
Hanwha Chemical * (BC) .................................. 1,480 9
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK - Continued
South Korea - Continued
Hite Brewery Co. (JG) ................................... 230 $ 16
Honam Petrochemical (BC) ................................ 260 9
Hyosung (BC) ............................................ 620 5
Hyundai Department Store * (JD) ......................... 260 6
Hyundai Heavy Industries Co., Ltd. (BM) ................. 1,230 29
Hyundai Industrial & Development (BJ) ................... 1,720 16
Hyundai Mobis (BU) ...................................... 1,490 66
Hyundai Motor Co., Ltd. (BV) ............................ 4,142 159
Hyundai Securities Co. (JQ) ............................. 2,140 8
Kangwon Land, Inc. (BZ) ................................. 2,890 32
KIA Motors Corp. (BV) ................................... 4,364 37
Kookmin Bank * (JP) ..................................... 8,173 254
Korea Electric Power Corp. * (J3) ....................... 6,921 111
Korea Exchange Bank * (JP) .............................. 3,310 17
Korea Telecom Corp. (J1) ................................ 3,770 126
Korean Air Lines (BQ) ................................... 640 8
KT & G Corp. * (JI) ..................................... 2,650 61
Kumgang Korea Che (BI) .................................. 140 14
LG Cable & Machinery, Ltd. (BK) ......................... 570 8
LG Chemical (BC) ........................................ 1,212 41
LG Electronics, Inc. (BW) ............................... 2,446 116
LG Engineering & Construction Co. (BJ) .................. 960 16
LG Household & health (JJ) .............................. 300 9
LG Investment & Securities Co., Ltd. * (JQ) ............. 2,635 19
LG Petrochemical (BC) ................................... 730 15
NCsoft Corp. * (JT) ..................................... 330 27
NHN Corp. (JT) .......................................... 302 30
Nong Shimco Co., Ltd. (JH) .............................. 90 21
Pohang Iron & Steel Co., Ltd. (BF) ...................... 1,920 248
Poongsan Corp. (BF) ..................................... 610 5
Pusan Bank (JP) ......................................... 3,240 18
S-Oil Corp. (BB) ........................................ 1,220 51
S1 Corp. (BO) ........................................... 370 9
Samsung Corp. (BN) ...................................... 3,981 49
Samsung Display Devices Co. (JY) ........................ 940 99
Samsung Electro-Mechanics Co. (JY) ...................... 1,616 46
Samsung Electronics * (J0) .............................. 3,619 1,494
Samsung Fine Chemicals Co., Ltd. (BC) ................... 450 7
Samsung Fire & Marine Insurance (JR) .................... 990 63
Samsung Heavy Industries (BM) ........................... 4,670 21
Samsung Securities Co., Ltd. (JQ) ....................... 1,444 24
Shinhan Financial (JP) .................................. 5,963 87
Shinsegaeco, Ltd. (JD) .................................. 280 67
SK Corp. (BB) ........................................... 2,400 95
SK Telecom Co., Ltd. * (J2) ............................. 1,091 179
Yuhan Corp. (JO) ........................................ 170 11
------
4,175
Soviet Union - 0.0%
Rostelecom - ADR * (J1) ................................. 2,660 $ 34
Spain - 3.0%
Abertis Infrastructuras SA (BT) ......................... 6,122 107
Acciona SA (BJ) ......................................... 779 48
Acerinox SA (BF) ........................................ 1,331 76
ACS Actividades de Construccion y Servicos SA (BJ) ...... 7,089 120
Altadis SA -Ser. A (JI) ................................. 7,498 232
Amadeus Global Travel - Ser. A (BO) ..................... 8,926 59
Antena 3 TV * (JA) ...................................... 442 23
Banco Bilbao Vizcaya SA * (JP) .......................... 86,019 1,150
Banco Popular Espanol SA (JP) ........................... 4,318 244
Banco Santander Central Hispano SA * (JP) ............... 114,769 1,192
Corp. Mapfre SA (JR) .................................... 2,943 36
Endesa SA * (J3) ........................................ 25,426 491
Fomento de Construcciones y Contratas SA (BJ) ........... 1,400 52
Gamesa Corp. Tecnologica, SA (BA) ....................... 2,883 42
Gas Natural SDG SA * (J4) ............................... 4,163 100
Grupo Ferrovial SA * (BJ) ............................... 1,726 72
Iberdrola SA (J3) ....................................... 20,444 432
Iberia Lineas Aereas de Espana SA (BQ) .................. 11,781 34
Inditex (JE) ............................................ 5,934 136
Indra Sistemas SA (JU) .................................. 3,278 42
Metrovacesa SA (JS) ..................................... 951 36
NH Hoteles SA * (BZ) .................................... 2,106 23
Promotora de Informaciones SA (JA) ...................... 1,976 35
Repsol SA * (BB) ........................................ 24,434 536
Sociedad General de Aguas de Barcelona SA (J6) .......... 1,488 25
Soge Cable (JA) ......................................... 995 40
Telefonica Publicidad e Informacion SA * (JA) ........... 4,312 29
Telefonica SA * (J1) .................................... 125,745 1,861
Union Electrica Fenosa SA (J3) .......................... 5,473 117
Vallehermoso SA (JS) .................................... 2,542 35
Zeltia SA * (JN) ........................................ 3,894 27
------
7,452
Sweden - 2.1%
Ainax AB * (FB) ......................................... 471 15
Alfa Laval AB (BM) ...................................... 1,818 29
Assa Abloy * (BI) ....................................... 8,000 102
Atlas Copco AB (BM) ..................................... 1,800 62
Atlas Copco AB - Ser. A (BM) ............................ 3,100 115
Axfood AB (JF) .......................................... 686 18
Billerud (BE) ........................................... 1,400 23
Bostads Ab Drott * (JS) ................................. 50 1
Capio AB * (JM) ......................................... 1,963 19
Carnegie & Co. (JQ) ..................................... 1,496 14
Castellumab (JS) ........................................ 1,043 25
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK - Continued
Sweden - Continued
Drott AB (JS) ........................................... 1,000 $ 13
Electrolux AB - Ser. B * (BW) ........................... 7,500 144
Elekta AB - Ser. B * (JL) ............................... 798 18
Eniro AB Seki (JA) ...................................... 4,444 34
Gambro - Ser. A * (JM) .................................. 5,200 50
Gambro - Ser. B (JM) .................................... 2,300 22
Getinge AB - Ser. B (JL) ................................ 4,112 49
Hennes & Mauritz AB * (JE) .............................. 12,650 327
Hoganas AB - Cl. B (BF) ................................. 700 17
Holmen AB - Ser. B (BG) ................................. 1,300 38
Lundlin Petroleum AB * (BB) ............................. 4,477 24
Modern Times Group (JA) ................................. 1,350 26
NetCom Systems, Inc. - Cl. B (J1) ....................... 2,600 114
Nobel Biocare AG * (JL) ................................. 370 58
Nordic Baltic Holding AB (JP) ........................... 58,500 422
Omhex AB (JQ) ........................................... 1,600 19
Sandvik AB (BM) ......................................... 5,900 201
SAS AB (BQ) ............................................. 2,400 18
Scania AB - Ser. B (BM) ................................. 2,600 88
Securitas AB * (BO) ..................................... 8,000 100
Skand Enskilda Banken - Cl. A (JP) ...................... 12,600 182
Skandia Forsakrings AB (JR) ............................. 27,000 112
Skanska AB - Ser. B (BJ) ................................ 9,900 87
SKF AB - Ser. A (BM) .................................... 100 4
SKF AB - Ser. B (BM) .................................... 2,500 92
SSAB Svensktal AB - Ser. A (BF) ......................... 1,600 27
SSAB Svensktal AB - Ser. B (BF) ......................... 800 13
Svenska Cellulosa AB - Cl. B (BG) ....................... 5,200 198
Svenska Handelsbanken - Ser. B (JP) ..................... 300 6
Svenska Handelsbanken, Inc. (JP) ........................ 14,800 297
Swedish Match (JI) ...................................... 9,000 92
Telefonaktiebolaget LM Ericsson AB (JW) ................. 393,200 1,160
Telia AB (J1) ........................................... 50,100 212
Trelleborg AB - Ser. B (BU) ............................. 2,000 35
Volvo AB * (BM) ......................................... 6,000 209
Volvo AB - Ser. A (BM) .................................. 2,700 91
Wihlborgs Fastigheter AB (JS) ........................... 1,119 15
WM Data AB - Ser. B * (JU) .............................. 10,000 22
-------
5,059
Switzerland - 6.1%
ABB, Ltd. (BK) .......................................... 50,405 276
Adecco SA * (BO) ........................................ 3,570 178
Ciba Specialty Chemicals AG * (BC) ...................... 1,833 132
Clariant AG (BC) ........................................ 6,226 91
Credit Suisse Group * (JP) .............................. 30,709 1,092
Geberit AG (BI) ......................................... 96 64
Givaudan (BC) ........................................... 193 112
Holcim * (BD) ........................................... 4,975 271
Kudelski SA * (JY) ...................................... 879 25
Kuoni Reisen Holding AG - Ser. B (BZ) ................... 80 35
Logitech International SA (JX) .......................... 1,158 53
Lonza Group AG (BC) ..................................... 1,010 $ 51
Micronas Semiconductor Holdings AG * (JO) ............... 860 39
Nestle SA * (JH) ........................................ 10,916 2,912
Nobel Biocare AG (JL) ................................... 235 37
Novartis AG (JO) ........................................ 64,415 2,843
Phonak Holdings AG (JL) ................................. 1,150 36
Richemont (JE) .......................................... 14,210 371
Rieter Holdings AG (BM) ................................. 124 33
Roche Holdings AG (JO) .................................. 118 16
Roche Holdings AG * (JO) ................................ 19,005 1,882
Serono SA (JN) .......................................... 184 116
SGS Holdings (BO) ....................................... 116 63
Straumann Holdings (JL) ................................. 210 42
Sulzer AG (BM) .......................................... 93 26
Swatch Group (BY) ....................................... 904 118
Swatch Group AG * (BY) .................................. 1,460 39
Swiss Reinsurance Co. * (JR) ............................ 8,756 569
Swisscom AG * (J1) ...................................... 723 239
Syngenta AG (BC) ........................................ 2,913 244
Synthes, Inc. * (JL) .................................... 1,190 136
UBS AG * (JP) ........................................... 30,402 2,143
Unaxis Holding AG * (JO) ................................ 276 31
Valora Holding AG (JE) .................................. 105 24
Zurich Finance (JR) ..................................... 3,915 618
-------
14,957
Taiwan - 1.3%
Accton Technollogies, Inc. (JW) ......................... 10,000 6
Acer Communicaton (JX) .................................. 32,279 36
Acer, Inc. * (JX) ....................................... 32,589 46
Advanced Semiconductor Engineering, Inc. (JO) ........... 44,805 35
Advantech Co., Ltd. (JX) ................................ 2,000 4
Arima Computer (JX) ..................................... 14,000 4
Asia Cement Corp. (BD) .................................. 19,000 11
Asia Optical Co., Inc. (BX) ............................. 2,000 12
Asustek Computer * (JX) ................................. 31,557 72
AU Optronics Corp. * (JY) ............................... 65,088 99
BES Engineering Corp. (BJ) .............................. 22,000 4
Cathay Construction * (JS) .............................. 15,000 8
Cathay Financial Holding Co., Ltd. (JR) ................. 77,000 139
Chang Hwa Commercial Bank (JP) .......................... 60,000 34
Cheng Shin Indiana (BU) ................................. 9,000 12
Chi Mei Optoelectronics Corp. (JX) ...................... 30,000 48
China Airlines (BQ) ..................................... 13,000 7
China Dev Fin Holding (JP) .............................. 156,787 80
China Motor Corp. (BV) .................................. 10,000 14
China Steel Corp. (BF) .................................. 117,000 111
China Trust Finance (JP) ................................ 76,363 85
Chungwa Picture Tubes, Ltd. (JY) ........................ 60,217 31
Chungwa Telecom Co., Ltd. (J1) .......................... 33,000 57
CMC Magnetics Corp. (JX) ................................ 44,775 23
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK - Continued
Taiwan - Continued
Compal Electronics, Inc. * (JX) ......................... 44,775 $ 49
Compeq Manufacturing Co., Ltd. * (JX) ................... 12,000 4
DD Link (JW) ............................................ 8,000 9
Delta Electronics Inc. (JY) ............................. 16,500 21
E. Sun Financial * (JP) ................................. 27,000 16
Eternal Chemical Co., Ltd. * (BC) ....................... 7,000 4
Eva Airways (BQ) ........................................ 17,000 7
Evergreen Marine Corp. (BR) ............................. 13,000 11
Far East Textile (BL) ................................... 33,000 19
First Financial Holding, Co., Ltd. * (JQ) ............... 69,000 50
Formosa Chemical & Fibre (BC) ........................... 32,867 51
Formosa Plastic * (BC) .................................. 63,395 90
Formosa Taffeta Co., Ltd. (BY) .......................... 12,000 5
Fu Sheng Industrail Co., Ltd. (BL) ...................... 10,000 16
Fubon Financial Holding Co. (JQ) ........................ 64,000 56
Giant Manufacturing Co., Ltd. (BX) ...................... 3,000 4
Gigabyte Technology Co. (JX) ............................ 8,000 12
Hon Hai Precision Industry Co., Ltd. - Cl. G * (JY) ..... 34,557 128
Hua Nan Financial Holding Co. (JP) ...................... 44,000 36
International Bank of Taipei (JP) ....................... 30,000 20
Inventec Co., Ltd. (JX) ................................. 22,000 14
Kinpo Electronics (JZ) .................................. 16,200 8
Largan Precision Co. (BL) ............................... 1,000 10
Lite on Technology (JX) ................................. 31,557 33
Macronix International Co., Ltd. (J0) ................... 85,177 27
MediaTek, Inc. (J0) ..................................... 9,000 72
Mega Financial Holding Co., Ltd. (JP) ................... 159,000 105
Micro Star International (JX) ........................... 5,155 6
Nan Ya Plastic Corp. (BC) ............................... 86,723 114
Nien Hsing Textile Co., Ltd. (BY) ....................... 6,000 5
Nien Made Enterprises Co., Ltd. (JH) .................... 3,840 6
Optimax Technology Corp. (JY) ........................... 4,000 13
Oriental Union Chemical Corp. (BC) ...................... 8,000 7
Phoenixtec Power (BK) ................................... 7,000 7
Polaris Securities (JQ) ................................. 17,000 9
Pou Chen Corp. (BY) ..................................... 23,000 21
Premier Image Technology (BX) ........................... 6,000 7
President Chain Store Corp. (JF) ........................ 9,000 17
Prodisc Technology, Inc. * (JX) ......................... 9,000 6
Quanta Computer, Inc. (JX) .............................. 26,445 56
Quanta Display, Inc. * (JY) ............................. 30,000 21
Realtek Semiconductor Corp. * (J0) ...................... 9,186 12
Ritek Corp. (JX) ........................................ 35,651 16
Sampo Corp. (BW) ........................................ 18,000 5
Shihlin Electric (BK) ................................... 6,000 4
Shin Kong Financial Holding Co., Ltd. (JR) .............. 30,000 25
Siliconware Precision (J0) .............................. 26,465 21
Sinopac Holding (JP) .................................... 52,000 27
Synnex Technology International Corp. (JY) .............. 9,000 15
SYSTEX Corp. (JU) ....................................... 14,000 $ 6
Taishin Financial Holding Co., Ltd. (JP) ................ 46,000 38
Taiwan Cellular Corp. (J2) .............................. 36,000 34
Taiwan Cement (BD) ...................................... 24,000 11
Taiwan Glass Industrial Corp. (BI) ...................... 7,560 6
Taiwan Secom Co. (BO) ................................... 5,000 5
Taiwan Semiconductor * (J0) ............................. 288,527 415
Taiwan Styrene Monomer Corp. (BC) ....................... 8,000 6
Tatung (BL) ............................................. 59,146 23
Teco Electric & Machine (BK) ............................ 28,000 9
Uni-President Enterprises Co. (JH) ...................... 34,000 15
United Microelectronics Corp. * (J0) .................... 250,525 186
Via Technologies Inc. * (J0) ............................ 15,310 13
Walshin Lihwa W&C (BK) .................................. 34,000 15
Wan Hai Lines, Ltd. (BR) ................................ 12,000 11
Winbond Electronic (J0) ................................. 62,084 28
WUS Printed Circuit (JY) ................................ 7,000 4
Ya Hsing Indiana Co. * (JY) ............................. 9,000 11
Yageo Corp. (JY) ........................................ 38,000 20
Yang Ming Marine (BR) ................................... 17,000 16
Yieh Phuients Co. (BD) .................................. 14,000 9
Yue Loong Motor Co. (BV) ................................ 14,000 15
Yuen Foong Yu Manufacturing Co., Ltd. (BG) .............. 18,000 9
Zyxel Communication (JW) ................................ 4,000 8
------
3,188
Thailand - 0.3%
Advanced Info Service Public Co., Ltd. (J2) ............. 7,800 17
Advanced Information Services (J2) ...................... 16,900 38
Airports of Thailand (BT) ............................... 2,600 3
Airports of Thailand * (BT) ............................. 9,100 12
Bangkok Bank (JP) ....................................... 7,500 17
Bangkok Bank Co., Ltd. * (JP) ........................... 26,200 63
Bangkok Expressway Public Co., Ltd. (BT) ................ 9,700 6
Banpu Co. (BF) .......................................... 2,700 9
Bec World (JA) .......................................... 17,300 7
Bec World Public Co., Ltd. (JA) ......................... 7,900 3
Charoen Polcphand Foods Public Co., Ltd. (JH) ........... 64,100 6
Delta Electronics (JY) .................................. 10,000 6
Electricity Generating Public Co., Ltd. (J3) ............ 3,400 6
GMM Grammy Public Co., Ltd. (JA) ........................ 6,900 3
Hana Micorelectronic Public Co., Ltd. (JY) .............. 11,500 8
Italian Thai Development Public Co., Ltd. (BJ) .......... 33,500 8
ITV Public Co., Ltd. * (BL) ............................. 8,400 3
Kasikornbank Public Co., Ltd. * (JP) .................... 5,900 7
Kiatnakin Finance Public Co., Ltd. (JQ) ................. 5,600 5
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ---------- -------
(000's)
COMMON STOCK - Continued
Thailand - Continued
Kim England Securities, Ltd. * (FB) .................. 3,100 $ 3
Krung Thai Bank Public Co., Ltd. (JP) ................ 78,300 21
Land & Houses (BJ) ................................... 65,300 16
Land & Houses Public Co., Ltd. (JS) .................. 30,500 7
National Finance Public Co., Ltd. * (JQ) ............. 18,300 7
National Petrochemical Public Co., Ltd. (BC) ......... 2,100 5
PTT Exploration & Production Public Co., Ltd. (BB) ... 4,900 30
PTT Public Co. (BB) .................................. 17,800 68
PTT Public Co., Ltd. (BB) ............................ 5,700 21
Ratchaburi Electric (J3) ............................. 6,200 3
Sahavirya Steel Industries Public Co., Ltd. * (BD) ... 11,100 8
Seven Eleven (JF) .................................... 2,500 4
Shin Corp. (J2) ...................................... 28,800 25
Siam Cement Co. * (BD) ............................... 8,437 51
Siam City Cement Public Co., Ltd. (BD) ............... 1,300 8
Siam Commercial Bank * (JP) .......................... 4,800 5
Siam Commercial Bank Public Co. * (JP) ............... 10,700 12
Siam Makro Public Co., Ltd. * (JD) ................... 2,400 3
Sino Thai Engineering & Construction * (BJ) .......... 13,800 4
Telecomasia * (J1) ................................... 37,800 5
Thai Airways International plc (BQ) .................. 14,200 19
Thai Farmers Bank Public Co., Ltd. * (JP) ............ 32,300 41
Thai Olefins Public Co., Ltd. * (BC) ................. 5,500 8
Thai Union Frozen Products Public Co., Ltd. (JH) ..... 8,400 4
The Siam Cement Public Co., Ltd.. (BI) ............... 3,700 21
Tisco Finance plc (JQ) ............................... 8,500 5
------
631
Turkey - 0.2%
Akbank TAS * (JP) .................................... 14,899,355 55
Akrilik Kimya Sanayii SA (BY) ........................ 308,000 2
Aksigorta * (JR) ..................................... 1,520,000 4
Alarko Holdings (JQ) ................................. 137,000 3
Anadolu Efes Biracilik ve Malt Sanayii AS * (JG) ..... 1,601,883 19
Arcelik AS (BW) ...................................... 2,270,521 11
Aygaz AZ (J4) ........................................ 1,848,000 4
CIMSA (BD) ........................................... 1,377,000 3
Dogan Holdings * (BO) ................................ 1,460,750 2
Dogan Sirketler Grubu Holding AS (JQ) ................ 5,843,000 8
Dogan Yayin Holding Corp. * (JA) ..................... 2,232,000 7
Eregli Demir ve Celik Fabrikalari TAS (BF) ........... 10,343,184 26
Ford Otomotiv Sanayi AS (BV) ......................... 1,659,934 12
Haci Omer Sabanci Holding AG (JQ) .................... 6,811,211 $ 20
Hurriyet Gazete * (JA) ............................... 2,435,000 7
Koc Holding AS (JQ) .................................. 4,482,155 20
Migros Turk T.A.S. (JF) .............................. 1,463,000 7
T Sise Co. (BW) ...................................... 4,003,000 7
Tofas Otomobil (BV) .................................. 3,193,000 6
Trakya * (BI) ........................................ 2,261,000 5
Tupras-Turkiye Petrol Rafinerileri AS (BB) ........... 2,487,737 16
Turkcell Iletisim Hizmetleri AS (J2) ................. 1,986,841 25
Turkiye Garanti Bankasi AS * (JP) .................... 8,165,662 24
Turkiye Is Bankasi - Cl. C * (JP) .................... 12,146,756 44
Vestel Elektronik Sanayi ve Ticaret AS (BW) .......... 2,258,000 7
Yapi ve Kredi Bankasi AS * (JP) ...................... 9,608,380 23
------
367
United Kingdom - 20.6%
3I GROUP (JQ) ........................................ 15,710 174
Aegis Group plc (JA) ................................. 28,822 47
Aggreko plc (BO) ..................................... 6,663 20
Alliance Unichem (JM) ................................ 6,310 75
AMEC plc (BJ) ........................................ 7,702 38
Amvescap plc * (JQ) .................................. 17,666 120
ARM Holdings plc (J0) ................................ 26,334 57
Arriva plc (BS) ...................................... 4,475 33
Association British Ports (BT) ....................... 8,519 62
AstraZeneca Group plc * (JO) ......................... 43,892 1,969
Balfour Beatty plc (BJ) .............................. 10,767 52
Barclays (JP) ........................................ 170,484 1,452
Barratt Developments plc (BW) ........................ 6,152 66
BBA Group plc (BT) ................................... 11,712 58
Bellway plc (BW) ..................................... 2,588 36
BG Group plc * (BB) .................................. 90,882 560
Billiton plc (BF) .................................... 63,528 551
BOC Group plc * (BC) ................................. 13,417 225
Boots Group (JF) ..................................... 21,232 265
BP Amoco plc (BB) .................................... 574,420 5,071
BPB (BD) ............................................. 12,676 94
Brambles Industries * (BO) ........................... 18,705 72
British Aerospace plc (BH) ........................... 82,266 327
British Airport Authority plc (BT) ................... 28,893 290
British Airways plc * (BQ) ........................... 13,903 69
British American Tobacco plc * (JI) .................. 39,996 620
British Land Co. plc (JS) ............................ 12,543 158
British Sky Broadcast plc (JA) ....................... 33,809 381
BT Group (J1) ........................................ 222,167 800
Bunzl (BO) ........................................... 11,735 98
Cable & Wireless plc * (J1) .......................... 61,386 144
Cadbury Schweppes plc * (JH) ......................... 53,027 457
Capita Group plc (BO) ................................ 17,224 99
Carnival plc (BZ) .................................... 4,528 220
Cattles plc (JQ) ..................................... 8,424 48
Celltech Group plc * (JN) ............................ 7,152 71
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK - Continued
United Kingdom - Continued
Centrica plc (J4) ....................................... 109,584 $ 446
CGU plc (JR) ............................................ 58,104 599
Close Brothers Group plc (JQ) ........................... 3,596 51
Cobham plc (BH) ......................................... 2,834 72
Compass Group plc * (BZ) ................................ 55,329 338
Cookson Group plc * (BL) ................................ 43,751 33
Corus Group plc * (BF) .................................. 111,904 81
Daily Mail & General Trust (JA) ......................... 7,843 104
Davis Service (BO) ...................................... 5,245 37
DCC plc (BL) ............................................ 400 7
De La Rue plc (BO) ...................................... 4,733 30
Diageo plc * (JG) ....................................... 80,069 1,079
Dixons Group plc (JE) ................................... 50,051 150
Eircom Group plc * (J1) ................................. 10,156 18
Electrocomponents plc * (BN) ............................ 11,177 72
EMAP plc * (JA) ......................................... 6,597 89
EMI Group plc (JA) ...................................... 20,296 90
Enterprise Inns (BZ) .................................... 4,171 43
Exel * (BP) ............................................. 7,708 107
Firstgroup (BS) ......................................... 10,517 53
FKI plc (BL) ............................................ 14,956 33
Friends Provident plc * (JR) ............................ 42,398 113
George Wimpey plc (BW) .................................. 9,843 66
GKN * (BU) .............................................. 18,806 85
GlaxoSmithKline plc * (JO) .............................. 154,763 3,131
Great Portland Estates plc (JS) ......................... 4,133 19
Hammerson plc (JS) ...................................... 7,096 90
Hanson Building Materials * (BD) ........................ 18,525 127
Hays plc * (BO) ......................................... 43,002 96
HBOS * (JP) ............................................. 100,721 1,246
Hilton Group plc * (BZ) ................................. 42,775 214
HMV Group plc * (JE) .................................... 8,986 39
HSBC Holdings plc (JP) .................................. 286,609 4,261
ICAP (JQ) ............................................... 11,141 55
IMI (BM) ................................................ 9,010 61
Imperial Chemical Industries plc * (BC) ................. 30,641 128
Imperial Tobacco Group plc (JI) ......................... 18,731 403
Inchcape plc (JB) ....................................... 1,803 57
Independent News (JA) ................................... 6,417 15
Intercontinental Hampshire (BZ) ......................... 18,971 200
Intertek Group plc (BL) ................................. 3,579 37
Invensys plc (BM) ....................................... 146,432 48
ITV (JA) ................................................ 110,294 231
J Sainsbury plc * (JF) .................................. 39,782 205
Johnson Matthey (BF) .................................... 5,628 94
Kelda Group plc (J6) .................................... 9,945 90
Kerry Group (JH) ........................................ 800 17
Kesa Electricals (JE) ................................... 13,591 71
Kidde plc (BK) .......................................... 21,333 46
Kingfisher * (JE) ....................................... 62,350 324
Kingspan Group plc * (BI) ............................... 2,435 15
Land Securities SGP (JS) ................................ 12,564 264
Legal & General Group plc (JR) .......................... 174,723 301
Liberty National (JP) ................................... 6,369 $ 88
Lloyds TSB Group plc (JP) ............................... 146,196 1,144
Logica plc * (JU) ....................................... 19,306 64
London Stock Exchange plc (JQ) .......................... 7,120 47
Manitoba Group (JQ) ..................................... 7,541 195
Marconi Group plc * (JW) ................................ 4,815 60
Marks & Spencer * (JD) .................................. 60,809 400
Meggitt plc (BH) ........................................ 6,755 32
MFI Furniture Group (BW) ................................ 15,783 43
Misys plc (JV) .......................................... 14,419 52
Mitchells & Butler (BZ) ................................. 13,419 68
National Express Group (BS) ............................. 3,230 39
National Grid Group * (J3) .............................. 79,313 612
National Power plc (J5) ................................. 28,586 73
Next Group (JD) ......................................... 7,039 182
Novar plc (BI) .......................................... 11,031 25
Pearson plc * (JA) ...................................... 21,624 263
Peninsular & Oriental Steam Navigation Co. (BR) ......... 19,050 76
Persimmon plc (BW) ...................................... 6,918 79
Pilkington plc (BI) ..................................... 26,149 46
Premier Farnell plc (JY) ................................ 8,500 38
Provident Financial (JQ) ................................ 6,532 71
Prudential Corp. (JR) ................................... 51,581 444
Punch Taverns plc (BZ) .................................. 5,992 55
Rank Group plc * (BZ) ................................... 15,289 83
Reckitt Benckiser * (JJ) ................................ 15,344 434
Reed International plc (JA) ............................. 34,135 332
Rentokil Initial plc (BO) ............................... 47,252 124
Reuters Group plc * (JA) ................................ 38,619 259
Rexam (BE) .............................................. 14,051 114
Rio Tinto plc * (BF) .................................... 27,489 661
RMC Group plc * (BD) .................................... 6,811 75
Rolls Royce Group * (BH) ................................ 39,313 179
Rolls Royce Group - Cl. B * (BV) ........................ 959,000 2
Royal & Sun Alliance Insurance Group * (JR) ............. 74,055 111
Royal Bank of Scotland Group * (JP) ..................... 77,447 2,230
Ryanair Holdings (BQ) ................................... 1,624 9
Schroders (JQ) .......................................... 3,199 36
Scottish & Newcastle (JG) ............................... 20,596 162
Scottish and Southern Energy (J3) ....................... 23,115 286
Scottish Power plc * (J3) ............................... 49,934 361
Securicor plc (BO) ...................................... 13,768 32
Serco Group plc (BO) .................................... 11,270 44
Severn Trent (J6) ....................................... 8,874 128
Shell Transport & Trading Co. plc * (BB) ................ 252,322 1,850
Signet Group (JE) ....................................... 44,166 92
Slough Estates Finance plc (JS) ......................... 10,753 87
Smith & Nephew (JL) ..................................... 25,078 270
Smiths Group (BL) ....................................... 15,172 205
South African Breweries plc * (JG) ...................... 21,561 279
SSL International plc (JL) .............................. 4,886 25
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- --------- --------
(000's)
COMMON STOCK - Continued
United Kingdom - Continued
Stagecoach Holdings plc (BS) ......................... 26,928 $ 44
Tate & Lyle (JH) ..................................... 10,539 63
Taylor Woodrow (BW) .................................. 15,208 71
Tesco plc * (JF) ..................................... 198,207 957
The Berkeley Group plc (BW) .......................... 2,816 63
The Great Universal Stores plc (JC) .................. 27,156 416
The Sage Group plc (JV) .............................. 31,670 107
Tomkins plc (BL) ..................................... 19,882 99
Trinity Mirror plc (JA) .............................. 7,207 85
Unilever plc * (JH) .................................. 71,289 699
United Business Media (JA) ........................... 8,633 79
United Utilites - Cl. A (J6) ......................... 7,960 48
United Utilities plc * (J5) .......................... 14,287 134
Vodafone AirTouch plc (J2) ........................... 1,764,375 3,862
Waterford Wedgewood (BW) ............................. 9,080 2
Whitbread * (BZ) ..................................... 7,613 114
William Hill (BZ) .................................... 10,830 109
Wolseley (BN) ........................................ 15,683 243
WPP Group plc * (JA) ................................. 27,081 275
Yell Group plc (JA) .................................. 17,910 112
--------
50,808
United States - 1.3%
Alvarion, Ltd. (JW) .................................. 998 13
AO Mosenergo - ADR (J3) .............................. 2,476 19
Banco Bradesco SA - ADR (JP) ......................... 2,429 112
Banco Santander Chile - ADR (JP) ..................... 2,767 74
Brasil Telecom Participacoes S.A. (J1) ............... 966 30
Braskem SA - ADR (BC) ................................ 7,493 138
Centrais Electricas Brasileirias SA -
ADR Cl. B * (J3) .................................. 2,207 11
Check Point Software Technologies, Ltd. * (JT) ....... 5,126 138
Companhia De Bebidas ADR (JG) ........................ 4,804 96
Companhia Energetica de Minas Gerias - ADR (J3) ..... 1,994 30
Companhia Siderurgica Nacional - SA - ADR * (BF) .... 3,152 38
Companhia Vale do Rio Doce - ADR (BF) ................ 5,046 215
Compania Anonima Nacional
Telefonos De Venezuela - ADR (J1) ................. 2,697 54
Compania Brasileira de Distribuicao
Grupo Pao de Acucar - ADR (JF) .................... 485 8
Compania Cervecerias Unidas SA - ADR * (JG) .......... 470 10
Compania de Telecomunicaciones de Chile SA * (J1) .... 8,006 98
Distribucion y Servicio D&S SA - ADR (JF) ............ 849 13
ECI Telecommunications, Ltd. * (JW) .................. 1,334 9
Embotelladora Andina SA - ADR * (JG) ................. 935 11
Embotelladora Andina SA - Ser. B ADR (JG) ............ 1,052 $ 12
Embratel Participacoes SA - ADR (J1) ................. 3,384 47
Empresa Brasileira de Aeronautica SA * (BH) .......... 1,584 45
Empresa Nacional de Electricidad SA - ADR * (J3) ..... 6,680 83
Enersis SA - ADR * (J3) .............................. 15,963 95
Gerdeau SA - ADR (BF) ................................ 2,792 34
Given Imaging, Ltd. * (JL) ........................... 316 11
JSC Norilsk Nickel - ADR (BL) ........................ 1,861 102
Lukoil Holding - ADR * (BB) .......................... 2,907 306
M-Systems Flash Disk Pioneers, Ltd. * (JX) ........... 602 9
Orbotech, Ltd. * (JY) ................................ 835 17
Petrobas Energia Participacoes SA - ADR Cl. B (JQ) ... 2,541 25
Petroleo Brasileiro SA * (BB) ........................ 6,036 168
Petroleo Brasileiro SA - ADR (BB) .................... 8,385 208
PT Indonesian Satellite Corp. - ADR (J1) ............. 1,984 42
Radware, Ltd. * (JT) ................................. 401 7
Ryanair Holdings plc - ADR * (BQ) .................... 581 19
Ship Finance International, Ltd. * (BR) .............. 262 4
Surgutneftegaz - ADR (BB) ............................ 16,177 561
Tele Centro Oeste Celular Participacoes - ADR (J2) ... 1,301 12
Tele Norte Leste Participacoes SA - ADR (J1) ......... 5,501 70
Telesp Celular Participacoes SA - ADR * (J2) ......... 3,624 28
Tenaris SA - ADR (BA) ................................ 1,125 37
Unibanco - Uniao de Bancos
Brasileiros SA - GDR * (JP) .......................... 1,735 34
Unified Energy Systems Russia - ADR (J3) ............. 3,060 81
Vina Concha y Toro SA - ADR (JG) ..................... 371 18
Votorantim Celulose e Papel SA - ADR (BG) ............ 530 17
--------
3,209
--------
TOTAL COMMON STOCK-
(Cost $219,363) 97.2% 239,968
PREFERRED STOCK
Australia - 0.2%
News Corp., Ltd. (JA) ................................ 70 571
Brazil - 0.2%
BCO Itau Holdings Financeira (JP) .................... 1,440 134
Caemi Mieracao e Metalurgia SA (BF) .................. 40 15
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market
Name of Issuer Shares Value
-------------- ------- --------
(000's)
PREFERRED STOCK - Continued
Brazil - Continued
Compahnia de Bebidas das Americas (JG) ................. 120 $ 24
Companhia Vale do Rio Doce (BF) ........................ 8 31
Empresa Bras De Aerona (BH) ............................ 3 23
Klabin SA (BG) ......................................... 11 15
Petroleo Brasileiro SA - Petrobras (BB) ................ 2 55
Sadia SA (JH) .......................................... 11 14
Tele Norte Leste Participacoes SA (J1) ................. 1,500 19
Usinas Siderurgicas de Minas SA (BF) ................... 1 12
Votorantim Papel (BG) .................................. 200 13
--------
354
Germany - 0.2%
Fresenius Medical Care AG (JM) ......................... 7 36
Henkel KGAA (JJ) ....................................... 2 138
Porsche AG (BV) ........................................ 2 135
Prosiebebensati Medi (JA) .............................. 2 36
RWE AG (J5) ............................................ 1 40
Volkswagen AG (BV) ..................................... 3 78
Wella AG (JK) .......................................... 1 5
--------
469
New Zealand - 0.0%
Tenon, Ltd. (BG) ....................................... 1 2
South Korea - 0.1%
Hyundai Motor Co. (BV) ................................. 1 21
LG Electronics, Inc. (BW) .............................. 1 14
Samsung Electronics, Inc. (BL) ......................... 6 156
--------
191
Switzerland - 0.0%
Schindler Holding AG (BM) .............................. 147 42
Thailand - 0.0%
PTT Exploration & Production Public Co. (BB) ........... 2 16
Siam Commercial Bank Public Co. (JP) ................... 6 6
--------
22
--------
TOTAL PREFERRED STOCK-
(Cost $1,514) 0.7% 1,651
WARRANTS
Mexico - 0.0%
Cemex SA (BI) expires 12/21/04 ......................... 137 0
Singapore - 0.0%
City Developments (JS) expires 05/10/06 ................ 1,300 2
--------
TOTAL WARRANTS-
(Cost $0) 0.0% 2
RIGHTS
Thailand - 0.0%
True Corporation (J1) expires 04/30/08 ................. 35,747 $ 0
Turkey - 0.0%
Eregli Demir ve Fabrikalari TAS (BF)
expires 07/13/04 .................................... 427,576 1
--------
TOTAL RIGHTS-
(Cost $0) 0.0% 1
------- --------
TOTAL LONG-TERM
INVESTMENTS-
(Cost $220,877) 97.9% 241,622
Par
Value
-------
(000's)
INVESTMENT COMPANIES HELD AS COLLATERAL ON LOANED
SECURITIES - 18.6%
State Street Navigator Securities
Lending Portfolio .................................. $46,017 46,017
SHORT-TERM INVESTMENTS
Investment in joint trading account
1.344% due 07/01/04 ................................ 1,885 1,885
U.S. Treasury - Bills (a)
0.95% due 07/29/04 ................................. 10 10
------- --------
TOTAL SHORT-TERM
INVESTMENTS-
(Cost $1,895) 0.8% 1,895
------- --------
TOTAL INVESTMENTS-
(Cost $268,789) 117.3% 289,534
Payables, less cash and receivables- (17.3)% (42,731)
------- --------
NET ASSETS- 100.0% $246,803
------- --------
* Non-income producing security.
ADR-American Depository Receipt.
GDR-Global Depository Receipt.
(a) Security segregated to cover initial margin requirements on open financial
futures.
See notes to financial statements.
SUMMARY OF LONG-TERM SECURITIES BY INDUSTRY
Market % of
Industry Value Long-Term
Industry Abbreviation (000s) Investments
-------- ------------ ------- -----------
Banks ................................... JP $40,278 16.7%
Oil & Gas ............................... BB 21,142 8.8%
Pharmaceuticals ......................... JO 16,329 6.8%
Diversified Telecommunication Services .. J1 10,885 4.5%
Insurance ............................... JR 10,839 4.5%
Metals & Mining ......................... BF 8,668 3.6%
Automobiles ............................. BV 7,490 3.1%
Electric Utilities ...................... J3 7,446 3.1%
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY INDEX FUND
Market % of
Industry Value Long-Term
Industry Abbreviation (000s) Investments
-------- ------------ -------- -----------
Food Products .......................... JH $ 7,105 2.9%
Wireless Telecommunications Services ... J2 6,972 2.9%
Diversified Financials ................. JQ 6,919 2.9%
Media .................................. JA 6,680 2.8%
Chemicals .............................. BC 6,343 2.6%
Household Durables ..................... BW 5,213 2.2%
Communications Equipment ............... JW 4,308 1.8%
Semiconductor Equipment & Products ..... J0 4,280 1.8%
Food & Drug Retailing .................. JF 4,147 1.7%
Electronic Equipment & Instruments ..... JY 3,736 1.5%
Electrical Equipment ................... BK 3,592 1.5%
Beverages .............................. JG 3,430 1.4%
Machinery .............................. BM 3,167 1.3%
Real Estate Operations ................. JS 3,074 1.3%
Hotels Restaurants & Leisure ........... BZ 2,645 1.1%
Multiline Retail ....................... JD 2,506 1.0%
Road & Rail ............................ BS 2,377 1.0%
Industrial Conglomerates ............... BL 2,268 0.9%
Commercial Services & Supplies ......... BO 2,257 0.9%
Specialty Retail ....................... JE 2,253 0.9%
Construction Materials ................. BD 2,145 0.9%
Auto Components ........................ BU 2,042 0.8%
Gas Utilities .......................... J4 1,725 0.7%
Tobacco ................................ JI 1,724 0.7%
Computers & Peripherals ................ JX 1,588 0.7%
Office Electronics ..................... JZ 1,549 0.6%
Software ............................... JV 1,505 0.6%
Building Products ...................... BI 1,497 0.6%
Health Care Equipment & Supplies ....... JL 1,438 0.6%
Multi-Utilities ........................ J5 1,438 0.6%
Paper & Forest Products ................ BG 1,408 0.6%
Construction & Engineering ............. BJ 1,392 0.6%
Trading Companies & Distributors ....... BN 1,324 0.5%
Textiles & Apparel ..................... BY 1,300 0.5%
Aerospace & Defense .................... BH 1,281 0.5%
IT Consulting & Services ............... JU 1,168 0.5%
Transportation Infrastructure .......... BT 1,166 0.5%
Household Products ..................... JJ 1,103 0.5%
Marine ................................. BR 972 0.4%
Leisure Equipment & Products ........... BX 886 0.4%
Personal Products ...................... JK 874 0.4%
Air Freight & Couriers ................. BP 821 0.3%
Internet Software & Services ........... JT 784 0.3%
Real Estate Development ................ JS 742 0.3%
Airlines ............................... BQ 588 0.2%
Health Care Providers & Services ....... JM 520 0.2%
Internet & Catalog Retail .............. JC 492 0.2%
Containers & Packaging ................. BE 369 0.2%
Water Utilities ........................ J6 292 0.1%
Biotechnology .......................... JN $ 250 0.1%
Real Estate Investment Trust ........... JS 223 0.1%
Energy Equipment & Services ............ BA 222 0.1%
Distributors ........................... JB 172 0.1%
Diversified Telecommunication
Services ............................ JI 144 0.1%
Commingled Fund ........................ 99 78 0.0%
Finance ................................ FB 51 0.0%
-------- -----
$241,622 100.0%
======== =====
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock International Equity Index Fund (the "Fund") is a diversified
series of John Hancock Variable Series Trust I (the "Trust"), an open-end
investment management company registered under the Investment Company Act of
1940. The Trust is organized as a Massachusetts business trust and consists of
thirty different funds as of December 31, 2003. The results of this Fund are
included in this report. The results of the other Funds in the Trust are
presented under separate cover. The Trust may add or delete Funds in the future
to accommodate various investment objectives. The Trust has issued shares of
beneficial interest exclusively to John Hancock Variable Life Account U
("JHVLAU"), John Hancock Variable Life Account V ("JHVLAV"), John Hancock
Variable Life Account S ("JHVLAS"), and John Hancock Variable Annuity Account I
("JHVAAI") to fund policies and contracts issued by the John Hancock Variable
Life Insurance Company ("JHVLICO"), and to John Hancock Variable Annuity Account
U ("JHVAAU"), John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock
Variable Life Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H
("JHVAAH"), and John Hancock Variable Annuity Account JF ("JHVAAJF") to fund
contracts and policies issued by John Hancock Life Insurance Company ("John
Hancock" or "JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"),
and to John Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. In the event the Exchange
closes at any time other than 4:00 p.m. Eastern Standard Time on a particular
day, the Fund will determine its net asset value per share as of the close of
the Exchange on that day. All other securities held by the Fund are valued at
the last sale price or official closing price (closing bid price or last
evaluated quote if no sale has occurred) as of the close of business on a
principal securities exchange (domestic or foreign) or, lacking any sales, at
the closing bid price. Investment security transactions are recorded on the date
of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
Multi-Class Operations: All income, expenses (except class specific
expenses) and realized and unrealized gains (losses) are allocated to each class
based upon the relative net assets of each class. Dividends from net investment
income are determined at a class level and distributions from capital gains are
determined at a Fund level.
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Currency translation: All assets or liabilities initially expressed in
terms of foreign currencies are translated into U.S. dollars based on London
currency exchange quotations as of 5:00 p.m., London time, on the date of any
determination of the net asset value of the Fund. Unrealized exchange
adjustments are included in unrealized appreciation (depreciation) of
investments. Transactions affecting statement of operations accounts and net
realized gain (loss) on investments are translated at the rates prevailing at
the dates of transactions.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
The Fund does not isolate that portion of the results of operations
resulting from changes in foreign exchange rates on investments from the
fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gains or losses
from investments.
Reported net realized gains and losses on foreign currency transactions
represent net gains and losses from sales and maturities of forward foreign
currency contracts, disposition of foreign currencies, currency gains and losses
realized between trade and settlement dates of security transactions, and the
difference between the amounts of net investment income accrued and the U.S.
dollar amount actually received. Net unrealized foreign exchange gains and
losses arise from changes in the value of assets and liabilities other than
investments in securities, resulting from changes in the exchange rate.
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Securities lending: The Fund has entered into an agreement with State
Street Bank and Trust Company ("SSBT") to lend its securities to certain
qualified brokers who pay the Fund's negotiated lender fees. This loan is
collateralized at all times with cash or securities with a market value at least
equal to the market value of the securities on loan. Cash collateral is invested
in a short-term instrument. As with other extensions of credit, the Fund may
bear the risk of delay of the loaned securities in recovery or even loss of
rights in the collateral should the borrower of the securities fail financially.
At June 30, 2004, the market value of the securities loaned and the market value
of the collateral for the Fund was as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$43,874 $46,017
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, open financial futures
contracts for the Fund were as follows:
Open Unrealized
Contracts Position Expiration Month Appreciation
--------- -------- ---------------- ------------
CAC 40 10 Euro Index Futures 7 Long September 04 $(2)
TOPIX Index Futures 13 Long September 04 39
Share Price Index Futures 5 Long September 04 4
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Open Unrealized
Contracts Position Expiration Month Appreciation
--------- -------- ---------------- ------------
S&P Canada 60 Index Futures 6 Long September 04 $12
DAX Index Futures 4 Long September 04 13
IBEX 35 Index Futures 1 Long September 04 1
MIB 30 Index Futures 1 Long September 04 3
Hang Seng Stock Index Futures 2 Long July 04 1
FTSE 100 Index Futures 20 Long September 04 3
---
$74
===
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date.
As of June 30, 2004, the Fund had open forward foreign currency contracts
which contractually obligate the Fund to deliver or receive currencies at a
specified date, as follows:
Unrealized
Principal Amount Appreciation/
Covered by Contract Expiration Month (Depreciation)
------------------- ---------------- --------------
Currency Purchased
Australian Dollar 173 September 04 $ (1)
Canadian Dollar 403 September 04 2
Euro 452 September 04 1
Pound Sterling 1,352 September 04 (6)
Hong Kong Dollar 172 September 04 -
Japanese Yen 1,081 September 04 (20)
----
$(24)
====
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $6,989, $7,680 and $7,444 which expire in 2009, 2010 and 2011,
respectively.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Dividend
income for the Fund is shown net of foreign taxes withheld of $337. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
Between
$100 Million and Excess Over
First $100 Million $200 Million $200 Million
- ------------------ ---------------- ------------
0.18% 0.15% 0.11%
For the period from January 1, 2004 to April 30, 2004, John Hancock and
JVLICO agreed to reimburse the Fund for normal operating expenses, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses that exceed 0.10% of the Fund's daily net asset value.
Accordingly, for the period from January 1, 2004 to April 30, 2004 the Fund was
reimbursed $16 by John Hancock and JVLICO. On March 18, 2004, the Fund's
Shareholders approved the removal of John Hancock and JVLICO's respective
obligations to reimburse the Fund for excess operating expenses effective May 1,
2004.
John Hancock has entered into a Sub-Advisory Agreement with State Street
Global Advisers Funds Managment, Inc., and under its supervision, is responsible
for the day-to-day investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
Distribution Plan: In accordance with Rule 12b-1 of the Invesment Company
Act of 1940, the Board of Trustees have approved a Distribution Plan ("the
Plan") for NAV Series, Series I and Series II. Series I shares of the Fund are
subject to a Rule 12b-1 fee of up to .40% of Series I shares' average daily net
assets. Series II shares of the Fund are subject to a Rule 12b-1 fee of up to
..60% of Series II shares' average daily net assets. The distributor may use Rule
12b-1 fees only for any distribution expenses relating to the class.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$112,278 $37,309
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, commercial paper and collateral for
securities lending) and their respective gross unrealized appreciation and
depreciation for Federal income tax purposes at December 31, 2003 were as
follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$155,390 $23,775 $(11,984) $11,791
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations, which may differ from accounting principles generally accepted in
the United States of America. These differences primarily relate to investments
in passive foreign investment companies and to certain securities sold at a
loss. Additionally, as a result, net investment income (loss) and net realized
gain (loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. Accordingly, the Fund may
periodically make reclassifications among certain of its capital accounts
without impacting the net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $22,113 $11,791
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $3,685 $-- $479
2002 2,052 -- --
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE E--COMBINATION
On June 18, 2004, the shareholders of the Fund (acquiring fund) approved
the combination of the funds in the following table:
Acquiring Fund Target Fund
-------------- -----------
VST International Equity Index MIT International Index Trust
These combinations provided for the transfer of substantially all of the
assets and liabilities of the target funds to the acquiring funds in exchange
solely for the fund shares of the acquiring funds. The acquisitions were
accounted for as tax-free exchanges as follows:
Trust Shares Target Fund Acquiring Fund Acquiring Fund
Acquiring Fund Issued by Target Fund Unrealized Net Assets Prior Aggregate Net Assets
vs. Target Fund Acquiring Fund Net Assets Depreciation to Combination After Combination
- --------------------- -------------- ----------- ------------ ---------------- --------------------
VST International
Equity Index
Series I vs.
MIT International
Index Trust Series I 1,750 $24,566 $ 621 $33,341 $57,907
VST International
Equity Index
Series II vs.
MIT International
Index Trust Series II 1,462 $20,531 $(6,020) $ 536 $21,067
NOTE F--OTHER MATTERS
Section 30 and Rule 30e-1(b) under the Investment Company Act of 1940, as
amended, requires registered management investment companies to furnish in their
annual reports, information relating to any matter submitted during the
reporting period to a vote of Shareholders of the Trust.
John Hancock Variable Series Trust I solicited a vote at special meeting of
Contract owners/Policyholders held on March 18, 2004 on the following matters:
For Against Abstain
--- ------- -------
To approve, as to the International Equity Index Fund, an
amendment to the current investment mangement agreement
between the Trust and John Hancock to eliminate John
Hancock's obligation to reimburse this Fund for
certain operating expenses. 88% 7% 5%
Inception: March 29, 1986
- --------------------------------------------------------------------------------
Large Cap Growth Fund
Independence Investment LLC Paul F. McManus
- --------------------------------------------------------------------------------
.. Year-to-date, the Fund returned 0.30% underperforming its benchmark, the
Russell 1000 Growth Index. Relative to Morningstar peers, the Fund has an
average rating of 3 with a below average risk profile.
.. The Fund underperformed its benchmark primarily due to unfavorable stock
selection decisions broadly especially within the information technology
and consumer discretionary sectors, with sector allocation exposures also
detracting.
.. The largest absolute performance contributors were exposures to companies
in the industrials sector, while exposures to information technology
companies were the largest detractors.
.. The manager uses both fundamental equity research and quantitative
portfolio construction to identify stocks having both favorable valuations
and improving earnings growth prospects. The Fund is broadly diversified
across sectors with sector weights similar to the benchmark
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
Microsoft Corp. 4.6%
Intel Corp. 4.0%
Pfizer, Inc. 4.0%
Cisco Systems, Inc. 3.5%
American International Group, Inc. 2.7%
Standard and Poor's Depositary Receipts 2.5%
Procter & Gamble Co. 2.5%
Johnson & Johnson 2.5%
Home Depot, Inc. 2.2%
3M Co. 2.1%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Large Cap Russell 1000(R)
Growth Fund Growth Index
----------- ---------------
YTD/3/ 0.30% 2.74%
1 Year 15.20 17.89
3 Years -4.79 -3.74
5 Years -7.18 -6.48
10 Years 8.32 6.53
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Large Growth
MORNINGSTAR RISK/1/:
.. Below Average (VL/VUL)
.. Below Average (VA)
MORNINGSTAR RATING/1/:
.. *** (VL/VUL)
.. *** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
Assets
------
Information Technology 30%
Health Care 18%
Financials 14%
Consumer Discretionary 12%
Industrials 12%
Consumer Staples 10%
Energy 3%
Materials 1%
Telecommunication Services 0%
Utilities 0%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 1,143 VL/VUL subaccounts and 2,144 VA subaccounts in the
Morningstar Large Growth category. This represents the Morningstar 3 year
rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The performance of the fund on this page
is reported net of Trust level charges (i.e. investment management fees and
operating expenses). It does not reflect expense and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus. There are
additional risks associated with a nondiversified fund, as outlined in the
current prospectus. Performance would be lower if expenses and charges of
the separate accounts and products were reflected.
/3/ Year to date returns are not annualized.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Large Cap Growth Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $18,882 of
securities loaned (Note B)) .................................... $ 578,201
Net unrealized appreciation of investments ........................ 31,572
Short-term investments at value ................................... 30,580
---------
Total investments ........................................... 640,353
Receivable for:
Investments sold ............................................... 15,924
Dividends ...................................................... 526
---------
Total assets ...................................................... 656,803
---------
LIABILITIES
Payables for:
Investments purchased .......................................... 21,610
Collateral for securities on loan .............................. 19,238
Accrued operating expenses ..................................... 262
Other payables ................................................. 9
---------
Total liabilities ................................................. 41,119
---------
Net assets ........................................................ $ 615,684
=========
Shares outstanding, $0.01 Par Value (unlimited
shares authorized) ............................................. 44,026
---------
Net asset value per share ......................................... $ 13.98
=========
Composition of net assets:
Capital paid-in ................................................ $ 935,990
Accumulated net realized loss on investments,
futures and foreign currency transactions ................... (351,894)
Undistributed net investment income ............................ 16
Net unrealized appreciation of investments ..................... 31,572
---------
Net assets ........................................................ $ 615,684
=========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Large Cap Growth Fund
(000's Omitted)
INVESTMENT INCOME
Interest .................................................... $ 202
Dividends ................................................... 2,943
Securities lending .......................................... 12
--------
Total investment income ........................................... 3,157
--------
EXPENSES
Investment advisory fee ..................................... 2,438
Auditors fees ............................................... 39
Custodian fees .............................................. 74
Fidelity Bond fees .......................................... 1
Legal fees .................................................. 38
Printing & mailing fees ..................................... 49
Trustees' fees............................................... 9
Other fees .................................................. 10
--------
Total expenses .................................................... 2,658
Less custodian expense reduction offset by
commission recapture arrangement (Note C) ................ (173)
--------
Net expenses ...................................................... 2,485
--------
Net investment income ............................................. 672
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on investments ............................... 11,756
Change in unrealized depreciation on
investments ................................................. (10,840)
--------
Net realized and unrealized gain .................................. 916
--------
Net increase in net assets resulting from
operations ..................................................... $ 1,588
========
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
Large Cap Growth Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income ................................................ $ 672 $ 2,810
Net realized gain (loss) ............................................. 11,756 (28,345)
Change in net unrealized appreciation (depreciation) ................. (10,840) 144,822
-------- --------
Net increase in net assets resulting from operations .............. 1,588 119,287
Distributions to shareholders from:
Net investment income ................................................ (656) (2,834)
Realized gains ....................................................... (830)
Decrease in net assets resulting from distributions ............... (656) (3,664)
-------- --------
Capital contributions
From fund share transactions:
Proceeds from shares sold ............................................ 57,313 78,014
Shares issued in reorganization ...................................... 12,462
Distributions reinvested ............................................. 656 3,664
Payment for shares redeemed .......................................... (67,618) (81,990)
-------- --------
Increase (decrease) in net assets from fund share transactions .... (9,649) 12,150
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS ................................... (8,717) 127,773
NET ASSETS
Beginning of Period .................................................. 624,401 496,628
-------- --------
End of Period (including undistributed net investment
income of $16 and $0, respectively) ............................... $615,684 $624,401
======== ========
Analysis of fund share transactions:
Sold ................................................................. 4,093 5,685
Issued in reorganization ............................................. 1,083
Reinvested ........................................................... 47 285
Redeemed ............................................................. (4,850) (6,731)
-------- --------
Net increase (decrease) in fund shares outstanding ...................... (710) 322
======== ========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Large Cap Growth Fund
-----------------------------------------------------------------
Unaudited
Period Ended Year Ended December 31,
June 30, ------------------------------------------------
2004 2003 2002 2001 2000
-------------- -------- -------- -------- ----------
Net Assets Value at Beginning of Period ....... $ 13.96 $ 11.18 $ 15.54 $ 18.89 $ 27.33
Income from Investment Operations:
Net Investment Income ...................... 0.02 0.06 0.04 0.04 0.03
Net Realized and Unrealized Gain (Loss) on
Investment(a) ........................... 0.02 2.80 (4.36) (3.36) (4.89)
-------- -------- -------- -------- ----------
Total From Investment Operations ........... 0.04 2.86 (4.32) (3.32) (4.86)
Less Distributions:
Distribution from Net Investment Income .... (0.02) (0.06) (0.04) (0.03) (0.04)
Distribution from Net Realized Gains on
Investments ............................. (0.02) (2.69)
Distribution from Excess of Net Investment
Income/Gains ............................ (0.78)
Distribution from Capital Paid-in .......... (0.07)
-------- -------- -------- -------- ----------
Total Distributions ........................ (0.02) (0.08) (0.04) (0.03) (3.58)
-------- -------- -------- -------- ----------
Net Assets Value at End of Period ............. $ 13.98 $ 13.96 $ 11.18 $ 15.54 $ 18.89
======== ======== ======== ======== ==========
Total Investment Return(b) .................... 0.30%(e) 25.62% (27.82)% (17.54)% (17.89)%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net
Assets .................................. 0.87%(d)(f) 0.86%(d) 0.55% 0.41% 0.46%
Ratio of Net Investment Income to Average
Net Assets .............................. 0.22%(f) 0.51% 0.33% 0.23% 0.10%
Portfolio Turnover Rate .................... 70.97%(e) 99.47%(c) 95.04% 63.96% 89.30%
Net Assets End of Period (000s Omitted) ....... $615,684 $624,401 $496,628 $770,915 $1,146,787
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Excludes merger activity.
(d) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
(e) Not annualized.
(f) Annualized.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK
Aerospace & Defense - 0.9%
Boeing Co. * ............................................ 111,300 $ 5,686
Air Freight & Couriers - 0.5%
Fedex Corp. ............................................. 41,100 3,358
Airlines - 0.4%
JetBlue Airways Corp. * ................................. 85,100 2,500
Automobiles - 0.5%
Harley-Davidson, Inc. * ................................. 50,000 3,097
Beverages - 4.0%
Anheuser-Busch Cos., Inc. ............................... 45,200 2,441
Coca-Cola Co. * ......................................... 238,200 12,025
PepsiCo, Inc. * ......................................... 190,800 10,280
-------
24,746
Biotechnology - 3.1%
Amgen, Inc. * ........................................... 134,900 7,362
Biogen IDEC, Inc. * ..................................... 129,300 8,178
Sepracor, Inc. * ........................................ 62,700 3,317
-------
18,857
Commercial Services & Supplies - 1.7%
Apollo Group, Inc. - Cl. A * ............................ 27,500 2,428
Automatic Data Processing, Inc. ......................... 103,100 4,318
Ecolab, Inc. * .......................................... 119,100 3,775
-------
10,521
Communications Equipment - 5.9%
Cisco Systems, Inc. * ................................... 900,000 21,330
Motorola, Inc. .......................................... 341,600 6,234
Qualcomm, Inc. * ........................................ 120,700 8,809
-------
36,373
Computers & Peripherals - 7.2%
Dell, Inc. * ............................................ 327,600 11,734
EMC Corp. * ............................................. 262,600 2,994
Intel Corp. ............................................. 890,100 24,567
International Business Machines Corp. ................... 60,700 5,351
-------
44,646
Construction & Engineering - 1.0%
American Standard Cos., Inc. * .......................... 154,100 6,212
Credit Card - 2.2%
American Express Co. * .................................. 167,600 8,611
MBNA Corp. * ............................................ 181,600 4,684
-------
13,295
Diversified Financials - 7.4%
Bear Stearns Cos., Inc. * ............................... 25,500 2,150
Capital One Financial Corp. ............................. 65,100 4,452
Chicago Mercantile Exchange * ........................... 21,300 3,075
Citigroup, Inc. * ....................................... 136,900 6,366
Goldman Sachs Group, Inc. ............................... 78,900 7,429
Merrill Lynch & Co., Inc. * ............................. 128,500 6,936
Diversified Financials - Continued
Standard and Poor's Depositary Receipts ................. 134,300 $15,381
-------
45,789
Electrical Equipment - 1.1%
United Technologies Corp. * ............................. 74,400 6,806
Electronic Equipment & Instruments - 0.4%
Sanmina Corp. * ......................................... 273,200 2,486
Food & Drug Retailing - 0.3%
Whole Foods Market, Inc. * .............................. 20,100 1,919
Health Care Equipment & Supplies - 2.9%
Boston Scientific Corp. * ............................... 117,300 5,020
Guidant Corp. ........................................... 65,000 3,632
St. Jude Medical, Inc. * ................................ 81,000 6,128
Zimmer Holdings, Inc. * ................................. 37,300 3,290
-------
18,070
Health Care Providers & Services - 2.2%
Cardinal Health, Inc. * ................................. 70,000 4,904
DaVita, Inc. * .......................................... 58,200 1,794
UnitedHealth Group, Inc. * .............................. 65,900 4,102
Wellpoint Health Networks, Inc. * ....................... 22,600 2,532
-------
13,332
Household Products - 2.5%
Procter & Gamble Co. * .................................. 278,200 15,145
Industrial Conglomerates - 5.1%
3M Co. .................................................. 140,000 12,601
General Electric Co. * .................................. 276,600 8,962
Tyco International, Ltd. * .............................. 299,700 9,932
-------
31,495
Insurance - 4.5%
AFLAC, Inc. * ........................................... 120,100 4,901
American International Group, Inc. * .................... 227,400 16,209
Hartford Financial Services Group, Inc. * ............... 100,000 6,874
-------
27,984
Internet & Catalog Retail - 1.1%
eBay, Inc. * ............................................ 71,000 6,529
Internet Software & Services - 1.4%
Yahoo, Inc. * ........................................... 233,800 8,494
Machinery - 3.3%
Danaher Corp. * ......................................... 86,600 4,490
Grant Prideco, Inc. * ................................... 317,700 5,865
Illinois Tool Works, Inc. * ............................. 45,200 4,334
Oshkosh Truck Corp. ..................................... 62,800 3,599
Pall Corp. * ............................................ 73,600 1,928
-------
20,216
Media - 4.5%
Comcast Corp. - Cl. A ................................... 52,800 1,480
E.W. Scripps Co. - Cl. A ................................ 39,800 4,179
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK - Continued
Media - Continued
Interactive Corp. ...................................... 113,800 $ 3,430
Lamar Advertising Co. * ................................ 72,100 3,125
Pixar, Inc. * .......................................... 53,000 3,684
The Walt Disney Co. * .................................. 178,800 4,558
Time Warner, Inc. * .................................... 399,900 7,030
--------
27,486
Multiline Retail - 2.2%
Target Corp. * ......................................... 134,000 5,691
Wal-Mart Stores, Inc. * ................................ 155,400 8,199
--------
13,890
Oil & Gas - 1.6%
Devon Energy Corp. * ................................... 49,400 3,260
Murphy Oil Corp. ....................................... 61,000 4,496
Newfield Exploration Co. * ............................. 41,000 2,285
--------
10,041
Personal Products - 0.7%
Avon Products, Inc. .................................... 87,600 4,042
Pharmaceuticals - 9.4%
Abbott Laboratories * .................................. 149,400 6,090
Johnson & Johnson ...................................... 270,300 15,056
Medicinesco ............................................ 199,800 6,096
Merck & Co., Inc. * .................................... 130,300 6,189
Pfizer, Inc. * ......................................... 706,600 24,222
--------
57,653
Semiconductor Equipment & Products - 3.4%
Analog Devices, Inc. * ................................. 124,300 5,852
Applied Materials, Inc. * .............................. 419,200 8,225
RF Micro Devices, Inc. * ............................... 279,500 2,096
Texas Instruments, Inc. * .............................. 193,400 4,676
--------
20,849
Software - 8.8%
Electronic Arts, Inc. * ................................ 142,300 7,762
Microsoft Corp. * ...................................... 990,900 28,300
Oracle Corp. * ......................................... 827,700 9,875
Take Two Interactive Software * ........................ 140,800 4,314
Veritas Software Corp. * ............................... 140,400 3,889
--------
54,140
Specialty Retail - 4.1%
Advanced Auto Parts * .................................. 79,600 3,517
Best Buy Co., Inc. * ................................... 82,800 4,201
Home Depot, Inc. * ..................................... 382,800 13,475
TJX Cos., Inc. * ....................................... 175,000 4,224
--------
25,417
Textiles & Apparel - 0.6%
Coach, Inc. * .......................................... 83,700 3,782
Tobacco - 1.0%
Altria Group, Inc. ..................................... 126,300 6,321
Trading Companies & Distributors - 1.4%
CDW Corp. .............................................. 131,500 $ 8,384
U.S. Government Agencies - 1.7%
Federal National Mortgage Assoc. * ..................... 143,100 10,212
--------
TOTAL COMMON STOCK-
(Cost $578,201) 99.0% 609,773
Par
Value
-------
(000's)
INVESTMENT COMPANIES HELD
AS COLLATERAL ON LOANED
SECURITIES - 3.1%
State Street Navigator Securities Lending
Portfolio ......................................... $19,238 19,238
SHORT-TERM INVESTMENTS - 1.9%
Investment in joint trading account
1.344% due 07/01/04
(Cost $11,342) .................................... 11,342 11,342
------- --------
TOTAL INVESTMENTS-
(Cost $608,781) 104.0% 640,353
Payables, less cash and receivables- (4.0)% (24,669)
------- --------
NET ASSETS- 100.0% $615,684
======= ========
* Non-income producing security.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Large Cap Growth Fund (the "Fund") is a diversified series of
John Hancock Variable Series Trust I (the "Trust"), an open-end investment
management company registered under the Investment Company Act of 1940. The
Trust is organized as a Massachusetts business trust and consists of thirty
different funds as of June 30, 2004. The results of this Fund are included in
this report. The results of the other Funds in the Trust are presented under
separate cover. The Trust may add or delete Funds in the future to accommodate
various investment objectives. The Trust has issued shares of beneficial
interest exclusively to John Hancock Variable Life Account U ("JHVLAU"), John
Hancock Variable Life Account V ("JHVLAV"), John Hancock Variable Life Account S
("JHVLAS"), and John Hancock Variable Annuity Account I ("JHVAAI") to fund
policies and contracts issued by the John Hancock Variable Life Insurance
Company ("JHVLICO"), and to John Hancock Variable Annuity Account U ("JHVAAU"),
John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock Variable Life
Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H ("JHVAAH"), and
John Hancock Variable Annuity Account JF ("JHVAAJF") to fund contracts and
policies issued by John Hancock Life Insurance Company ("John Hancock" or
"JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"), and to John
Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactons are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations.
The Fund had borrowings under the line of credit during the period ended
June 30, 2004 as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Average Daily Loan Balance
During the Period for which Weighted Average
Loans were Outstanding Interest Rate Interest Expense
- --------------------------- ---------------- ----------------
$4,604 1.50% $2
Securities lending: The Fund has entered into an agreement with SSBT to
lend its securities to certain qualified brokers who pay the Fund's negotiated
lender fees. This loan is collateralized at all times with cash or securities
with a market value at least equal to the market value of the securities on
loan. Cash collateral is invested in a short-term instrument. As with other
extensions of credit, the Fund may bear the risk of delay of the loaned
securities in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. At June 30, 2004, the market value
of the securities loaned and the market value of the collateral for the Fund was
as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$18,882 $19,238
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, the Fund had no open
financial futures contracts.
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $197,757, $128,244 and $35,226 which expire in 2009, 2010 and 2011,
respectively.
Certain of the above losses may be limited under sections 382 - 384 of the
Internal Revenue Code, as amended.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
Between
$500 Million and Excess Over
First $500 Million $1 Billion $1 Billion
- ------------------ ---------------- -----------
0.80% 0.75% 0.70%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. For the period
ended June 30, 2004, there were no reimbursements paid to the Fund.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $173.
John Hancock has entered into a Sub-Advisory Agreement with Independence
Investment LLC, with respect to the Fund. Independence Investment LLC is an
affiliate of John Hancock, and under its supervision, is responsible for the
day-to-day investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$341,100 $352,021
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, commercial paper and collateral for
securities lending) and their respective gross unrealized appreciation and
depreciation for Federal income tax purposes at December 31, 2003 were as
follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$611,816 $66,331 $(26,341) $39,990
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax return.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations, which may differ from accounting principles generally accepted in
the United States of America. As a result, net investment income (loss) and net
realized gain (loss) on investment transactions for a reporting period may
differ significantly from distributions during such period. These differences
primarily relate to certain securities sold at a loss. Additionally, as a
result, net investment income (loss) and net realized gain (loss) on investment
transactions for a reporting period may differ significantly from distributions
during such period. Accordingly, the Fund may periodically make
reclassifications among certain of its capital accounts without impacting the
net asset value of the fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $361,227 $39,990
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $1,489 $-- $2,175
2002 2,023 -- --
NOTE E--COMBINATION
On April 25, 2003, the shareholders of the Fund (acquiring fund) approved
the combination of the funds in the following table:
Acquiring Fund Target Fund
- -------------------- -------------
VST Large Cap Growth VA Technology
These combinations provided for the transfer of substantially all of the
assets and liabilities of the target funds to the acquiring funds in exchange
solely for the fund shares of the acquiring funds. The acquisitions were
accounted for as tax-free exchanges as follows:
Trust Shares Target Fund Acquiring Fund Acquiring Fund
Acquiring Fund Issued by Target Fund Unrealized Net Assets Prior Aggregate Net Assets
vs. Target Fund Acquiring Fund Net Assets Depreciation to Combination After Combination
- --------------- -------------- ----------- ------------ ---------------- --------------------
VST Large Cap
Growth vs.
VA Technology 1,083 $12,462 $(8,081) $504,397 $516,859
Inception: August 31, 1999
- --------------------------------------------------------------------------------
Large Cap Growth B Fund (FORMERLY LARGE CAP AGGRESSIVE GROWTH FUND)
Independence Investment LLC Paul F. McManus
- --------------------------------------------------------------------------------
.. Year-to-date, the Fund returned 0.22% underperforming its benchmark, the
Russell 1000 Growth Index. Relative to Morningstar peers, the Fund has an
above average rating of 4 with a below average risk profile.
.. Independence assumed management of the Fund in December 2003.
.. The Fund underperformed its benchmark primarily due to unfavorable stock
selection decisions broadly especially within the information technology
and consumer discretionary sectors, with sector allocation exposures also
detracting.
.. The largest absolute performance contributors were exposures to companies
in the industrials sector, while exposures to information technology
companies were the largest detractors.
.. The manager uses both fundamental equity research and quantitative
portfolio construction to identify stocks having both favorable valuations
and improving earnings growth prospects. The Fund is broadly diversified
across sectors with sector weights similar to the benchmark.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
Microsoft Corp. 4.6%
Intel Corp. 4.1%
Pfizer, Inc. 4.0%
Cisco Systems, Inc. 3.6%
American International Group, Inc. 2.6%
Procter & Gamble Co. 2.5%
Johnson & Johnson 2.5%
Home Depot, Inc. 2.2%
3M Co. 2.1%
Coca-Cola Co. 2.0%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Large Cap Russell 1000(R)
Growth B Fund Growth Index
------------- ---------------
YTD/3/ 0.22% 2.74%
1 Year 18.63 17.89
3 Years -3.95 -3.74
Since Inception (8/31/99) -5.65 -6.38
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Large Growth
MORNINGSTAR RISK/1/:
.. Below Average (VL/VUL)
.. Below Average (VA)
MORNINGSTAR RATING/1/:
.. **** (VL/VUL)
.. **** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
Assets
------
Information Technology 31%
Health Care 18%
Financials 14%
Consumer Discretionary 12%
Industrials 12%
Consumer Staples 10%
Energy 3%
Materials 1%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 1143 VL/VUL subaccounts and 2144 VA subaccounts in the
Morningstar Large Growth category. This represents the Morningstar 3 year
rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The performance of the fund on this page
is reported net of Trust level charges (i.e. investment management fees and
operating expenses). It does not reflect expenses and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus. There are
additional risks associated with a nondiversified fund, as outlined in the
current prospectus. Performance would be lower if expenses and charges of
the separate accounts and products were reflected.
/3/ Year to date returns are not annualized.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Large Cap Growth B Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $704 of securities loaned
(Note B)) ....................................................... $ 28,515
Net unrealized appreciation of investments ......................... 1,809
Short-term investments at value .................................... 1,249
--------
Total investments ............................................ 31,573
Receivable for:
Investments sold ................................................ 753
Dividends ....................................................... 27
--------
Total assets ....................................................... 32,353
--------
LIABILITIES
Payables for:
Investments purchased ........................................... 1,019
Collateral for securities on loan ............................... 715
Accrued operating expenses ...................................... 4
Other liabilities ............................................... 1
--------
Total liabilities .................................................. 1,739
--------
Net assets ......................................................... $ 30,614
========
Shares outstanding, $0.01 Par Value (unlimited shares authorized) .. 4,807
--------
Net asset value per share .......................................... $ 6.37
========
Composition of net assets:
Capital paid-in ................................................. $ 43,825
Accumulated net realized loss on investments, futures and
foreign currency transactions ................................ (15,020)
Net unrealized appreciation of:
Investments .................................................. 1,809
Translation of assets and liabilities in foreign currencies .. --
--------
Net assets ......................................................... $ 30,614
========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Large Cap Growth B Fund
(000's Omitted)
INVESTMENT INCOME
Interest ........................................................ $ 1
Dividends ....................................................... 148
-----
Total investment income ............................................... 149
-----
EXPENSES
Investment advisory fee ......................................... 130
Auditors fees ................................................... 2
Custodian fees .................................................. 11
Legal fees ...................................................... 2
Printing & mailing fees ......................................... 5
Other fees ...................................................... 1
-----
Total expenses ........................................................ 151
Less expenses reimbursed ........................................ (10)
Less custodian expense reduction offset by commission
recapture arrangement (Note C) ............................... (8)
-----
Net expenses .......................................................... 133
-----
Net investment gain ................................................... 16
-----
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on:
Investments ..................................................... 208
Foreign currency transactions ................................... 4
Change in unrealized depreciation on:
Investments ..................................................... (176)
Translation of assets and liabilities in foreign currencies ..... (4)
-----
Net realized and unrealized gain ...................................... 32
-----
Net increase in net assets resulting from operations .................. $ 48
=====
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
Large Cap Growth B Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income (loss) .................. $ 16 $ (20)
Net realized gain ............................. 212 2,092
Change in net unrealized appreciation
(depreciation) ............................. (180) 5,303
------- -------
Net increase in net assets resulting from
operations .............................. 48 7,375
Distributions to shareholders from:
Net investment income ......................... (16)
Realized gains ................................ (4,077)
------- -------
Decrease in net assets resulting from
distributions ........................... (16) (4,077)
From fund share transactions:
Proceeds from shares sold ..................... 2,678 6,187
Distributions reinvested ...................... 16 4,077
Payment for shares redeemed ................... (3,031) (6,892)
------- -------
Increase (decrease) in net assets from
fund share transactions ................. (337) 3,372
------- -------
NET INCREASE (DECREASE) IN NET ASSETS ............ (305) 6,670
NET ASSETS
Beginning of Period ........................... 30,919 24,249
------- -------
End of Period (including undistributed net
investment income of $0 and $0,
respectively) .............................. $30,614 $30,919
======= =======
Analysis of fund share transactions:
Sold .......................................... 420 991
Reinvested .................................... 3 649
Redeemed ...................................... (479) (1,129)
------- -------
Net increase (decrease) in fund shares
outstanding ................................... (56) 511
======= =======
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Large Cap Growth B Fund
--------------------------------------------------------------------
Unaudited
Period Ended Year Ended December 31,
June 30, ----------------------------------------------
2004 2003(g) 2002 2001 2000
------------ ------- ------- ------- -------
Net Assets Value at Beginning of Period ........ $ 6.36 $ 5.57 $ 8.12 $ 9.52 $ 11.94
Income from Investment Operations:
Net Investment Income (Loss) ................ (h) (h) (0.01) 0.01 (0.03)
Net Realized and Unrealized Gain (Loss) on
Investment(a) ............................ 0.01 1.76 (2.54) (1.41) (2.21)
------- ------- ------- ------- -------
Total From Investment Operations ............ 0.01 1.76 (2.55) (1.40) (2.24)
Less Distributions:
Distribution from Net Realized Gains on
Investments .............................. (0.97) (0.01)
Distribution from Excess of Net Investment
Income/Gains ............................. (0.06)
Distribution from Capital Paid-in ........... (0.11)
--------
Total Distributions ......................... (0.18)
------- ------- ------- ------- -------
Net Assets Value at End of Period .............. $ 6.37 $ 6.36 $ 5.57 $ 8.12 $ 9.52
======= ======= ======= ======= =======
Total Investment Return(b) ..................... 0.22%(c) 31.72% (31.36)% (14.69)% (18.77)%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net
Assets ................................... 0.92%(d)(e)(f) 0.99%(e) 0.97%(e) 0.97%(e) 1.00%(e)
Ratio of Net Investment Income (Loss) to
Average Net Assets ....................... 0.10%(d) (0.08)% (0.14)% (0.06)% (0.37)%
Portfolio Turnover Rate ..................... 52.21%(c) 220.12% 61.67% 87.90% 75.97%
Net Assets End of Period (000s Omitted) ........ $30,614 $30,919 $24,249 $39,738 $26,244
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Not annualized.
(d) Annualized.
(e) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made the expense ratio would have been .99% for the period ending June
30, 2004, and .99%, .98%, 1.06%, and 1.05% for the years ended December 31,
2003, 2002, 2001, and 2000, respectively.
(f) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
(g) The Fund entered into a new sub-advisory agreement with Independence
Investment LLC during the period shown.
(h) Amount is less than $0.01.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
LARGE CAP GROWTH B FUND
Market
Name of Issuer Shares Value
-------------- ------ -------
(000's)
COMMON STOCK
Aerospace & Defense - 2.3%
Boeing Co. * ............................................. 7,000 $ 358
United Technologies Corp. * .............................. 3,600 329
------
687
Air Freight & Couriers - 0.5%
Fedex Corp. .............................................. 1,700 139
Airlines - 0.4%
JetBlue Airways Corp. * .................................. 4,200 123
Automobiles - 0.5%
Harley-Davidson, Inc. * .................................. 2,500 155
Beverages - 4.2%
Anheuser-Busch Cos., Inc. ................................ 2,300 124
Coca-Cola Co. * .......................................... 11,900 601
PepsiCo, Inc. * .......................................... 10,200 550
------
1,275
Biotechnology - 2.5%
Amgen, Inc. * ............................................ 6,700 366
Biogen IDEC, Inc. * ...................................... 6,500 411
------
777
Building Products - 1.0%
American Standard Cos., Inc. * ........................... 7,700 310
Chemicals - 0.6%
Ecolab, Inc. * ........................................... 5,900 187
Commercial Services & Supplies - 1.1%
Apollo Group, Inc. - Cl. A * ............................. 1,400 123
Automatic Data Processing, Inc. .......................... 5,200 218
------
341
Commingled Fund - 1.6%
Standard and Poor's Depositary Receipts .................. 4,300 493
Communications Equipment - 6.2%
Cisco Systems, Inc. * .................................... 45,600 1,081
Motorola, Inc. ........................................... 17,400 317
Qualcomm, Inc. * ......................................... 6,700 489
------
1,887
Computers & Peripherals - 3.4%
Dell, Inc. * ............................................. 16,300 584
EMC Corp. * .............................................. 13,200 150
International Business Machines Corp. .................... 3,500 309
------
1,043
Diversified Financials - 8.7%
American Express Co. * ................................... 8,300 426
Bear Stearns Cos., Inc. * ................................ 1,300 110
Capital One Financial Corp. .............................. 2,600 178
Chicago Mercantile Exchange * ............................ 1,000 144
Citigroup, Inc. * ........................................ 7,000 326
Federal National Mortgage Assoc. * ....................... 7,200 514
Goldman Sachs Group, Inc. ................................ 4,100 386
MBNA Corp. * ............................................. 9,200 $ 237
Merrill Lynch & Co., Inc. * .............................. 6,100 329
------
2,650
Electronic Equipment & Instruments - 0.4%
Sanmina Corp. * .......................................... 14,000 127
Energy Equipment & Services - 1.0%
Grant Prideco, Inc. * .................................... 15,900 294
Food & Drug Retailing - 0.3%
Whole Foods Market, Inc. * ............................... 1,000 96
Health Care Equipment & Supplies - 2.9%
Boston Scientific Corp. * ................................ 5,800 248
Guidant Corp. ............................................ 3,200 179
St. Jude Medical, Inc. * ................................. 4,000 303
Zimmer Holdings, Inc. * .................................. 1,900 167
------
897
Health Care Providers & Services - 2.4%
Cardinal Health, Inc. * .................................. 3,500 245
DaVita, Inc. * ........................................... 5,550 171
UnitedHealth Group, Inc. * ............................... 3,300 206
Wellpoint Health Networks, Inc. * ........................ 1,100 123
------
745
Household Products - 2.4%
Procter & Gamble Co. * ................................... 13,700 746
Industrial Conglomerates - 5.1%
3M Co. ................................................... 7,000 630
General Electric Co. * ................................... 13,800 447
Tyco International, Ltd. * ............................... 14,600 484
------
1,561
Insurance - 4.5%
AFLAC, Inc. * ............................................ 6,000 245
American International Group, Inc. * ..................... 11,300 805
Hartford Financial Services Group, Inc. * ................ 4,900 337
------
1,387
Internet & Catalog Retail - 1.6%
eBay, Inc. * ............................................. 3,600 331
Interactive Corp. ........................................ 5,500 166
------
497
Internet Software & Services - 1.4%
Yahoo, Inc. * ............................................ 11,600 421
Machinery - 2.4%
Danaher Corp. * .......................................... 5,200 270
Illinois Tool Works, Inc. * .............................. 2,100 201
Oshkosh Truck Corp. ...................................... 3,100 178
Pall Corp. * ............................................. 3,700 97
------
746
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
LARGE CAP GROWTH B FUND
Market
Name of Issuer Shares Value
-------------- ------ -------
(000's)
COMMON STOCK - Continued
Media - 3.8%
Comcast Corp. - Cl. A .................................... 2,700 $ 76
E.W. Scripps Co. - Cl. A ................................. 1,800 189
Lamar Advertising Co. * .................................. 3,600 156
Pixar, Inc. * ............................................ 2,600 181
The Walt Disney Co. * .................................... 9,000 229
Time Warner, Inc. * ...................................... 18,900 332
-------
1,163
Multiline Retail - 2.3%
Target Corp. * ........................................... 6,700 285
Wal-Mart Stores, Inc. * .................................. 7,800 411
-------
696
Oil & Gas - 1.6%
Devon Energy Corp. * ..................................... 2,500 165
Murphy Oil Corp. ......................................... 2,900 214
Newfield Exploration Co. * ............................... 2,000 111
-------
490
Personal Products - 0.7%
Avon Products, Inc. ...................................... 4,400 203
Pharmaceuticals - 9.8%
Abbott Laboratories * .................................... 7,400 301
Johnson & Johnson ........................................ 13,400 746
Medicinesco .............................................. 9,100 278
Merck & Co., Inc. * ...................................... 6,400 304
Pfizer, Inc. * ........................................... 35,200 1,207
Sepracor, Inc. * ......................................... 3,100 164
-------
3,000
Semiconductor Equipment & Products - 7.4%
Analog Devices, Inc. * ................................... 6,200 292
Applied Materials, Inc. * ................................ 19,400 381
Intel Corp. .............................................. 44,800 1,236
RF Micro Devices, Inc. * ................................. 14,200 106
Texas Instruments, Inc. * ................................ 9,700 235
-------
2,250
Software - 8.8%
Electronic Arts, Inc. * .................................. 7,200 393
Microsoft Corp. * ........................................ 49,200 1,405
Oracle Corp. * ........................................... 41,200 492
Take Two Interactive Software * .......................... 7,000 214
Veritas Software Corp. * ................................. 7,000 194
-------
2,698
Specialty Retail - 5.6%
Advanced Auto Parts * .................................... 4,000 177
Best Buy Co., Inc. * ..................................... 4,200 213
CDW Corp. ................................................ 7,200 459
Home Depot, Inc. * ....................................... 18,700 658
TJX Cos., Inc. * ......................................... 8,600 208
-------
1,715
Textiles & Apparel - 0.6%
Coach, Inc. * ............................................ 4,200 $ 190
Tobacco - 1.1%
Altria Group, Inc. ....................................... 6,700 335
-------
TOTAL COMMON STOCK-
(Cost $28,515) 99.1% 30,324
Par
Value
(000's)
-------
INVESTMENT COMPANIES HELD AS COLLATERAL ON LOANED
SECURITIES - 2.3%
State Street Navigator Securities Lending Portfolio .... $ 715 715
SHORT-TERM INVESTMENTS - 1.7%
Investment in joint trading account
1.344% due 07/01/04
(Cost $534) .......................................... 534 534
------ -------
TOTAL INVESTMENTS-
(Cost $29,764) 103.1% 31,573
Payables, less cash and receivables- (3.1)% (959)
------ -------
NET ASSETS- 100.0% $30,614
====== =======
* Non-income producing security.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Large Cap Growth B Fund, (formerly Large Cap Aggressive
Growth), (the "Fund") is a diversified series of John Hancock Variable Series
Trust I (the "Trust"), an open-end investment management company registered
under the Investment Company Act of 1940. The Trust is organized as a
Massachusetts business trust and consists of thirty different funds as of June
30, 2004. The results of this Fund are included in this report. The results of
the other Funds in the Trust are presented under separate cover. The Trust may
add or delete Funds in the future to accommodate various investment objectives.
The Trust has issued shares of beneficial interest exclusively to John Hancock
Variable Life Account U ("JHVLAU"), John Hancock Variable Life Account V
("JHVLAV"), John Hancock Variable Life Account S ("JHVLAS"), and John Hancock
Variable Annuity Account I ("JHVAAI") to fund policies and contracts issued by
the John Hancock Variable Life Insurance Company ("JHVLICO"), and to John
Hancock Variable Annuity Account U ("JHVAAU"), John Hancock Variable Annuity
Account V ("JHVAAV"), John Hancock Variable Life Account UV ("JHVLAUV"), John
Hancock Variable Annuity Account H ("JHVAAH"), and John Hancock Variable Annuity
Account JF ("JHVAAJF") to fund contracts and policies issued by John Hancock
Life Insurance Company ("John Hancock" or "JHLICO"), to John Hancock Variable
Life Account PPM-1 ("PPM-1"), and to John Hancock Variable Life Account PPM-2
("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Securities lending: The Fund has entered into an agreement with SSBT to
lend its securities to certain qualified brokers who pay the Fund's negotiated
lender fees. This loan is collateralized at all times with cash or securities
with a market value at least equal to the market value of the securities on
loan. Cash collateral is invested in a short-term instrument. As with other
extensions of credit, the Fund may bear the risk of delay of the loaned
securities in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. At June 30, 2004, the market value
of the securities loaned and the market value of the collateral for the Fund was
as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$704 $715
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations.
The Fund borrowings under the line of credit during the period ended June
30, 2004 as follows:
Average Daily Loan Balance
During the Period for which Weighted Average
Loans were Outstanding Interest Rate Interest Expense
- --------------------------- ---------------- ----------------
$70 1.53% $-
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $5,580 and $9,628 which expire in 2009 and 2010, respectively.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
Between
$500 Million and Excess Over
First $500 Million $1 Billion $1 Billion
- ------------------ ---------------- -----------
0.80% 0.75% 0.70%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. Accordingly,
for the period ended June 30, 2004, the reimbursements paid from John Hancock
and JHVLICO were $10 to the Fund.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $8.
As of December 15, 2003, John Hancock has entered into a Sub-Advisory
Agreement with Independence Investment LLC, with respect to the Fund.
Independence Investment LLC, is an affiliate of John Hancock, and under its
supervision, is responsible for the day-to-day investment management of the
Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$16,024 $16,310
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, and commercial paper) and their
respective gross unrealized appreciation and depreciation for Federal income tax
purposes at December 31, 2003 were as follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$28,642 $2,005 $(44) $1,961
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax return.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
relate to certain securities sold at a loss. Additionally, as a result, net
investment income (loss) and net realized gain (loss) on investment transactions
for a reporting period may differ significantly from distributions during such
period. Accordingly, the Fund may periodically make reclassifications among
certain of its capital accounts without impacting the net asset value of the
Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term- Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- -------------- ------------- --------------
$-- $-- $15,208 $1,961
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $822 $-- $3,255
2002 -- -- --
Included in the Fund's 2003 distributions from ordinary income is $822 in
excess of investment company taxable income, which in accordance with applicable
US tax law, is taxable to shareholders as ordinary income distributions.
NOTE E-OTHER MATTERS
Section 30 and Rule 30d-1(b) under the Investment Company Act of 1940, as
amended, requires registered management investment companies to furnish
information relating to any matter submitted during the reporting period to a
vote of Shareholders of the Trust.
John Hancock Variable Series Trust I solicited a vote at special meeting of
Contract owners/Policyholders held on March 18, 2004 on the following matters:
For Against Abstain
--- ------- -------
To approve, as to the Large Cap Growth B Fund, a new 90% 5% 5%
Sub-Management Agreement among the Trust, John
Hancock and Independence Investment LLC
("Independence Investment") to replace the
sub-manager and to decrease the sub-investment
managment fee paid by John Hancock for management
of this Fund.
Inception: May 1, 1996
- --------------------------------------------------------------------------------
Large Cap Value Fund
T. Rowe Price Associates, Inc. Brian C. Rogers
- --------------------------------------------------------------------------------
.. Year-to-date, the Fund returned 4.51%, outperforming its benchmark, the
Russell 1000 Value Index. Relative to Morningstar peers, the Fund has an
above average rating of 5 with a below average risk profile.
.. The Fund outperformed its benchmark primarily due to stock selection
decisions broadly across sectors, while sector allocation exposures
detracted slightly.
.. The Fund's exposure to the energy sector was the largest contributor to
absolute performance.
.. The Fund employs a bottom-up, value-oriented investment approach, focusing
on companies with an above-average dividend yield and low P/E ratios. The
Fund's sector allocations are broadly diversified but are primarily driven
by stock selection.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
General Electric Co. 2.2%
Exxon Mobil Corp. 2.1%
ChevronTexaco Corp. 1.9%
Bank of America Corp. 1.8%
Honeywell International, Inc. 1.8%
Amerada Hess Corp. 1.8%
Merck & Co., Inc. 1.8%
Bristol-Myers Squibb Co. 1.5%
Royal Dutch Petroleum Co. 1.5%
Bank One Corp. 1.5%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Large Cap Russell 1000(R)
Value Fund Value Index
---------- ---------------
YTD/3/ 4.51% 3.93%
1 Year 19.68 21.13
3 Years 4.03 2.96
5 Years 3.70 1.87
Since Inception (5/1/96) 9.82 10.26
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Large Value
MORNINGSTAR RISK/1/:
.. Below Average (VL/VUL)
.. Below Average (VA)
MORNINGSTAR RATING/1/:
.. ***** (VL/VUL)
.. ***** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
Assets
------
Financials 19%
Consumer Discretionary 18%
Industrials 14%
Energy 11%
Health Care 10%
Consumer Staples 6%
Materials 7%
Telecommunication Services 5%
Utilities 4%
Information Technology 4%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 594 VL/VUL subaccounts and 1,129 VA subaccounts in the
Morningstar Large Value category. This represents the Morningstar 3 year
rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The performance of the fund on this page
is reported net of Trust level charges (i.e. investment management fees and
operating expenses). It does not reflect expense and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Large Cap Value Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $10,347 of securities
loaned (Note B)) ................................................. $355,623
Net unrealized appreciation of investments .......................... 36,960
Short-term investments at value ..................................... 26,956
--------
Total investments ............................................. 419,539
Receivable for:
Investments sold ................................................. 668
Interest ......................................................... 51
Dividends ........................................................ 587
Foreign dividend tax withholdings reclaim ........................ 13
--------
Total assets ........................................................ 420,858
--------
LIABILITIES
Payables for:
Investments purchased ............................................ 43
Collateral for securities on loan ................................ 10,519
Accrued operating expenses ....................................... 110
--------
Total liabilities ................................................... 10,672
--------
Net assets .......................................................... $410,186
========
Shares outstanding, $0.01 Par Value (unlimited shares authorized) ... 27,320
--------
Net asset value per share ........................................... $ 15.01
========
Composition of net assets:
Capital paid-in .................................................. $367,857
Accumulated net realized gain on investments, futures and
foreign currency transactions ................................. 5,181
Undistributed net investment income .............................. 188
Net unrealized appreciation of investments ....................... 36,960
--------
Net assets .......................................................... $410,186
========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Large Cap Value Fund
(000's Omitted)
INVESTMENT INCOME
Interest ......................................................... $ 162
Dividends (net of foreign withholding tax of $43) ................ 4,168
Securities lending ............................................... 13
-------
Total investment income ............................................. 4,343
-------
EXPENSES
Investment advisory fee .......................................... 1,474
Auditors fees .................................................... 23
Custodian fees ................................................... 55
Fidelity Bond fees ............................................... 1
Legal fees ....................................................... 23
Printing & mailing fees .......................................... 31
Trustees' fees ................................................... 6
Other fees ....................................................... 7
-------
Total expenses ...................................................... 1,620
Less custodian expense reduction offset by commission recapture
arrangement (Note C) .......................................... (27)
-------
Net expenses ........................................................ 1,593
-------
Net investment income ............................................... 2,750
-------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments ................................................... 5,716
Foreign currency transactions ................................. (28)
Change in unrealized appreciation on:
Investments ................................................... 8,422
-------
Net realized and unrealized gain .................................... 14,110
-------
Net increase in net assets resulting from operations ................ $16,860
=======
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
Large Cap Value Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE IN NET ASSETS
From operations
Net investment income ............................................................ $ 2,750 $ 5,467
Net realized gain ................................................................ 5,688 5,115
Change in net unrealized appreciation ............................................ 8,422 61,944
-------- --------
Net increase in net assets resulting from operations .......................... 16,860 72,526
Distributions to shareholders from:
Net investment income ............................................................ (2,685) (5,790)
Realized gains ................................................................... (5,006)
-------- --------
Decrease in net assets resulting from distributions ........................... (2,685) (10,796)
From fund share transactions:
Proceeds from shares sold ........................................................ 79,633 120,218
Distributions reinvested ......................................................... 2,685 10,796
Payment for shares redeemed ...................................................... (51,870) (87,322)
-------- --------
Increase in net assets from fund share transactions ........................... 30,448 43,692
-------- --------
NET INCREASE IN NET ASSETS .......................................................... 44,623 105,422
NET ASSETS
Beginning of Period .............................................................. 365,563 260,141
-------- --------
End of Period (including undistributed net investment income of $188 and $123,
respectively) ................................................................. $410,186 $365,563
======== ========
Analysis of fund share transactions:
Sold ............................................................................. 5,414 9,472
Reinvested ....................................................................... 182 801
Redeemed ......................................................................... (3,553) (6,839)
-------- --------
Net increase in fund shares outstanding ............................................. 2,043 3,434
======== ========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each fund share of beneficial interest outstanding throughout
the year end indicated:
Large Cap Value Fund
--------------------------------------------------------------
Unaudited
Period Ended Year Ended December 31,
June 30, ---------------------------------------------
2004 2003 2002 2001 2000
------------ -------- -------- -------- --------
Net Assets Value at Beginning of Period .................. $ 14.46 $ 11.91 $ 14.15 $ 14.38 $ 13.49
Income from Investment Operations:
Net Investment Income ................................. 0.10 0.23 0.22 0.22 0.27
Net Realized and Unrealized Gain (Loss) on
Investment(a) ...................................... 0.55 2.76 (2.07) (0.05) 1.45
-------- -------- -------- -------- --------
Total From Investment Operations ...................... 0.65 2.99 (1.85) 0.17 1.72
Less Distributions:
Distribution from Net Investment Income ............... (0.10) (0.24) (0.22) (0.22) (0.28)
Distribution from Net Realized Gains on
Investments ........................................ (0.20) (0.17) (0.18) (0.53)
Distribution from Excess of Net Investment Income/
Gains .............................................. (0.01)
Distribution from Capital Paid-in ..................... (0.01)
-------- -------- -------- -------- --------
Total Distributions ................................... (0.10) (0.44) (0.39) (0.40) (0.83)
-------- -------- -------- -------- --------
Net Assets Value at End of Period ........................ $ 15.01 $ 14.46 $ 11.91 $ 14.15 $ 14.38
======== ======== ======== ======== ========
Total Investment Return(b) ............................... 4.51%(d) 25.51% (13.24)% 1.25% 12.97%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net
Assets ............................................. 0.83%(c)(e) 0.82%(c) 0.83% 0.82% 0.78%
Ratio of Net Investment Income to Average Net
Assets ............................................. 1.41%(e) 1.83% 1.67% 1.54% 2.04%
Portfolio Turnover Rate ............................... 11.84%(d) 17.73% 16.04% 18.19% 42.12%
Net Assets End of Period (000s Omitted) .................. $410,186 $365,563 $260,141 $260,646 $204,535
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
(d) Not annualized.
(e) Annualized.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK
Aerospace & Defense - 2.9%
Lockheed Martin Corp. ................................... 77,700 $ 4,047
Raytheon Co. * .......................................... 115,100 4,117
Rockwell Collins, Inc. * ................................ 113,300 3,775
-------
11,939
Automobiles - 0.4%
Ford Motor Co. .......................................... 93,000 1,455
Banks - 7.1%
Bank of America Corp. * ................................. 83,962 7,105
Bank of Ireland * ....................................... 40,900 546
Bank One Corp. * ........................................ 113,300 5,778
Mellon Financial Corp. * ................................ 108,200 3,174
Mercantile Bankshares Corp. ............................. 48,000 2,247
National City Corp. * ................................... 56,200 1,968
Northern Trust Corp. .................................... 40,800 1,725
Suntrust Banks, Inc. * .................................. 52,200 3,392
Wells Fargo & Co. * ..................................... 35,200 2,014
Wilmington Trust Corp. * ................................ 27,100 1,009
-------
28,958
Biotechnology - 0.6%
MedImmune, Inc. * ....................................... 102,200 2,391
Chemicals - 3.2%
Dow Chemical Co. * ...................................... 97,100 3,952
E.I. du Pont de Nemours & Co. * ......................... 79,100 3,514
Great Lakes Chemical Corp. .............................. 71,700 1,940
Hercules, Inc. * ........................................ 123,300 1,503
International Flavors & Fragrances, Inc. * .............. 63,700 2,382
-------
13,291
Commercial Services & Supplies - 1.4%
Dun & Bradstreet Corp. .................................. 33,700 1,817
Waste Management, Inc. * ................................ 122,090 3,742
-------
5,559
Communications Equipment - 1.7%
Lucent Technologies, Inc. * ............................. 305,600 1,155
Motorola, Inc. .......................................... 210,500 3,842
Nokia Oyj - ADR ......................................... 133,700 1,944
-------
6,941
Computers & Peripherals - 1.0%
Hewlett-Packard Co. * ................................... 192,788 4,068
Construction Materials - 0.2%
Vulcan Materials Co. * .................................. 13,400 637
Diversified Financials - 4.9%
American Express Co. * .................................. 80,400 4,131
Charles Schwab Corp. * .................................. 120,500 1,158
Citigroup, Inc. * ....................................... 60,466 2,812
Federal National Mortgage Assoc. * ...................... 42,900 3,061
Federated Investments, Inc. - Cl. B ..................... 26,900 816
Janus Capgroup, Inc. .................................... 39,900 658
JP Morgan Chase & Co. ................................... 86,930 3,370
Morgan Stanley, Dean Witter, Discover & Co. ............. 80,300 $ 4,238
-------
20,244
Diversified Telecommunication Services - 5.2%
Alltel Corp. * .......................................... 73,800 3,736
AT&T Corp. * ............................................ 101,920 1,491
Qwest Communications International, Inc. ................ 820,100 2,944
SBC Communications, Inc. * .............................. 151,155 3,666
Sprint Corp. * .......................................... 214,700 3,779
Verizon Communications * ................................ 158,616 5,740
-------
21,356
Electric Utilities - 2.3%
Constellation Energy Group, Inc. * ...................... 77,300 2,930
Firstenergy Corp. * ..................................... 67,700 2,533
Teco Energy, Inc. * ..................................... 40,400 484
TXU Corp. ............................................... 85,400 3,459
-------
9,406
Electrical Equipment - 2.4%
Cooper Industries, Ltd. - Cl. A * ....................... 80,300 4,771
Emerson Electric Co. .................................... 29,400 1,868
Hubbell, Inc. - Cl. B ................................... 13,200 617
Rockwell International Corp. * .......................... 72,500 2,719
-------
9,975
Energy Equipment & Services - 0.9%
Baker Hughes, Inc. * .................................... 31,000 1,167
Schlumberger, Ltd. * .................................... 38,200 2,426
-------
3,593
Food & Drug Retailing - 0.0%
Winn-Dixie Stores, Inc. * ............................... 12,200 88
Food Products - 2.7%
Campbell Soup Co. * ..................................... 132,600 3,564
ConAgra, Inc. ........................................... 52,900 1,433
General Mills, Inc. * ................................... 66,900 3,180
Unilever NV * ........................................... 40,700 2,781
-------
10,958
Gas Utilities - 0.2%
El Paso Corp. ........................................... 119,900 945
Health Care Equipment & Supplies - 1.0%
Baxter International, Inc. .............................. 120,700 4,165
Health Care Providers & Services - 0.9%
CIGNA Corp. * ........................................... 52,800 3,633
Hotels Restaurants & Leisure - 2.5%
Hilton Hotels Corp. * ................................... 147,700 2,756
McDonald'srp. * ......................................... 147,400 3,833
Starwood Hotels & Resorts Worldwide,
Inc. * ............................................... 79,200 3,552
-------
10,141
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK - Continued
Household Durables - 2.0%
Fortune Brands, Inc. * .................................. 48,100 $ 3,628
Newell Rubbermaid, Inc. ................................. 187,400 4,404
-------
8,032
Household Products - 2.1%
Clorox Co. * ............................................ 43,000 2,313
Colgate-Palmolive Co. ................................... 41,000 2,396
Kimberly-Clark Corp. * .................................. 59,100 3,894
-------
8,603
Industrial Conglomerates - 3.8%
General Electric Co. * .................................. 267,400 8,664
Honeywell International, Inc. ........................... 191,700 7,022
-------
15,686
Insurance - 5.9%
Chubb Corp. * ........................................... 42,900 2,925
Lincoln National Corp. * ................................ 75,331 3,559
Marsh & McLennan Cos., Inc. * ........................... 118,900 5,396
Safeco Corp. * .......................................... 91,900 4,044
St. Paul Cos., Inc. ..................................... 105,836 4,291
UnumProvident Corp. * ................................... 190,500 3,029
Unumprovident Corp. ..................................... 39,700 979
-------
24,223
Leisure Equipment & Products - 2.0%
Eastman Kodak Co. * ..................................... 137,600 3,712
Hasbro, Inc. * .......................................... 58,400 1,110
Mattel, Inc. * .......................................... 186,700 3,407
-------
8,229
Machinery - 0.7%
Pall Corp. * ............................................ 116,400 3,049
Media - 7.7%
Comcast Corp. - Cl. A ................................... 161,081 4,515
Dow Jones & Co., Inc. * ................................. 91,300 4,117
Knight-Ridder, Inc. * ................................... 46,400 3,341
New York Times Co. - Cl. A * ............................ 107,400 4,802
The Walt Disney Co. * ................................... 187,200 4,772
Time Warner, Inc. * ..................................... 292,900 5,149
Viacom, Inc. - Cl. B * .................................. 133,900 4,783
-------
31,479
Metals & Mining - 1.2%
Alcoa, Inc. * ........................................... 53,900 1,780
Nucor Corp. ............................................. 41,500 3,186
-------
4,966
Multi-Utilities - 1.6%
Duke Energy Co. ......................................... 187,300 3,800
NiSource, Inc. * ........................................ 143,200 2,953
-------
6,753
Multiline Retail - 0.5%
May Department Stores Co. * ............................. 74,650 $ 2,052
Oil & Gas - 9.4%
Amerada Hess Corp. * .................................... 87,900 6,961
Anadarko Petroleum Corp. * .............................. 52,600 3,082
BP Amoco plc - ADR ...................................... 80,332 4,303
ChevronTexaco Corp. * ................................... 79,213 7,455
Exxon Mobil Corp. * ..................................... 183,234 8,137
Marathon Oil Corp. * .................................... 27,200 1,029
Royal Dutch Petroleum Co. * ............................. 114,100 5,896
Unocal Corp. * .......................................... 39,700 1,509
-------
38,372
Paper & Forest Products - 1.8%
International Paper Co. * ............................... 105,570 4,719
MeadWestvaco Corp. * .................................... 87,100 2,560
-------
7,279
Pharmaceuticals - 7.1%
Abbott Laboratories * ................................... 60,200 2,454
Bristol-Myers Squibb Co. * .............................. 241,000 5,905
Johnson & Johnson ....................................... 102,300 5,698
Merck & Co., Inc. * ..................................... 145,400 6,906
Schering-Plough Corp. * ................................. 168,400 3,112
Wyeth * ................................................. 136,500 4,936
-------
29,011
Real Estate Investment Trust - 0.5%
Simon Property Group, Inc. .............................. 40,600 2,088
Road & Rail - 2.0%
Norfolk Southern Corp. * ................................ 113,600 3,012
Union Pacific Corp. ..................................... 89,500 5,321
-------
8,333
Semiconductor Equipment & Products - 0.4%
Agere Systems, Inc. - Cl. A * ........................... 46,016 106
Texas Instruments, Inc. * ............................... 68,600 1,659
-------
1,765
Software - 1.1%
Microsoft Corp. * ....................................... 160,400 4,581
Specialty Retail - 1.3%
Home Depot, Inc. * ...................................... 106,100 3,735
Toys "R" Us, Inc. * ..................................... 114,100 1,817
-------
5,552
Tobacco - 1.2%
Altria Group, Inc. ...................................... 47,100 2,357
UST, Inc. * ............................................. 71,000 2,556
-------
4,913
Trading Companies & Distributors - 1.3%
Genuine Parts Co. * ..................................... 95,600 3,793
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND
Market
Name of Issuer Shares Value
-------------- ------ --------
(000's)
COMMON STOCK - Continued
Trading Companies & Distributors - Continued
W.W. Grainger, Inc. * ................................... 27,200 $ 1,564
-------
5,357
-------
TOTAL COMMON STOCK-
(Cost $353,611) 95.1% 390,066
PREFERRED STOCK
Automobiles - 0.2%
Ford Motor Co. Capital Trust II ......................... 15 794
-------
TOTAL PREFERRED STOCK-
(Cost $725) 0.2% 794
Par
Value
-------
(000's)
PUBLICLY-TRADED BONDS
Communications Equipment - 0.4%
Lucent Technologies, Inc. - Sub. Debs.
8.0% due 08/01/31 ................................... $ 1,535 1,723
---------
TOTAL PUBLICLY-TRADED BONDS-
(Cost $1,287) 0.4% 1,723
------- ---------
TOTAL LONG-TERM INVESTMENTS-
(Cost $355,623) 95.7% 392,583
INVESTMENT COMPANIES HELD
AS COLLATERAL ON LOANED
SECURITIES - 2.6%
State Street Navigator Securities Lending
Portfolio ........................................ 10,519 10,519
SHORT-TERM INVESTMENTS - 4.0%
Investment in joint trading account
1.344% due 07/01/04
(Cost $16,437) ..................................... 16,437 16,437
------- ---------
TOTAL INVESTMENTS-
(Cost $382,579) 102.3% 419,539
Payables, less cash and receivables- (2.3)% (9,353)
------- ---------
NET ASSETS- 100.0% $ 410,186
======= =========
* Non-income producing security.
ADR-American Depository Receipt.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Large Cap Value Fund (the "Fund") is a diversified series of
John Hancock Variable Series Trust I (the "Trust"), an open-end investment
management company registered under the Investment Company Act of 1940. The
Trust is organized as a Massachusetts business trust and consists of thirty
different funds as of June 30, 2004. The results of this Fund are included in
this report. The results of the other Funds in the Trust are presented under
separate cover. The Trust may add or delete Funds in the future to accommodate
various investment objectives. The Trust has issued shares of beneficial
interest exclusively to John Hancock Variable Life Account U ("JHVLAU"), John
Hancock Variable Life Account V ("JHVLAV"), John Hancock Variable Life Account S
("JHVLAS"), and John Hancock Variable Annuity Account I ("JHVAAI") to fund
policies and contracts issued by the John Hancock Variable Life Insurance
Company ("JHVLICO"), and to John Hancock Variable Annuity Account U ("JHVAAU"),
John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock Variable Life
Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H ("JHVAAH"), and
John Hancock Variable Annuity Account JF ("JHVAAJF") to fund contracts and
policies issued by John Hancock Life Insurance Company ("John Hancock" or
"JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"), and to John
Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Debt investment securities having a primary market over-the-counter are
valued on the basis of valuations furnished by a pricing service which
determines valuations for normal institutional size trading units of debt
securities, without exclusive reliance upon quoted prices.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximate market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations. For the period ended June
30, 2004, the Fund had no bank borrowings.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Securities lending: The Fund has entered into an agreement with SSBT to
lend its securities to certain qualified brokers who pay the Fund's negotiated
lender fees. This loan is collateralized at all times with cash or securities
with a market value at least equal to the market value of the securities on
loan. Cash collateral is invested in a short-term instrument. As with other
extensions of credit, the Fund may bear the risk of delay of the loaned
securities in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. For the period ended June 30, 2004,
the market value of the securities loaned and the market value of the collateral
for the Fund was as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$10,347 $10,519
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currecny contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had no capital loss carryforwards on a
tax basis to be applied against any future taxable gains.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Dividend
income for the Fund is shown net of foreign taxes withheld of $43. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's omitted)
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the rate of 0.75% on an annual basis of the
Fund's net assets.
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. For the period
ended June 30, 2004, there were no reimbursements paid to the Fund.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $27.
John Hancock has entered into a Sub-Advisory Agreement with T. Rowe Price
Associates, Inc., and under its supervision, is responsible for the day-to-day
investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$68,820 $44,681
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, commercial paper and collateral for
securities lending) and their respective gross unrealized appreciation and
depreciation for Federal income tax purposes at December 31, 2003 were as
follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$349,030 $46,828 $(19,785) $27,043
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax return.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations, which may differ from accounting principles generally accepted in
the United States of America. These differences primarily relate to certain
securities sold at a loss and to certain distributions received from investments
in Real Estate Investment Trusts. Additionally, as a result, net investment
income (loss) and net realized gain (loss) on investment transactions for a
reporting period may differ significantly from distributions during such period.
Accordingly, the Fund may periodically make reclassifications among certain of
its capital accounts without impacting the net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
ordinary net long-term Capital Loss Net Unrealized
Income capital gain carryforwards Appreciation
- ------------- ------------- ------------- --------------
$733 $467 $-- $27,043
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $8,294 $2,502 $--
2002 4,351 3,600 --
Inception: March 29, 1986
- --------------------------------------------------------------------------------
Managed Fund
Independence Investment LLC J. Forelli/J. Shallcross
Capital Guardian Trust Company Management Team
- --------------------------------------------------------------------------------
.. The Fund employs a multi-manager approach with two sub-advisers
independently managing a portion of the Fund and each using distinct
investment strategies.
.. At quarter-end, Independence managed 79% and Capital Guardian managed 21%
of the Fund's assets.
Fund Commentary
.. Year-to-date, the Fund returned 1.77%, underperforming its custom
benchmark. Relative to Morningstar peers, the Fund has a below average
rating of 2 with an above average risk profile.
Independence
. Underperformed its custom benchmark primarily due to unfavorable stock
selection decisions. Within bonds, security selection and duration /
curve exposures benefited performance.
. Manager has a target mix of 60% stocks and 40% bonds and selects
securities using fundamental research and quantitative portfolio
construction.
Capital Guardian
. Outperformed its custom benchmark primarily due to an overweight to
equities and favorable stock selection. Within bonds, strong security
selection decisions and duration / curve exposures benefited
performance.
. Manager has a target mix of 70% stocks and 30% bonds and selects
securities using fundamental research and a multiple-manager system
with the fund managed by several portfolio managers and analysts.
Inception: March 29, 1986
- --------------------------------------------------------------------------------
Managed Fund
Independence Investment LLC J. Forelli/J. Shallcross
Capital Guardian Trust Company Management Team
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Assets
------
Federal National Mortgage Assoc. 10.3%
U.S. Treasury 5.3%
General Electric Co. 2.5%
Microsoft Corp. 1.9%
Citigroup, Inc. 1.9%
Exxon Mobil Corp. 1.8%
Federal Home Loan Mortgage Corp. 1.5%
Intel Corp. 1.4%
Pfizer, Inc. 1.2%
Bank of America Corp. 1.2%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Managed Managed
Fund Benchmark/4/
------- ------------
YTD/3/ 1.77% 2.12%
1 Year 11.76 11.33
3 Years 1.28 2.49
5 Years 1.05 1.76
10 Years 8.58 9.77
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Moderate Allocation
MORNINGSTAR RISK/1/:
.. Above Average
(VL/VUL)
.. Above Average (VA)
MORNINGSTAR RATING/1/:
.. ** (VL/VUL)
.. ** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
Assets
------
Financials 21%
Information Technology 18%
Health Care 15%
Consumer Discretionary 12%
Industrials 12%
Consumer Staples 9%
Energy 7%
Materials 3%
Telecommunication Services 3%
Utilities 2%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 441 VL/VUL subaccounts and 740 VA subaccounts in the
Morningstar Moderate Allocation category. This represents the Morningstar 3
year rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The performance of the fund on this page
is reported net of Trust level charges (i.e. investment management fees and
operating expenses). It does not reflect expense and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
/4/ The Managed Benchmark represents 50% S&P 500/50% Lehman Brothers Aggregate
Bond from April 1986 to December 1997, then 60% S&P 500/40% Lehman Brothers
Aggregate Bond from 1998 to present.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Managed Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $156,092
of securities loaned (Note B)) ................................ $1,884,692
Net unrealized appreciation of investments ....................... 162,062
Short-term investments at value .................................. 301,234
----------
Total investments .......................................... 2,347,988
Cash ............................................................. 6,895
Receivable for:
Investments sold .............................................. 13,986
Interest ...................................................... 6,514
Dividends ..................................................... 1,201
Other receivables ............................................. 2
----------
Total assets ..................................................... 2,376,586
----------
LIABILITIES
Payables for:
Investments purchased ......................................... 148,325
Foreign dividend tax withholding .............................. 2
Collateral for securities on loan ............................. 158,706
Accrued operating expenses .................................... 694
Directed broker commission recapture .......................... 8
Other payables ................................................ 1
----------
Total liabilities ................................................ 307,736
----------
Net assets ....................................................... $2,068,850
==========
Shares outstanding, $0.01 Par Value (unlimited
shares authorized) ............................................ 160,065
----------
Net asset value per share ........................................ $ 12.93
==========
Composition of net assets:
Capital paid-in ............................................... $2,053,627
Accumulated net realized loss on investments,
futures and foreign currency transactions .................. (146,975)
Undistributed net investment income ........................... 136
Net unrealized appreciation of investments .................... 162,062
----------
Net assets ....................................................... $2,068,850
==========
INVESTMENT INCOME
Interest ................................................... $ 13,801
Dividends (net of foreign withholding tax
of $61) ................................................. 9,645
Securities lending ......................................... 83
----------
Total investment income .......................................... 23,529
==========
EXPENSES
Investment advisory fee .................................... 7,024
Auditors fees .............................................. 135
Custodian fees ............................................. 419
Fidelity Bond fees ......................................... 2
Legal fees ................................................. 131
Printing & mailing fees .................................... 174
Trustees' fees ............................................. 51
Other fees ................................................. 29
----------
Total expenses ................................................... 7,965
Less custodian expense reduction offset by commission
recapture arrangement (Note C) .......................... (255)
----------
Net expenses ..................................................... 7,710
----------
Net investment income ............................................ 15,819
----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments ................................................ 67,146
Financial futures contracts ................................ (198)
Change in unrealized depreciation on
investments ............................................. (46,400)
----------
Net realized and unrealized gain ................................. 20,548
----------
Net increase in net assets resulting from
operations .................................................... $ 36,367
==========
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Managed Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------- ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income .................................... $ 15,819 $ 34,274
Net realized gain (loss) ................................. 66,948 (6,738)
Change in net unrealized appreciation (depreciation) ..... (46,400) 314,071
---------- ----------
Net increase in net assets resulting from operations .. 36,367 341,607
Distributions to shareholders from:
Net investment income .................................... (15,683) (63,465)
Realized gains ........................................... (8,662)
---------- ----------
Decrease in net assets resulting from distributions ... (15,683) (72,127)
From fund share transactions:
Proceeds from shares sold ................................ 96,222 80,229
Distributions reinvested ................................. 15,683 72,127
Payment for shares redeemed .............................. (134,484) (287,955)
---------- ----------
Decrease in net assets from fund share transactions ... (22,579) (135,599)
---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS ....................... (1,895) 133,881
NET ASSETS
Beginning of Period ...................................... 2,070,745 1,936,864
---------- ----------
End of Period (including undistributed net investment
income of $136 and $0, respectively) .................. $2,068,850 $2,070,745
========== ==========
Analysis of fund share transactions:
Sold ..................................................... 7,424 6,753
Reinvested ............................................... 1,214 5,842
Redeemed ................................................. (10,395) (24,528)
---------- ----------
Decrease in fund shares outstanding ......................... (1,757) (11,933)
========== ==========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each fund share of beneficial interest outstanding throughout
the year end indicated:
Managed Fund
---------------------------------------------------------------------------
Unaudited Period Year Ended December 31,
Ended June 30, --------------------------------------------------------
2004 2003 2002 2001 2000(c)
---------------- ------------- ----------- ------------- ----------
Net Assets Value at Beginning of
Period .................................... $ 12.80 $ 11.15 $ 13.08 $ 13.82 $ 15.45
Income from Investment Operations:
Net Investment Income .................. 0.10 0.21 0.21 0.28 0.44
Net Realized and Unrealized Gain
(Loss) on Investment(a) ............. 0.13 1.89 (1.93) (0.67) (0.45)
---------- ---------- ---------- ---------- ----------
Total From Investment Operations ....... 0.23 2.10 (1.72) (0.39) (0.01)
Less Distributions:
Distribution from Net Investment
Income .............................. (0.10) (0.39) (0.21) (0.28) (0.44)
Distribution from Net Realized Gains
on Investments ...................... (0.06) (0.07) (1.18)
---------- ---------- ---------- ---------- ----------
Total Distributions .................... (0.10) (0.45) (0.21) (0.35) (1.62)
---------- ---------- ---------- ---------- ----------
Net Assets Value at End of Period ............ $ 12.93 $ 12.80 $ 11.15 $ 13.08 $ 13.82
========== ========== ========== ========== ==========
Total Investment Return(b) ................... 1.77%(g) 19.00% (13.23)% (2.84)% 0.03%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average
Net Assets .......................... 0.77%(f)(h) 0.74%(f) 0.76% 0.73% 0.46%
Ratio of Net Investment Income to
Average Net Assets .................. 1.54%(h) 1.75% 1.77% 2.10%(d) 2.86%
Portfolio Turnover Rate ................ 145.00%(g) 216.32% 234.62% 190.73%(e) 210.35%
Net Assets End of Period (000s Omitted) ...... $2,068,850 $2,070,745 $1,936,864 $2,526,703 $2,995,794
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) The Fund entered into a new sub-advisory agreement with Capital Guardian
Trust Company during the period shown.
(d) Had the Fund not amortized premiums and accreted discounts on debt
securities, the annual ratio of net investment income to average net assets
would have been 2.29% for the years ended December 31, 2001.
(e) Excludes merger activity.
(f) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
(g) Not annualized.
(h) Annualized.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MANAGED FUND
Market
Name of Issuer Shares Value
-------------- -------- --------
(000's)
COMMON STOCK
Aerospace & Defense - 1.5%
Boeing Co. (US) ....................................... $278,100 $ 14,208
Lockheed Martin Corp. (US) ............................ 24,200 1,260
Northrop Grumman Corp. (US) ........................... 35,200 1,890
Raytheon Co. (US) ..................................... 12,700 454
United Technologies Corp. (US) ........................ 136,200 12,460
--------
30,272
Air Freight & Couriers - 0.3%
Fedex Corp. (US) ...................................... 71,200 5,816
Auto Components - 0.2%
Magna International, Inc. - Cl. A (US) ................ 50,400 4,293
Automobiles - 0.7%
General Motors Corp. (US) ............................. 204,400 9,523
Harley-Davidson, Inc. (US) ............................ 72,700 4,503
--------
14,026
Banks - 2.9%
Bank of America Corp. (US) ............................ 235,700 19,945
Bank One Corp. (US) ................................... 367,900 18,763
Golden West Financial Corp. (US) ...................... 52,000 5,530
JP Morgan Chase & Co. (US) ............................ 302,400 11,724
SouthTrust Corp. (US) ................................. 97,200 3,772
--------
59,734
Beverages - 2.0%
Anheuser-Busch Cos., Inc. (US) ........................ 310,700 16,778
Coca-Cola Co. (US) .................................... 177,900 8,980
Pepsi Bottling Group, Inc. (US) ....................... 53,000 1,619
PepsiCo, Inc. (US) .................................... 260,800 14,052
--------
41,429
Biotechnology - 1.0%
Amgen, Inc. (US) ...................................... 170,300 9,293
Biogen IDEC, Inc. (US) ................................ 99,915 6,320
Genetech, Inc. (US) ................................... 48,700 2,737
ImClone Systems, Inc. (US) ............................ 23,000 1,973
--------
20,323
Chemicals - 1.0%
Air Products & Chemicals, Inc. (US) ................... 52,700 2,764
Dow Chemical Co. (US) ................................. 219,000 8,914
E.I. du Pont de Nemours & Co. (US) .................... 76,700 3,407
Rohm & Haas Co. (US) .................................. 114,100 4,744
--------
19,829
Commercial Services & Supplies - 0.5%
Automatic Data Processing, Inc. (US)
129,800 5,436
Checkfree Corp. (US) .................................. 28,700 861
Monster Worldwide, Inc. (US) .......................... 16,200 417
Robert Half International, Inc. (US) .................. 25,400 756
Sabre Group Holdings, Inc. (US) ....................... $ 87,800 $ 2,433
--------
9,903
Communications Equipment - 2.2%
Cisco Systems, Inc. (US) .............................. 789,500 18,711
JDS Uniphase Corp. (US) ............................... 294,000 1,114
Lucent Technologies, Inc. (US) ........................ 724,700 2,740
Motorola, Inc. (US) ................................... 613,800 11,202
Polycom, Inc. (US) .................................... 42,400 950
Qualcomm, Inc. (US) ................................... 136,200 9,940
--------
44,657
Computers & Peripherals - 1.8%
Apple Computer, Inc. (US) ............................. 14,900 485
Dell, Inc. (US) ....................................... 367,000 13,146
EMC Corp. (US) ........................................ 420,100 4,789
International Business Machines Corp. (US) ............ 185,400 16,343
Lexmark International Group, Inc. - Cl. A (US) ........ 13,500 1,303
Seagate Technology (US) ............................... 60,800 877
Sun Microsystems, Inc. (US) ........................... 184,500 801
--------
37,744
Construction & Engineering - 0.6%
American Standard Cos., Inc. (US) ..................... 190,200 7,667
Fluor Corp. (US) ...................................... 81,300 3,875
--------
11,542
Construction Materials - 0.2%
United States Steel Corp. (US) ........................ 105,300 3,698
Credit Card - 0.4%
MBNA Corp. (US) ....................................... 321,300 8,286
Diversified Financials - 5.3%
AmeriCredit Corp. (US) ................................ 63,900 1,248
Capital One Financial Corp. (US) ...................... 106,700 7,296
CIT Group, Inc. (US) .................................. 141,400 5,414
Citigroup, Inc. (US) .................................. 691,500 32,155
Goldman Sachs Group, Inc. (US) ........................ 109,500 10,310
Merrill Lynch & Co., Inc. (US) ........................ 149,700 8,081
Morgan Stanley, Dean Witter, Discover & Co. (US) ...... 152,600 8,053
SLM Corp. (US) ........................................ 401,900 16,257
State Street Corp. (US) ............................... 62,800 3,080
Washington Mutual, Inc. (US) .......................... 229,900 8,883
Wells Fargo & Co. (US) ................................ 143,100 8,190
--------
108,967
Diversified Telecommunication Services - 1.5%
BellSouth Corp. (US) .................................. 242,700 6,364
Sprint Corp. (US) ..................................... 669,550 11,784
Verizon Communications (US) ........................... 384,700 13,922
--------
32,070
SCHEDULE OF INVESTMENTS-Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MANAGED FUND
Market
Name of Issuer Shares Value
-------------- ---------- -------
(000's)
COMMON STOCK - Continued
Electric Utilities - 0.8%
AES Corp. (US) ....................................... $ 302,100 $ 3,000
American Electric Power Co. (US) ..................... 53,700 1,718
Constellation Energy Group, Inc. (US) ................ 69,800 2,645
Edison International (US) ............................ 118,600 3,033
PG & E Corp. (US) .................................... 97,200 2,716
TXU Corp. (US) ....................................... 84,600 3,427
-------
16,539
Electrical Equipment - 0.5%
American Power Conversion (US) ....................... 150,200 2,951
Rockwell International Corp. (US) .................... 189,200 7,097
-------
10,048
Electronic Equipment & Instruments - 0.4%
Agilent Technologies, Inc. (US) ...................... 33,000 967
Avnet, Inc. (US) ..................................... 64,500 1,464
Flextronics International, Ltd. (US) ................. 37,000 590
Jabil Circuit, Inc. (US) ............................. 49,200 1,239
Sanmina Corp. (US) ................................... 460,900 4,194
-------
8,454
Energy Equipment & Services - 0.9%
Baker Hughes, Inc. (US) .............................. 81,200 3,057
BJ Services Co. (US) ................................. 63,600 2,916
National-Oilwell, Inc. (US) .......................... 88,600 2,790
Schlumberger, Ltd. (US) .............................. 81,700 5,189
Transocean Sedco Forex, Inc. (US) .................... 48,200 1,395
Weatherford Bermuda (US) ............................. 57,300 2,577
-------
17,924
Food & Drug Retailing - 0.2%
Sysco Corp. (US) ..................................... 129,800 4,656
Food Products - 0.3%
Campbell Soup Co. (US) ............................... 177,700 4,777
Kraft Foods, Inc. - Cl. A (US) ....................... 47,200 1,495
-------
6,272
Gas Utilities - 0.3%
Kinder Morgan Management LLC (US) .................... 85,248 3,135
Kinder Morgan, Inc. (US) ............................. 70 4
Sempra Energy (US) ................................... 75,200 2,589
Williams Cos., Inc. (US) ............................. 109,900 1,308
-------
7,036
Health Care Equipment & Supplies - 1.2%
Applera Corporation - Applied
Biosystems Group (US) ............................. 149,700 3,256
Becton, Dickinson & Co. (US) ......................... 30,800 1,595
Boston Scientific Corp. (US) ......................... 79,600 3,407
Guidant Corp. (US) ................................... 44,700 2,498
Medtronic, Inc. (US) ................................. 48,600 2,368
St. Jude Medical, Inc. (US) .......................... 71,900 5,439
Zimmer Holdings, Inc. (US) ........................... $ 84,200 $ 7,427
-------
25,990
Health Care Providers & Services - 1.3%
Amerisource Bergen Corp. (US) ........................ 53,100 3,174
Anthem, Inc. (US) .................................... 93,600 8,383
CIGNA Corp. (US) ..................................... 9,500 654
DaVita, Inc. (US) .................................... 31,500 971
HCA-The Healthcare Corp. (US) ........................ 9,000 374
Lincare Holdings, Inc. (US) .......................... 76,200 2,504
PacifiCare Health Systems, Inc. (US) ................. 29,400 1,136
Triad Hospitals, Inc. (US) ........................... 23,600 879
UnitedHealth Group, Inc. (US) ........................ 138,700 8,634
-------
26,709
Hotels Restaurants & Leisure - 0.6%
Carnival Corp. (US) .................................. 22,100 1,039
Hilton Hotels Corp. (US) ............................. 187,600 3,500
McDonald's Corp. (US) ................................ 38,300 996
Starwood Hotels & Resorts Worldwide, Inc. (US) ....... 20,400 915
Yum Brands, Inc. (US) ................................ 141,000 5,248
-------
11,698
Household Durables - 0.5%
Centex Corp. (US) .................................... 86,500 3,957
Leggett & Platt, Inc. (US) ........................... 129,800 3,467
Maytag Corp. (US) .................................... 110,300 2,704
-------
10,128
Household Products - 0.6%
Kimberly-Clark Corp. (US) ............................ 21,400 1,410
Procter & Gamble Co. (US) ............................ 221,200 12,042
-------
13,452
Industrial Conglomerates - 3.6%
3M Co. (US) .......................................... 140,500 12,646
Canadian Pacific Railway (US) ........................ 1,100 27
General Electric Co. (US) ............................ 1,304,000 42,250
Honeywell International, Inc. (US) ................... 116,100 4,253
Siemens AG - ADR (US) ................................ 11,500 834
Tyco International, Ltd. (US) ........................ 472,300 15,652
-------
75,662
Insurance - 3.8%
Allstate Corp. (US) .................................. 168,400 7,839
American International Group, Inc. (US) .............. 303,200 21,612
Assurant, Inc. (US) .................................. 21,700 573
Chubb Corp. (US) ..................................... 19,100 1,302
Cincinnati Financial Corp. (US) ...................... 22,785 992
Everest Re Group, Ltd. (US) .......................... 42,600 3,423
Hartford Financial Services Group, Inc. (US) ......... 233,000 16,016
Lincoln National Corp. (US) .......................... 81,800 3,865
SCHEDULE OF INVESTMENTS-Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MANAGED FUND
Market
Name of Issuer Shares Value
-------------- ---------- --------
(000's)
COMMON STOCK - Continued
Insurance - Continued
Prudential Financial, Inc. (US) ..................... $ 259,800 $ 12,073
St. Paul Cos., Inc. (US) ............................ 125,000 5,068
The PMI Group, Inc. (US) ............................ 70,000 3,046
XL Capital, Ltd. - Cl. A (US) ....................... 34,500 2,603
--------
78,412
Internet & Catalog Retail - 0.4%
Amazon.com, Inc. (US) ............................... 16,900 920
Interactive Corp. (US) .............................. 273,800 8,252
--------
9,172
IT Consulting & Services - 0.7%
Accenture, Ltd. - Cl. A (US) ........................ 390,000 10,717
Affiliated Computer Services, Inc. - Cl. A (US) ..... 65,900 3,489
--------
14,206
Leisure Equipment & Products - 0.1%
Mattel, Inc. (US) ................................... 70,400 1,285
Machinery - 1.0%
Danaher Corp. (US) .................................. 132,400 6,865
Eaton Corp. (US) .................................... 62,200 4,027
Ingersoll-Rand Co. - Cl. A (US) ..................... 64,900 4,433
ITT Industries, Inc. (US) ........................... 50,200 4,167
Navistar International Corp., Inc. - Cl. B (US) ..... 35,500 1,376
--------
20,868
Media - 2.5%
Cablevision Systems Corp. - Cl. A (US) .............. 110,361 2,169
Clear Channel Communications, Inc. (US) ............. 107,800 3,983
Comcast Corp. - Cl. A (US) .......................... 412,400 11,559
Cox Communications, Inc. - Cl. A (US) ............... 44,000 1,223
Direct TV Group, Inc. (US) .......................... 150,072 2,566
Knight-Ridder, Inc. (US) ............................ 13,600 979
Omnicom Group, Inc. (US) ............................ 73,500 5,578
Radio One, Inc. - Cl. D (US) ........................ 13,300 213
The Walt Disney Co. (US) ............................ 333,100 8,491
Time Warner, Inc. (US) .............................. 687,676 12,089
Tribune Co. (US) .................................... 73,400 3,343
--------
52,193
Metals & Mining - 0.3%
Alcoa, Inc. (US) .................................... 165,800 5,477
Newmont Mining Corp. (US) ........................... 20,800 806
--------
6,283
Multi-Utilities - 0.0%
NiSource, Inc. (US) ................................. 49,400 1,019
Multiline Retail - 1.5%
Costco Wholesale Corp. (US) ......................... 63,000 2,587
Federated Department Stores, Inc. (US) .............. $ 117,600 $ 5,774
Nordstrom, Inc. (US) ................................ 138,500 5,902
Wal-Mart Stores, Inc. (US) .......................... 302,300 15,949
--------
30,212
Office Electronics - 0.2%
Xerox Corp. (US) .................................... 290,700 4,215
Oil & Gas - 3.6%
BP Amoco plc - ADR (US) ............................. 42,800 2,293
Conoco Phillips (US) ................................ 177,500 13,541
Devon Energy Corp. (US) ............................. 96,100 6,343
Equitable Resources, Inc. (US) ...................... 32,900 1,701
Exxon Mobil Corp. (US) .............................. 811,800 36,052
Murphy Oil Corp. (US) ............................... 53,800 3,965
Pioneer Natural Resources Co. (US) .................. 115,700 4,059
Royal Dutch Petroleum Co. (US) ...................... 74,500 3,849
Shell Transport & Trading Co. (US) .................. 24,600 1,100
Unocal Corp. (US) ................................... 33,400 1,269
--------
74,172
Paper & Forest Products - 0.7%
Boise Cascade Corp. (US) ............................ 76,900 2,894
Georgia-Pacific Corp. (US) .......................... 122,000 4,512
International Paper Co. (US) ........................ 166,400 7,438
--------
14,844
Personal Products - 0.7%
Avon Products, Inc. (US) ............................ 133,800 6,173
Estee Lauder Cos., Inc. - Cl. A (US) ................ 79,000 3,854
Gillette Co. (US) ................................... 105,700 4,482
--------
14,509
Pharmaceuticals - 6.0%
Abbott Laboratories (US) ............................ 250,000 10,190
Allergan, Inc. (US) ................................. 124,600 11,154
AstraZeneca Group plc - ADR (US) .................... 322,400 14,715
Eli Lilly & Co. (US) ................................ 153,200 10,710
Forest Laboratories, Inc. (US) ...................... 226,200 12,810
Johnson & Johnson (US) .............................. 423,200 23,572
Merck & Co., Inc. (US) .............................. 310,700 14,758
Pfizer, Inc. (US) ................................... 742,100 25,439
--------
123,348
Real Estate Investment Trust - 0.0%
General Growth Properties (US) ...................... 39,300 1,162
Road & Rail - 0.1%
Union Pacific Corp. (US) ............................ 24,700 1,468
Semiconductor Equipment & Products - 2.5%
Analog Devices, Inc. (US) ........................... 144,800 6,817
Applied Materials, Inc. (US) ........................ 118,300 2,321
Intel Corp. (US) .................................... 1,003,800 27,705
KLA-Tencor Corp. (US) ............................... 24,500 1,210
SCHEDULE OF INVESTMENTS-Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MANAGED FUND
Market
Name of Issuer Shares Value
-------------- ---------- ----------
(000's)
COMMON STOCK - Continued
Semiconductor Equipment & Products - Continued
Lam Research Corp. (US) ........................... $ 40,200 $ 1,077
Micron Technology, Inc. (US) ...................... 62,200 952
Novellus Systems, Inc. (US) ....................... 52,900 1,663
RF Micro Devices, Inc. (US) ....................... 338,000 2,535
Teradyne, Inc. (US) ............................... 29,900 679
Texas Instruments, Inc. (US) ...................... 288,000 6,964
----------
51,923
Software - 2.9%
Cadence Design Systems, Inc. (US) ................. 71,900 1,052
Electronic Arts, Inc. (US) ........................ 120,400 6,568
Intuit, Inc. (US) ................................. 96,100 3,707
Microsoft Corp. (US) .............................. 1,360,800 38,864
Oracle Corp. (US) ................................. 374,400 4,467
Peoplesoft, Inc. (US) ............................. 119,800 2,216
Sap Aktiengesellschaft - ADR (US) ................. 65,500 2,739
----------
59,613
Specialty Retail - 2.4%
AutoNation, Inc. (US) ............................. 119,500 2,043
Best Buy Co., Inc. (US) ........................... 70,300 3,567
CDW Corp. (US) .................................... 142,700 9,098
Gap, Inc. (US) .................................... 234,200 5,679
Home Depot, Inc. (US) ............................. 504,000 17,741
Lowe's Cos., Inc. (US) ............................ 52,800 2,775
RadioShack Corp. (US) ............................. 81,100 2,322
TJX Cos., Inc. (US) ............................... 171,200 4,133
Williams-Sonoma, Inc. (US) ........................ 68,900 2,271
----------
49,629
Textiles & Apparel - 0.4%
Liz Claiborne, Inc. (US) .......................... 84,200 3,029
Nike, Inc. - Cl. B (US) ........................... 68,100 5,159
----------
8,188
Tobacco - 0.8%
Altria Group, Inc. (US) ........................... 353,200 17,678
Trading Companies & Distributors - 0.2%
W.W. Grainger, Inc. (US) .......................... 63,300 3,640
U.S. Government Agencies - 1.0%
Federal Home Loan Mortgage Corp. (US) ............. 132,700 8,400
Federal National Mortgage Assoc. (US) ............. 168,400 12,017
----------
20,417
Wireless Telecommunications Services - 0.1%
Nextel Communications, Inc. - Cl. A (US) .......... 110,500 2,946
----------
TOTAL COMMON STOCK-
(Cost $1,190,339) 65.2% 1,348,559
Par Market
Name of Issuer Value Value
-------------- ---------- ----------
(000's) (000's)
PUBLICLY-TRADED BONDS
Aerospace & Defense - 0.2%
Boeing Capital Corp. - Sr. Notes (US)
6.5% due 02/15/12 .............................. $ 1,797 $ 1,936
Bombadier, Inc. - Notes 144A (a) (US)
6.3% due 05/01/14 .............................. 500 425
Raytheon Co. - Debs. (US)
6.0% due 12/15/10 .............................. 125 132
Systems 2001 LLC - Cl. G 144A (a) (US)
6.664% due 09/15/13 ............................ 244 264
Systems 2001 LLC - CTF Cl. B 144A (a) (US)
7.156% due 12/15/11 ............................ 308 328
----------
3,085
Airlines - 0.0%
Delta Air Lines, Inc. (US)
7.7% due 12/15/05 .............................. 75 50
Auto Components - 0.1%
Delphi (US)
1.0% due 11/15/33 .............................. 100 100
Delphi Corp. - Notes (US)
6.5% due 08/15/13 .............................. 1,450 1,476
TRW Automotive - Sr. Sub. Notes (US)
11.0% due 02/15/13 ............................. 75 89
----------
1,665
Auto Loan - 0.6%
Ford Motor Credit Co. - Notes (US)
6.875% due 02/01/06 ............................ 953 1,000
7.0% due 10/01/13 .............................. 1,416 1,429
7.375% due 10/28/09 ............................ 170 181
Ford Motor Credit Co. (US)
7.25% due 10/25/11 ............................. 732 765
7.875% due 06/15/10 ............................ 550 599
Ford Motor Credit Co. - Bonds (US)
7.375% due 02/01/11 ............................ 75 79
General Motors Acceptance Corp. - Sr. Notes (US)
5.625% due 05/15/09 ............................ 900 898
6.125% due 08/28/07 ............................ 150 157
7.0% due 02/01/12 .............................. 900 925
General Motors Acceptance Corp. - Notes (US)
6.125% due 09/15/06 ............................ 200 208
6.875% due 09/15/11 ............................ 250 256
8.0% due 11/01/31 .............................. 250 256
General Motors Acceptance Corp. (US)
6.875% due 08/28/12 ............................ 1,000 1,017
7.5% due 07/15/05 .............................. 1,743 1,821
SCHEDULE OF INVESTMENTS-Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MANAGED FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Auto Loan - Continued
GMAC Commercial Mortgage Securities, Inc. - CTF Cl. H
144A (a) (US)
5.31% due 05/10/36 ................................... $3,000 $ 2,806
-------
12,397
Automobiles - 0.4%
DaimlerChrysler NA Holding Corp. - Sr. Notes (US)
6.5% due 11/15/13 .................................... 1,040 1,066
DaimlerChrysler NA (US)
1.87% due 05/24/06 ................................... 1,833 1,838
DaimlerChrysler NA - Notes (US)
3.75% due 06/04/08 ................................... 175 171
8.0% due 06/15/10 .................................... 100 112
DaimlerChrysler NA Holding Co. - Notes (US)
4.75% due 01/15/08 ................................... 275 277
8.5% due 01/18/31 .................................... 725 833
DaimlerChrysler NA Holding Co. (US)
7.2% due 09/01/09 .................................... 110 120
First Invs Auto Owner Trust - Notes Cl. A (US)
3.46% due 12/15/08 ................................... 25 25
Ford Motor Co. - Bonds (US)
6.625% due 10/01/28 .................................. 2,134 1,869
7.45% due 07/16/31 ................................... 25 24
General Motors Corp. - Sr. Notes (US)
7.2% due 01/15/11 .................................... 25 26
General Motors Corp. - Sr. Debs. (US)
8.375% due 07/15/33 .................................. 2,028 2,147
Hertz Corp. - Sr. Notes (US)
6.35% due 06/15/10 ................................... 205 207
Hertz Corp. (US)
7.625% due 08/15/07 .................................. 100 107
United Rentals North America, Inc. - Sr. Notes (US)
6.5% due 02/15/12 .................................... 50 47
-------
8,869
Banks - 2.3%
Banc America Commercial Mortgage, Inc. -
CTF 144A (a) (US)
5.276% due 03/11/41 .................................. 2,000 1,904
Banc America Commercial Mortgage, Inc. -
Ser. 2004-1 Cl. F 144A (a) (US)
5.279% due 11/10/39 .................................. 1,350 1,282
Banc America Commercial Mortgage, Inc. -
Ser. 2004-1 Cl. G 144A (a) (US)
5.377% due 11/10/39 .................................. $1,350 $ 1,282
Banc America Mortgage Securities, Inc. -
Ser. 2003-F Cl. 2A1 (US)
3.734% due 07/25/33 .................................. 215 212
Bank Americorp - Notes (US)
5.375% due 06/15/14 .................................. 140 139
Bank of America Corp. - Sr. Notes (US)
7.125% due 09/15/06 .................................. 250 270
Bank One Corp. - Notes (US)
6.5% due 02/01/06 .................................... 1,238 1,307
Barclays Bank plc - Notes 144A (a) (US)
6.86% due 06/15/32 ................................... 30 31
BNP Paribas - 144A (a) (US)
5.125% due 01/15/15 .................................. 60 58
Capital One Bank (US)
5.0% due 06/15/09 .................................... 170 171
5.75% due 09/15/10 ................................... 120 123
Central American Bank - 144A (a) (US)
6.75% due 04/15/13 ................................... 1,350 1,412
Corporacion Andina De Fomento - Notes (US)
5.2% due 05/21/13 .................................... 1,330 1,279
6.875% due 03/15/12 .................................. 160 172
Credit Suisse First Boston - Ser. 2003 (US)
3.727% due 03/25/35 .................................. 3,720 3,602
Credit Suisse First Boston - Ser.
2003-C3 Cl. F 144A (a) (US)
4.518% due 05/15/38 .................................. 2,000 1,825
Credit Suisse First Boston - Sr. Notes (US)
4.625% due 01/15/08 .................................. 536 546
Credit Suisse First Boston - Ser. 2004
AR1 Cl. II A1 (US)
4.832% due 02/25/34 .................................. 194 194
Credit Suisse First Boston - Notes (US)
5.75% due 04/15/07 ................................... 739 779
Credit Suisse First Boston (US)
6.5% due 01/15/12 .................................... 125 134
Credit Suisse First Boston Mortgage -
CTF Cl. II A2 (US)
4.375% due 04/25/33 .................................. 68 68
Credit Suisse First Boston Mortgage - Cl. A2 (US)
5.935% due 01/15/06 .................................. 250 259
SCHEDULE OF INVESTMENTS-Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MANAGED FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Banks - Continued
Credit Suisse First Boston Mortgage - CF2 Cl. A3 (US)
6.238% due 02/15/34 .................................. $ 250 $ 266
Credit Suisse First Boston Mortgage Securities Corp. -
Cl. A1 (US)
3.801% due 06/15/06 .................................. 468 469
Credit Suisse First Boston Mortgage Securities Corp. (US)
7.545% due 04/15/10 .................................. 2,533 2,869
CS First Boston Mortgage Securities Corp. - Cl. A1 (US)
6.91% due 01/15/08 ................................... 4,242 4,510
Dresdner Bank AG - Sub. Notes (US)
7.25% due 09/15/15 ................................... 1,395 1,544
First Union Lehman Brothers Bank - Ser. 1998 C2 CTF
Cl. E (US)
6.778% due 05/18/13 .................................. 2,000 2,139
First Union National Bank Commercial & Mortgage Trust -
CTF Cl. A1 (US)
5.585% due 08/12/10 .................................. 416 435
FleetBoston Financial Corp. - Sr. Notes (US)
7.25% due 09/15/05 ................................... 1,248 1,315
HBOS plc - 144A (a) (US)
3.125% due 01/12/07 .................................. 250 249
5.375% due 11/29/49 .................................. 190 183
HSBC Bank USA - Sub. Notes (US)
4.625% due 04/01/14 .................................. 500 465
Independence Community Bank Corp. - Sub. Notes (US)
1.0% due 04/01/14 .................................... 80 76
JP Morgan Chase & Co. - Notes (US)
5.25% due 05/30/07 ................................... 2,739 2,859
5.35% due 03/01/07 ................................... 2,075 2,175
JP Morgan Chase & Co. - Sub. Notes (US)
6.75% due 02/01/11 ................................... 1,500 1,635
Labranche & Co., Inc. - Sr. Notes 144A (a) (US)
9.5% due 05/15/09 .................................... 25 25
MBNA Ameribank (US)
5.375% due 01/15/08 .................................. 250 260
Popular North America, Inc. (US)
4.7% due 06/30/09 .................................... 1,500 1,501
6.125% due 10/15/06 .................................. 1,439 1,518
Wachovia Bank Commercial Mortgage Trust -
Ser. 2004 C10 Cl. A3 (US)
4.39% due 02/15/36 ................................... 3,000 2,886
Wachovia Bank Commercial Trust - Ser. 2003-C8
Cl. F 144A (a) (US)
5.031% due 11/15/35 .................................. 1,400 1,349
WAMU Mortgage Pass Through Cert. - CTF Cl. A1 (US)
4.39% due 06/25/33 ................................... $ 467 $ 466
Zions Bancorp - Sub. Notes (US)
6.0% due 09/15/15 .................................... 250 252
-------
46,495
Beverages - 0.1%
Anheuser Busch Cos., Inc. - Debs. (US)
6.5% due 02/01/43 .................................... 1,232 1,291
Building Products - 0.0%
AMH Holdings, Inc. - Sr. Disc. Notes 144A (a) (US)
1.0% due 03/01/14 .................................... 75 50
Jacuzzi Brands, Inc. -Sr. Sec. Notes (US)
9.625% due 07/01/10 .................................. 50 54
Koppers, Inc. Pennsylvania - Sr. Sec. Notes (US)
9.875% due 10/15/13 .................................. 25 27
-------
131
Chemicals - 0.0%
ICI Wilmington, Inc. - Notes (US)
4.375% due 12/01/08 .................................. 235 231
Millenium America, Inc. - Sr. Notes (US)
9.25% due 06/15/08 ................................... 25 27
NALCO Co. - Sr. Sub. Notes 144A (a) (US)
8.875% due 11/15/13 .................................. 50 52
-------
310
Commercial Services & Supplies - 0.2%
Allied Waste North America, Inc. - Sr. Notes (US)
8.875% due 04/01/08 .................................. 100 109
Cendant Corp. - Sr. Notes (US)
6.25% due 01/15/08 ................................... 125 133
6.25% due 03/15/10 ................................... 710 755
7.125% due 03/15/15 .................................. 734 804
7.375% due 01/15/13 .................................. 1,457 1,625
Cendant Corp. - Notes (US)
6.875% due 08/15/06 .................................. 150 160
D.R. Horton, Inc. - Sr. Notes (US)
7.875% due 08/15/11 .................................. 50 55
Iron Mountain, Inc. Pennsylvania - Sr. Sub. Notes (US)
6.625% due 01/01/16 .................................. 25 23
PHH Corp. - Notes (US)
7.125% due 03/01/13 .................................. 70 77
SCHEDULE OF INVESTMENTS-Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MANAGED FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Commercial Services & Supplies - Continued
Quintiles Transnational Corp. - Sr. Sub. Notes (US)
10.0% due 10/01/13 ................................... $ 50 $ 50
Synagro Technologies, Inc. - Sr. Sub. Notes (US)
9.5% due 04/01/09 .................................... 25 26
Waste Management, Inc. - Sr. Notes (US)
6.375% due 11/15/12 .................................. 125 132
------
3,949
Communications Equipment - 0.1%
American Tower Corp. - Sr. Notes 144A (a) (US)
7.5% due 05/01/12 .................................... 100 97
Crown Castle International Corp. - Sr. Notes (US)
7.5% due 12/01/13 .................................... 75 75
Motorola, Inc. - Notes (US)
6.75% due 02/01/06 ................................... 1,500 1,577
Motorola, Inc. - Debs. (US)
7.5% due 05/15/25 .................................... 50 54
------
1,803
Construction & Engineering - 0.0%
Hovnanian Enterprises, Inc. - Gtd. Sr. Notes (US)
6.5% due 01/15/14 .................................... 75 70
Lennar Corp. - Sr. Notes (US)
5.95% due 03/01/13 ................................... 30 30
9.95% due 05/01/10 ................................... 30 33
Lyon Williams Homes, Inc. - Sr. Notes (US)
10.75% due 04/01/13 .................................. 50 55
MDC Holdings, Inc. - Sr. Notes (US)
5.5% due 05/15/13 .................................... 50 49
Nortek Holdings, Inc. - Disc. Notes
144A (a) (US)
1.0% due 05/15/11 .................................... 50 40
Pulte Homes, Inc. - Sr. Notes (US)
6.25% due 02/15/13 ................................... 100 102
7.875% due 08/01/11 .................................. 90 102
8.125% due 03/01/11 .................................. 25 29
Technical Olympic USA, Inc. - Sr. Sub. Notes (US)
10.375% due 07/01/12 ................................. 50 52
------
562
Construction Materials - 0.0%
Gerdau Ameristeel Corp. - Sr. Notes (US)
10.375% due 07/15/11 ................................. 25 28
Construction Materials - Continued
Ispat Inland Upc - Sr. Sec. Notes
144A (a) (US)
9.75% due 04/01/14 ................................... $ 50 $ 52
------
80
Containers & Packaging - 0.0%
Graphic Packaging International, Inc. - Sr. Sub.
Notes (US)
9.5% due 08/15/13 .................................... 50 54
Jefferson Smurfit Corp. - Sr. Notes (US)
7.5% due 06/01/13 .................................... 100 99
Norampac, Inc. - Sr. Notes (US)
6.75% due 06/01/13 ................................... 50 49
Owens Brockway Glass Container - Sr. Notes 144A (a) (US)
8.75% due 11/15/12 ................................... 75 82
Packaging Corp. of America - Sr. Notes (US)
5.75% due 08/01/13 ................................... 100 99
------
383
Credit Card - 0.1%
Citibank Credit Card Issuance Trust - Cl. A1 Notes (US)
4.95% due 02/09/09 ................................... 2,000 2,076
MBNA Credit Card Master Note Trust - Notes Cl. C (US)
6.8% due 07/15/14 .................................... 500 539
Nordstrom Credit Card Master Note Trust - Notes Cl.
B 144A(a) (US)
2.039% due 10/13/10 .................................. 150 150
Pass Through Amortizing Credit Card Trust - CTF Cl.
A3 144A(a) (US)
6.298% due 06/18/12 .................................. 62 63
Sears Credit Account Master Trust - Ser. 1998-2 Cl.
A (US)
5.25% due 10/16/08 ................................... 146 147
------
2,975
Diversified Financials - 2.1%
AXA Financial, Inc. - Sr. Notes (US)
7.75% due 08/01/10 ................................... 1,068 1,225
Bear Stearns & Co., Inc. - Notes (US)
5.7% due 11/15/14 .................................... 2,468 2,476
Bear Stearns ARM Trust - CTF Cl. II A2 (US)
4.25% due 04/25/33 ................................... 67 67
Bear Stearns ARM Trust - Ser. 2004-3 Cl. IIA (US)
4.344% due 07/25/34 .................................. 766 760
Capital One Financial Corp. - Notes (US)
7.25% due 05/01/06 ................................... 190 201
SCHEDULE OF INVESTMENTS-Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MANAGED FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Diversified Financials - Continued
Chase Commercial Mortgage
Securities Corp. - Ser. 1997-1 Cl. A2 (US)
7.37% due 02/19/07 ................................... $4,335 $ 4,630
Chase Commercial Mortgage Securities Corp. - Cl. C (US)
7.928% due 07/15/32 .................................. 1,000 1,147
CIT Group, Inc. - Sr. Notes (US)
5.75% due 09/25/07 ................................... 1,420 1,496
CIT Group, Inc. (US)
1.48% due 05/18/07 ................................... 1,100 1,099
CIT Group, Inc. - Sr. Notes (US)
4.0% due 05/08/08 .................................... 934 926
Citigroup, Inc. - Sr. Notes (US)
5.0% due 03/06/07 .................................... 3,000 3,112
Citigroup, Inc. - Notes (US)
5.5% due 08/09/06 .................................... 2,000 2,089
Citigroup, Inc. - Sub. Notes (US)
5.625% due 08/27/12 .................................. 1,260 1,295
GE Commercial Mortgage Corp. -
2003-C1 144A (a) (US)
5.948% due 01/10/38 .................................. 3,000 2,932
General Electric Capital Corp. (US)
5.875% due 02/15/12 .................................. 2,950 3,094
Goldman Sachs Group, Inc. - Sr. Notes (US)
4.125% due 01/15/08 .................................. 1,050 1,053
5.15% due 01/15/14 ................................... 190 182
5.25% due 04/01/13 ................................... 375 366
Goldman Sachs Group, Inc. (US)
6.875% due 01/15/11 .................................. 3,405 3,738
Greater Connecticut Consumer Loan Trust - Notes Cl.
A 144A (a) (US)
6.25% due 02/15/20 ................................... 393 398
Green Tree Financial Corp. - Ser.
1996-8 Cl. A6 (US)
7.6% due 10/15/27 .................................... 3,070 3,274
Morgan Stanley Capital, Inc. - Ser.
2003 Cl. A 144A (a) (US)
1.0% due 07/14/08 .................................... 98 98
Morgan Stanley Group, Inc. (US)
6.75% due 04/15/11 ................................... 2,880 3,156
Nationwide Life Global Funding (US)
5.35% due 02/15/07 ................................... 60 62
Salomon Brothers Commercial and Mortgage Trust - CTF
2001-C1 Cl. A3 (US)
6.428% due 12/18/35 .................................. 925 985
SLM Corp. (US)
5.0% due 04/15/15 .................................... 625 591
Washington Mutual Mortgage Securities Corp. - Cl. A6 (US)
4.56% due 03/25/33 ................................... 40 40
Washington Mutual, Inc. (US)
5.625% due 01/15/07 .................................. $3,050 $ 3,191
Wells Fargo & Co. - Notes (US)
3.5% due 04/04/08 .................................... 500 493
-------
44,176
Diversified Telecommunication Services - 0.7%
AT&T Corp. - Sr. Notes (US)
7.8% due 11/15/11 .................................... 90 92
AT&T Corp. - Debs. (US)
8.35% due 01/15/25 ................................... 100 101
British Telecommunications plc - Notes (US)
8.875% due 12/15/30 .................................. 40 49
Deutsche Telekom International (US)
8.5% due 06/15/10 .................................... 721 843
France Telecom SA - Notes (US)
9.25% due 03/01/11 ................................... 875 1,014
10.0% due 03/01/31 ................................... 1,150 1,443
National Cable plc - Sr. Notes 144A (a) (US)
8.75% due 04/15/14 ................................... 25 26
Singapore Telecommunications - Notes 144A (a) (US)
6.375% due 12/01/11 .................................. 75 80
Sprint Capital Corp. - Sr. Notes (US)
1.0% due 08/17/06 .................................... 145 148
Sprint Capital Corp. - Notes (US)
6.125% due 11/15/08 .................................. 1,323 1,391
7.125% due 01/30/06 .................................. 100 106
8.375% due 03/15/12 .................................. 1,102 1,267
8.75% due 03/15/32 ................................... 740 862
Telecom Italia Capital Corp. - Sr. Notes Ser.
A 144A (a) (US)
4.0% due 11/15/08 .................................... 1,250 1,228
Telecom Italia Capital Corp. - Sr. Notes Ser.
C 144A (a) (IT)
6.375% due 11/15/33 .................................. 100 97
Telstra, Ltd. - Notes (US)
6.375% due 04/01/12 .................................. 125 134
Tritel PCS, Inc. - Sr. Sub. Notes (US)
10.375% due 01/15/11 ................................. 325 375
Verizon Global Funding Corp. - Notes (US)
6.75% due 12/01/05 ................................... 2,169 2,286
Verizon Global Funding Corp. - Global Notes (US)
7.375% due 09/01/12 .................................. 927 1,043
Verizon New York, Inc. - Debs. Ser. A (US)
6.875% due 04/01/12 .................................. 963 1,032
SCHEDULE OF INVESTMENTS-Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MANAGED FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Diversified Telecommunication Services - Continued
Vodafone Group plc - Notes (US)
5.375% due 01/30/15 ................................. $ 110 $ 108
-------
13,725
Electric Utilities - 0.8%
American Electric Power, Inc. - Sr. Notes Ser. D (US)
5.25% due 06/01/15 .................................. 1,395 1,338
Centerpoint Energy Resources Corp. - Sr. Notes (US)
7.875% due 04/01/13 ................................. 2,000 2,242
Enersis SA - Notes 144A (a) (US)
7.375% due 01/15/14 ................................. 2,000 1,930
FirstEnergy Corp. - Notes Ser. B (US)
6.45% due 11/15/11 .................................. 1,054 1,093
FirstEnergy Corp. - Notes Ser. C (US)
7.375% due 11/15/31 ................................. 2,870 2,991
Progress Energy, Inc. - Sr. Notes (US)
6.75% due 03/01/06 .................................. 1,560 1,645
7.0% due 10/30/31 ................................... 693 713
Public Service Co. New Mexico - Sr. Unsec. Notes (US)
4.4% due 09/15/08 ................................... 1,453 1,449
TXU Australia Holdings, Ltd. - GTD
Sr. Notes 144A (a) (US)
6.15% due 11/15/13 .................................. 1,750 1,823
TXU Energy Co. LLC - Sr. Notes (US)
7.0% due 03/15/13 ................................... 1,399 1,524
-------
16,748
Electric/Gas - 0.7%
AES Corp. (US)
9.375% due 09/15/10 ................................. 100 107
Dominion Resources, Inc. - Notes (US)
5.7% due 09/17/12 ................................... 200 203
Duke Energy Co. - Bonds (US)
3.75% due 03/05/08 .................................. 665 656
Duke Energy Co. - Sr. Notes (US)
6.45% due 10/15/32 .................................. 70 68
Edison Mission Energy - Sr. Notes (US)
9.875% due 04/15/11 ................................. 150 156
Empresa Nacional De Electricid - Notes (US)
8.35% due 08/01/13 .................................. 1,650 1,761
8.5% due 04/01/09 ................................... 130 142
Kansas City Power & Light Co. - Sr. Notes Ser. A (US)
6.0% due 03/15/07 ................................... 1,440 1,519
Oncor Electric Delivery Co. - Sr. Sec. Notes (US)
6.375% due 01/15/15 ................................. 1,695 1,785
7.0% due 05/01/32 ................................... $ 125 $ 134
Pacific Gas & Electric Co. - Bonds (US)
4.2% due 03/01/11 ................................... 250 238
4.8% due 03/01/14 ................................... 170 161
Pacific Gas & Electric Co. (US)
6.05% due 03/01/34 .................................. 1,960 1,843
Progress Energy, Inc. - Sr. Notes (US)
7.1% due 03/01/11 ................................... 250 274
7.75% due 03/01/31 .................................. 50 56
PSEG Power LLC - Sr. Notes (US)
5.0% due 04/01/14 ................................... 275 257
6.875% due 04/15/06 ................................. 1,760 1,867
8.625% due 04/15/31 ................................. 1,220 1,490
Sempra Energy - Notes (US)
4.75% due 05/15/09 .................................. 1,100 1,107
Southern California Edison Co. - Ser. 2004B (US)
6.0% due 01/15/34 ................................... 1,040 996
SP Power Assets, Ltd. - 144A (a) (US)
5.0% due 10/22/13 ................................... 150 146
United Energy Distribution, Ltd. -
Sr. Notes 144A (a) (US)
4.7% due 04/15/11 ................................... 90 89
-------
15,055
Electronic Equipment & Instruments - 0.0%
Jabil Circuit, Inc. - Sr. Notes (US)
5.875% due 07/15/10 ................................. 210 217
ON Semiconductor Corp. - Sr. Sec. Notes (US)
12.0% due 03/15/10 .................................. 25 29
Solectron Corp. - Sr. Notes (US)
9.625% due 02/15/09 ................................. 75 82
Stoneridge, Inc. - Sr. Notes (US)
11.5% due 05/01/12 .................................. 75 88
Viasystems, Inc. - Sr. Sub. Notes 144A (a) (US)
10.5% due 01/15/11 .................................. 75 79
-------
495
Energy Equipment & Services - 0.1%
Enbridge Energy Partners LP - Notes (US)
4.75% due 06/01/13 .................................. 1,710 1,585
Luscar Coal, Ltd. - Sr. Notes (US)
9.75% due 10/15/11 .................................. 25 28
-------
1,613
Finance - 1.6%
ACE INA Holding, Inc. - GTD. Sr. Notes (US)
5.875% due 06/15/14 ................................. 420 425
SCHEDULE OF INVESTMENTS-Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MANAGED FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Finance - Continued
Ahold Finance USA - Gtd. Notes (US)
8.25% due 07/15/10 ................................... $ 50 $ 53
Arch Capital Group, Ltd. - Sr. Notes (US)
7.35% due 05/01/34 ................................... 1,870 1,882
Cadbury Schweppes U.S. Finance -
Sr. Notes 144A (a) (US)
5.125% due 10/01/13 .................................. 100 98
California Infras & Ecomomic - Ser.
1997-1 CTF Cl. A6 (US)
6.38% due 09/25/08 ................................... 375 392
California Infrastructure Development - Ser. 1997-1 CTF
Cl. A7 (US)
6.42% due 09/25/08 ................................... 358 373
Caterpillar Financial Services Corp. - Sr. Notes (US)
4.5% due 06/15/09 .................................... 140 141
Concentra Operating Corp. - Sr. Sub. Notes 144A (a) (US)
9.125% due 06/01/12 .................................. 25 26
Cullen Frost Capital Trust II - Ser. A 144A (a) (US)
2.68% due 03/01/34 ................................... 110 112
DBS Capital Funding Corp. - Ser. A 144A (a) (US)
1.0% due 03/15/49 .................................... 90 100
Deutsche Telekom International Finance (US)
8.75% due 06/15/30 ................................... 1,046 1,273
Deutsche Telekom International Finance BV - Notes (US)
9.25% due 06/01/32 ................................... 100 132
Devon Financing Corp. United L C - Notes (US)
6.875% due 09/30/11 .................................. 90 98
Duke Capital LLC. - Sr. Notes (US)
6.75% due 02/15/32 ................................... 1,394 1,337
Equus Cayman Finance, Ltd. - Sr Notes 144A (a) (US)
5.5% due 09/12/08 .................................... 1,240 1,233
ERAC USA Finance Co. - Gtd. Notes 144A (a) (US)
6.7% due 06/01/34 .................................... 735 736
ERP Operating, Ltd. - Sr. Notes (US)
4.75% due 06/15/09 ................................... 190 190
FUJI JGB Investments - Ser. A 144A (a) (US)
9.87% due 12/31/49 ................................... 140 158
Fund American Cos, Inc. - GTD Sr Notes (US)
5.875% due 05/15/13 .................................. 1,480 1,477
General Electric Capital Corp. (US)
6.0% due 06/15/12 .................................... $ 70 $ 74
Household Financial Corp. - Global Notes (US)
4.625% due 01/15/08 .................................. 1,432 1,458
Household Financial Corp. (US)
5.75% due 01/30/07 ................................... 35 37
International Lease Finance Corp. - Notes (US)
3.5% due 04/01/09 .................................... 30 28
International Lease Finance Corp. (US)
4.55% due 10/15/09 ................................... 100 100
International Lease Finance Corp. - Sr. Notes (US)
4.75% due 07/01/09 ................................... 515 515
International Lease Finance Corp. - Notes (US)
5.875% due 05/01/13 .................................. 1,317 1,350
Mangrove Bay Trust - 144A (a) (US)
6.102% due 07/15/33 ................................. 100 99
MBNA Capital - Ser. B (US)
1.963% due 02/01/27 .................................. 275 261
Mizuho Financial Group Cayman, Ltd. - Sub. Notes
144A (a) (US)
5.79% due 04/15/14 ................................... 1,610 1,583
Monumental Global Funding - Sr Sec. Notes Ser. A
144A (a) (US)
5.2% due 01/30/07 .................................... 250 261
Monumental Global Funding II - Notes 144A (a) (US)
1.29% due 05/19/06 ................................... 630 628
National Rural Utilities Cooperative Finance - Bonds
(US)
3.875% due 02/15/08 .................................. 1,698 1,693
NiSource Finance Corp. - Sr. Notes (US)
6.15% due 03/01/13 ................................... 912 945
NiSource Finance Corp. (US)
7.875% due 11/15/10 .................................. 1,440 1,651
Odyssey Re Holdings Corp. - Sr Notes (US)
7.65% due 11/01/13 ................................... 4,000 4,300
PCCW Hkt Capital, Ltd. (US)
8.0% due 11/15/11 .................................... 80 90
Pharma Services Intermediate
Holding Corp. - Sr. Disc. Notes 144A (a) (US)
11.5% due 04/01/14 ................................... 75 38
RBS Capital Trust (US)
4.709% due 12/29/49 .................................. 80 74
Reliastar Financial Corp. - Notes (US)
6.5% due 11/15/08 .................................... 160 172
SCHEDULE OF INVESTMENTS-Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MANAGED FUND
Par Market
Name of Issuer Value Value
-------------- ------- ------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Finance - Continued
RH Donnelly Finance Corp. - Sr. Sub. Notes (US)
10.875% due 12/15/12 ................................. $ 25 $ 29
SB Treasury Co. - 144A (a) (US)
1.0% due 12/29/49 .................................... 100 112
Sprint Capital Corp. (US)
6.875% due 11/15/28 .................................. 80 77
UFJ Finance Aruba - Gtd. Notes (US)
6.75% due 07/15/13 ................................... 1,800 1,861
Vanderbilt Acquisition Loan Trust - Sr. Sub. Notes
Cl. A3 (US)
5.7% due 09/07/23 .................................... 250 253
W.R. Berkley Corp. - Notes (US)
5.875% due 02/15/13 .................................. 2,310 2,357
WPP Finance UK - Notes 144A (a) (US)
5.875% due 06/15/14 .................................. 1,825 1,832
-------
32,114
Food & Drug Retailing - 0.0%
Winn Dixie Stores, Inc. - Sr. Notes (US)
8.875% due 04/01/08 .................................. 50 46
Food Products - 0.3%
Burns Philip Capital Property, Ltd. - Sr. Sub. Notes
(US)
10.75% due 02/15/11 .................................. 75 80
Gold Kist, Inc. - Sr. Notes 144A (a) (US)
10.25% due 03/15/14 .................................. 50 54
Kellogg Co. - Notes Ser. B (US)
6.6% due 04/01/11 .................................... 200 219
Kraft Foods, Inc. - Notes (US)
5.25% due 06/01/07 ................................... 4,757 4,947
Nabisco, Inc. - Notes (US)
7.05% due 07/15/07 ................................... 90 98
Nabisco, Inc. - Debs. (US)
7.55% due 06/15/15 ................................... 500 575
WH Holdings Cayman, Ltd. - 144A (a) (US)
9.5% due 04/01/11 .................................... 50 52
-------
6,025
Foreign Governmental - 0.2%
Republic of Chile - Notes (US)
1.5% due 01/28/08 .................................... 1,800 1,818
Republic of Chile - Bonds (US)
5.5% due 01/15/13 .................................... 70 70
United Mexican States (US)
6.375% due 01/16/13 .................................. 1,700 1,697
8.375% due 01/14/11 .................................. 40 45
United Mexican States (XU)
9.875% due 02/01/10 .................................. 95 114
United Mexican States - Bonds (US)
11.375% due 09/15/16 ................................. $ 50 $ 70
-------
3,814
Gas Utilities - 0.1%
Kinder Morgan Energy Partners - Sr. Notes (US)
7.3% due 08/15/33 .................................... 1,480 1,561
Michigan Consolidated Gas Co. - Sr. Notes (US)
5.7% due 03/15/33 .................................... 1,480 1,342
Williams Cos, Inc. - Notes (US)
8.125% due 03/15/12 .................................. 75 80
-------
2,983
Health Care Equipment & Supplies - 0.0%
Hospira, Inc. - Notes 144A (a) (US)
5.9% due 06/15/14 .................................... 110 111
Health Care Providers & Services - 0.0%
HCA, Inc. - Notes (US)
6.25% due 02/15/13 ................................... 200 198
6.95% due 05/01/12 ................................... 150 157
HCA-The Healthcare Corp. - Notes (US)
8.75% due 09/01/10 ................................... 60 68
Health Net, Inc. - Sr. Notes (US)
8.375% due 04/15/11 .................................. 140 164
Tenet Healthcare Corp. - Sr. Notes 144A (a) (US)
9.875% due 07/01/14 .................................. 65 66
-------
653
Home Equity Loan - 1.4%
Centex Home Equity Loan Trust - CTF Cl. A5 (US)
6.83% due 07/25/32 ................................... 2,635 2,773
Chase Mortgage Funding - Ser. 2003- 2 Cl. IA 3 (US)
2.864% due 03/25/07 .................................. 100 100
Chase Mortgage Funding Ser. 2003-1 CTF CL. IA-3 (US)
3.14% due 07/25/23 ................................... 100 100
Countrywide Home Loan Corp. (US)
5.5% due 08/01/06 .................................... 2,821 2,940
Residential Asset Mortgage Products, Inc. - Cl. AI2
(US)
3.38% due 03/25/29 ................................... 5,000 5,008
Residential Asset Mortgage Products, Inc. - Ser.
2004-SL2 Cl. AI (US)
6.5% due 10/25/16 .................................... 6,588 6,816
Residential Funding and Mortgage Securities - Ser.
2002-HI2 (US)
5.64% due 10/25/14 ................................... 1,734 1,734
SCHEDULE OF INVESTMENTS-Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MANAGED FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Home Equity Loan - Continued
Residential Funding and Mortgage Securities - Notes
Cl. A7 (US)
6.9% due 01/25/33 .................................... $9,000 $ 9,637
Residential Funding and Mortgage Securities
Trust II - Ser. 2001-HS2 Cl. A4 (US)
6.43% due 04/25/16 ................................... 19 18
-------
29,126
Hotels Restaurants & Leisure - 0.4%
Boyd Gaming Corp. - Sr. Notes (US)
9.25% due 08/01/09 ................................... 50 55
Buffets, Inc. - Sr. Sub. Notes (US)
11.25% due 07/15/10 .................................. 25 26
Circus & Eldorado Circus - Notes (US)
10.125% due 03/01/12 ................................. 50 50
Harrah's Operating, Inc. - Gtd. Sr Notes 144A (a) (US)
5.5% due 07/01/10 .................................... 100 100
Hilton Hotels Corp. - Notes (US)
7.625% due 12/01/12 .................................. 2,440 2,623
8.25% due 02/15/11 ................................... 40 45
Hilton Hotels Trust - Ser. 2000 Cl. B (US)
1.62% due 10/03/10 ................................... 95 94
Host Marriott LP - Sr. Notes Ser. J (US)
7.125% due 11/01/13 .................................. 50 49
Mandalay Resort Group - Sr. Notes (US)
6.375% due 12/15/11 .................................. 1,000 1,015
MGM Mirage, Inc. - Ser. B (US)
6.0% due 10/01/09 .................................... 1,870 1,833
Royal Caribbean Cruises, Ltd. (US)
8.75% due 02/02/11 ................................... 50 56
Seneca Gaming Corp. - Sr. Notes 144A (a) (US)
7.25% due 05/01/12 ................................... 25 25
Six Flags, Inc. - Sr. Notes (US)
8.875% due 02/01/10 .................................. 75 75
Starwood Hotels & Resorts Worldwide, Inc. - Sr. Notes
(US)
7.875% due 05/01/12 .................................. 2,350 2,514
Tricon Global Restaurants, Inc. - Sr. Notes (US)
8.875% due 04/15/11 .................................. 100 120
-------
8,680
Household Durables - 0.1%
Centex Corp. - Sr. Notes (US)
4.75% due 01/15/08 ................................... 40 41
Mohawk Industries, Inc. - Notes (US)
6.5% due 04/15/07 .................................... $1,580 $ 1,686
-------
1,727
Industrial Conglomerates - 0.2%
General Electric Co. - Notes (US)
5.0% due 02/01/13 .................................... 1,790 1,762
Tyco International Group SA - Notes (US)
6.0% due 11/15/13 .................................... 805 828
Tyco International Group SA - Sr. Notes (US)
6.375% due 10/15/11 .................................. 1,450 1,550
-------
4,140
Insurance - 0.1%
Aetna Inc. - Sr. Notes (US)
7.375% due 03/01/06 .................................. 100 107
Assurant, Inc. - Sr. Notes (US)
5.625% due 02/15/14 .................................. 90 88
Metlife, Inc. - Debs. (US)
3.911% due 05/15/05 .................................. 190 193
Nationwide Mutual Insurance Co. - Notes 144A (a) (US)
7.875% due 04/01/33 .................................. 30 34
Ohio Casualty Corp. - Notes (US)
7.3% due 06/15/14 .................................... 1,400 1,409
Prudential Financial, Inc. (US)
4.75% due 04/01/14 ................................... 315 294
Prudential Insurance Co. - Sr. Notes 144A (a) (US)
6.375% due 07/23/06 .................................. 350 371
-------
2,496
Leisure Equipment & Products - 0.0%
Eastman Kodak Co. - Sr. Notes (US)
7.25% due 11/15/13 ................................... 780 793
Machinery - 0.1%
Caterpillar, Inc. - Sr. Debs. (US)
7.25% due 09/15/09 ................................... 1,050 1,188
Terex Corp. - Sr. Sub. Notes (US)
9.25% due 07/15/11 ................................... 50 55
-------
1,243
Marine - 0.0%
Overseas Shipholding Group, Inc. - Notes (US)
8.25% due 03/15/13 ................................... 50 54
Media - 0.8%
AMC Entertainment, Inc. - Sr. Sub. Notes (US)
9.875% due 02/01/12 .................................. 25 26
SCHEDULE OF INVESTMENTS-Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MANAGED FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Media - Continued
Canwest Media, Inc. - Sr. Sub. Notes (CA)
10.625% due 05/15/11 ................................. $ 50 $ 56
Carmike Cinemas, Inc. - Sr. Sub. Notes 144A (a) (US)
7.5% due 02/15/14 .................................... 50 48
Charter Communication Operating LLC - Sr. Notes
144A (a) (US)
8.0% due 04/30/12 .................................... 100 97
Cinemark USA, Inc. - Sr. Sub. Notes (US)
9.0% due 02/01/13 .................................... 25 27
Cinemark, Inc. - Sr. Disc. Notes 144A (a) (US)
1.0% due 03/15/14 .................................... 25 16
Clear Channel Communications, Inc. (US)
7.65% due 09/15/10 ................................... 125 141
Comcast Corp. - Notes (US)
6.5% due 01/15/15 .................................... 627 650
7.05% due 03/15/33 ................................... 1,446 1,498
Cox Communications, Inc. - Notes (US)
4.625% due 06/01/13 .................................. 1,470 1,357
Cox Radio, Inc. - Sr. Notes (US)
6.625% due 02/15/06 .................................. 250 263
Dex Media, Inc. - Disc. Notes
144A (a) (US)
1.0% due 11/15/13 .................................... 75 48
Liberty Media Corp. - Sr. Notes (US)
2.64% due 09/17/06 ................................... 760 774
3.5% due 09/25/06 .................................... 20 20
5.7% due 05/15/13 .................................... 2,500 2,463
Liberty Media Corp. - Sr. Debs (US)
8.25% due 02/01/30 ................................... 690 786
News America, Inc. - Sr. Notes (US)
6.75% due 01/09/38 ................................... 30 33
NextMedia Operating, Inc. - Sr. Sub. Notes (US)
10.75% due 07/01/11 .................................. 50 56
Quebecor Media, Inc. - Sr. Notes (US)
11.125% due 07/15/11 ................................. 50 57
Telenet Group Holding NV - Sr. Disc Notes 144A (a) (US)
1.0% due 06/15/14 .................................... 100 63
Time Warner, Inc. (US)
6.15% due 05/01/07 ................................... 1,904 2,016
7.625% due 04/15/31 .................................. 130 141
Time Warner, Inc. - Debs. (US)
7.7% due 05/01/32 .................................... 1,815 1,983
Time Warner, Inc. - Notes (US)
8.18% due 08/15/07 ................................... 900 1,006
Univision Communications, Inc. - Sr. Notes (US)
3.875% due 10/15/08 .................................. $ 125 $ 122
7.85% due 07/15/11 ................................... 130 149
Viacom, Inc. (US)
7.875% due 07/30/30 .................................. 1,054 1,248
Videotron Ltee - Sr. Notes (US)
6.875% due 01/15/14 .................................. 25 24
Young Broadcasting, Inc. - Sr. Sub. Notes (US)
10.0% due 03/01/11 ................................... 50 51
-------
15,219
Metals & Mining - 0.1%
Alcan Aluminum, Ltd. - Notes (US)
5.2% due 01/15/14 .................................... 50 49
Codelco, Inc. - Notes 144A (a) (US)
5.5% due 10/15/13 .................................... 1,104 1,096
Falconbridge, Ltd. - Notes (US)
5.375% due 06/01/15 .................................. 1,395 1,218
Freeport McMoran Copper & Gold - Sr. Notes (US)
10.125% due 02/01/10 ................................. 50 55
-------
2,418
Multi-Utilities - 0.2%
Centerpoint Energy Houston - Bonds Ser. K (US)
6.95% due 03/15/33 ................................... 1,000 1,070
Centerpoint Energy, Inc. - Sr. Notes (US)
5.875% due 06/01/08 .................................. 1,000 1,011
6.85% due 06/01/15 ................................... 1,250 1,267
7.25% due 09/01/10 ................................... 1,250 1,329
-------
4,677
Multiline Retail - 0.0%
Saks, Inc. (US)
7.5% due 12/01/10 .................................... 50 52
Oil & Gas - 0.8%
Amerada Hess Corp. - Notes (US)
7.3% due 08/15/31 .................................... 2,100 2,132
Devon Energy Corp. - Sr. Debs. (US)
7.95% due 04/15/32 ................................... 1,480 1,710
Duke Capital LLC - Sr. Notes (US)
6.25% due 02/15/13 ................................... 700 710
Dynegy, Inc. - Sr. Sec. Notes 144A (a) (US)
10.125% due 07/15/13 ................................. 25 27
Enterprise Products Operating LP - Sr. Notes (US)
6.875% due 03/01/33 .................................. 1,714 1,586
Marathon Oil Corp. - Notes (US)
6.8% due 03/15/32 .................................... 1,494 1,549
SCHEDULE OF INVESTMENTS-Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MANAGED FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Oil & Gas - Continued
Newfield Exploration Co. - Sr. Sub. Notes (US)
8.375% due 08/15/12 .................................. $ 50 $ 54
Occidental Petroleum Corp. - Notes (US)
6.75% due 01/15/12 .................................. 1,913 2,107
Peco Energy Transport Trust - Ser. 1999A. Cl. A7 (US)
6.13% due 03/01/09 ................................... 315 338
Pemex Project Funding Master Trust - Sr. Notes 144A
(a) (US)
2.82% due 06/15/10 ................................... 200 201
Pemex Project Funding Master Trust - Notes (US)
6.125% due 08/15/08 .................................. 1,500 1,534
7.375% due 12/15/14 .................................. 1,700 1,734
Premcor Refining Group, Inc. - Sr. Sub. Notes (US)
7.75% due 02/01/12 ................................... 100 104
Teppco Partners - Sr. Notes (US)
6.125% due 02/01/13 .................................. 1,308 1,330
Texas Gas Transmission LLC - Notes (US)
4.6% due 06/01/15 .................................... 1,860 1,714
Union Oil Co. of California (US)
7.5% due 02/15/29 .................................... 80 90
Western Oil Sands, Inc. - Sr. Sec. Notes (US)
8.375% due 05/01/12 .................................. 25 27
-------
16,947
Other Asset Backed - 1.2%
Argent Securities, Inc. - Ser. 2004 W1 M3 (US)
1.0% due 02/25/34 .................................... 3,000 3,032
CWABS, Inc. - Ser. 2003-5 Cl. AF 2 (US)
3.042% due 04/25/25 .................................. 3,570 3,554
CWMBS, Inc. - Ser. 2004-7 CTF Cl. 2A1 (US)
1.0% due 04/25/34 .................................... 517 510
CWMBS, Inc. -Ser. 2004-12 CHL Cl. 12A1 (US)
4.933% due 08/25/34 .................................. 1,375 1,380
Drive Time Auto Owner Trust - Notes Ser. 2004-A
Cl. A3 (US)
1.0% due 08/15/08 .................................... 150 147
Equity One ABS, Inc. - Ser. 2004-2 Cl. AV2 (US)
1.55% due 07/25/34 ................................... 2,872 2,872
Equity One ABS, Inc. - Ser. 2003-3 Cl. AF3 (US)
3.531% due 12/25/33 .................................. 1,990 1,976
Equity One ABS, Inc. - Ser. 2004-1 Cl. M2 (US)
5.115% due 04/25/34 .................................. $1,000 $ 932
Equity One ABS, Inc. - Ser. 2004-1 Cl. M3 (US)
5.26% due 04/25/34 ................................... 2,250 2,098
Long Beach Mortgage Loan Trust - Ser. 2004-1 CTF
Cl. M6 (US)
1.0% due 03/25/34 .................................... 3,800 3,807
Long Beach Mortgage Loan Trust - Ser. 2004-1
Cl. M3 (US)
1.0% due 03/25/35 .................................... 2,400 2,400
Option One Loan Trust - Ser. 2004-1 CTF Cl. M 1 (US)
1.7% due 01/25/34 .................................... 1,400 1,399
-------
24,107
Other Mortgage - 0.4%
LB UBS Commercial Mortgage Trust - Ser. 2003-C3 Cl. K
144A (a) (US)
5.18% due 02/17/37 ................................... 1,363 1,269
LB UBS Commercial Mortgage Trust - Ser. 2003-C5 Cl. K
144A (a) (US)
5.25% due 04/15/37 ................................... 1,000 929
LB-UBS Commercial Mortgage Trust - Ser. 2000-C4 Cl. A2
(US)
7.37% due 06/15/10 ................................... 5,318 6,008
-------
8,206
Paper & Forest Products - 0.2%
Georgia Pacific Corp. - Sr. Notes (US)
8.875% due 02/01/10 .................................. 50 57
International Paper Co. - Notes (US)
6.75% due 09/01/11 ................................... 1,410 1,528
Norske Skogindustrier - Notes 144A (a) (US)
6.125% due 10/15/15 .................................. 60 59
7.625% due 10/15/11 .................................. 20 22
Potlatch Corp. - Sr. Sub. Notes (US)
10.0% due 07/15/11 ................................... 25 28
Temple Inland, Inc. - Notes (US)
7.875% due 05/01/12 .................................. 40 45
Weyerhaueser Co. - Debs (US)
7.375% due 03/15/32 .................................. 2,014 2,190
-------
3,929
Pharmaceuticals - 0.0%
Schering Plough Corp. - Sr. Notes (US)
5.3% due 12/01/13 .................................... 255 250
Wyeth - Notes (US)
4.375% due 03/01/08 .................................. 145 144
-------
394
SCHEDULE OF INVESTMENTS-Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MANAGED FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Real Estate Development - 0.0%
Developers Diversified Realty Co. - Notes (US)
4.625% due 08/01/10 .................................. $ 125 $ 120
Rouse Co. - Notes (US)
5.375% due 11/26/13 .................................. 70 68
7.2% due 09/15/12 .................................... 70 76
------
264
Real Estate Investment Trust - 0.3%
Boston Properties, Ltd. Partnership - Sr. Notes (US)
6.25% due 01/15/13 ................................... 1,763 1,849
Crescent Real Estate Equities - Notes (US)
1.0% due 09/15/07 .................................... 50 51
Health Care Property Investments, Inc. - Sr. Notes (US)
6.45% due 06/25/12 ................................... 973 1,043
Health Care Reit, Inc. - Notes (US)
6.0% due 11/15/13 .................................... 700 689
Hospitality Properties Trust - Sr. Notes (US)
6.75% due 02/15/13 ................................... 100 104
iStar Financial, Inc. - Sr. Notes (US)
7.0% due 03/15/08 .................................... 1,900 2,014
Price Reit, Inc. (US)
7.5% due 11/05/06 .................................... 125 137
Simon Property Group LP - Notes (US)
5.45% due 03/15/13 ................................... 100 99
Socgen Real Estate Co. LLC - Ser. A 144A (a) (US)
7.64% due 12/29/49 ................................... 110 121
------
6,107
Real Estate Operations - 0.0%
EOP Operating, Ltd. - Notes (US)
7.5% due 04/19/29 .................................... 50 53
Road & Rail - 0.0%
Norfolk Southern Corp. - Notes (US)
7.05% due 05/01/37 ................................... 50 53
Union Pacific Corp. - Sr. Notes (US)
6.25% due 05/01/34 ................................... 50 49
Union Pacific Resources Group, Inc. - Ser. 2002-1 (US)
6.061% due 01/17/23 .................................. 50 53
------
155
Semiconductor Equipment & Products - 0.0%
Amkor Technologies, Inc. - Sr. Notes (US)
7.75% due 05/15/13 ................................... 75 71
Specialty Retail - 0.0%
Pathmark Stores, Inc. - Sr. Sub. Notes (US)
8.75% due 02/01/12 ................................... $ 75 $ 75
Telephone - 0.1%
Centennial Communications Corp. - Sr. Notes 144A (a)
(US)
8.125% due 02/01/14 .................................. 75 69
Cincinatti Bell, Inc. - Sr. Notes (US)
7.25% due 07/15/13 ................................... 50 47
Citizens Communications Co. - Sr. Notes (US)
9.0% due 08/15/31 .................................... 1,600 1,543
Qwest Services Corp. - Sr. Sub. Sec. Notes 144A (a) (US)
13.5% due 12/15/10 ................................... 75 87
Royal KPNNV - Notes (US)
8.375% due 10/01/30 .................................. 40 49
SBC Communications, Inc. - Notes (US)
5.875% due 02/01/12 .................................. 50 51
------
1,846
Textiles & Apparel - 0.0%
Payless Shoesource, Inc. - Sr. Sub. Notes (US)
8.25% due 08/01/13 ................................... 75 74
Tobacco - 0.0%
Altria Group, Inc. - Notes (US)
7.0% due 11/04/13 .................................... 700 713
Badger Tobacco (US)
6.125% due 06/01/27 .................................. 170 154
------
867
U.S. Government Agencies - 11.0%
Federal Home Loan Bank - Notes (US)
2.5% due 12/15/05 .................................... 875 874
2.625% due 07/15/08 .................................. 370 352
Federal Home Loan Bank - Sr. Notes (US)
5.8% due 09/02/08 .................................... 1,000 1,068
Federal Home Loan Mortgage Corp. - Bonds (US)
5.0% due 07/25/34 .................................... 8,000 7,720
Federal Home Loan Mortgage Corp. - Debs. (US)
5.5% due 07/15/06 .................................... 480 502
5.875% due 03/21/11 .................................. 1,120 1,177
6.25% due 07/15/32 ................................... 2,000 2,107
Federal Home Loan Mortgage Corp. - Bonds Ser. 2590
CLIP (US)
5.5% due 08/31/15 .................................... 4,000 1,385
SCHEDULE OF INVESTMENTS-Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MANAGED FUND
Par Market
Name of Issuer Value Value
-------------- ------- --------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
U.S. Government Agencies - Continued
Federal Home Loan Mortgage Corp. - Bonds (US)
5.5% due 01/01/34 ................................... $ 2,410 $ 2,403
6.0% due 08/01/16 ................................... 268 280
6.0% due 08/01/17 ................................... 321 335
6.5% due 03/01/17 ................................... 170 179
6.5% due 06/25/34 ................................... 5,000 5,209
Federal National Mortgage Assoc. - Bonds (US)
7.5% due 01/25/28 ................................... 113 121
1.0% due 09/01/33 ................................... 660 653
3.875% due 07/01/33 ................................. 177 174
4.5% due 07/25/18 ................................... 16,500 16,118
4.5% due 10/01/18 ................................... 4,642 4,548
5.0% due 05/01/18 ................................... 355 357
5.0% due 07/25/18 ................................... 7,500 7,507
5.0% due 10/01/18 ................................... 952 956
5.0% due 07/25/33 ................................... 10,100 9,753
5.0% due 03/01/34 ................................... 6,910 6,697
5.0% due 03/01/34 ................................... 4,812 4,663
5.5% due 07/25/15 ................................... 15,240 15,583
5.5% due 06/01/33 ................................... 2,846 2,840
5.5% due 07/25/33 ................................... 10,100 10,049
5.5% due 08/01/33 ................................... 6,040 6,029
5.5% due 11/01/33 ................................... 8,569 8,552
5.5% due 12/01/33 ................................... 1,154 1,152
5.5% due 02/01/34 ................................... 6,531 6,508
5.5% due 02/01/34 ................................... 1,367 1,362
6.0% due 07/01/16 ................................... 203 212
6.0% due 03/01/17 ................................... 2,459 2,570
6.0% due 01/01/33 ................................... 3,932 4,021
6.0% due 03/01/33 ................................... 3,117 3,188
6.0% due 07/25/33 ................................... 11,500 11,974
6.0% due 07/25/33 ................................... 14,332 14,628
6.5% due 07/25/18 ................................... 7,244 7,645
6.5% due 04/01/32 ................................... 944 983
6.5% due 07/25/33 ................................... 14,253 14,836
6.5% due 04/01/34 ................................... 783 817
7.0% due 09/01/16 ................................... 216 229
7.0% due 11/01/30 ................................... 64 67
7.0% due 09/01/31 ................................... 110 116
7.0% due 12/01/31 ................................... 340 360
7.0% due 03/01/32 ................................... 137 145
7.0% due 04/01/32 ................................... 80 85
7.0% due 07/25/33 ................................... 7,080 7,465
7.5% due 11/01/30 ................................... 65 69
7.5% due 06/01/31 ................................... 265 284
8.0% due 12/01/29 ................................... 177 193
Federal National Mortgage Assoc. - Notes (US)
2.5% due 06/15/08 ................................... 3,000 2,850
4.25% due 07/15/07 .................................. 7,000 7,129
4.375% due 03/15/13 ................................. 4,250 4,054
6.0% due 12/15/05 ................................... 555 582
6.0% due 05/15/08 ................................... $ 775 $ 835
6.625% due 11/15/10 ................................. 2,700 2,998
Federal National Mortgage Assoc. - Bonds Cl. 2 (US)
5.0% due 06/01/33 ................................... 155 43
5.5% due 11/01/33 ................................... 7,502 2,132
Federal National Mortgage Assoc. - Debs. (US)
6.625% due 11/15/30 ................................. 3,462 3,810
Federal National Mortgage Assoc. - Bonds Ser. 2001-50
Cl. BA (US)
7.0% due 10/25/41 ................................... 128 136
Government National Mortgage Assoc. - Bonds (US)
5.0% due 10/15/33 ................................... 1,145 1,113
5.5% due 01/15/34 ................................... 1,060 1,060
6.0% due 06/15/33 ................................... 2,645 2,717
6.5% due 11/15/32 ................................... --
8.0% due 11/15/30 ................................... 189 207
--------
226,766
U.S. Governmental - 5.3%
U.S. Treasury - Notes (US)
1.125% due 06/30/05 ................................. 6,250 6,193
1.625% due 09/30/05 ................................. 1,800 1,787
1.625% due 02/28/06 ................................. 36,822 36,283
1.75% due 12/31/04 .................................. 4,450 4,451
2.0% due 11/30/04 ................................... 2,000 2,003
2.25% due 07/31/04 .................................. 2,900 2,902
3.0% due 02/15/09 ................................... 14,351 13,906
3.625% due 01/15/08 ................................. 1,189 1,299
3.875% due 02/15/13 ................................. 1,020 975
4.0% due 06/15/09 ................................... 4,819 4,860
4.75% due 05/15/14 .................................. 12,558 12,689
5.0% due 02/15/11 ................................... 2,050 2,146
5.75% due 08/15/10 .................................. 3,275 3,571
6.0% due 08/15/09 ................................... 1,110 1,220
6.75% due 05/15/05 .................................. 3,465 3,605
U.S. Treasury - Bonds (US)
5.25% due 02/15/29 .................................. 2,695 2,642
5.375% due 02/15/31 ................................. 4,343 4,380
6.5% due 11/15/26 ................................... 92 105
8.0% due 11/15/21 ................................... 285 373
8.875% due 08/15/17 ................................. 2,605 3,570
--------
108,960
Whole Loan CMOs - 0.3%
GS Mortgage Securities Corp. - Ser. 2004 Cl. A2C (US)
1.58% due 05/25/34 .................................. 3,000 3,000
Merrill Lynch Mortgage Investments, Inc. - Ser. 2004
A1 Cl. 2A1 (US)
4.67% due 02/25/34 .................................. 450 449
SCHEDULE OF INVESTMENTS-Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MANAGED FUND
Par Market
Name of Issuer Value Value
-------------- -------- -----------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Whole Loan CMOs - Continued
Structured Asset Securities Corp. - Ser. 2004-6XS
Cl. M1 (US)
4.92% due 03/25/34 .............................. $ 2,500 $ 2,437
Structured Assets Securities Corp. (US)
8.517% due 07/15/27 ............................. 70 75
----------
5,961
Wireless Telecommunications Services - 0.1%
AT&T Wireless, Inc. - Sr. Notes (US)
8.75% due 03/01/31 .............................. 767 935
Dobson Communications Corp. - Sr. Notes (US)
10.875% due 07/01/10 ............................ 100 87
Nextel Communications, Inc. - Sr. Notes (US)
7.375% due 08/01/15 ............................. 50 50
Triton PCS, Inc. - Sr. Sub. Notes (US)
8.75% due 11/15/11 .............................. 75 62
Western Wireless Corp. - Sr. Notes (US)
9.25% due 07/15/13 .............................. 50 51
----------
1,185
----------
TOTAL PUBLICLY-TRADED BONDS-
(Cost $694,353) 33.7% 698,195
-------- ----------
TOTAL LONG-TERM INVESTMENTS-
(Cost $1,884,692) 98.9% 2,046,754
INVESTMENT COMPANIES HELD AS COLLATERAL ON LOANED
SECURITIES - 7.7%
State Street Navigator Securities
Lending Portfolio ............................... 158,706 158,706
SHORT-TERM INVESTMENTS - 6.9%
Investment in joint trading account
1.344% due 07/01/04
(Cost $142,528) ................................. 142,528 142,528
-------- ----------
TOTAL INVESTMENTS-
(Cost $2,185,926) 113.5% 2,347,988
Payables, less cash and receivables- (13.5)% (279,138)
-------- ----------
NET ASSETS- 100.0% $2,068,850
======== ==========
(a) Pursuant to Rule 144A under the Securities Act of 1933, these securities
may be resold in transactions exempt from registration, normally to
qualified institutional buyers. At June 30, 2004, securities aggregated
$34,711 or 1.7% of net assets of the Portfolio.
ADR-American Depository Receipt.
See notes to financial statements.
SUMMARY OF LONG-TERM SECURITIES BY COUNTRY
% of
Country Market Long-Term
Abbreviation Value Investments
------------ ---------- -----------
(000s)
United States ........................ US $2,046,488 100.0%
Supra National ....................... XU 114 0.0%
Italy ................................ IT 96 0.0%
Canada ............................... CA 56 0.0%
---------- -----
$2,046,754 100.0%
========== =====
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Managed Fund (the "Fund") is a diversified series of John
Hancock Variable Series Trust I (the "Trust"), an open-end investment management
company registered under the Investment Company Act of 1940. The Trust is
organized as a Massachusetts business trust and consists of thirty different
funds as of June 30, 2004. The results of this Fund are included in this report.
The results of the other Funds in the Trust are presented under separate cover.
The Trust may add or delete Funds in the future to accommodate various
investment objectives. The Trust has issued shares of beneficial interest
exclusively to John Hancock Variable Life Account U ("JHVLAU"), John Hancock
Variable Life Account V ("JHVLAV"), John Hancock Variable Life Account S
("JHVLAS"), and John Hancock Variable Annuity Account I ("JHVAAI") to fund
policies and contracts issued by the John Hancock Variable Life Insurance
Company ("JHVLICO"), and to John Hancock Variable Annuity Account U ("JHVAAU"),
John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock Variable Life
Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H ("JHVAAH"), and
John Hancock Variable Annuity Account JF ("JHVAAJF") to fund contracts and
policies issued by John Hancock Life Insurance Company ("John Hancock" or
"JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"), and to John
Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Debt investment securities having a primary market over-the-counter are
valued on the basis of valuations furnished by a pricing service which
determines valuations for normal institutional size trading units of debt
securities, without exclusive reliance upon quoted prices.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Discount and premium on debt securities: The Fund accretes discount and
amortizes premium from par value on securities from either the date of issue or
the date of purchase over the life of the security.
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
The Fund had borrowings under the line of credit during the period ended
June 30, 2004 as follows:
Average Daily Loan Balance
During the Period for which Weighted Average
Loans were Outstanding Interest Rate Interest Expense
- --------------------------- ---------------- ----------------
$480 1.50% $--
Securities lending: The Fund has entered into an agreement with SSBT to
lend its securities to certain qualified brokers who pay the Fund's negotiated
lender fees. This loan is collateralized at all times with cash or securities
with a market value at least equal to the market value of the securities on
loan. Cash collateral is invested in a short-term instrument. As with other
extensions of credit, the Fund may bear the risk of delay of the loaned
securities in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. At June 30, 2004, the market value
of the securities loaned and the market value of the collateral for the Fund was
as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$156,092 $158,706
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, the Fund had no open
financial futures contracts.
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At December 31, 2003, the Fund had
no open forward foreign currency contracts. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the the Fund had approximate net tax basis capital
loss carryforwards, which may be
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
applied against any net taxable gains, as follows: $2,001, $90,271, $87,450 and
$23,686 which expire in 2008, 2009, 2010 and 2011, respectively.
Certain of the above losses may be limited under sections 382-384 of the
Internal Revenue Code, as amended.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Dividend
income for the Fund is shown net of foreign taxes withheld of $61. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
Between
$500 Million and Excess Over
First $500 Million $1 Billion $1 Billion
- ------------------ ---------------- -----------
0.74% 0.68% 0.65%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. Accordingly,
for the period ended June 30, 2004, there were no reimbursements paid the Fund.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $255.
John Hancock has entered into a Sub-Advisory Agreement with Independence
Investment LLC, an affiliate of John Hancock, and under its supervision, is
responsible for the day-to-day investment management of the Fund. John Hancock
has also entered into a Sub-Advisory Agreement with Capital Guardian Trust
Company, and under its supervision, is also responsible for the day-to-day
investment management of the Fund.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH
AFFILIATES--Continued
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- ---------- --------------------
$2,986,327 $3,008,099
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, commercial paper and collateral held for
securities lending) and their respective gross unrealized appreciation and
depreciation for Federal income tax purposes at December 31, 2003 were as
follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$2,155,706 $224,195 $(26,248) $197,947
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations, which may differ from accounting principles generally accepted in
the United States of America. These differences primarily relate to certain
securities sold at a loss and premium amortization and market discount accretion
on debt securities. Additionally, as a result, net investment income (loss) and
net realized gain (loss) on investment transactions for a reporting period may
differ significantly from distributions during such period. Accordingly, the
Fund may periodically make reclassifications among certain of its capital
accounts without impacting the net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $203,408 $197,947
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $63,276 $-- $8,852
2002 39,246 -- --
Inception: May 1, 1994
- --------------------------------------------------------------------------------
Mid Cap Growth Fund (FORMERLY SMALL / MID CAP GROWTH FUND)
Wellington Management Company, LLP Frank J. Boggan
- --------------------------------------------------------------------------------
.. Year-to-date, the Fund returned 2.79%, underperforming its custom
benchmark. Relative to Morningstar peers, the Fund has an above average
rating of 5 with an above average risk profile.
.. On May 1st, the Fund's name changed to reflect the strategy's focus on
primarily mid cap companies. Wellington continues to manage the Fund.
.. The Fund underperformed its benchmark primarily due to unfavorable security
selection decisions, especially in the information technology sector.
.. The Fund's exposure to the health care sector was the largest contributor
to absolute returns, while exposures to information technology companies
were the largest detractors.
.. At quarter end, the Fund held the most significant overweight to the Health
Care sector. The Information Technology sector has the largest exposure in
the Fund, yet it is underweight relative to its Index.
.. The manager employs fundamental research to identify high quality companies
with above average growth characteristics relative to industry peers. The
Fund emphasizes companies with profitable growth characteristics, strong
balance sheets and attractive valuations. The Fund's sector allocations are
broadly diversified but are primarily driven by stock selection.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Assets
------
Chesapeake Energy Corp. 2.8%
Pactiv Corp. 2.6%
Arthur J. Gallagher & Co. 2.5%
Varian Semiconductor Equipment Associates, Inc. 2.5%
Michaels Stores, Inc. 2.4%
Fisher Scientific International, Inc. 2.4%
O'Reilly Automotive, Inc. 2.3%
Petco Animal Supplies, Inc. 2.3%
Federated Investments, Inc. 2.2%
ITT Educational Services, Inc. 2.1%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Mid Cap Mid Cap
Growth Growth
Fund Benchmark/4/
------- ------------
YTD/3/ 2.79% 5.06%
1 Year 27.32 29.39
3 Years 6.36 0.03
5 Years 4.97 1.87
10 Years 10.56 11.91
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Mid Cap Growth
MORNINGSTAR RISK/1/:
.. Above Average (VL/VUL)
.. Above Average (VA)
MORNINGSTAR RATING/1/:
.. ***** (VL/VUL)
.. ***** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
Assets
------
Information Technology 24%
Health Care 23%
Consumer Discretionary 20%
Industrials 13%
Financials 10%
Energy 5%
Materials 3%
Consumer Staples 2%
Telecommunication Services 1%
Utilities 0%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 482 VL/VUL subaccounts and 850 VA subaccounts in the
Morningstar Mid Cap Growth category. This represents the Morningstar 3 year
rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions, and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate that shares, when redeemed, may be worth more or
less than their original cost. Small company investing entails special
risks as discussed in the prospectus. The performance of the fund on this
page is reported net of Trust level charges (i.e. investment management
fees and operating expenses). It does not reflect expense and charges of
the applicable separate accounts and variable products, all of which vary
to a considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
/4/ The Mid Cap Growth Fund benchmark is the Russell Mid Cap(TM) Growth Index
from May 1994 to April 1999 and the Russell 2500(TM) Growth Index May 1999
to April 2004 and the Russell Mid Cap(TM) Growth Index May 2004 to present.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Mid Cap Growth Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $54,808 of
securities loaned (Note B)) ..................................... $202,937
Net unrealized appreciation of investments ......................... 13,498
Short-term investments at value .................................... 58,882
--------
Total investments ............................................ 275,317
Receivable for:
Investments sold ................................................ 4,448
Dividends ....................................................... 80
--------
Total assets ....................................................... 279,845
--------
LIABILITIES
Payables for:
Investments purchased ........................................... 3,753
Collateral for securities on loan ............................... 55,237
Accrued operating expenses ...................................... 42
--------
Total liabilities .................................................. 59,032
--------
Net assets ......................................................... $220,813
========
Shares outstanding, $0.01 Par Value (unlimited shares authorized) .. 14,255
--------
Net asset value per share .......................................... $ 15.49
========
Composition of net assets:
Capital paid-in ................................................. $184,766
Accumulated net realized gain on investments futures and
foreign currency transactions ................................ 23,247
Undistributed net investment loss ............................... (698)
Net unrealized appreciation of investments ...................... 13,498
--------
Net assets ......................................................... $220,813
========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Mid Cap Growth Fund
INVESTMENT INCOME
Interest ........................................................ $ 16
Dividends ....................................................... 350
Securities lending .............................................. 23
--------
Total investment income ............................................ 389
--------
EXPENSES
Investment advisory fee ......................................... 1,032
Auditors fees ................................................... 13
Custodian fees .................................................. 43
Legal fees ...................................................... 13
Printing & mailing fees ......................................... 9
Trustees' fees................................................... 4
Other fees ...................................................... 8
--------
Total expenses ..................................................... 1,122
--------
Less custodian expense reduction offset by commission recapture
arrangement (Note C) ......................................... (35)
--------
Net expenses ....................................................... 1,087
--------
Net investment loss ................................................ (698)
--------
REALIZED AND UNREALIZED GAIN
Net realized gain on investments ................................ 26,975
Change in unrealized depreciation on investments ................ (20,265)
--------
Net realized and unrealized gain ................................... 6,710
--------
Net increase in net assets resulting from operations ............... $ 6,012
========
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Mid Cap Growth Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment loss ....................................... $ (698) $ (694)
Net realized gain ......................................... 26,975 16,619
Change in net unrealized appreciation (depreciation) ...... (20,265) 52,166
-------- --------
Net increase in net assets resulting from operations ... 6,012 68,091
Distributions to shareholders from:
Realized gains ............................................ (14,419)
--------
Decrease in net assets resulting from distributions .... (14,419)
From fund share transactions:
Proceeds from shares sold ................................. 31,114 77,826
Distributions reinvested .................................. 14,419
Payment for shares redeemed ............................... (39,335) (63,853)
-------- --------
Increase (decrease) in net assets from fund share
transactions ........................................ (8,221) 28,392
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS ........................ (2,209) 82,064
NET ASSETS
Beginning of Period ....................................... 223,022 140,958
-------- --------
End of Period (including undistributed net investment
loss of $(698) and $0, respectively) ................... $220,813 $223,022
======== ========
Analysis of fund share transactions:
Sold ...................................................... 2,013 5,839
Reinvested ................................................ 970
Redeemed .................................................. (2,557) (4,848)
-------- --------
Net increase (decrease) in fund shares outstanding ........... (544) 1,961
======== ========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Mid Cap Growth Fund
--------------------------------------------------------------------
Unaudited
Period Ended Year Ended December 31,
June 30, ---------------------------------------------------
2004 2003 2002 2001 2000
-------------- ----------- ----------- ----------- ---------
Net Assets Value at Beginning of Period ................. $ 15.07 $ 10.98 $ 14.09 $ 13.70 $ 14.03
Income from Investment Operations:
Net Investment Loss .................................. (0.06) (0.02) (0.09) (0.06) (0.02)
Net Realized and Unrealized Gain (Loss) on
Investment(a) ..................................... 0.48 5.15 (2.88) 0.45 1.27
-------- -------- -------- -------- --------
Total From Investment Operations ..................... 0.42 5.13 (2.97) 0.39 1.25
Less Distributions:
Distribution from Net Realized Gains on
Investments ....................................... (1.04) (0.14) (1.43)
Distribution from Excess of Net Investment Income/
Gains ............................................. (0.15)
Distribution from Capital Paid-in ....................
-------- -------- -------- -------- --------
Total Distributions .................................. (1.04) (0.14) (1.58)
-------- -------- -------- -------- --------
Net Assets Value at End of Period ....................... $ 15.49 $ 15.07 $ 10.98 $ 14.09 $ 13.70
======== ======== ======== ======== ========
Total Investment Return(b) .............................. 2.79%(e) 46.87% (21.13)% 2.83% 9.25%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net
Assets ............................................ 1.05%(d)(f) 1.06%(d) 1.07%(c) 0.91%(c) 0.85%
Ratio of Net Investment Loss to Average Net
Assets ............................................ (0.65)%(f) (0.40)% (0.72)% (0.40)% (0.20)%
Portfolio Turnover Rate .............................. 60.16%(e) 124.21% 130.01% 113.73% 103.19%
Net Assets End of Period (000s Omitted) ................. $220,813 $223,022 $140,958 $185,232 $190,010
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made, the annual expense ratio would have been 1.07%, and 0.91% for
the years ended December 31, 2002, and 2001, respectively.
(d) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
(e) Not annualized.
(f) Annualized.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MID CAP GROWTH FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK
Aerospace & Defense - 1.6%
Engineered Support Systems, Inc. * ...................... 34,100 $ 1,995
Precision Castparts Corp. ............................... 26,300 1,439
-------
3,434
Airlines - 0.3%
Airtran Holdings, Inc. * ................................ 47,900 677
Auto Components - 0.9%
Lear Corp. * ............................................ 35,400 2,088
Beverages - 0.4%
Constellation Brands, Inc. - Cl. A * .................... 23,400 869
Biotechnology - 4.0%
Abgenix, Inc. * ......................................... 42,700 500
Albany Molecular Research, Inc. * ....................... 36,400 471
Celgene Corp. * ......................................... 20,900 1,197
Cephalon, Inc. * ........................................ 18,400 994
CV Therapeutics, Inc. * ................................. 70,000 1,173
Exelixis, Inc. * ........................................ 63,000 636
Human Genome Sciences, Inc. * ........................... 70,000 814
Incyte Pharmacuticals, Inc. ............................. 130,000 993
Millennium Pharmaceuticals, Inc. * ...................... 77,000 1,062
Vertex Pharmaceuticals, Inc. * .......................... 100,000 1,084
-------
8,924
Commercial Services & Supplies - 7.0%
Career Education Corp. * ................................ 43,900 2,000
Checkfree Corp. * ....................................... 56,900 1,707
Corporate Executive Board Co. * ......................... 35,200 2,034
DST Systems, Inc. * ..................................... 46,100 2,217
ITT Educational Services, Inc. * ........................ 119,700 4,551
Waste Connections, Inc. * ............................... 98,850 2,932
-------
15,441
Communications Equipment - 6.2%
3Com Corp. .............................................. 127,000 794
Avaya, Inc. * ........................................... 75,000 1,184
Emulex Corp. * .......................................... 60,000 859
Extreme Networks, Inc. * ................................ 85,000 469
Foundry Networks, Inc. * ................................ 85,000 1,196
Polycom, Inc. * ......................................... 105,800 2,371
Research in Motion, Ltd. * .............................. 13,000 890
Tekelec, Inc. * ......................................... 190,000 3,452
Utstarcom, Inc. * ....................................... 84,000 2,541
-------
13,756
Computers & Peripherals - 1.1%
Maxtor Corp. * .......................................... 120,000 795
SanDisk Corp. * ......................................... 79,100 1,716
-------
2,511
Construction & Engineering - 0.2%
Dycom Industries, Inc. * ................................ 14,500 406
Containers & Packaging - 2.5%
Pactiv Corp. * .......................................... 221,900 5,534
Diversified Financials - 5.9%
Ameritrade Holding Corp. * .............................. 177,100 $ 2,010
E*TRADE Group, Inc. * ................................... 285,300 3,181
Federated Investments, Inc. - Cl. B ..................... 157,300 4,773
Legg Mason, Inc. * ...................................... 34,700 3,158
-------
13,122
Electrical Equipment - 1.5%
American Power Conversion ............................... 168,700 3,315
Electronic Equipment & Instruments - 3.2%
Benchmark Electronics, Inc. * ........................... 80,949 2,356
Ingram Micro, Inc. - Cl. A * ............................ 120,700 1,746
Plexus Corp. * .......................................... 20,000 270
TTM Technologies, Inc. * ................................ 36,000 427
Waters Corp. * .......................................... 47,500 2,269
-------
7,068
Energy Equipment & Services - 1.6%
Ensco International, Inc. ............................... 121,000 3,521
Food Products - 1.4%
Hain Celestial Group, Inc. * ............................ 166,000 3,005
Health Care Equipment & Supplies - 7.6%
Cooper Cos, Inc. ........................................ 43,200 2,729
Diagnostic Products Corp. ............................... 98,500 4,328
Edwards Lifesciences Corp. * ............................ 72,900 2,540
Fisher Scientific International, Inc. ................... 88,400 5,105
Viasys Healthcare, Inc. * ............................... 95,300 1,993
-------
16,695
Health Care Providers & Services - 6.2%
Caremark Rx, Inc. * ..................................... 32,700 1,077
Coventry Health Care, Inc. * ............................ 53,500 2,616
Healthnet, Inc. * ....................................... 120,000 3,180
Odyssey Healthcare, Inc. * .............................. 169,900 3,198
Triad Hospitals, Inc. * ................................. 98,200 3,656
-------
13,727
Hotels Restaurants & Leisure - 0.6%
Krispy Kreme Doughnuts, Inc. * .......................... 63,000 1,203
LifeTime Fitness, Inc. * ................................ 4,100 86
-------
1,289
Household Durables - 2.2%
Garmin, Ltd. ............................................ 12,000 445
Standard Pacific Corp. .................................. 88,300 4,353
-------
4,798
Insurance - 3.9%
Ambac Financial Group, Inc. ............................. 43,600 3,202
Arthur J. Gallagher & Co. ............................... 179,800 5,475
-------
8,677
Internet & Catalog Retail - 0.3%
1-800 Flowers.com., Inc. - Cl. A * ...................... 82,000 667
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MID CAP GROWTH FUND
Market
Name of Issuer Shares Value
-------------- ------- --------
(000's)
COMMON STOCK - Continued
Internet Software & Services - 1.5%
Ask Jeeves, Inc. * ..................................... 66,300 $ 2,588
DoubleClick, Inc. ...................................... 90,000 699
--------
3,287
Machinery - 0.8%
Graco, Inc. * .......................................... 55,600 1,726
Oil & Gas - 3.4%
Chesapeake Energy Corp. ................................ 415,100 6,111
Plains Exploration & Production Co. * .................. 73,200 1,343
--------
7,454
Pharmaceuticals - 3.2%
Biovail Corp. * ........................................ 131,100 2,489
King Pharmaceuticals, Inc. * ........................... 206,100 2,360
Medco Health Solutions, Inc. * ......................... 36,300 1,361
Watson Pharmaceuticals, Inc. * ......................... 30,900 831
--------
7,041
Road & Rail - 1.7%
Yellow Roadway Corp. * ................................. 91,800 3,659
Semiconductor Equipment & Products - 6.4%
Conexant Systems, Inc. * ............................... 145,000 628
Fairchild Semiconductor Corp. - Cl. A * ................ 104,300 1,707
Integrated Device Technology, Inc. * ................... 64,000 886
International Rectifier Corp. * ........................ 58,300 2,415
MPS Group, Inc. * ...................................... 60,000 727
Novellus Systems, Inc. * ............................... 44,300 1,393
ON Semiconductor Corp. * ............................... 77,000 387
Skyworks Solutions, Inc. ............................... 76,000 663
Varian Semiconductor Equipment Associates, Inc. ........ 140,200 5,406
--------
14,212
Software - 3.1%
Ascential Software Corp. ............................... 58,000 927
Cadence Design Systems, Inc. * ......................... 144,100 2,108
Cognex Corp. ........................................... 29,000 1,116
Dendrite International, Inc. * ......................... 73,500 1,366
THQ, Inc. * ............................................ 62,100 1,422
--------
6,939
Specialty Retail - 12.8%
CDW Corp. .............................................. 47,700 3,041
Chicos Fas, Inc. * ..................................... 77,600 3,505
Michaels Stores, Inc. * ................................ 94,200 5,181
O'Reilly Automotive, Inc. * ............................ 111,200 5,026
Pacific Sunwear of California, Inc. * .................. 224,400 4,392
Petco Animal Supplies, Inc. * .......................... 155,600 5,012
Williams-Sonoma, Inc. * ................................ 66,600 2,195
--------
28,352
Textiles & Apparel - 4.4%
Coach, Inc. * .......................................... 60,900 2,752
Columbia Sportswear Co. * .............................. 81,000 4,424
Liz Claiborne, Inc. * .................................. 70,200 $ 2,526
--------
9,702
Trading Companies & Distributors - 1.5%
Fastenal Co. * ......................................... 58,300 3,313
Wireless Telecommunications Services - 0.6%
Nextel Partners, Inc. - Cl. A * ........................ 77,000 1,226
--------
TOTAL COMMON STOCK-
(Cost $202,937) 98.0% 216,435
Par
Value
-------
(000's)
INVESTMENT COMPANIES HELD
AS COLLATERAL ON LOANED
SECURITIES - 25.0%
State Street Navigator Securities Lending
Portfolio. ......................................... $55,237 55,237
SHORT-TERM INVESTMENTS - 1.7%
Investment in joint trading account
1.344% due 07/01/04 (Cost $3,645) .................. 3,645 3,645
------- --------
TOTAL INVESTMENTS-(Cost $261,819) 124.7% 275,317
Payables, less cash and receivables- (24.7)% (54,504)
------- --------
NET ASSETS- 100.0% $220,813
======= ========
* Non-income producing security.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Mid Cap Growth Fund, (formerly John Hancock Small/Mid Cap
Growth), (the "Fund") is a diversified series of John Hancock Variable Series
Trust I (the "Trust"), an open-end investment management company registered
under the Investment Company Act of 1940. The Trust is organized as a
Massachusetts business trust and consists of thirty different funds as of June
30, 2004. The results of this Fund are included in this report. The results of
the other Funds in the Trust are presented under separate cover. The Trust may
add or delete Funds in the future to accommodate various investment objectives.
The Trust has issued shares of beneficial interest exclusively to John Hancock
Variable Life Account U ("JHVLAU"), John Hancock Variable Life Account V
("JHVLAV"), John Hancock Variable Life Account S ("JHVLAS"), and John Hancock
Variable Annuity Account I ("JHVAAI") to fund policies and contracts issued by
the John Hancock Variable Life Insurance Company ("JHVLICO"), and to John
Hancock Variable Annuity Account U ("JHVAAU"), John Hancock Variable Annuity
Account V ("JHVAAV"), John Hancock Variable Life Account UV ("JHVLAUV"), John
Hancock Variable Annuity Account H ("JHVAAH"), and John Hancock Variable Annuity
Account JF ("JHVAAJF") to fund contracts and policies issued by John Hancock
Life Insurance Company ("John Hancock" or "JHLICO"), to John Hancock Variable
Life Account PPM-1 ("PPM-1"), and to John Hancock Variable Life Account PPM-2
("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations.
The Fund had borrowings under the line of credit during the period ended
June 30, 2004 as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Average Daily Loan Balance
During the Period for which Weighted Average
Loans were Outstanding Interest Rate Interest Expense
- --------------------------- ---------------- ----------------
$10,882 1.50% $2
Securities lending: The Fund has entered into an agreement with SSBT to
lend its securities to certain qualified brokers who pay the Fund's negotiated
lender fees. This loan is collateralized at all times with cash or securities
with a market value at least equal to the market value of the securities on
loan. Cash collateral is invested in a short-term instrument. As with other
extensions of credit, the Fund may bear the risk of delay of the loaned
securities in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. At June 30, 2004, the market value
of the securities loaned and the market value of the collateral for the Fund was
as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$54,808 $55,237
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, the Fund had no open
financial futures contracts.
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had no capital loss carryforwards on a
tax basis to be applied against any future taxable gains.
In addition, from the period November 1, 2003, through December 31, 2003,
the Fund incurred no net realized capital losses.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
Between
$50 Million and Excess Over
First $50 Million $200 Million $200 Million
- ----------------- --------------- ------------
1.00% 0.95% 0.90%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. Accordingly,
for the period ended June 30, 2004, there were no reimbursements paid to the
Fund.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $35.
John Hancock has entered into a Sub-Advisory Agreement with Wellington
Management Company, and under its supervision, is responsible for the day-to-day
investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$129,020 $140,469
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, commercial paper and collateral for
securities lending) and their respective gross unrealized appreciation and
depreciation for Federal income tax purposes at December 31, 2003 were as
follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------- --------------
$228,422 $35,759 $(5,249) $30,510
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax return.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
relate to certain securities sold at a loss. Additionally, as a result, net
investment income (loss) and net realized gain (loss) on investment transactions
for a reporting period may differ significantly from distributions during such
period. Accordingly, the Fund may periodically make reclassifications among
certain of its capital accounts without impacting the net asset value of the
Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $-- $30,510
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $10,380 $4,039 --
2002 -- -- $1,738
Included in the Fund's 2003 distributions from ordinary income is $5,111 in
excess of investment company taxable income, which in accordance with applicable
US tax law, is taxable to shareholders as ordinary income distributions.
Inception: May 1, 2003
- --------------------------------------------------------------------------------
Mid Cap Value Fund
T. Rowe Price Associates, Inc. David J. Wallack
- --------------------------------------------------------------------------------
.. Year-to-date, the Fund returned 7.88%, outperforming its benchmark, the
Russell MidCap Value Index.
.. The Fund outperformed its benchmark primarily due to stock selection
decisions especially within health care and telecomm services.
.. The Fund's exposures to the energy and financial sectors were the largest
contributors to absolute performance.
.. The Fund increased its exposure to financials during the period but
remained well below the index weight at quarter end. The consumer staples
sector was also underweight. Alternatively, the fund ended the quarter with
a greater than benchmark weight in the health care and telecommunication
services sectors.
.. The Fund employs a bottom-up, value-oriented investment approach, focusing
on companies with attractive valuations, strong cash flow generation and
sound balance sheets. The Fund's sector allocations are broadly diversified
but are primarily driven by stock selection.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Assets
------
Diamond Offshore Drilling, Inc. 2.5%
St. Paul Cos., Inc. 1.7%
Grant Prideco, Inc. 1.5%
Neighborcare, Inc. 1.4%
MedImmune, Inc. 1.4%
Safeco Corp. 1.4%
Genworth Financial, Inc. 1.3%
Tenet Healthcare Corp. 1.3%
NiSource, Inc. 1.3%
Viad Corp. 1.3%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Russell
Mid Cap Mid Cap(R) Value
Value Fund Index/4/
---------- ----------------
YTD/3/ 7.88% 7.16%
1 Year 31.25 30.81
Since Inception (5/1/03) 39.45 36.14
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Mid Cap Value
MORNINGSTAR RISK/1/:
.. (VL/VUL)NA
.. (VA) NA
MORNINGSTAR RATING/1/:
.. (VL/VUL) N/A
.. (VA) N/A
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
Assets
------
Financials 24%
Consumer Discretionary 15%
Industrials 11%
Information Technology 11%
Health Care 9%
Utilities 9%
Energy 8%
Materials 6%
Consumer Staples 4%
Telecommunication Services 3%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04 this fund is not yet rated.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The performance of the fund on this page
is reported net of Trust level charges (i.e. investment management fees and
operating expenses). It does not reflect expense and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
/4/ The Russell Midcap(R) Valve Index measures the performance of those Russell
Midcap companies with lower price-to-book nation and lower forecasted
growth values. The stocks are also members of the Russell 1000(R) Value
Index.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Mid Cap Value Fund
(000's Omitted)
ASSETS
Long term investments at cost ........................................ $29,794
Net unrealized appreciation of investments ........................... 2,302
Short-term investments at value ...................................... 1,486
-------
Total investments .............................................. 33,582
Receivable for:
Investments sold .................................................. 157
Dividends ......................................................... 31
Other assets ...................................................... 5
-------
Total assets ......................................................... 33,775
-------
LIABILITIES
Payables for:
Investments purchased ............................................. 391
-------
Total liabilities .................................................... 391
-------
Net assets ........................................................... $33,384
=======
Shares outstanding, $0.01 Par Value (unlimited shares
authorized) ....................................................... 2,347
-------
Net asset value per share ............................................ $ 14.22
=======
Composition of net assets:
Capital paid-in ................................................... $28,325
Accumulated net realized gain on investments, futures and
foreign currency transactions .................................. 2,757
Net unrealized appreciation of investments ........................ 2,302
-------
Net assets ........................................................... $33,384
=======
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Mid Cap Value Fund
(000's Omitted)
INVESTMENT INCOME
Interest ....................................................... $ 9
Dividends (net of foreign withholding tax of $2) ............... 208
------
Total investment income .............................................. 217
------
EXPENSES
Investment advisory fee ........................................ 166
Auditors fees .................................................. 2
Custodian fees ................................................. 26
Legal fees ..................................................... 2
Printing & mailing fees ........................................ 2
------
Total expenses ....................................................... 198
Less expenses reimbursed ....................................... (17)
Less custodian expense reduction offset by commission
recapture arrangement (Note C) .............................. (20)
------
Net expenses ......................................................... 161
------
Net investment income ................................................ 56
------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on investments .................................. 2,701
Change in unrealized depreciation on investments .................. (616)
------
Net realized and unrealized gain ..................................... 2,085
------
Net increase in net assets resulting from operations ................. $2,141
======
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
Mid Cap Value Fund
(000's Omitted)
Unaudited
Six-Month Period from
Period Ended May 1, 2003 (*)
June 30, to December 31,
2004 2003
------------ ---------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income ......................................... $ 56 $ 45
Net realized gain ............................................. 2,701 816
Change in net unrealized appreciation (depreciation) .......... (616) 2,918
-------- --------
Net increase in net assets resulting from operations ....... 2,141 3,779
Distributions to shareholders from:
Net investment income ......................................... (59) (42)
Realized gains ................................................ (760)
-------- --------
Decrease in net assets resulting from distributions ........ (59) (802)
From fund share transactions:
Proceeds from shares sold ..................................... 17,350 23,951
Distributions reinvested ...................................... 59 802
Payment for shares redeemed ................................... (10,597) (3,240)
-------- --------
Increase in net assets from fund share transactions ........ 6,812 21,513
-------- --------
NET INCREASE IN NET ASSETS ....................................... 8,894 24,490
NET ASSETS
Beginning of Period ........................................... 24,490
--------
End of Period (including undistributed net investment income
of $0 and $3, respectively) ................................ $ 33,384 $ 24,490
======== ========
Analysis of fund share transactions:
Sold .......................................................... 1,264 2,073
Reinvested .................................................... 4 62
Redeemed ...................................................... (775) (281)
-------- --------
Net increase in fund shares outstanding .......................... 493 1,854
======== ========
* Commenced of Operations.
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Mid Cap Value Fund
----------------------------------
Unaudited Period from
Period Ended May 1, to
June 30, December 31,
2004 2003(e)
------------ ------------
Net Assets Value at Beginning of Period ................... $ 13.21 $ 10.00
Income from Investment Operations:
Net Investment Income .................................. 0.03 0.04
Net Realized and Unrealized Gain on Investment(a) ...... 1.01 3.64
------- -------
Total From Investment Operations ....................... 1.04 3.68
Less Distributions:
Distribution from Net Investment Income ................ (0.03) (0.04)
Distribution from Net Realized Gains on Investments .... (0.43)
------- -------
Total Distributions .................................... (0.03) (0.47)
------- -------
Net Assets Value at End of Period ......................... $ 14.22 $ 13.21
======= =======
Total Investment Return(b) ................................ 7.88%(c) 36.77%(c)
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net Assets ....... 1.19%(d)(f)(g) 1.20%(d)(f)(g)
Ratio of Net Investment Income to Average Net Assets ... 0.37%(d) 0.58%(d)
Portfolio Turnover Rate ................................ 54.88%(c) 56.93%(c)
Net Assets End of Period (000s Omitted) ................... $33,384 $24,490
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Not annualized.
(d) Annualized.
(e) Commencement of investment operations.
(f) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made, the expense ratio would have been 1.30% for the period ending
June 30, 2004, and 1.47% for the years ended December 31, 2003.
(g) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MID CAP VALUE FUND
Market
Name of Issuer Shares Value
-------------- ------ -------
(000's)
COMMON STOCK
Aerospace & Defense - 1.9%
Raytheon Co. * ........................................... 10,200 $ 365
Rockwell Collins, Inc. * ................................. 8,300 276
-------
641
Air Freight & Couriers - 0.1%
CNF Transportation, Inc. * ............................... 600 25
Airlines - 1.2%
Southwest Airlines Co. ................................... 24,300 408
Banks - 8.4%
Charter One Financial, Inc. .............................. 5,500 243
Citizens Banking Corp. * ................................. 5,300 165
Commerce Bancshares, Inc. ................................ 3,925 180
First Horizon National Corp. ............................. 5,600 255
Huntington Bancshares, Inc. * ............................ 17,000 389
National Commerce Financial Corp. ........................ 6,900 224
Northern Trust Corp. ..................................... 8,100 342
Synovus Financial Corp. * ................................ 15,400 390
TCF Financial Corp. ...................................... 5,800 337
Union Planters Corp. * ................................... 9,000 268
-------
2,793
Biotechnology - 2.0%
Human Genome Sciences, Inc. * ............................ 7,900 92
MedImmune, Inc. * ........................................ 18,700 437
Vertex Pharmaceuticals, Inc. * ........................... 12,700 138
-------
667
Chemicals - 1.1%
Great Lakes Chemical Corp. ............................... 9,900 268
IMC Global, Inc. ......................................... 8,600 115
-------
383
Commercial Services & Supplies - 7.2%
Ceridian Corp. * ......................................... 11,900 268
Equifax, Inc. * .......................................... 14,500 359
Herman Miller, Inc. * .................................... 10,500 304
Hewitt Associates, Inc. * ................................ 2,700 74
Manpower, Inc. * ......................................... 5,800 295
ServiceMaster Co. ........................................ 15,600 192
The Bisys Group, Inc. * .................................. 26,800 377
Viad Corp. ............................................... 15,300 413
Weight Watchers International, Inc. ..................... 3,300 129
-------
2,411
Commingled Fund - 0.5%
iShares Trust ............................................ 1,400 163
Communications Equipment - 0.4%
Tellabs, Inc. * .......................................... 14,400 126
Diversified Financials - 2.9%
Charles Schwab Corp. * ................................... 37,100 356
Federated Investments, Inc. - Cl. B ...................... 4,900 149
Janus Capgroup, Inc. ..................................... 16,000 264
LaBranche & Co., Inc. * .................................. 23,200 $ 195
-------
964
Diversified Telecommunication Services - 1.6%
AT&T Corp. * ............................................. 13,400 196
Qwest Communications International, Inc. ................. 97,520 350
-------
546
Electric Utilities - 5.1%
CMS Energy Corp. * ....................................... 13,500 123
El Paso Electric Co. * ................................... 10,800 167
Firstenergy Corp. * ...................................... 7,500 280
NRG Energy, Inc. * ....................................... 16,600 412
Pinnacle West Capital Corp. * ............................ 4,900 198
Teco Energy, Inc. * ...................................... 28,900 346
Unisource Energy Corp. ................................... 2,805 70
Xcel Energy, Inc. ........................................ 5,600 94
-------
1,690
Electrical Equipment - 1.2%
Molex, Inc. - CL A ....................................... 14,400 393
Electronic Equipment & Instruments - 1.1%
AVX Corp. ................................................ 17,100 247
Ingram Micro, Inc. - Cl. A * ............................. 8,800 127
-------
374
Energy Equipment & Services - 6.4%
Baker Hughes, Inc. * ..................................... 1,900 72
Cooper Cameron Corp. * ................................... 7,100 346
Diamond Offshore Drilling, Inc. * ........................ 34,200 815
Grant Prideco, Inc. * .................................... 25,700 474
Hanover Compressor Co. ................................... 21,300 253
Key Energy Services, Inc. * .............................. 5,400 51
Petroleum Geo Services ASA - ADR * ....................... 3,300 135
-------
2,146
Food & Drug Retailing - 2.2%
Agrium, Inc. ............................................. 5,000 73
Neighborcare, Inc. * ..................................... 14,400 451
Potash Corp. of Saskatchewan, Inc. ....................... 2,000 194
-------
718
Food Products - 2.3%
Archer Daniels Midland Co. * ............................. 7,100 119
Campbell Soup Co. * ...................................... 12,700 341
H.J. Heinz Co. ........................................... 7,600 298
-------
758
Health Care Providers & Services - 4.6%
Amerisource Bergen Corp. * ............................... 6,100 365
Healthsouth Corp. * ...................................... 49,100 295
Laboratory Corporation of America
Holdings * ............................................ 1,600 63
Lincare Holdings, Inc. * ................................. 11,500 378
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MID CAP VALUE FUND
Market
Name of Issuer Shares Value
-------------- ------ -------
(000's)
COMMON STOCK - Continued
Health Care Providers & Services - Continued
Tenet Healthcare Corp. * ................................. 31,400 $ 421
-------
1,522
Household Durables - 1.1%
Newell Rubbermaid, Inc. .................................. 15,300 360
Insurance - 10.1%
Aon Corp. * .............................................. 4,600 131
Conseco, Inc. ............................................ 12,600 251
Genworth Financial, Inc. - Cl. A * ....................... 18,800 431
Loews Corp. * ............................................ 3,400 204
Ohio Casualty Corp. * .................................... 14,100 284
Protective Life Corp. .................................... 4,700 182
Radian Group, Inc. ....................................... 6,900 330
Safeco Corp. * ........................................... 9,900 436
St. Paul Cos., Inc. ...................................... 13,517 548
UnumProvident Corp. * .................................... 20,700 329
XL Capital, Ltd. - Cl. A * ............................... 3,300 249
-------
3,375
IT Consulting & Services - 1.0%
BearingPoint, Inc. * ..................................... 38,500 341
Leisure Equipment & Products - 0.2%
Eastman Kodak Co. * ...................................... 2,100 57
Media - 9.1%
Cablevision Systems Corp. - Cl. A * ...................... 18,700 367
Cox Radio, Inc. - Cl. A * ................................ 8,400 146
Dow Jones & Co., Inc. * .................................. 8,000 361
Entercom Communications Corp. * .......................... 11,000 410
Lamar Advertising Co. * .................................. 2,000 87
Meredith Corp. * ......................................... 3,900 214
New York Times Co. - Cl. A * ............................. 5,000 224
Pearson plc - ADR ........................................ 31,700 396
Reuters Group plc - ADR .................................. 7,800 318
Scholastic Corp. * ....................................... 9,800 293
Washington Post Co. - Cl. B .............................. 243 226
-------
3,042
Metals & Mining - 0.8%
Meridian Gold, Inc. * .................................... 17,500 227
Nucor Corp. .............................................. 600 46
-------
273
Multi-Utilities - 3.1%
Duke Energy Co. .......................................... 18,000 365
Dynegy, Inc. - Cl. A * ................................... 59,500 254
NiSource, Inc. * ......................................... 20,100 414
-------
1,033
Multiline Retail - 2.9%
Big Lots, Inc. * ......................................... 12,900 187
Costco Wholesale Corp. ................................... 3,500 144
Dillard's, Inc. - Cl. A * ................................ 11,400 254
Family Dollar Stores, Inc. ............................... 12,700 $ 386
-------
971
Oil & Gas - 1.3%
Forest Oil Corp. * ....................................... 8,000 219
Murphy Oil Corp. ......................................... 3,100 228
-------
447
Paper & Forest Products - 3.2%
Bowater, Inc. ............................................ 8,100 337
Domtar, Inc. ............................................. 14,600 189
MeadWestvaco Corp. * ..................................... 13,100 385
Potlatch Corp. ........................................... 4,000 166
-------
1,077
Pharmaceuticals - 1.8%
Andrx Corp. * ............................................ 2,800 78
Barr Laboratories, Inc. * ................................ 4,200 142
King Pharmaceuticals, Inc. * ............................. 24,800 284
Valeant Pharmaceuticals International .................... 4,000 80
-------
584
Real Estate Investment Trust - 1.6%
Apartment Investment & Management Co. .................... 11,400 355
Equity Office Properties Trust * ......................... 3,400 92
Reckson Associates Realty Corp. .......................... 3,700 102
-------
549
Road & Rail - 2.2%
CSX Corp. * .............................................. 11,900 390
Union Pacific Corp. ...................................... 6,000 357
-------
747
Semiconductor Equipment & Products - 1.0%
Novellus Systems, Inc. * ................................. 10,900 343
Software - 3.7%
BMC Software, Inc. * ..................................... 21,500 398
Cadence Design Systems, Inc. * ........................... 22,900 335
Intuit, Inc. * ........................................... 4,900 189
Network Associates, Inc. * ............................... 17,700 321
-------
1,243
Specialty Retail - 0.9%
Abercrombie & Fitch Co. .................................. 5,200 201
Gap, Inc. ................................................ 3,900 95
-------
296
Textiles & Apparel - 0.3%
Unifi, Inc. * ............................................ 32,400 95
Wireless Telecommunications Services - 1.5%
Crown Castle International Corp. * ....................... 13,100 193
Telephone and Data Systems, Inc. ......................... 4,100 292
-------
485
-------
TOTAL COMMON STOCK-
(Cost $29,750) 96.0% 32,046
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MID CAP VALUE FUND
Par Market
Name of Issuer Value Value
-------------- ------- --------
(000's) (000's)
PUBLICLY-TRADED BONDS
Electric/Gas - 0.0%
Xcel Energy, Inc. - Sr. Notes 144A (a)
7.5% due 11/21/07 ..................................... $ 7 $ 11
Wireless Telecommunications Services - 0.1%
United States Cellular Corp. - Notes
0.0% due 06/15/15 ..................................... 75 39
--------
TOTAL PUBLICLY-TRADED BONDS-
(Cost $44) 0.1% 50
------- --------
TOTAL LONG-TERM INVESTMENTS-
(Cost $29,794) 96.1% 419,539
SHORT-TERM INVESTMENTS - 4.5%
Investment in joint trading account
1.344% due 07/01/04
(Cost $1,486) ........................................ 1,486 $ 1,486
------- --------
TOTAL INVESTMENTS-
(Cost $31,280) 100.6% 33,582
Payables, less cash and receivables- (0.6)% (198)
------- --------
NET ASSETS- 100.0% $ 33,384
======= ========
* Non-income producing security.
(a) Pursuant to Rule 144A under the Securities Act of 1933, these securities
may be resold in transactions exempt from registration, normally to
qualified institutional buyers. At June 30, 2004, securities aggregated $11
or 0.0% of net assets of the Portfolio.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Mid Cap Value Fund (the "Fund"), which commenced operations on
May 1, 2003, is a diversified series of John Hancock Variable Series Trust I
(the "Trust"), an open-end investment management company registered under the
Investment Company Act of 1940. The Trust is organized as a Massachusetts
business trust and consists of thirty different funds as of June 30, 2004. The
results of this Fund are included in this report. The results of the other Funds
in the Trust are presented under separate cover. The Trust may add or delete
Funds in the future to accommodate various investment objectives. The Trust has
issued shares of beneficial interest exclusively to John Hancock Variable Life
Account U ("JHVLAU"), John Hancock Variable Life Account V ("JHVLAV"), John
Hancock Variable Life Account S ("JHVLAS"), and John Hancock Variable Annuity
Account I ("JHVAAI") to fund policies and contracts issued by the John Hancock
Variable Life Insurance Company ("JHVLICO"), and to John Hancock Variable
Annuity Account U ("JHVAAU"), John Hancock Variable Annuity Account V
("JHVAAV"), John Hancock Variable Life Account UV ("JHVLAUV"), John Hancock
Variable Annuity Account H ("JHVAAH"), and John Hancock Variable Annuity Account
JF ("JHVAAJF") to fund contracts and policies issued by John Hancock Life
Insurance Company ("John Hancock" or "JHLICO"), to John Hancock Variable Life
Account PPM-1 ("PPM-1"), and to John Hancock Variable Life Account PPM-2
("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Debt investment securities having a primary market over-the-counter are
valued on the basis of valuations furnished by a pricing service which
determines valuations for normal institutional size trading units of debt
securities, without exclusive reliance upon quoted prices.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations.
The Fund had borrowings under the line of credit during the period ended
June 30, 2004 as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Average Daily Loan Balance
During the Period for which Weighted Average
Loans were Outstanding Interest Rate Interest Expense
- --------------------------- ---------------- ----------------
$1,033 1.52% $--
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had no capital loss carryforwards on a
tax basis to be applied against any future taxable gains.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Dividend
income for the Fund is shown net of foreign taxes withheld of $2. Realized gains
and losses from security transactions are determined on the basis of identified
cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH
AFFILIATES--Continued
Excess Over
First $100 Million $100 Million
- ------------------ ------------
1.05% 1.00%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. Accordingly,
for the period ended June 30, 2004, the reimbursements paid from John Hancock
and JHVLICO were $17 to the Fund.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $20.
John Hancock has entered into a Sub-Advisory Agreement with T. Rowe Price
Associates, Inc., and under its supervision, is responsible for the day-to-day
investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- ---------------------
$22,851 $16,177
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, and commercial paper) and their
respective gross unrealized appreciation and depreciation for Federal income tax
purposes at December 31, 2003 were as follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$21,501 $2,949 $(33) $ 2,916
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
relate to certain securities sold at a loss. Additionally, as a result, net
investment income (loss) and net realized gain (loss) on investment transactions
for a reporting period may differ significantly from distributions during such
period. Accordingly, the Fund may periodically make reclassifications among
certain of its capital accounts without impacting the net asset value of the
Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$91 $-- $-- $2,916
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $803 $-- $--
Inception: May 1, 1998
- --------------------------------------------------------------------------------
Mid Cap Value B Fund (FORMERLY SMALL/MID CAP CORE(SM) FUND)
T. Rowe Price Associates, Inc. David J. Wallack
- --------------------------------------------------------------------------------
.. Year-to-date, the Fund returned 5.88%, underperforming its custom
benchmark. Relative to Morningstar peers, the Fund has an above average
rating of 4 with an above average risk profile.
.. On May 1st, the Fund's name, investment strategy and sub-adviser were
changed. T. Rowe implemented an investment strategy for the Fund that is
substantially the same as the investment strategy it now employs for the
Mid Cap Value Fund. Under that strategy, the Fund will invest primarily in
undervalued mid sized equities.
.. Since May 1st, the Fund underperformed its benchmark primarily due to
unfavorable stock selection and sector allocation exposures.
.. The Fund employs a bottom-up, value-oriented investment approach, focusing
on companies with attractive valuations, strong cash flow generation and
sound balance sheets. The Fund's sector allocations are broadly diversified
but are primarily driven by stock selection.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
Diamond Offshore Drilling, Inc. 2.6%
iShares Trust 1.9%
St. Paul Cos., Inc. 1.7%
Southwest Airlines Co. 1.5%
Grant Prideco, Inc. 1.4%
Safeco Corp. 1.4%
Genworth Financial, Inc. 1.4%
Neighborcare, Inc. 1.3%
MedImmune, Inc. 1.3%
NiSource, Inc. 1.3%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Mid Cap Mid Cap Value B
Value B Fund Benchmark/4/
------------ ---------------
YTD/3/ 5.88% 7.08%
1 Year 33.45 33.26
3 Years 8.88 7.68
5 Years 8.72 8.64
Since Inception (5/1/98) 6.68 11.37
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Mid Cap Blend
MORNINGSTAR RISK/1/:
.. Above Average (VL/ VUL)
.. Above Average (VA)
MORNINGSTAR RATING/1/:
.. **** (VL/VUL)
.. **** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
Assets
------
Financials 25%
Consumer Discretionary 15%
Industrials 11%
Information Technology 11%
Health Care 9%
Energy 8%
Utilities 8%
Materials 6%
Consumer Staples 4%
Telecommunication Services 3%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. Data reviewed by Morningstar
reflects the Fund's previous investment strategy. VL represents Variable
Life subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 190 VL/VUL subaccounts and 369 VA subaccounts in the
Morningstar Mid Cap Blend category. This represents the Morningstar 3 year
rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Small-company investing entails special
risks as outlined in the prospectus. The performance of the fund on this
page is reported net of Trust level charges (i.e. investment management
fees and operating expenses). It does not reflect expense and charges of
the applicable separate accounts and variable products, all of which vary
to a considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
/4/ The Mid Cap Value B benchmark represents the Russell 2000, May 1998 to
April 2004 and then the Russell Mid Cap Value, May 2004 to the present.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Mid Cap Value B Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $8,797 of securities
loaned (Note B)) ................................................. $ 99,310
Net unrealized appreciation on investments .......................... 4,132
Short-term investments at value ..................................... 12,527
--------
Total investments ................................................ 115,969
Cash ................................................................ 21
Receivables for:
Investments sold ................................................. 522
Dividends ........................................................ 102
--------
Total assets ........................................................ 116,614
--------
LIABILITIES
Payables for:
Fund shares purchased ............................................ 762
Collateral for securities on loan ................................ 8,955
Accrued operating expenses ....................................... 15
--------
Total liabilities ................................................... 9,732
--------
Net assets .......................................................... $106,882
========
Shares outstanding, $0.01 Par Value (unlimited shares
authorized) ...................................................... 9,223
--------
Net asset value per share ........................................... $ 11.59
========
Composition of net assets:
Capital paid-in .................................................. $ 87,086
Accumulated net realized gain on investments,
futures and foreign currency transactions ..................... 15,649
Undistributed net investment income .............................. 15
Net unrealized appreciation of:
Investments ................................................... 4,132
--------
Net assets .......................................................... $106,882
========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Mid Cap Value B Fund
(000's Omitted)
INVESTMENT INCOME
Interest ........................................................ $ 13
Dividends (net foreign withholding tax of $1) ................... 862
Securities lending .............................................. 34
--------
Total investment income ............................................ 909
--------
EXPENSES
Investment advisory fee ......................................... 540
Auditors fees ................................................... 6
Custodian fees .................................................. 29
Legal fees ...................................................... 6
Printing & mailing fees ......................................... 8
Trustees' fees .................................................. 1
Other fees ...................................................... 2
--------
Total expenses ..................................................... 592
Less expenses reimbursed ........................................ (1)
--------
Net expenses ....................................................... 591
--------
Net investment income .............................................. 318
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments .................................................. 15,784
Financial futures contracts .................................. (17)
Change in unrealized depreciation on:
Investments .................................................. (10,796)
Futures ...................................................... (46)
--------
Net realized and unrealized gain ................................... 4,925
--------
Net increase in net assets resulting from operations ............... $ 5,243
========
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Mid Cap Value B Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ -------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income ..................................... $ 318 $ 298
Net realized gain ......................................... 15,767 7,777
Change in net unrealized appreciation (depreciation) ...... (10,842) 18,500
-------- --------
Net increase in net assets resulting from operations ... 5,243 26,575
Distributions to shareholders from:
Net investment income ..................................... (303) (308)
Realized gains ............................................ (7,773)
-------- --------
Decrease in net assets resulting from distributions ....... (303) (8,081)
From fund share transactions:
Proceeds from shares sold ................................. 32,401 57,643
Distributions reinvested .................................. 303 8,081
Payment for shares redeemed ............................... (24,664) (38,459)
-------- --------
Increase in net assets from fund share transactions .... 8,040 27,265
-------- --------
NET INCREASE IN NET ASSETS ................................... 12,980 45,759
NET ASSETS
Beginning of Period ....................................... 93,902 48,143
-------- --------
End of Period (including undistributed net investment
income of $15 and $0, respectively) .................... $106,882 $ 93,902
======== ========
Analysis of fund share transactions:
Sold ...................................................... 2,836 5,991
Reinvested ................................................ 27 744
Redeemed .................................................. (2,195) (3,991)
-------- --------
Net increase in fund shares outstanding ...................... 668 2,744
======== ========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Mid Cap Value B Fund
---------------------------------------------------------------
Unaudited
Period Ended Year Ended December 31,
June 30, ----------------------------------------------
2004(f) 2003 2002 2001 2000
------------ ------- ------- ------- -------
Net Assets Value at Beginning of Period ................ $ 10.98 $ 8.28 $ 9.82 $ 9.82 $ 9.82
Income from Investment Operations:
Net Investment Income ............................... 0.03 0.04 0.04 0.05 0.05
Net Realized and Unrealized Gain (Loss) on
Investment(a) .................................... 0.61 3.69 (1.54) 0.39
-------- ------- ------- ------- -------
Total From Investment Operations .................... 0.64 3.73 (1.50) 0.05 0.44
Less Distributions:
Distribution from Net Investment Income ............. (0.03) (0.04) (0.04) (0.05) (0.05)
Distribution from Net Realized Gains on
Investments ...................................... (0.99) (0.32)
Distribution from Excess of Net Investment Income/
Gains ............................................ (0.05)
Distribution from Capital Paid-in ................... (0.02)
-------- ------- ------- ------- -------
Total Distributions ................................. (0.03) (1.03) (0.04) (0.05) (0.44)
-------- ------- ------- ------- -------
Net Assets Value at End of Period ...................... $ 11.59 $ 10.98 $ 8.28 $ 9.82 $ 9.82
======== ======= ======= ======= =======
Total Investment Return(b) ............................. 5.88%(d) 45.15% (15.19)% 0.53% 4.63%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net Assets .... 1.15%(c)(e) 1.15%(c) 0.96%(c) 0.90%(c) 0.90%(c)
Ratio of Net Investment Income to Average Net
Assets ........................................... 0.62%(e) 0.45% 0.50% 0.52% 0.56%
Portfolio Turnover Rate ............................. 161.45%(d) 125.00% 125.11% 96.88% 94.78%
Net Assets End of Period (000s Omitted) ................ $106,882 $93,902 $48,143 $46,446 $21,636
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made the expense ratio would have been 1.16% for the period ending
June 30, 2004, and 1.19%, 1.12%, 1.15%, and 1.23%, for the years ended
December 31, 2003, 2002, 2001, and 2000, respectively.
(d) Not annualized.
(e) Annualized.
(f) The Fund entered into a new sub-advisory agreement with T. Rowe Price
Associates, Inc., during the period shown.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MID CAP VALUE B FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK
Aerospace & Defense - 1.9%
Raytheon Co. * .......................................... 32,300 $1,155
Rockwell Collins, Inc. * ................................ 27,000 900
------
2,055
Air Freight & Couriers - 0.1%
CNF Transportation, Inc. * .............................. 2,400 100
Airlines - 1.4%
Southwest Airlines Co. .................................. 90,300 1,514
Banks - 8.3%
Charter One Financial, Inc. ............................. 17,200 760
Citizens Banking Corp. * ................................ 17,000 528
Commerce Bancshares, Inc. ............................... 11,973 550
First Horizon National Corp. ............................ 18,300 832
Huntington Bancshares, Inc. * ........................... 54,500 1,248
National Commerce Financial Corp. ....................... 21,700 705
Northern Trust Corp. .................................... 27,200 1,150
Synovus Financial Corp. * ............................... 48,500 1,228
TCF Financial Corp. ..................................... 18,200 1,057
Union Planters Corp. * .................................. 27,800 829
------
8,887
Biotechnology - 1.9%
Human Genome Sciences, Inc. * ........................... 25,300 294
MedImmune, Inc. * ....................................... 57,500 1,345
Vertex Pharmaceuticals, Inc. * .......................... 35,400 384
------
2,023
Chemicals - 0.7%
Great Lakes Chemical Corp. .............................. 14,800 400
IMC Global, Inc. ........................................ 28,100 377
------
777
Commercial Services & Supplies - 7.3%
Ceridian Corp. * ........................................ 37,600 846
Equifax, Inc. * ......................................... 47,200 1,168
Herman Miller, Inc. * ................................... 34,400 995
Hewitt Associates, Inc. * ............................... 10,000 275
Manpower, Inc. * ........................................ 18,400 934
ServiceMaster Co. ....................................... 49,200 606
The Bisys Group, Inc. * ................................. 85,900 1,208
Viad Corp. .............................................. 48,200 1,302
Weight Watchers International, Inc. ..................... 10,800 423
------
7,757
Commingled Fund - 1.8%
iShares Trust ........................................... 16,800 1,960
Communications Equipment - 0.3%
Tellabs, Inc. * ......................................... 41,700 364
Diversified Financials - 2.9%
Charles Schwab Corp. * .................................. 118,300 1,137
Federated Investments, Inc. - Cl. B ..................... 14,000 425
Janus Capgroup, Inc. .................................... 55,900 922
LaBranche & Co., Inc. * ................................. 77,100 $ 649
------
3,133
Diversified Telecommunication Services - 1.6%
AT&T Corp. * ............................................ 41,600 609
Qwest Communications International, Inc. ................ 314,200 1,128
------
1,737
Electric Utilities - 4.9%
CMS Energy Corp. * ...................................... 37,000 338
El Paso Electric Co. * .................................. 32,800 506
Firstenergy Corp. * ..................................... 23,600 883
NRG Energy, Inc. * ...................................... 51,500 1,277
Pinnacle West Capital Corp. * ........................... 15,500 626
Teco Energy, Inc. * ..................................... 92,400 1,108
Unisource Energy Corp. .................................. 8,600 214
Xcel Energy, Inc. ....................................... 18,000 301
------
5,253
Electric/Gas - 1.1%
Duke Energy Co. ......................................... 58,000 1,177
Electrical Equipment - 1.1%
Molex, Inc. - CL A ...................................... 44,300 1,208
Electronic Equipment & Instruments - 1.2%
AVX Corp. ............................................... 54,900 793
Ingram Micro, Inc. - Cl. A * ............................ 31,600 457
------
1,250
Energy Equipment & Services - 6.5%
Baker Hughes, Inc. * .................................... 6,200 233
Cooper Cameron Corp. * .................................. 22,500 1,096
Diamond Offshore Drilling, Inc. * ....................... 113,000 2,693
Grant Prideco, Inc. * ................................... 79,500 1,467
Hanover Compressor Co. .................................. 73,500 875
Key Energy Services, Inc. * ............................. 17,100 161
Petroleum Geo Services ASA - ADR * ...................... 9,700 397
------
6,922
Food & Drug Retailing - 2.1%
Agrium, Inc. ............................................ 17,500 255
Neighborcare, Inc. * .................................... 43,000 1,347
Potash Corp. of Saskatchewan, Inc. ...................... 6,200 601
------
2,203
Food Products - 2.3%
Archer Daniels Midland Co. * ............................ 22,900 384
Campbell Soup Co. * ..................................... 40,700 1,094
H.J. Heinz Co. .......................................... 23,900 937
------
2,415
Health Care Providers & Services - 4.6%
Amerisource Bergen Corp. * .............................. 19,300 1,154
Healthsouth Corp. * ..................................... 171,600 1,030
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MID CAP VALUE B FUND
Market
Name of Issuer Shares Value
-------------- ------- --------
(000's)
COMMON STOCK - Continued
Health Care Providers & Services - Continued
Laboratory Corporation of America Holdings * ........... 4,900 $ 194
Lincare Holdings, Inc. * ............................... 36,200 1,189
Tenet Healthcare Corp. * ............................... 99,100 1,329
-------
4,896
Household Durables - 1.1%
Newell Rubbermaid, Inc. ................................ 48,400 1,137
Insurance - 10.1%
Aon Corp. * ............................................ 13,200 376
Conseco, Inc. .......................................... 39,700 790
Genworth Financial, Inc. - Cl. A * ..................... 61,500 1,411
Loews Corp. * .......................................... 10,300 618
Ohio Casualty Corp. * .................................. 44,400 894
Protective Life Corp. .................................. 14,400 557
Radian Group, Inc. ..................................... 22,500 1,078
Safeco Corp. * ......................................... 33,200 1,461
St. Paul Cos., Inc. .................................... 43,800 1,776
UnumProvident Corp. * .................................. 65,500 1,041
XL Capital, Ltd. - Cl. A * ............................. 10,900 822
-------
10,824
IT Consulting & Services - 1.0%
BearingPoint, Inc. * ................................... 124,800 1,107
Leisure Equipment & Products - 0.2%
Eastman Kodak Co. * .................................... 7,000 189
Media - 8.8%
Cablevision Systems Corp. - Cl. A * .................... 66,800 1,313
Dow Jones & Co., Inc. * ................................ 25,200 1,137
Entercom Communications Corp. * ........................ 35,700 1,332
Lamar Advertising Co. * ................................ 6,600 286
Meredith Corp. * ....................................... 11,500 632
New York Times Co. - Cl. A * ........................... 15,900 711
Pearson plc - ADR ...................................... 100,600 1,255
Reuters Group plc - ADR ................................ 25,000 1,018
Scholastic Corp. * ..................................... 33,300 997
Washington Post Co. - Cl. B ............................ 800 744
-------
9,425
Metals & Mining - 0.9%
Meridian Gold, Inc. * .................................. 62,300 808
Nucor Corp. ............................................ 2,000 154
-------
962
Multi-Utilities - 2.1%
Dynegy, Inc. - Cl. A * ................................. 198,500 846
NiSource, Inc. * ....................................... 65,100 1,342
-------
2,188
Multiline Retail - 2.9%
Big Lots, Inc. * ....................................... 42,100 609
Costco Wholesale Corp. ................................. 11,300 464
Dillard's, Inc. - Cl. A * .............................. 36,400 812
Family Dollar Stores, Inc. ............................. 38,200 $ 1,162
--------
3,047
Oil & Gas - 1.3%
Forest Oil Corp. * ..................................... 25,700 702
Murphy Oil Corp. ....................................... 9,800 722
--------
1,424
Paper & Forest Products - 3.3%
Bowater, Inc. .......................................... 25,500 1,060
Domtar, Inc. ........................................... 45,200 585
MeadWestvaco Corp. * ................................... 41,500 1,220
Potlatch Corp. ......................................... 14,600 608
--------
3,473
Pharmaceuticals - 1.8%
Andrx Corp. * .......................................... 9,200 257
Barr Laboratories, Inc. * .............................. 13,700 462
King Pharmaceuticals, Inc. * ........................... 81,400 932
Valeant Pharmaceuticals International .................. 13,600 272
--------
1,923
Real Estate Investment Trust - 1.9%
Apartment Investment & Management Co. .................. 39,100 1,217
Equity Office Properties Trust * ....................... 14,700 400
Reckson Associates Realty Corp. ........................ 14,900 409
--------
2,026
Road & Rail - 2.3%
CSX Corp. * ............................................ 37,700 1,236
Union Pacific Corp. .................................... 19,600 1,165
--------
2,401
Semiconductor Equipment & Products - 1.0%
Novellus Systems, Inc. * ............................... 34,500 1,085
Software - 3.7%
BMC Software, Inc. * ................................... 68,400 1,265
Cadence Design Systems, Inc. * ......................... 72,400 1,059
Intuit, Inc. * ......................................... 15,800 610
Network Associates, Inc. * ............................. 56,400 1,023
--------
3,957
Specialty Retail - 0.9%
Abercrombie & Fitch Co. ................................ 16,700 647
Gap, Inc. .............................................. 13,700 332
--------
979
Wireless Telecommunications Services - 1.5%
Crown Castle International Corp. * ..................... 44,100 650
Telephone and Data Systems, Inc. ....................... 13,900 990
--------
1,640
--------
TOTAL COMMON STOCK-
(Cost $99,287) 96.8% 103,418
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MID CAP VALUE B FUND
Market
Name of Issuer Shares Value
-------------- ------ ---------
(000's)
PUBLICLY-TRADED BONDS
Real Estate Development - 0.0%
Brookfield Homes Corp. - Sr. Sub. Notes ................ 23,000 $ 24
--------
TOTAL PUBLICLY-TRADED BONDS-
(Cost $23) 0.0% 24
------ --------
TOTAL LONG-TERM INVESTMENTS-
(Cost $99,310) 96.8% 103,442
Par
Value
------
(000's)
INVESTMENT COMPANIES HELD
AS COLLATERAL ON LOANED
SECURITIES - 8.4%
State Street Navigator Securities Lending Portfolio .... $8,955 8,955
SHORT-TERM INVESTMENTS - 3.3%
Investment in joint trading account
1.344% due 07/01/04 (Cost $3,572) ................... 3,572 3,572
------ --------
TOTAL INVESTMENTS-
(Cost $111,837) 108.5% 115,969
Payables, less cash and receivables- (8.5)% (9,087)
------ --------
NET ASSETS- 100.0% $106,882
====== ========
* Non-income producing security.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Mid Cap Value B (formerly John Hancock Small/Mid Cap CORE),
(the "Fund") is a diversified series of John Hancock Variable Series Trust I
(the "Trust"), an open-end investment management company registered under the
Investment Company Act of 1940. The Trust is organized as a Massachusetts
business trust and consists of thirty different funds as of June 30, 2004. The
results of this Fund are included in this report. The results of the other Funds
in the Trust are presented under separate cover. The Trust may add or delete
Funds in the future to accommodate various investment objectives. The Trust has
issued shares of beneficial interest exclusively to John Hancock Variable Life
Account U ("JHVLAU"), John Hancock Variable Life Account V ("JHVLAV"), John
Hancock Variable Life Account S ("JHVLAS"), and John Hancock Variable Annuity
Account I ("JHVAAI") to fund policies and contracts issued by the John Hancock
Variable Life Insurance Company ("JHVLICO"), and to John Hancock Variable
Annuity Account U ("JHVAAU"), John Hancock Variable Annuity Account V
("JHVAAV"), John Hancock Variable Life Account UV ("JHVLAUV"), John Hancock
Variable Annuity Account H ("JHVAAH"), and John Hancock Variable Annuity Account
JF ("JHVAAJF") to fund contracts and policies issued by John Hancock Life
Insurance Company ("John Hancock" or "JHLICO"), to John Hancock Variable Life
Account PPM-1 ("PPM-1"), and to John Hancock Variable Life Account PPM-2
("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Debt investment securities having a primary market over-the-counter are
valued on the basis of valuations furnished by a pricing service which
determines valuations for normal institutional size trading units of debt
securities, without exclusive reliance upon quoted prices.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected
security as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to each fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
line of credit is included under the caption "Other fees" in the Statement of
Operations.
The Fund had borrowings under the line of credit during the period ended
June 30, 2004 as follows:
Average Daily Loan Balance
During the Period for which Weighted Average
Loans were Outstanding Interest Rate Interest Expense
- --------------------------- ---------------- ----------------
$3,679 1.51% $1
Securities lending: The Fund has entered into an agreement with SSBT to
lend its securities to certain qualified brokers who pay the Fund's negotiated
lender fees. This loan is collateralized at all times with cash or securities
with a market value at least equal to the market value of the securities on
loan. Cash collateral is invested in a short-term instrument. As with other
extensions of credit, the Fund may bear the risk of delay of the loaned
securities in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. At June 30, 2004, the market value
of the securities loaned and the market value of the collateral for the Fund was
as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$8,797 $8,955
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, the Fund had no open
financial futures contracts.
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
As of December 31, 2003, the Fund had no capital loss carryforwards on a
tax basis to be applied against any future taxable gains.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Dividend
income for the Fund is shown net of foreign taxes withheld of $1. Realized gains
and losses from security transactions are determined on the basis of identified
cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
Excess Over
First $100 Million $100 Million
- ------------------ ------------
1.05% 1.00%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. Accordingly,
for the period ended June 30, 2004, the reimbursements paid from John Hancock
and JHVLICO were $1 to the Fund.
As of May 3, 2004, John Hancock has entered into a Sub-Advisory Agreement
with T. Rowe Price Associates, Inc., and under its supervision, is responsible
for the day-to-day investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000'S Omitted)
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$168,597 $162,650
The identified cost of investments owned by the Fund (including earned discount
on corporate short-term notes, commercial paper and collateral for securities
lending) and their respective gross unrealized appreciation and depreciation for
Federal income tax purposes at December 31, 2003 were as follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$90,735 $15,922 $(1,066) $14,856
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
relate to certain securities sold at a loss and to certain distributions
received from investments in Real Estate Investment Trust. Additionally, as a
result, net investment income (loss) and net realized gain (loss) on investment
transactions for a reporting period may differ significantly from distributions
during such period. Accordingly, the Fund may periodically make
reclassifications among certain of its capital accounts without impacting the
net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $-- $14,856
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $6,248 $594 $1,239
2002 226 -- 2
Included in the Fund's 2003 distributions from ordinary income is $2,609 in
excess of investment company taxable income, which in accordance with applicable
US tax law, is taxable to shareholders as ordinary income distributions.
Inception: March 29, 1986
- --------------------------------------------------------------------------------
Money Market Fund
Wellington Management Company, LLP John C. Keogh
- --------------------------------------------------------------------------------
.. Year to date, the Fund returned 0.41%.
.. Fund's performance reflects the overall low level of market interest rates
as well as the Fund's weighted average maturity and emphasis on commercial
paper and U.S. Treasury and Agency securities.
.. At quarter-end, the Fund was 51% invested in commercial paper, 23% invested
in GSE's (Government Sponsored Entities), and 17% invested in floating rate
notes.
.. The manager combines top down analysis with fundamental bottom-up security
selection. The manager employs rigorous bottom-up fundamental research and
a stringent credit review process to identify securities with stable credit
quality.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
Federal Home Loan Mortgage Corp. 10.2%
Federal National Mortgage Assoc. 8.2%
Federal Home Loan Bank 4.8%
Allstate Financial Global 3.0%
SBC Warburg Repo 2.3%
Travelers Insurance Co. 2.3%
Metlife, Inc. 2.3%
Pfizer, Inc. 2.3%
Clipper Receivables Corp. 2.0%
Old Line Funding Corp. 2.0%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/1/
Money Market
Fund/3/
------------
YTD/2/ 0.41%
1 Year 0.85
3 Years 1.41
5 Years 3.12
10 Years 4.23
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR ALLOCATION (as of June 30, 2004)
% of
Assets
------
Commercial Paper 55.13%
U.S. Treasury/Agency Securities 23.27%
Variable Rate Securities 15.25%
CDs, Bank Notes 4.01%
Repurchase Agreements 2.34%
- --------------------------------------------------------------------------------
The Money Market Fund is neither insured nor guaranteed by the U.S.
Government and there is no guarantee the fund will be able to maintain a
stable net asset value of $1.00/share.
/1/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. The performance of the fund on this page
is reported net of Trust level charges (i.e. investment management fees and
operating expenses). It does not reflect expense and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/2/ Year to date returns are not annualized.
/3/ Returns reflect extra-ordinary capital contribution of $284,471 in
October 2000.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Money Market Fund
(000's Omitted)
ASSETS
Short-term investments at value .................................... $658,040
Cash .............................................................. 1
Receivable for:
Interest ........................................................ 666
--------
Total assets ....................................................... 658,707
--------
LIABILITIES
Payables for:
Accrued advisory expenses ....................................... 136
Accrued operating expenses ...................................... 239
Other payables .................................................. 1
--------
Total liabilities .................................................. 376
--------
Net assets ......................................................... $658,331
========
Shares outstanding, $0.01 Par Value (unlimited shares authorized) .. 658,331
--------
Net asset value per share .......................................... $ 1.00
========
Composition of net assets:
Capital paid-in ................................................. $658,331
Accumulated net realized loss on investments .................... (82)
Undistributed net investment income ............................. 82
--------
Net assets ......................................................... $658,331
========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Money Market Fund
(000's Omitted)
INVESTMENT INCOME
Interest ........................................................... $3,718
EXPENSES
Investment advisory fee ............................................ 809
Auditors fees ...................................................... 42
Custodian fees ..................................................... 71
Fidelity Bond fees ................................................. 1
Legal fees ......................................................... 45
Printing & mailing fees ............................................ 59
Trustees' fees ..................................................... 10
Other fees ......................................................... 9
------
Total expenses ........................................................ 1,046
------
Net investment income ................................................. $2,672
======
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Money Market Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE IN NET ASSETS
From operations
Net investment income .................................... $ 2,672 $ 7,879
Distributions to shareholders from:
Net investment income .................................... (2,672) (7,879)
--------- ---------
Decrease in net assets resulting from distributions ... (2,672) (7,879)
From fund share transactions:
Proceeds from shares sold ................................ 225,815 754,784
Distributions reinvested ................................. 2,672 7,879
Payment for shares redeemed .............................. (251,789) (999,146)
--------- ---------
Decrease in net assets from fund share transactions ... (23,302) (236,483)
--------- ---------
NET DECREASE IN NET ASSETS .................................. (23,302) (236,483)
NET ASSETS
Beginning of Period ...................................... 681,633 918,116
--------- ---------
End of Period (including undistributed net investment
income of $82 and $82, respectively) .................. $ 658,331 $ 681,633
========= =========
Analysis of fund share transactions:
Sold ..................................................... 225,815 754,784
Reinvested ............................................... 2,672 7,879
Redeemed ................................................. (251,789) (999,146)
--------- ---------
Net decrease in fund shares outstanding ..................... (23,302) (236,483)
========= =========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Money Market Fund
--------------------------------------------------------
Unaudited
Period Ended Year Ended December 31,
June 30, -----------------------------------------
2004 2003 2002(d) 2001(c) 2000(c)
------------ -------- -------- -------- --------
Net Assets Value at Beginning of Period ................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Income from Investment Operations:
Net Investment Income .................................. (g) 0.01 0.01 0.04 0.06
-------- -------- -------- -------- --------
Total From Investment Operations ....................... 0.01 0.01 0.04 0.06
Less Distributions:
Distribution from Net Investment Income ................ (g) (0.01) (0.01) (0.04) (0.06)
-------- -------- -------- -------- --------
Total Distributions .................................... (g) (0.01) (0.01) (0.04) (0.06)
-------- -------- -------- -------- --------
Net Assets Value at End of Period ......................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
Total Investment Return(b) ................................ 0.41%(e) 0.95% 1.48% 3.93% 6.29%(a)
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net Assets ....... 0.32%(f) 0.31% 0.32% 0.32% 0.29%
Ratio of Net Investment Income to Average Net Assets ... 0.83%(f) 0.95% 1.46% 3.72% 6.05%
Portfolio Turnover Rate ................................ n/a n/a n/a n/a n/a
Net Assets End of Period (000s Omitted) ................... $658,331 $681,633 $918,116 $745,516 $496,853
(a) The total investment return includes the effect of the capital contribution
of $0.01 per share. The total investment return without the capital
contribution would have been 6.18%.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Per share amounts have been restated to reflect a 10-for-1 stock split
effective May 1, 2001.
(d) The fund entered into a new sub-advisory agreement with Wellington
Management Company during the period shown.
(e) Not annualized.
(f) Annualized.
(g) Amount is less than $0.01.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MONEY MARKET FUND
Par Market
Name of Issuer Value Value
-------------- ------- --------
(000's) (000's)
PUBLICLY-TRADED BONDS
Banks- 0.7%
Chase Manhattan Bank USA
1.05% due 05/11/05 ..................................... $ 4,475 $ 4,475
Finance- 1.5%
General Electric Capital Corp. - Disc Notes
1.14% due 03/10/17 ..................................... 7,000 7,000
Nationwide Building Society
1.08% due 07/23/04 ..................................... 2,700 2,700
--------
9,700
Insurance- 0.5%
Monumental Life Insurance - Notes
1.21% due 11/01/03 ..................................... 3,000 3,000
U.S. Government Agencies- 23.2%
Federal Home Loan Bank
1.5% due 03/01/05 ...................................... 6,000 6,000
Federal Home Loan Bank - Bonds
1.66% due 05/16/05 ..................................... 2,800 2,800
Federal Home Loan Bank - Disc. Notes
1.39% due 11/12/04 ..................................... 9,000 8,953
3.875% due 12/15/04 .................................... 9,000 9,108
Federal Home Loan Bank - Notes
1.625% due 04/15/05 .................................... 5,000 5,013
Federal Home Loan Mortgage Corp. - Disc. Notes
1.135% due 12/20/04 .................................... 15,000 14,919
1.17% due 08/16/04 ..................................... 10,000 9,985
1.18% due 08/18/04 ..................................... 18,000 17,972
1.22% due 08/06/04 ..................................... 10,000 9,988
1.34% due 10/26/04 ..................................... 11,353 11,304
Federal Home Loan Mortgage Corp. - Notes
1.4% due 08/11/04 ...................................... 3,000 3,000
Federal National Mortgage Assoc.
6.5% due 08/15/04 ...................................... 8,000 8,052
Federal National Mortgage Assoc. - Disc. Notes
1.245% due 08/11/04 .................................... 10,000 9,986
1.25% due 11/03/04 ..................................... 20,308 20,215
Federal National Mortgage Assoc. - Notes
1.375% due 02/14/05 .................................... 5,500 5,499
1.61% due 05/13/05 ..................................... 1,300 1,300
1.75% due 05/23/05 ..................................... 9,000 9,000
--------
153,094
Whole Loan CMOs- 3.3%
Granite Mortgages plc - Notes Ser. 1 Cl. A1
1.049% due 12/20/04 .................................... 3,772 3,772
Holmes Financing plc - Notes Ser. 1 Cl. A
1.045% due 04/15/05 .................................... 5,500 5,500
Permanent Financing plc - Notes Ser. 1 Cl. A
1.04% due 03/10/05 ..................................... 8,500 8,500
Permanent Financing plc - Notes Ser. 3 Cl. 1A
1.08% due 12/10/04 ..................................... $ 4,110 $ 4,110
--------
21,882
--------
TOTAL PUBLICLY-TRADED BONDS-
(Cost $192,151) 29.2% 192,151
COMMERCIAL PAPER
Banks - 7.7%
ABN AMRO Bank NV
1.27% due 12/30/04 ..................................... 8,000 7,999
Barclays Bank plc
1.221% due 03/24/05 .................................... 11,700 11,698
Royal Bank of Scotland
1.31% due 08/23/04 ..................................... 10,000 9,981
Svenska Handelsbanken
1.23% due 10/12/04 ..................................... 11,000 11,000
Westdeutche Lands
1.32% due 01/27/05 ..................................... 9,973 9,973
--------
50,651
Beverages - 3.1%
Coca Cola Enterprises, Inc.
1.04% due 07/01/04 ..................................... 9,000 9,000
Fortune Brands, Inc.
1.1% due 07/21/04 ...................................... 11,376 11,369
--------
20,369
Diversified Financials - 9.7%
Allstate Financial Global
1.19% due 12/22/04 ..................................... 20,000 19,999
Cafco LLC
1.23% due 08/04/04 ..................................... 6,931 6,923
Goldman Sachs Group
1.35% due 08/23/04 ..................................... 10,000 9,980
J.P. Morgan Chase & Co.
1.1% due 07/19/04 ...................................... 8,000 7,996
Morgan Stanley Dean Witter & Co.
1.18% due 07/19/04 ..................................... 9,007 9,002
Wilmington Trust Co.
1.1% due 07/26/04 ...................................... 10,000 10,000
--------
63,900
Finance - 38.4%
Bradford & Bingley Building Society
1.13% due 01/07/05 ..................................... 8,000 8,000
CBA Delaware Finance, Inc.
1.15% due 08/16/04 ..................................... 12,000 11,982
Ciesco LP
1.16% due 08/02/04 ..................................... 8,084 8,076
1.21% due 07/26/04 ..................................... 3,937 3,934
Clipper Receivables Corp.
1.07% due 07/19/04 ..................................... 13,094 13,086
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
MONEY MARKET FUND
Par Market
Name of Issuer Value Value
-------------- ------- --------
(000's) (000's)
COMMERCIAL PAPER - Continued
Finance - Continued
CRC Funding LLC
1.18% due 08/03/04 ..................................... $11,000 $ 10,988
Delaware Funding Corp.
1.23% due 07/27/04 ..................................... 10,000 9,991
Diageo Capital plc
1.2% due 08/31/04 ...................................... 10,000 9,980
Eureka Securitization, Inc.
1.32% due 08/18/04 ..................................... 10,000 9,982
Falcon Asset Securitization
1.07% due 07/06/04 ..................................... 6,311 6,310
1.22% due 07/16/04 ..................................... 6,500 6,497
Galaxy Funding, Inc.
1.23% due 08/23/04 ..................................... 8,514 8,499
Greyhawk Funding Corp.
1.07% due 07/14/04 ..................................... 12,000 11,995
International Lease Finance Corp.
1.16% due 08/24/04 ..................................... 11,000 10,981
KFW International Finance, Inc.
1.1% due 08/30/04 ...................................... 9,023 9,006
1.14% due 08/06/04 ..................................... 2,128 2,126
Kittyhawk Funding
1.1% due 07/15/04 ...................................... 10,000 9,996
National Australia Funding Delaware, Inc.
1.03% due 07/01/04 ..................................... 8,571 8,571
Nationwide Building Society
1.07% due 07/16/04 ..................................... 10,000 9,996
Old Line Funding Corp.
1.1% due 07/15/04 ...................................... 13,000 12,994
Park Avenue Reconstruction Corp.
1.1% due 07/08/04 ...................................... 8,956 8,954
1.23% due 07/23/04 ..................................... 989 988
Societe Generale
1.22% due 09/01/04 ..................................... 12,000 11,975
UBS Finance Delaware LLC
1.06% due 07/19/04 ..................................... 4,458 4,456
1.175% due 08/19/04 .................................... 7,356 7,344
Variable Funding Capital Corp.
1.05% due 07/02/04 ..................................... 12,000 12,000
Windmill Funding Corp.
1.05% due 07/06/04 ..................................... 6,000 5,999
1.13% due 08/04/04 ..................................... 6,000 5,994
Yorktown Capital LLC
1.21% due 07/26/04 ..................................... 12,000 11,990
--------
252,690
Food Products - 1.1%
Archer Daniels Midland Co.
1.09% due 08/10/04 ..................................... 7,000 6,992
Insurance - 4.6%
Metlife, Inc.
1.259% due 08/02/04 .................................... $15,000 $ 14,999
Travelers Insurance Co.
1.385% due 08/27/04 .................................... 15,000 15,000
--------
29,999
Personal Products - 1.6%
Proctor & Gamble Co.
1.28% due 08/02/04 ..................................... 10,908 10,896
Pharmaceuticals - 2.3%
Pfizer, Inc.
1.12% due 08/05/04 ..................................... 15,000 14,984
--------
TOTAL COMMERCIAL PAPER-
(Cost $450,481) 68.5% 450,481
JOINT REPURCHASE AGREEMENT - 2.3%
Investment in joint repurchase agreement
with SBC Warburg, 1.3% due 07/01/04
(Secured by U.S. Treasury obligations)
(Cost $15,408) ...................................... 15,408 15,408
------- --------
TOTAL INVESTMENTS-
(Cost $658,040) 100.0% 658,040
Cash and Receivables, less payables- 0.0% 291
------- --------
NET ASSETS- 100.0% $658,331
======= ========
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE A--ORGANIZATION
John Hancock Money Market Fund (the "Fund") is a diversified series of John
Hancock Variable Series Trust I (the "Trust"), an open-end investment management
company registered under the Investment Company Act of 1940. The Trust is
organized as a Massachusetts business trust and consists of thirty different
funds as of June 30, 2004. The results of this Fund are included in this report.
The results of the other Funds in the Trust are presented under separate cover.
The Trust may add or delete Funds in the future to accommodate various
investment objectives. The Trust has issued shares of beneficial interest
exclusively to John Hancock Variable Life Account U ("JHVLAU"), John Hancock
Variable Life Account V ("JHVLAV"), John Hancock Variable Life Account S
("JHVLAS"), and John Hancock Variable Annuity Account I ("JHVAAI") to fund
policies and contracts issued by the John Hancock Variable Life Insurance
Company ("JHVLICO"), and to John Hancock Variable Annuity Account U ("JHVAAU"),
John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock Variable Life
Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H ("JHVAAH"), and
John Hancock Variable Annuity Account JF ("JHVAAJF") to fund contracts and
policies issued by John Hancock Life Insurance Company ("John Hancock" or
"JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"), and to John
Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Board of Trustees has determined that the
appropriate method for valuing Fund securities is amortized cost, so long as the
average weighted maturity of money market instruments comprising the Fund does
not exceed 90 days. Accordingly, Fund securities are valued at amortized cost,
which approximates market value. The amortized cost method involves valuing a
security at its cost on the date of purchase and thereafter assuming a constant
amortization to maturity of the difference between the principal amount due at
maturity and the cost of the security to the Fund. Investment security
transactions are recorded on the date of purchase or sale.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Debt investment securities having a primary market over-the-counter are
valued on the basis of valuations furnished by a pricing service which
determines valuations for normal institutional size trading units of debt
securities, without exclusive reliance upon quoted prices.
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Name of Issuer Market Value
- -------------- ------------
Clipper Receivables Corp., 1.50%, due 07/01/04 $ 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $4 and $78 which expire in 2007 and 2008, respectively.
Dividends, Interest and Distributions: Interest income is recorded on the
accrual basis. A dividend of its net investment income will be declared and
distributed daily by the Fund.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the rate of 0.25% on an annual basis of the
Fund's net assets.
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. Accordingly,
for the period ended June 30, 2004, there were no reimbursements paid to the
Fund.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH
AFFILIATES--Continued
John Hancock has entered into a Sub-Advisory Agreement with Wellington
Management Company, and under its supervision, is responsible for the day-to-day
investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
The identified cost of investment of the Fund at December 31, 2003, was
$679,752, which is the same as its tax cost.
Distribution of Income and Gains: Distributions of net investment income,
if any, are made daily. Net realized gains from investment transactions, in
excess of available capital loss carryforwards, would be taxable to the Fund if
not distributed, and, therefore, will be distributed to shareholders at least
annually. Earnings and profits distributed to shareholders on redemption of fund
shares may be utilized by the Fund, to the extent permissible, as part of the
Fund's dividends-paid deduction on it's federal income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. Accordingly, the Fund may
periodically make reclassifications among certain of its capital accounts
without impacting the net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed Net Unrealized
Ordinary Net Long-Term Capital Loss Appreciation/
Income Capital Gain Carryforwards (Depreciation)
- ------------- ------------- ------------- --------------
$82 $-- $82 $--
In addition, the tax character of distributions paid by the Fund are summarized
as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $ 7,879 $-- $--
2002 11,513 -- --
Inception: May 1, 1996
- --------------------------------------------------------------------------------
Overseas Equity Fund
Capital Guardian Trust Company Management Team
- --------------------------------------------------------------------------------
.. Year to date, the Fund returned 1.51%, underperforming its benchmark, the
MSCI EAFE Index. Relative to Morningstar peers, the Fund has an above
average rating of 5 with a low risk profile.
.. The Fund underperformed its benchmark primarily due to unfavorable security
selection both within countries and sectors.
.. The Fund's exposures to selected countries (Japan) and sectors (financials
& consumer discretionary) were the largest contributors to absolute
performance.
.. The manager employs a multiple portfolio manager system, with each
portfolio managed by several portfolio managers and research analysts. The
manager selects stocks using proprietary fundamental research. Fundamental
research seeks to uncover companies that are undervalued and asset rich.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
Vodafone AirTouch plc 3.0%
AstraZeneca Group plc 2.9%
Royal Dutch Petroleum Co. 2.6%
Sanofi-Synthelabo SA 2.5%
Mitsubishi 2.5%
Novartis AG 2.0%
Koninklijke 1.6%
BNP Paribas 1.6%
Nestle SA 1.6%
Sumitomo 1.6%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Overseas Equity Overseas Equity
Fund Benchmark/4/
--------------- ---------------
YTD/3/ 1.51% 4.86%
1 Year 26.71 32.85
3 Years 9.12 11.64
5 Years 4.37 6.26
Since Inception (5/1/96) 5.40 6.43
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Foreign Large Blend
MORNINGSTAR RISK/1/:
.. Low (VL/VUL)
.. Low (VA)
MORNINGSTAR RATING/1/:
.. ***** (VL/VUL)
.. ***** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DIVERSIFICATION BY REGION AND COUNTRY/5/
(as of June 30, 2004)
% of
Assets
------
Europe
(excluding U.K.) 44.5%
Japan 24.7%
United Kingdom (U.K.) 17.3%
Pacific Basin
(excluding Japan) 5.8%
United States 5.0%
Other 2.6%
DIVERSIFICATION BY REGION/6/
Developed Markets 98%
Emerging Markets 2%
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 363 VL/VUL subaccounts and 603 VA subaccounts in the
Morningstar Foreign Large Blend category. This represents the Morningstar 3
year rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. There are special risks associated with
international investing including currency fluctuations, political and
economic instability, foreign taxation and different accounting standards,
as outlined in the current prospectus. The performance of the fund on this
page is reported net of Trust level charges (i.e. investment management
fees and operating expenses). It does not reflect expense and charges of
the applicable separate accounts and variable products, all of which vary
to a considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
/4/ Overseas Equity Composite Index: 65% MSCI World Index Excluding US, and 35%
Citigroup Non-US Govt. Bond Index, Unhedged, May 1996 to April 2000, then
60% MSCI World / 40% Citigroup World Government Bond, Unhedged, May 2000 to
April 2003 and then MSCI EAFE Index May 2003 to present.
/5/ Calculations based upon country in which security is traded (listed).
/6/ Calculations based upon country in which security is domiciled.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Overseas Equity Fund
(000's Omitted)
ASSETS
Long term investments at cost ....................................... $49,886
Net unrealized appreciation of investments .......................... 7,717
Short-term investments at value ..................................... 1,551
-------
Total investments ............................................. 59,154
Cash ................................................................ 1
Foreign currency at value (cost $11) ................................ 11
Receivable for:
Investments sold ................................................. 328
Interest ......................................................... 3
Dividends ........................................................ 62
Foreign dividend tax withholding reclaim ......................... 41
-------
Total assets ........................................................ 59,600
-------
LIABILITIES
Payables for:
Investments purchased ............................................ 242
Foreign dividend tax withholding ................................. 5
Foreign interest tax expenses .................................... 2
Accrued operating expenses ....................................... 55
Unrealized depreciation in forward currency contracts ............ 24
-------
Total liabilities ................................................... 328
-------
Net assets .......................................................... $59,272
=======
Shares outstanding, $0.01 Par Value (unlimited shares authorized) ... 5,638
-------
Net asset value per share ........................................... $ 10.51
=======
Composition of net assets:
Capital paid-in .................................................. $53,149
Accumulated net realized loss on investments, futures and
foreign currency transactions ................................. (1,559)
Undistributed net investment loss ................................... (11)
Net unrealized appreciation (depreciation) of:
Investments ................................................... 7,717
Translation of assets and liabilities in foreign currencies ... (24)
-------
Net assets .......................................................... $59,272
=======
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Overseas Equity Fund
(000's Omitted)
INVESTMENT INCOME
Interest ...................................................... $ 12
Dividends (net of foreign withholding tax of $100) ............ 723
-------
Total investment income ............................................. 735
-------
EXPENSES
Investment advisory fee ....................................... 314
Auditors fees ................................................. 3
Custodian fees ................................................ 81
Legal fees .................................................... 3
Printing & mailing fees ....................................... 8
Trustees' fees ................................................ 1
Other fees .................................................... 1
-------
Total expenses ...................................................... 411
Less expenses reimbursed ...................................... (24)
Less custodian expense reduction offset by commission
recapture arrangement (Note C) ............................. (20)
-------
Net expenses ........................................................ 367
-------
Net investment income ............................................... 368
-------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on:
Investments ................................................... 2,210
Foreign currency transactions ................................. 4
Change in unrealized appreciation (depreciation) on:
Investments ................................................... (1,930)
Translation of assets and liabilities in foreign currencies ... 10
-------
Net realized and unrealized gain .................................... 294
-------
Net increase in net assets resulting from operations ................ $ 662
=======
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Overseas Equity Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income ........................................... $ 368 $ 301
Net realized gain ............................................... 2,214 491
Change in net unrealized appreciation (depreciation) ............ (1,920) 11,873
------- -------
Net increase in net assets resulting from operations ......... 662 12,665
Distributions to shareholders from:
Net investment income ........................................... (374) (1,633)
Realized gains .................................................. (1,073)
------- -------
Decrease in net assets resulting from distributions .......... (374) (2,706)
From fund share transactions:
Proceeds from shares sold ....................................... 17,094 26,834
Distributions reinvested ........................................ 374 2,706
Payment for shares redeemed ..................................... (7,660) 20,259)
------- -------
Increase in net assets from fund share transactions .......... 9,808 9,281
------- -------
NET INCREASE IN NET ASSETS ......................................... 10,096 19,240
NET ASSETS
Beginning of Period ............................................. 49,176 29,936
------- -------
End of Period (including undistributed net investment loss of
$(11) and $(5), respectively) ................................ $59,272 $49,176
======= =======
Analysis of fund share transactions:
Sold ............................................................ 1,605 2,962
Reinvested ...................................................... 35 270
Redeemed ........................................................ (720) (2,292)
------- -------
Net increase in fund shares outstanding ............................ 920 940
======= =======
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Overseas Equity Fund
--------------------------------------------------------------------
Unaudited
Period Ended Year Ended December 31,
June 30, -------------------------------------------------
2004 2003 2002 2001 2000(c)
------------ ------- ------- ------- -------
Net Assets Value at Beginning of Period ..... $ 10.42 $ 7.92 $ 8.57 $ 9.27 $ 10.71
Income from Investment Operations:
Net Investment Income .................... 0.12 0.09 0.10 0.11 0.23
Net Realized and Unrealized Gain (Loss) on
Investment(a) ......................... 0.04 3.03 (0.65) (0.70) (1.20)
------- ------- ------- ------- -------
Total From Investment Operations ......... 0.16 3.12 (0.55) (0.59) (0.97)
Less Distributions:
Distribution from Net Investment Income .. (0.07) (0.37) (0.10) (0.24)
Distribution from Net Realized Gains on
Investments ........................... (0.25) (0.01)
Distribution from Excess of Net Investment
Income/ Gains ......................... (0.10)
Distribution from Capital Paid-in ........ (0.11) (0.12)
Total Distributions ...................... (0.07) (0.62) (0.10) (0.11) (0.47)
------- ------- ------- ------- -------
Net Assets Value at End of Period ........... $ 10.51 $ 10.42 $ 7.92 $ 8.57 $ 9.27
======= ======= ======= ======= =======
Total Investment Return(b) .................. 1.51%(g) 39.85% (6.32)% (6.45)% (9.08)%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net
Assets ................................ 1.41%(d)(f)(h) 1.15%(d)(f) 1.15%(d) 1.15%(d) 0.98%(d)
Ratio of Net Investment Income to Average
Net Assets ............................ 1.34%(h) 0.84% 1.28%
Portfolio Turnover Rate .................. 14.99%(g) 89.10% 71.20% 53.11% 204.98%
Net Assets End of Period (000s Omitted) ..... $59,272 $49,176 $29,936 $31,290 $28,527
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) The Fund entered into a new sub-advisory agreement with Capital Guardian
Trust Company during the period shown.
(d) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made the expense ratio would have been 1.49% for the period ending
June 30, 2004, and 1.39%, 1.45%, 1.36%, and 1.27%, for the years ended
December 31, 2003, 2002, 2001, and 2000, respectively.
(e) Had the Fund not amortized premiums and accreted discounts on debt
securities, the annual ratio of net investment income to average net assets
would have been 1.38% for the years ended December 31, 2001.
(f) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
(g) Not annualized.
(h) Annualized.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
OVERSEAS EQUITY FUND
Market
Name of Issuer Shares Value
-------------- -------- -------
(000's)
COMMON STOCK
Australia - 2.9%
Amcor, Ltd. (BE) ....................................... $ 24,700 $ 120
Australia & New Zealand Banking Group, Ltd. (JP) ....... 16,427 209
Brambles Industries, Ltd. (BO) ......................... 27,900 116
Broken Hill Proprietary Co., Ltd. (BF) ................. 23,500 205
Foster's Brewing Group, Ltd. (JG) ...................... 33,900 111
Insurance Australia Group (JR) ......................... 12,900 45
National Australia Bank, Ltd. (JP) ..................... 8,800 182
Promina Group (JR) ..................................... 42,000 117
QBE Insurance Group, Ltd. (JR) ......................... 20,808 185
Rinker Group (BD) ...................................... 2,750 15
Wesfarmers (BL) ........................................ 8,600 176
WMC Resources, Ltd. (BF) ............................... 33,000 113
Woolworth's, Ltd. (JF) ................................. 16,500 131
------
1,725
Belgium - 0.0%
UCB SA (JO) ............................................ 500 23
Canada - 1.8%
Abitibi Consolidated, Inc. (BG) ........................ 13,700 94
Alcan Aluminum, Ltd. (BF) .............................. 6,100 251
Bombardier, Inc. - Cl. B (BH) .......................... 74,600 224
Great West Lifeco, Inc. (JR) ........................... 2,400 86
National Bank of Canada (JP) ........................... 3,600 115
Suncor Energy, Inc. (BB) ............................... 4,700 119
Thomson Corp. (JA) ..................................... 5,500 183
------
1,072
Denmark - 0.6%
Novo Nordisk AS (JO) ................................... 4,500 232
Tele Danmark AS (J1) ................................... 3,500 114
------
346
Finland - 0.7%
Nokia Oyj (JW) ......................................... 17,900 258
UPM-Kymmene Corp. (BG) ................................. 8,700 166
------
424
France - 10.0%
Accor SA (BZ) .......................................... 6,000 253
Air Liquide (BC) ....................................... 2,860 473
BNP Paribas (JP) ....................................... 15,100 930
Bouygues SA (J2) ....................................... 15,600 523
Carrefour SA (JF) ...................................... 3,100 151
Essilor International (JL) ............................. 3,100 203
Groupe Danone (JH) ..................................... 4,600 402
L'Oreal SA (JK) ........................................ 3,300 264
Renault (BV) ........................................... 4,600 351
Sanofi-Synthelabo SA (JO) .............................. 22,900 1,453
Schneider SA (BK) ...................................... 3,600 246
Societe Generale - Cl. A (JP) .......................... 2,200 187
STMicroelectronics (J0) ................................ 6,700 147
Vivendi Universal SA (JA) .............................. $ 11,200 $ 311
------
5,894
Germany - 5.1%
Allianz AG (JR) ........................................ 3,600 390
Aventis SA (JO) ........................................ 1,000 75
Bayerische Motoren Werke AG (BV) ....................... 4,900 217
Bayerische Vereinsbank AG (JP) ......................... 12,500 223
DaimlerChrysler AG (BV) ................................ 12,100 566
Deutsche Bank AG (JP) .................................. 1,200 94
Deutsche Boerse AG (JQ) ................................ 4,361 222
E.On AG (J3) ........................................... 2,000 145
Infineon Technologies AG (J0) .......................... 14,400 194
Muenchener Rueckversicherungs-Gesellschaft AG (JR) ..... 3,328 361
SAP AG (JV) ............................................ 600 100
Siemens AG (BK) ........................................ 5,100 367
Thyssen Krupp AG (BF) .................................. 5,500 94
------
3,048
Hong Kong - 1.3%
Cheung Kong Holdings, Ltd. (JS) ........................ 14,000 103
Esprit Holdings, Ltd. (JE) ............................. 15,000 67
Hang Lung Properties (JS) .............................. 130,000 168
Hang Seng Bank, Ltd. (JP) .............................. 9,300 119
Li & Fung, Ltd. (JB) ................................... 160,000 234
Swire Pacific, Ltd. - Cl. A (JQ) ....................... 13,000 84
------
775
Italy - 1.0%
ENI (BB) ............................................... 19,900 396
UniCredito Italiano SpA (JP) ........................... 41,500 205
------
601
Japan - 24.0%
Acom Co., Ltd. (JQ) .................................... 1,600 104
Advantest (J0) ......................................... 2,800 187
Canon, Inc. (JZ) ....................................... 4,000 210
Chudenko Corp. (BJ) .................................... 6,800 111
Dai-Nippon Printng Co., Ltd. (BO) ...................... 10,000 160
Daiwa House Industry Co., Ltd. (BW) .................... 11,000 127
East Japan Railway Co. (BS) ............................ 24 134
Fanuc, Ltd. (BK) ....................................... 4,000 238
Furukawa Electric Co. (BK) ............................. 28,000 119
Hirose Electric Co., Ltd. (JY) ......................... 2,100 230
Honda Motor Co. (BV) ................................... 2,000 96
Hoya Corp. (JY) ........................................ 2,300 240
Japan Airlines (BQ) .................................... 17,000 54
Jusco Co., Ltd. (JD) ................................... 13,000 521
Kansai Electric Power Co., Inc. (J3) ................... 14,800 269
Keyence Corp. (JY) ..................................... 500 114
Konica Corp. (BX) ...................................... 21,000 289
Kyocera Corp. (JY) ..................................... 1,700 144
Millea Holdings, Inc. (JR) ............................. 36 533
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
OVERSEAS EQUITY FUND
Market
Value
Name of Issuer Shares (000's)
-------------- -------- -------
COMMON STOCK - Continued
Japan - Continued
Mitsubishi Corp. (BN) .................................. $ 19,000 $ 184
Mitsubishi Estate Co., Ltd. (JS) ....................... 54,000 669
Mitsubishi Heavy Industries, Ltd. (BM) ................. 33,000 89
Mitsubishi Motor (BV) .................................. 8,000 13
Mitsubishi Tokyo Finance (JP) .......................... 47 434
Mitsui Fudosan Co., Ltd. (JS) .......................... 17,000 203
Mitsui Marine & Fire Insurance Co., Ltd. (JR) .......... 57,100 535
Mizuho Financial GB (JP) ............................... 22 100
Murata Manufacturing Co., Ltd. (J0) .................... 2,700 154
NEC Corp. (JX) ......................................... 96,000 674
Nidec Corp. (JY) ....................................... 900 92
Nikko Securities Co., Ltd. (JQ) ........................ 23,000 111
Nikon Corp. (J0) ....................................... 14,000 157
Nintendo Corp., Ltd. (BW) .............................. 2,400 278
Nissan Motor Acceptance Corp. (BV) ..................... 50,000 555
Nitto Denko Corp. (BK) ................................. 4,500 230
Nomura Securities Co., Ltd. (JQ) ....................... 9,000 133
Omron Corp. (JY) ....................................... 5,000 117
Orix Corp. (JQ) ........................................ 3,500 400
Rohm Co., Ltd. (JY) .................................... 2,000 239
Sankyo Co., Ltd. (JO) .................................. 11,000 238
Sekisui House, Ltd. (BW) ............................... 26,000 288
Shimamura Co., Ltd. (JE) ............................... 1,400 121
Shionogi & Co., Ltd. (JO) .............................. 18,000 309
SMC Corp. (BM) ......................................... 2,400 259
Sumitomo Chemical Co. (BC) ............................. 48,000 224
Sumitomo Forestry Co. (BW) ............................. 6,000 69
Sumitomo Mitsui GR (JP) ................................ 89 609
Suzuki Motor Corp. (BV) ................................ 23,000 404
Takeda Chemical Industries (JO) ........................ 5,000 219
Tokyo Electron, Ltd. (J0) .............................. 8,800 493
Tokyo Gas Co. (J4) ..................................... 48,000 170
Tostem Corp. (BI) ...................................... 6,000 129
Toyota Motor Corp. (BV) ................................ 11,800 477
UFJ Holdings, Inc. (JP) ................................ 65 287
Uni-Charm Corp. (JJ) ................................... 2,500 124
Yamanouchi Pharmaceutical Co., Ltd. (JO) ............... 3,000 101
Yamato Transport Co., Ltd. (BP) ........................ 14,000 228
Yasuda F & M Insurance (JR) ............................ 20,000 204
-------
14,200
Netherlands - 8.4%
ABN Amro Holding NV (JP) ............................... 30,148 660
Aegon NV (JR) .......................................... 13,763 166
Elsevier NV (JA) ....................................... 16,900 238
Heineken Holdings (JG) ................................. 1,125 33
Heineken NV (JG) ....................................... 23,075 759
ING Groep NV (JQ) ...................................... 17,447 412
Koninklijke (Royal) Philips Electronics NV (BW) ........ 4,400 119
Koninklijke KPN NV (J1) ................................ 109,500 835
Royal Dutch Petroleum Co. (BB) ......................... 27,000 1,387
TNT Post Group NV (BP) ................................. 7,600 174
VNU NV (JA) ............................................ $ 6,444 $ 188
-------
4,971
Norway - 1.1%
Den Norske Bank (JP) ................................... 16,000 109
Norsk Hydro ASA (BB) ................................... 2,925 190
Norske Skogindustrier ASA - Cl. A (BG) ................. 2,700 48
Statoil ASA (BB) ....................................... 25,400 323
-------
670
Singapore - 1.3%
Hong Kong Land Holdings, Ltd. (JS) ..................... 34,000 53
Singapore Telecommunications, Ltd. (J1) ................ 382,000 499
United Overseas Bank, Ltd. (JP) ........................ 15,000 117
Venture Manufacturing, Ltd. (JY) ....................... 9,000 94
-------
763
Spain - 3.0%
Banco Bilbao Vizcaya SA (JP) ........................... 54,900 734
Iberdrola SA (J3) ...................................... 1,000 21
Inditex (JE) ........................................... 21,500 494
Telefonica SA (J1) ..................................... 36,853 546
-------
1,795
Sweden - 2.5%
Assa Abloy (BI) ........................................ 10,900 139
AstraZeneca Group plc (JO) ............................. 21,200 963
ForeningsSparbanken AB (JP) ............................ 14,100 270
Scania AB - Ser. B (BM) ................................ 3,600 123
-------
1,495
Switzerland - 10.9%
ABB, Ltd. (BK) ......................................... 26,589 145
Adecco SA (BO) ......................................... 2,509 125
Credit Suisse Group (JP) ............................... 8,170 290
Holcim (BD) ............................................ 12,658 689
Nestle SA (JH) ......................................... 3,399 907
Novartis AG (JO) ....................................... 26,588 1,173
Richemont (JE) ......................................... 25,336 662
Roche Holdings AG (JO) ................................. 2,192 217
Serono SA (JN) ......................................... 231 146
Swiss Reinsurance Co. (JR) ............................. 11,804 767
Swisscom AG (J1) ....................................... 2,126 703
Syngenta AG (BC) ....................................... 1,327 111
Synthes, Inc. (JL) ..................................... 1,260 144
UBS AG (JP) ............................................ 4,978 351
-------
6,430
United Kingdom - 16.8%
Anglo American plc (BF) ................................ 5,700 117
ARM Holdings plc (J0) .................................. 52,600 114
AstraZeneca Group plc (JO) ............................. 11,100 498
Barclays (JP) .......................................... 12,300 105
BG Group plc (BB) ...................................... 135,600 835
Billiton plc (BF) ...................................... 36,555 317
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
OVERSEAS EQUITY FUND
Market
Name of Issuer Shares Value
-------------- -------- -------
(000's)
COMMON STOCK - Continued
United Kingdom - Continued
British Aerospace plc (BH) ............................. $ 20,000 $ 79
Centrica plc (J4) ...................................... 44,900 183
CRH (BD) ............................................... 11,600 246
Diageo plc (JG) ........................................ 24,100 325
HBOS (JP) .............................................. 34,600 428
HSBC Holdings plc (JP) ................................. 42,200 627
Lloyds TSB Group plc (JP) .............................. 14,900 117
National Grid Group (J3) ............................... 48,700 376
Pearson plc (JA) ....................................... 29,800 362
Reckitt Benckiser (JJ) ................................. 4,400 124
Reed International plc (JA) ............................ 20,500 199
Rio Tinto plc (BF) ..................................... 7,700 185
Royal Bank of Scotland Group (JP) ...................... 30,900 890
Shell Transport & Trading Co. plc (BB) ................. 33,100 243
Smiths Group (BL) ...................................... 34,200 463
Standard Chartered plc (JP) ............................ 21,500 350
Unilever plc (JH) ...................................... 66,400 651
Vodafone AirTouch plc (J2) ............................. 783,138 1,714
Wolseley (BN) .......................................... 7,100 110
Xstrata (BF) ........................................... 23,700 317
-------
9,975
United States - 4.9%
America Movil SA de CV - ADR Ser. L (J2) ............... 2,400 87
AstraZeneca Group plc - ADR (JO) ....................... 5,000 228
Companhia Vale Do Rio Doce - ADR (BF) .................. 1,800 86
Hon Hai Precision Industry Co., Ltd. - GDR (JY) ........ 11,000 83
Inco, Ltd. (BF) ........................................ 7,800 270
Nokia Oyj - ADR (JW) ................................... 4,500 65
Royal Dutch Petroleum Co. (BB) ......................... 2,000 103
Samsung Electronics - 144A (a) (J0) .................... 2,250 463
Sap Aktiengesellschaft - ADR (JV) ...................... 3,200 134
STMicroelectronics NV (J0) ............................. 5,200 114
Taiwan Semiconductor Manufacturing Co.,
Ltd. - ADR (J0) ..................................... 46,734 388
The Thomson Corp. (JA) ................................. 10,400 348
Vodafone Group Plc (J2) ................................ 17,100 378
Yukos Corp. - ADR (BL) ................................. 4,500 143
-------
2,890
-------
TOTAL COMMON STOCK-
(Cost $49,500) 96.3% 57,097
PREFERRED STOCK
Australia - 0.2%
News Corp., Ltd. (JA) .................................. 15,247 124
-------
TOTAL PREFERRED STOCK-
(Cost $122) 0.2% 124
Par Market
Name of Issuer Value Value
-------------- -------- -------
(000's)
PUBLICLY-TRADED BONDS
Supra National - 0.7%
SMFG Finance (CB)
2.25% due 07/11/05 .................................. $ 15,000 $ 330
2.25% due 07/11/05 .................................. 6,000 52
-------
TOTAL PUBLICLY-TRADED BONDS-
(Cost $264) 0.7% 382
-------- -------
TOTAL LONG-TERM INVESTMENTS-
(Cost $49,886) 97.2% 57,603
SHORT-TERM INVESTMENTS - 2.6%
Investment in joint trading account
1.344% due 07/01/04
(Cost $1,551) .......................................... 1,551 1,551
-------- -------
TOTAL INVESTMENTS-
(Cost $51,437) 99.8% 59,154
Cash and Receivables, less payables- 0.2% 118
-------- -------
NET ASSETS- 100.0% $59,272
======== =======
(a) Pursuant to Rule 144A under the Securities Act of 1933, these securities
may be resold in transactions exempt from registration, normally to
qualified institutional buyers. At June 30, 2004, securities aggregated
$463 or 0.8% of net assets of the Portfolio.
ADR-American Depository Receipt.
GDR-Global Depository Receipt.
See notes to financial statements.
SUMMARY OF LONG-TERM SECURITIES BY INDUSTRY
Market % of
Industry Value Long-Term
Industry Abbreviation (000s) Investments
-------- ------------ ------ -----------
Banks .................................... JP $8,742 15.2%
Pharmaceuticals .......................... JO 5,730 9.9%
Oil & Gas ................................ BB 3,596 6.2%
Insurance ................................ JR 3,390 5.9%
Wireless Telecommunications Services ..... J2 2,703 4.7%
Diversified Telecommunication Services ... J1 2,697 4.7%
Automobiles .............................. BV 2,679 4.7%
Semiconductor Equipment & Products ....... J0 2,411 4.2%
Food Products ............................ JH 1,960 3.4%
Metals & Mining .......................... BF 1,953 3.4%
Media .................................... JA 1,952 3.4%
Diversified Financials ................... JQ 1,466 2.5%
Electronic Equipment & Instruments ....... JY 1,353 2.3%
Electrical Equipment ..................... BK 1,346 2.3%
Specialty Retail ......................... JE 1,344 2.3%
Beverages ................................ JG 1,228 2.1%
Real Estate Operations ................... JS 1,196 2.1%
Construction Materials ................... BD 950 1.7%
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
OVERSEAS EQUITY FUND
Market % of
Industry Value Long-Term
Industry Abbreviation (000s) Investments
-------- ------------ ------- -----------
Household Durables ...................... BW $ 880 1.5%
Electric Utilities ...................... J3 811 1.4%
Chemicals ............................... BC 808 1.4%
Industrial Conglomerates ................ BL 782 1.4%
Computers & Peripherals ................. JX 674 1.2%
Multiline Retail ........................ JD 521 0.9%
Machinery ............................... BM 471 0.8%
Air Freight & Couriers .................. BP 402 0.7%
Commercial Services & Supplies .......... BO 401 0.7%
Finance ................................. FB 382 0.7%
Gas Utilities ........................... J4 353 0.6%
Health Care Equipment & Supplies ........ JL 346 0.6%
Communications Equipment ................ JW 324 0.6%
Paper & Forest Products ................. BG 307 0.5%
Aerospace & Defense ..................... BH 303 0.5%
Trading Companies & Distributors ........ BN 294 0.5%
Leisure Equipment & Products ............ BX 289 0.5%
Food & Drug Retailing ................... JF 281 0.5%
Building Products ....................... BI 269 0.5%
Personal Products ....................... JK 264 0.5%
Hotels Restaurants & Leisure ............ BZ 254 0.4%
Household Products ...................... JJ 249 0.4%
Distributors ............................ JB 234 0.4%
Software ................................ JV 233 0.4%
Office Electronics ...................... JZ 210 0.4%
Biotechnology ........................... JN 146 0.3%
Road & Rail ............................. BS 134 0.2%
Containers & Packaging .................. BE 120 0.2%
Construction & Engineering .............. BJ 111 0.2%
Airlines ................................ BQ 54 0.1%
------- -----
$57,603 100.0%
======= =====
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Overseas Equity Fund, (formerly John Hancock Global Balanced
Fund), (the "Fund") is a diversified series of John Hancock Variable Series
Trust I (the "Trust"), an open-end investment management company registered
under the Investment Company Act of 1940. The Trust is organized as a
Massachusetts business trust and consists of thirty different funds as of June
30, 2004. The results of this Fund are included in this report. The results of
the other Funds in the Trust are presented under separate cover. The Trust may
add or delete Funds in the future to accommodate various investment objectives.
The Trust has issued shares of beneficial interest exclusively to John Hancock
Variable Life Account U ("JHVLAU"), John Hancock Variable Life Account V
("JHVLAV"), John Hancock Variable Life Account S ("JHVLAS"), and John Hancock
Variable Annuity Account I ("JHVAAI") to fund policies and contracts issued by
the John Hancock Variable Life Insurance Company ("JHVLICO"), and to John
Hancock Variable Annuity Account U ("JHVAAU"), John Hancock Variable Annuity
Account V ("JHVAAV"), John Hancock Variable Life Account UV ("JHVLAUV"), John
Hancock Variable Annuity Account H ("JHVAAH"), and John Hancock Variable Annuity
Account JF ("JHVAAJF") to fund contracts and policies issued by John Hancock
Life Insurance Company ("John Hancock" or "JHLICO"), to John Hancock Variable
Life Account PPM-1 ("PPM-1"), and to John Hancock Variable Life Account PPM-2
("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. In the event the Exchange
closes at any time other than 4:00 p.m. Eastern Standard Time on a particular
day, the Fund will determine its net asset value per share as of the close of
the Exchange on that day. All other securities held by the Fund are valued at
the last sale price or official closing price (closing bid price or last
evaluated quote if no sale has occurred) as of the close of business on a
principal securities exchange (domestic or foreign) or, lacking any sales, at
the closing bid price. Investment security transactions are recorded on the date
of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Debt investment securities having a primary market over-the-counter are
valued on the basis of valuations furnished by a pricing service which
determines valuations for normal institutional size trading units of debt
securities, without exclusive reliance upon quoted prices.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Currency translation: All assets or liabilities initially expressed in
terms of foreign currencies are translated into U.S. dollars based on London
currency exchange quotations as of 5:00 p.m., London time, on the date of any
determination of the net asset value of the Fund. Unrealized exchange
adjustments are included in unrealized appreciation (depreciation) of
investments. Transactions affecting statement of operations accounts and net
realized gain (loss) on investments are translated at the rates prevailing at
the dates of transactions.
The Fund does not isolate that portion of the results of operations
resulting from changes in foreign exchange rates on investments from the
fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gains or losses
from investments.
Reported net realized gains and losses on foreign currency transactions
represent net gains and losses from sales and maturities of forward foreign
currency contracts, disposition of foreign currencies, currency gains and losses
realized between trade and settlement dates of security transactions, and the
difference between the amounts of net
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
investment income accrued and the U.S. dollar amount actually received. Net
unrealized foreign exchange gains and losses arise from changes in the value of
assets and liabilities other than investments in securities, resulting from
changes in the exchange rate.
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations. For period ended June 30,
2004, the Fund had no bank borrowings.
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, the Fund had no open
financial futures contracts.
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date.
As of June 30, 2004, the Fund had open forward foreign currency contracts
which contractually obligate the Fund to deliver or receive currencies at a
specified date, as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Principal Amount Unrealized
Currency Sold Covered by Contract Expiration Month Gain (Loss)
- --------------- ------------------- ---------------- -----------
Canadian Dollar 345 August 04 $ (9)
Swiss Franc 100 August 04 (4)
Swiss Franc 410 August 04 (8)
Swiss Franc 518 September 04 --
Japanese Yen 190 September 04 (3)
----
(24)
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $478, $2,241 and $1,032 which expire in 2009, 2010 and 2011,
respectively.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred approximately $37 in net realized currency losses. As
permitted by tax regulations, the Fund intends to elect to defer these losses
and treat them as arising in the fiscal year ending on December 31, 2004.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Dividend
income for the Fund is shown net of foreign taxes withheld of $100. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
Between
$20 Million and Excess Over
First $20 Million $50 Million $50 Million
- ----------------- --------------- -----------
1.30% 1.15% 1.05%
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH
AFFILIATES--Continued
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. Accordingly,
for the period ended June 30, 2004, the reimbursements paid from John Hancock
and JHVLICO were $24 to the Fund.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $20.
John Hancock has entered into a Sub-Advisory Agreement with Capital
Guardian Trust Company, and under its supervision, is responsible for the
day-to-day investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D-INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$18,453 $7,995
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, and commercial paper) and their
respective gross unrealized appreciation and depreciation for Federal income tax
purposes at December 31, 2003 were as follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$40,215 $9,900 $(273) $9,627
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations, which may differ from accounting principles generally accepted in
the United
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
States of America. These differences primarily relate to certain securities sold
at a loss, premium amortization and market discount accretion on debt securities
and investments in passive foreign investment companies and foreign currency
denominated investments. Additionally, as a result, net investment income (loss)
and net realized gain (loss) on investment transactions for a reporting period
may differ significantly from distributions during such period. Accordingly, the
Fund may periodically make reclassifications among certain of its capital
accounts without impacting the net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $3,751 $9,627
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $1,620 $-- $1,086
2002 374 -- --
NOTE E--OTHER MATTERS
Section 30 and Rule 30d-1(b) under the Investment Company Act of 1940, as
amended, requires registered management investment companies to furnish
information relating to any matter submitted during the reporting period to a
vote of Shareholders of the Trust.
John Hancock Variable Series Trust I solicited a vote at special meeting of
Contract owners/Policyholders held on March 18, 2004 on the following matters:
For Against Abstain
--- ------- -------
To approve, as to the Overseas Equity Fund, an 76% 18% 6%
amendment to the current investment mangement
agreement between the Trust and John Hancock to
increase the fees paid by this Fund to John
Hancock and to eliminate John Hancock's
obligation to reimburse this Fund for certain
operating expenses.
Inception: May 1, 1996
- --------------------------------------------------------------------------------
Overseas Equity B Fund (FORMERLY INTERNATIONAL OPPORTUNITIES FUND)
Capital Guardian Trust Company Management Team
- --------------------------------------------------------------------------------
.. Year to date, the Fund returned 0.04% underperforming its custom benchmark.
Relative to Morningstar peers, the Fund has an average rating of 3 with an
above average / average risk profile.
.. On May 1st, the Fund's name, investment strategy and sub-adviser were
changed. Capital Guardian implemented an investment strategy for the Fund
that is substantially the same as the investment strategy it now employs
for the Overseas Equity Fund. Under that strategy, the Fund will invest
primarily in foreign large and mid sized equities with modest emerging
markets exposure.
.. Since May 1st, the Fund underperformed its benchmark partially due to the
restructuring of the Fund to the new strategy, as well as unfavorable stock
selection.
.. The manager employs a multiple portfolio manager system, with each
portfolio managed by several portfolio managers and research analysts. The
manager selects stocks using proprietary fundamental research. Fundamental
research seeks to uncover companies that are undervalued and asset rich.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
Vodafone AirTouch plc 3.5%
AstraZeneca Group plc 3.4%
Sanofi-Synthelabo SA 2.7%
Mitsubishi 2.4%
Novartis AG 2.0%
BNP Paribas 1.8%
Sumitomo 1.8%
Koninklijke 1.7%
Nestle SA 1.6%
Shell Transport & Trading Co. plc 1.6%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Foreign Large Blend
MORNINGSTAR RISK/1/:
.. Average (VL/VUL)
.. Above Average (VA)
MORNINGSTAR RATING/1/:
.. *** (VL/VUL)
.. *** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Overseas Overview
Equity B Equity B/4/
Fund Benchmark
-------- -----------
YTD/3/ 0.04% 4.29%
1 Year 23.50 32.72
3 Years 0.63 5.30
5 Years -1.59 1.00
Since Inception (5/1/96) 2.36 3.93
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DIVERSIFICATION BY REGION AND COUNTRY/5/
(as of June 30, 2004)
% of
Assets
------
Europe (excluding U.K.) 40.7%
Japan 24.7%
United Kingdom (U.K.) 20.9%
Pacific Basin (excluding Japan) 7.2%
United States 3.1%
Other 2.4%
Emerging Markets 1%
DIVERSIFICATION BY REGION/6/
Developed Markets 98%
Emerging Markets 2%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 367 VL/VUL subaccounts and 570 VA subaccounts in the
Morningstar Foreign Large Blend category. This represents the Morningstar 3
year rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. There are special risks associated with
international investing including currency fluctuations, political and
economic instability, foreign taxation and different accounting standards,
as outlined in the current prospectus. The performance of the fund on this
page is reported net of Trust level charges (i.e. investment management
fees and operating expenses). It does not reflect expense and charges of
the applicable separate accounts and variable products, all of which vary
to a considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
/4/ The Overseas Equity benchmark represents the MSCI All Country World Ex US
Index from May 1996 to April 2004 and now the MSCI EAFE from May 2004 to
present.
/5/ Calculations based upon country in which security is traded (listed).
/6/ Calculations based upon country in which security is domiciled.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Overseas Equity B Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $9,615 of securities
loaned (Note B)) ............................................... $ 113,868
Net unrealized appreciation on investments ........................ 5,299
Short-term investments at value ................................... 10,137
---------
Total investments ........................................... 129,304
Foreign currency at value (cost $3,875) ........................... 3,834
Receivable for:
Investments sold ............................................... 141
Dividends ...................................................... 129
Foreign dividend tax withholding reclaim ....................... 52
Interest ....................................................... 6
---------
Total assets ...................................................... 133,466
---------
LIABILITIES
Payables for:
Fund shares purchased .......................................... 63
Collateral for securities on loan .............................. 10,137
Foreign dividend tax withholding ............................... 11
Accrued operating expenses ..................................... 95
Unrealized depreciation in forward currency contracts .......... 32
Line of credit ................................................. 1,141
---------
Total liabilities ................................................. 11,479
---------
Net assets ........................................................ $ 121,987
=========
Shares outstanding, $0.01 Par Value (unlimited shares
authorized) .................................................... 12,449
---------
Net asset value per share ......................................... $ 9.80
=========
Composition of net assets:
Capital paid-in ................................................ $ 150,828
Accumulated net realized loss on investments, futures
and foreign currency transactions ........................... (34,056)
Undistributed net investment loss .............................. (11)
Net unrealized appreciation (depreciation) of:
Investments ................................................. 5,299
Translation of assets and liabilities in foreign
currencies ............................................... (73)
---------
Net assets ........................................................ $ 121,987
=========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Overseas Equity B Fund
(000's Omitted)
INVESTMENT INCOME
Interest ........................................................ $ 16
Dividends (net of foreign withholding tax of $218) .............. 1,525
Securities lending ................................................. 34
--------
Total investment income ............................................ 1,575
--------
EXPENSES
Investment advisory fee ......................................... 714
Auditors fees ................................................... 8
Custodian fees .................................................. 124
Legal fees ...................................................... 8
Printing & mailing fees ......................................... 21
Trustees' ...................................................... 2
Other fees ...................................................... 2
--------
Total expenses ..................................................... 879
Less expenses reimbursed ........................................ (24)
Less custodian expense reduction offset by commission
recapture arrangement (Note C) ............................... (2)
--------
Net expenses ....................................................... 853
--------
Net investment income .............................................. 722
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments .................................................. 14,703
Foreign currency transactions ................................ (80)
Realized Thai Tax ............................................ (436)
Change in unrealized appreciation (depreciation) on:
Investments .................................................. (14,962)
Translation of assets and liabilities in foreign currencies .. 94
--------
Net realized and unrealized gain ................................... (681)
--------
Net increase in net assets resulting from operations ............... $ 41
========
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Overseas Equity B Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income ............................................... $ 722 $ 959
Net realized gain (loss) ............................................ 14,187 (5,089)
Change in net unrealized appreciation (depreciation) ................ (14,868) 35,456
-------- ---------
Net increase in net assets resulting from operations ............. 41 31,326
Distributions to shareholders from:
Net investment income ............................................... (733) (1,556)
-------- ---------
Decrease in net assets resulting from distributions .............. (733) (1,556)
From fund share transactions:
Proceeds from shares sold ........................................... 16,357 131,885
Distributions reinvested ............................................ 733 1,556
Payment for shares redeemed ......................................... (20,376) (124,524)
-------- ---------
Increase (decrease) in net assets from fund share transactions ... (3,286) 8,917
-------- ---------
NET INCREASE (DECREASE) IN NET ASSETS .................................. (3,978) 38,687
NET ASSETS
Beginning of Period ................................................. 125,965 87,278
-------- ---------
Period (including undistributed net investment loss of $(11) and
$0, respectively) ................................................ $121,987 $ 125,965
======== =========
Analysis of fund share transactions:
Sold ................................................................ 1,617 16,865
Reinvested .......................................................... 74 188
Redeemed ............................................................ (2,029) (15,816)
-------- ---------
Net increase in fund shares outstanding ................................ (338) 1,237
======== =========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Overseas Equity B Fund
-----------------------------------------------------------------------
Unaudited
Period Ended Year Ended December 31,
June 30, -------------------------------------------------
2004(i) 2003 2002 2001 2000(c)
------------ -------- ------- ------- --------
Net Assets Value at Beginning of Period ......... $ 9.85 $ 7.56 $ 9.30 $ 11.85 $ 15.17
Income from Investment Operations:
Net Investment Income ........................ 0.06 0.08 0.07 0.06 0.07
Net Realized and Unrealized Gain (Loss) on
Investment(a) ............................. (0.05) 2.34 (1.75) (2.53) (2.57)
-------- -------- ------- ------- --------
Total From Investment Operations ............. 0.01 2.42 (1.68) (2.47) (2.50)
Less Distributions:
Distribution from Net Investment Income ...... (0.06) (0.13) (0.06) (0.05) (0.06)
Distribution from Net Realized Gains on
Investments ............................... (0.62)
Distribution from Excess of Net Investment
Income/ Gains ............................. (0.05)
Distribution from Capital Paid-in ............ (0.03) (0.09)
-------- -------- ------- ------- --------
Total Distributions .......................... (0.06) (0.13) (0.06) (0.08) (0.82)
-------- -------- ------- ------- --------
Net Assets Value at End of Period ............... $ 9.80 $ 9.85 $ 7.56 $ 9.30 $ 11.85
======== ======== ======= ======= ========
Total Investment Return(b) ...................... 0.04%(f) 32.36% (18.22)% (20.93)% (16.36)%(d)
Ratios/Supplemental Data:
Ratio of Operating Expense to Average
Net Assets ................................ 1.34%(e)(g)(h) 1.23%(e) 1.24%(e) 1.00%(e) 0.93%(e)
Ratio of Net Investment Income to Average
Net Assets ................................ 1.13%(g) 0.95% 0.69%
Portfolio Turnover Rate ...................... 82.77%(f) 40.85% 78.14%(d) 33.31% 37.92%(d)
Net Assets End of Period (000s Omitted) ......... $121,987 $125,965 $87,278 $83,591 $120,034
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) The Fund entered into a new sub-advisory agreement with T. Rowe Price
Associates, Inc. during the period shown.
(d) Excludes merger activity.
(e) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made the expense ratio would have been 1.38% for the period ending
June 30, 2004, and 1.44%, 1.55%, 1.16%, and 1.09%, for the years ended
December 31, 2003, 2002, 2001, and 2000, respectively.
(f) Not annualized.
(g) Annualized.
(h) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
(i) The Fund entered into a new sub-advisory agreement with Capital Guardian
Trust Co., during the period shown.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
OVERSEAS EQUITY B FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK
Australia - 4.1%
Amcor, Ltd. (BE) ........................................ 51,000 $ 247
Australia & New Zealand Banking Group, Ltd. * (JP) ...... 34,500 438
Brambles Industries, Ltd. * (BO) ........................ 64,800 270
Broken Hill Proprietary Co., Ltd. * (BF) ................ 151,819 1,322
Foster's Brewing Group, Ltd. * (JG) ..................... 67,200 221
Insurance Australia Group (JR) .......................... 92,600 322
National Australia Bank, Ltd. (JP) ...................... 12,100 251
Promina Group (JR) ...................................... 93,300 259
QBE Insurance Group, Ltd. * (JR) ........................ 45,700 407
Rinker Group (BD) ....................................... 60,600 339
Wesfarmers (BL) ......................................... 18,600 380
WMC Resources, Ltd. * (BF) .............................. 71,800 246
Woolworth's, Ltd. * (JF) ................................ 38,200 303
-------
5,005
Belgium - 0.1%
UCB SA * (JO) ........................................... 2,500 117
Canada - 1.7%
Abitibi Consolidated, Inc. * (BG) ....................... 35,300 241
Alcan Aluminum, Ltd. (BF) ............................... 13,402 552
Bombardier, Inc. - Cl. B * (BH) ......................... 144,600 433
Great West Lifeco, Inc. (JR) ............................ 8,400 302
Inco, Ltd. * (BF) ....................................... 3,700 127
National Bank of Canada (JP) ............................ 7,700 247
Suncor Energy, Inc. (BB) ................................ 8,000 203
-------
2,105
Denmark - 0.6%
Novo Nordisk AS (JO) .................................... 9,280 478
Tele Danmark AS (J1) .................................... 7,800 254
-------
732
Finland - 0.8%
Nokia Oyj * (JW) ........................................ 43,704 631
UPM-Kymmene Corp. * (BG) ................................ 19,400 370
-------
1,001
France - 9.8%
Air Liquide * (BC) ...................................... 6,050 1,002
BNP Paribas * (JP) ...................................... 35,102 2,162
Bouygues SA * (J2) ...................................... 36,600 1,227
Carrefour SA * (JF) ..................................... 6,800 330
Essilor International (JL) .............................. 6,200 405
Groupe Danone * (JH) .................................... 10,300 900
L'Oreal SA * (JK) ....................................... 7,064 565
Renault (BV) ............................................ 7,700 587
Sanofi-Synthelabo SA * (JO) ............................. 51,042 3,239
Schneider SA * (BK) ..................................... 3,765 257
Societe Generale - Cl. A * (JP) ......................... 4,422 376
STMicroelectronics * (J0) ............................... 14,156 311
Vivendi Universal SA * (JA) ............................. 22,913 $ 636
-------
11,997
Germany - 5.6%
Allianz AG * (JR) ....................................... 7,528 816
Bayerische Motoren Werke AG * (BV) ...................... 10,500 465
Bayerische Vereinsbank AG * (JP) ........................ 29,598 527
DaimlerChrysler AG * (BV) ............................... 31,100 1,455
Deutsche Bank AG * (JP) ................................. 2,981 235
Deutsche Boerse AG (JQ) ................................. 9,200 468
E.On AG (J3) ............................................ 4,145 299
Infineon Technologies AG * (J0) ......................... 31,500 423
Muenchener Rueckversicherungs-
Gesellschaft AG * (JR) ............................ 6,900 749
SAP AG * (JV) ........................................... 2,780 461
Siemens AG * (BK) ....................................... 8,952 645
Thyssen Krupp AG * (BF) ................................. 14,100 241
-------
6,784
Hong Kong - 1.5%
Cheung Kong Holdings, Ltd. * (JS) ....................... 24,000 177
Esprit Holdings, Ltd. (JE) .............................. 59,000 264
Hang Lung Properties (JS) ............................... 279,000 360
Hang Seng Bank, Ltd. * (JP) ............................. 20,000 256
Li & Fung, Ltd. * (JB) .................................. 350,000 512
Swire Pacific, Ltd. - Cl. A * (JQ) ...................... 34,000 220
-------
1,789
Italy - 1.1%
ENI * (BB) .............................................. 43,472 864
UniCredito Italiano SpA * (JP) .......................... 89,403 442
-------
1,306
Japan - 24.1%
Acom Co., Ltd. (JQ) ..................................... 3,700 240
Advantest (J0) .......................................... 5,500 368
Canon, Inc. * (JZ) ...................................... 8,000 421
Chudenko Corp. (BJ) ..................................... 13,300 217
Dai-Nippon Printng Co., Ltd. (BO) ....................... 17,000 271
Daiwa House Industry Co., Ltd. (BW) ..................... 23,000 266
East Japan Railway Co. (BS) ............................. 50 280
Fanuc, Ltd. * (BK) ...................................... 8,100 482
Furukawa Electric Co. (BK) .............................. 63,000 268
Hirose Electric Co., Ltd. * (JY) ........................ 4,800 526
Honda Motor Co. * (BV) .................................. 7,400 356
Hoya Corp. * (JY) ....................................... 3,200 334
Japan Airlines (BQ) ..................................... 61,000 195
Jusco Co., Ltd. * (JD) .................................. 30,000 1,202
Kansai Electric Power Co., Inc. (J3) .................... 31,600 575
Keyence Corp. (JY) ...................................... 1,200 273
Konica Corp. (BX) ....................................... 39,000 537
Kyocera Corp. * (JY) .................................... 4,400 373
Millea Holdings, Inc. * (JR) ............................ 79 1,170
Mitsubishi Corp. (BN) ................................... 40,000 388
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
OVERSEAS EQUITY B FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK - Continued
Japan - Continued
Mitsubishi Estate Co., Ltd. * (JS) ...................... 108,000 $ 1,337
Mitsubishi Heavy Industries, Ltd. * (BM) ................ 66,000 179
Mitsubishi Tokyo Finance (JP) ........................... 101 933
Mitsui Fudosan Co., Ltd. * (JS) ......................... 40,000 478
Mitsui Marine & Fire Insurance Co., Ltd. * (JR) ......... 122,000 1,144
Mizuho Financial GB * (JP) .............................. 57 258
Murata Manufacturing Co., Ltd. * (J0) ................... 5,900 336
NEC Corp. * (JX) ........................................ 227,000 1,594
Nidec Corp. * (JY) ...................................... 2,800 286
Nikko Securities Co., Ltd. * (JQ) ....................... 51,000 247
Nikon Corp. (J0) ........................................ 31,000 348
Nintendo Corp., Ltd. (BW) ............................... 4,600 532
Nissan Motor Acceptance Corp. (BV) ...................... 126,400 1,402
Nitto Denko Corp. * (BK) ................................ 9,800 500
Nomura Securities Co., Ltd. * (JQ) ...................... 17,000 251
Omron Corp. (JY) ........................................ 10,000 234
Ricoh Co., Ltd. (JZ) .................................... 14,000 297
Rohm Co., Ltd. * (JY) ................................... 4,500 537
Sankyo Co., Ltd. * (JO) ................................. 26,000 562
Sekisui House, Ltd. * (BW) .............................. 60,000 664
Shionogi & Co., Ltd. * (JO) ............................. 42,000 721
SMC Corp. * (BM) ........................................ 5,200 561
Sumitomo Chemical Co. (BC) .............................. 105,000 489
Sumitomo Forestry Co. (BW) .............................. 25,000 287
Sumitomo Mitsui GR (JP) ................................. 202 1,382
Takeda Chemical Industries * (JO) ....................... 9,200 403
Tokyo Electron, Ltd. * (J0) ............................. 17,900 1,002
Tokyo Gas Co. (J4) ...................................... 103,000 365
Tostem Corp. (BI) ....................................... 11,000 237
Toyota Motor Corp. * (BV) ............................... 28,700 1,160
UFJ Holdings, Inc. * (JP) ............................... 123 542
Uni-Charm Corp. (JJ) .................................... 5,400 269
Yamanouchi Pharmaceutical Co., Ltd. * (JO) .............. 7,200 242
Yamato Transport Co., Ltd. (BP) ......................... 31,000 505
Yasuda F & M Insurance (JR) ............................. 42,000 428
-------
29,454
Luxembourg - 0.2%
Society Europeenne des Satellites (JA) .................. 26,900 228
Netherlands - 5.2%
Heineken Holdings (JG) .................................. 14,125 414
Heineken NV (JG) ........................................ 41,050 1,351
Koninklijke * (Royal) Philips Electronics NV (BW) ....... 10,927 295
Koninklijke KPN NV * (J1) ............................... 235,700 1,797
Royal Dutch Petroleum Co. * (BB) ........................ 33,120 1,702
TNT Post Group NV (BP) .................................. 15,700 359
VNU NV * (JA) ........................................... 13,354 388
-------
6,306
Norway - 1.4%
Den Norske Bank (JP) .................................... 38,800 $ 265
Norsk Hydro ASA (BB) .................................... 6,300 409
Norske Skogindustrier ASA - Cl. A * (BG) ................ 13,400 239
Statoil ASA * (BB) ...................................... 60,000 762
-------
1,675
Singapore - 1.3%
Singapore Telecommunications, Ltd. * (J1) ............... 807,000 1,055
United Overseas Bank, Ltd. * (JP) ....................... 31,072 242
Venture Manufacturing, Ltd. * (JY) ...................... 22,000 230
-------
1,527
South Africa - 0.2%
Anglo American plc * (BF) ............................... 12,300 251
South Korea - 0.8%
Samsung Electronics * (J0) .............................. 2,310 954
Spain - 3.1%
Banco Bilbao Vizcaya SA * (JP) .......................... 133,900 1,791
Iberdrola SA (J3) ....................................... 1,800 38
Inditex (JE) ............................................ 46,400 1,066
Telefonica SA * (J1) .................................... 59,409 879
-------
3,774
Sweden - 0.7%
ForeningsSparbanken AB * (JP) ........................... 30,600 585
Scania AB - Ser. B (BM) ................................. 8,100 276
-------
861
Switzerland - 10.9%
ABB, Ltd. (BK) .......................................... 62,913 344
Adecco SA * (BO) ........................................ 5,000 249
Credit Suisse Group * (JP) .............................. 7,151 254
Holcim * (BD) ........................................... 27,657 1,504
Nestle SA * (JH) ........................................ 7,305 1,949
Novartis AG (JO) ........................................ 53,600 2,366
Richemont (JE) .......................................... 56,000 1,463
Roche Holdings AG * (JO) ................................ 4,608 456
Serono SA (JN) .......................................... 525 331
Swiss Reinsurance Co. * (JR) ............................ 25,300 1,644
Swisscom AG * (J1) ...................................... 4,200 1,389
Syngenta AG (BC) ........................................ 3,500 294
Synthes, Inc. * (JL) .................................... 2,300 262
UBS AG * (JP) ........................................... 11,516 812
-------
13,317
United Kingdom - 20.4%
ARM Holdings plc (J0) ................................... 112,500 245
AstraZeneca Group plc * (JO) ............................ 89,358 4,008
Barclays (JP) ........................................... 25,900 221
BG Group plc * (BB) ..................................... 288,600 1,778
British Aerospace plc (BH) .............................. 66,700 265
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
OVERSEAS EQUITY B FUND
Market
Name of Issuer Shares Value
-------------- --------- --------
(000's)
COMMON STOCK - Continued
United Kingdom - Continued
Centrica plc (J4) .................................... 130,000 $ 529
CRH (BD) ............................................. 23,900 507
Diageo plc * (JG) .................................... 56,137 757
HBOS * (JP) .......................................... 73,100 904
HSBC Holdings plc (JP) ............................... 85,100 1,265
Johnston Press (JA) .................................. 11,600 119
Lloyds TSB Group plc (JP) ............................ 32,500 254
National Grid Group * (J3) ........................... 103,800 801
Reckitt Benckiser * (JJ) ............................. 9,700 274
Reed International plc (JA) .......................... 114,061 1,108
Rio Tinto plc * (BF) ................................. 16,151 388
Royal Bank of Scotland Group * (JP) .................. 60,802 1,750
Shell Transport & Trading Co. plc * (BB) ............. 253,411 1,858
Smiths Group (BL) .................................... 70,900 960
Standard Chartered plc * (JP) ........................ 48,100 783
Unilever plc * (JH) .................................. 133,848 1,313
Vodafone AirTouch plc (J2) ........................... 1,899,744 4,159
Wolseley (BN) ........................................ 16,800 260
Xstrata (BF) ......................................... 31,900 426
--------
24,932
United States - 3.0%
America Movil SA de CV - ADR Ser. L (J2) ............. 13,400 487
Companhia Vale do Rio Doce - ADR (BF) ................ 7,169 280
Inco, Ltd. * (BF) .................................... 12,600 436
Taiwan Semiconductor Manufacturing Co., Ltd. -
ADR * (J0) ........................................ 75,297 626
Telefonica SA * (J1) ................................. 6,725 300
The Thomson Corp. * (JA) ............................. 37,300 1,248
Yukos Corp. - ADR * (BL) ............................. 9,383 298
--------
3,675
--------
TOTAL COMMON STOCK - (Cost $112,435) ................. 96.6% 117,790
PREFERRED STOCK
Australia - 0.2%
News Corp., Ltd. (JA) ................................ 36,349 297
--------
TOTAL PREFERRED STOCK- (Cost $275) 0.2% 297
Par Market
Value Value
----------- --------
(000's) (000's)
PUBLICLY-TRADED BONDS
Supra National - 0.6%
SMFG Finance - Bonds (FB) 2.25% due07/11/05 ...... $33,000,000 726
Switzerland - 0.3%
Credit Suisse - Bonds (JP) 6.0% due12/23/05 ...... $ 334,000 $ 354
--------
TOTAL PUBLICLY-TRADED BONDS-
(Cost $1,158) 0.9% 1,080
----------- --------
TOTAL LONG-TERM INVESTMENTS-
(Cost $113,868) 97.7% 119,167
INVESTMENT COMPANIES HELD AS COLLATERAL ON LOANED
SECURITIES - 8.3%
State Street Navigator Securities Lending
Portfolio ..................................... 10,137 10,137
----------- --------
TOTAL INVESTMENTS- (Cost $124,005) 106.0% 129,304
Payables, less cash and receivables- (6.0)% (7,317)
----------- --------
NET ASSETS- 100.0% $121,987
=========== ========
* Non-income producing security.
ADR-American Depository Receipt.
See notes to financial statements.
SUMMARY OF LONG-TERM SECURITIES BY INDUSTRY
Market % of
Industry Value Long-Term
Industry Abbreviation (000s) Investments
-------- ------------ ------- -----------
Banks ................................... JP $17,530 14.7%
Pharmaceuticals ......................... JO 12,592 10.6%
Oil & Gas ............................... BB 7,576 6.4%
Insurance ............................... JR 7,242 6.1%
Wireless Telecommunications Services .... J2 5,873 4.9%
Diversified Telecommunication Services .. J1 5,674 4.8%
Automobiles ............................. BV 5,425 4.6%
Semiconductor Equipment & Products ...... J0 4,612 3.9%
Metals & Mining ......................... BF 4,269 3.6%
Food Products ........................... JH 4,161 3.5%
Media ................................... JA 4,025 3.4%
Electronic Equipment & Instruments ...... JY 2,794 2.3%
Specialty Retail ........................ JE 2,793 2.3%
Beverages ............................... JG 2,742 2.3%
Electrical Equipment .................... BK 2,497 2.1%
Real Estate Operations .................. JS 2,352 2.0%
Construction Materials .................. BD 2,350 2.0%
Household Durables ...................... BW 2,044 1.7%
Chemicals ............................... BC 1,784 1.5%
Electric Utilities ...................... J3 1,713 1.4%
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
OVERSEAS EQUITY B FUND
Market % of
Industry Value Long-Term
Industry Abbreviation (000s) Investments
-------- ------------ -------- -----------
Industrial Conglomerates ............... BL $ 1,638 1.4%
Computers & Peripherals ................ JX 1,594 1.3%
Diversified Financials ................. JQ 1,426 1.2%
Multiline Retail ....................... JD 1,202 1.0%
Machinery .............................. BM 1,015 0.8%
Gas Utilities .......................... J4 894 0.7%
Air Freight & Couriers ................. BP 864 0.7%
Paper & Forest Products ................ BG 849 0.7%
Commercial Services & Supplies ......... BO 790 0.7%
Finance ................................ FB 726 0.6%
Office Electronics ..................... JZ 718 0.6%
Aerospace & Defense .................... BH 699 0.6%
Health Care Equipment & Supplies ....... JL 667 0.6%
Trading Companies & Distributors ....... BN 648 0.5%
Food & Drug Retailing .................. JF 633 0.5%
Communications Equipment ............... JW 631 0.5%
Personal Products ...................... JK 565 0.5%
Household Products ..................... JJ 543 0.5%
Leisure Equipment & Products ........... BX 537 0.4%
Distributors ........................... JB 512 0.4%
Software ............................... JV 461 0.4%
Biotechnology .......................... JN 331 0.3%
Road & Rail ............................ BS 280 0.2%
Containers & Packaging ................. BE 247 0.2%
Building Products ...................... BI 237 0.2%
Construction & Engineering ............. BJ 217 0.2%
Airlines ............................... BQ 195 0.2%
-------- -----
$119,167 100.0%
======== =====
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Overseas Equity B, (formerly John Hancock International
Opportunities Fund), (the "Fund") is a diversified series of John Hancock
Variable Series Trust I (the "Trust"), an open-end investment management company
registered under the Investment Company Act of 1940. The Trust is organized as a
Massachusetts business trust and consists of thirty different funds as of June
30, 2004. The results of this Fund are included in this report. The results of
the other Funds in the Trust are presented under separate cover. The Trust may
add or delete Funds in the future to accommodate various investment objectives.
The Trust has issued shares of beneficial interest exclusively to John Hancock
Variable Life Account U ("JHVLAU"), John Hancock Variable Life Account V
("JHVLAV"), John Hancock Variable Life Account S ("JHVLAS"), and John Hancock
Variable Annuity Account I ("JHVAAI") to fund policies and contracts issued by
the John Hancock Variable Life Insurance Company ("JHVLICO"), and to John
Hancock Variable Annuity Account U ("JHVAAU"), John Hancock Variable Annuity
Account V ("JHVAAV"), John Hancock Variable Life Account UV ("JHVLAUV"), John
Hancock Variable Annuity Account H ("JHVAAH"), and John Hancock Variable Annuity
Account JF ("JHVAAJF") to fund contracts and policies issued by John Hancock
Life Insurance Company ("John Hancock" or "JHLICO"), to John Hancock Variable
Life Account PPM-1 ("PPM-1"), and to John Hancock Variable Life Account PPM-2
("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. In the event the Exchange
closes at any time other than 4:00 p.m. Eastern Standard Time on a particular
day, the Fund will determine its net asset value per share as of the close of
the Exchange on that day. All other securities held by the Fund are valued at
the last sale price or official closing price (closing bid price or last
evaluated quote if no sale has occurred) as of the close of business on a
principal securities exchange (domestic or foreign) or, lacking any sales, at
the closing bid price. Investment security transactions are recorded on the date
of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Debt investment securities having a primary market over-the-counter are
valued on the basis of valuations furnished by a pricing service which
determines valuations for normal institutional size trading units of debt
securities, without exclusive reliance upon quoted prices.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
$303,014
========
Currency translation: All assets or liabilities initially expressed in
terms of foreign currencies are translated into U.S. dollars based on London
currency exchange quotations as of 5:00 p.m., London time, on the date of any
determination of the net asset value of the Fund. Unrealized exchange
adjustments are included in unrealized appreciation (depreciation) of
investments. Transactions affecting statement of operations accounts and net
realized gain (loss) on investments are translated at the rates prevailing at
the dates of transactions.
The Fund does not isolate that portion of the results of operations
resulting from changes in foreign exchange rates on investments from the
fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gains or losses
from investments.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Reported net realized gains and losses on foreign currency transactions
represent net gains and losses from sales and maturities of forward foreign
currency contracts, disposition of foreign currencies, currency gains and losses
realized between trade and settlement dates of security transactions, and the
difference between the amounts of net investment income accrued and the U.S.
dollar amount actually received. Net unrealized foreign exchange gains and
losses arise from changes in the value of assets and liabilities other than
investments in securities, resulting from changes in the exchange rate.
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations.
The Fund had borrowings under the line of credit during the period ended
June 30, 2004 as follows:
Average Daily Loan Balance
During the Period for which Weighted Average
Loans were Outstanding Interest Rate Interest Expense
- --------------------------- ---------------- ----------------
$2,050 1.58% $1
Securities lending: The Fund has entered into an agreement with SSBT to
lend its securities to certain qualified brokers who pay the Fund's negotiated
lender fees. This loan is collateralized at all times with cash or securities
with a market value at least equal to the market value of the securities on
loan. Cash collateral is invested in a short-term instrument. As with other
extensions of credit, the Fund may bear the risk of delay of the loaned
securities in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. At June 30, 2004, the market value
of the securities loaned and the market value of the collateral for the Fund was
as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$9,615 $10,137
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
As of June 30, 2004, the Fund had open forward foreign currency contracts
which contractually obligate the Fund to deliver or receive currencies at a
specified date, as follows:
Unrealized
Principal Amount Appreciation/
Covered by Contract Expiration Month (Depreciation)
------------------- ---------------- --------------
Currency Sold
Swiss Franc 220 August 04 $ (8)
Swiss Franc 898 August 04 (18)
Swiss Franc 1,106 September 04 --
Japanese Yen 405 September 04 $ (6)
----
$(32)
====
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $266, $2,070, $2,540, $9,656, $12,511 and $11,857 which expire in 2006,
2007, 2008, 2009, 2010 and 2011, respectively.
Certain of the above losses may be limited under sections 382 - 384 of the
Internal Revenue Code, as amended.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Dividend
income for the Fund is shown net of foreign taxes withheld of $218. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual bais of the
Fund's net assets:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH
AFFILIATES--Continued
Between
$20 Million and Excess Over
First $20 Million $50 Million $50 Million
- ----------------- --------------- -----------
1.30% 1.15% 1.05%
For the period from January 1, 2004 to April 30, 2004, John Hancock and
JVLICO agreed to reimburse the Fund for normal operating expenses, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses that exceed 0.10% of the Fund's daily net asset value.
Accordingly, for the period from January 1, 2004 to April 30, 2004 the Fund was
reimbursed $24 by John Hancock and JVLICO. On March 18, 2004, the Fund's
Shareholders approved the removal of John Hancock and JVLICO's respective
obligations to reimburse the Fund for excess operating expenses effective May 1,
2004.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $2.
As of April 30, 2004, John Hancock has entered into a Sub-Advisory
Agreement with Capital Guardian Trust Company, and under its supervision, is
responsible for the day-to-day investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$102,826 $107,226
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, commercial paper and collateral for
securities lending) and their respective gross unrealized appreciation and
depreciation for Federal income tax purposes at December 31, 2003 were as
follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$131,494 $13,496 $(2,579) $10,917
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations, which may differ from accounting principles generally accepted in
the United States of America. As a result, net investment income (loss) and net
realized gain (loss) on investment transactions for a reporting period may
differ significantly from distributions during such period. These differences
primarily relate to certain securities sold at a loss and sales of certain
foreign currency denominated debt securities. Additionally, as a result, net
investment income (loss) and net realized gain (loss) on investment transactions
for a reporting period may differ significantly from distributions during such
period. Accordingly, the Fund may periodically make reclassifications among
certain of its capital accounts without impacting the net asset value of the
fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $38,900 $10,917
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $1,514 $- $42
2002 592 - -
NOTE E--COMBINATION
On August 20, 2002, the Board of Trustees of the John Hancock Variable
Series Trust I, including all of its independent Trustees, approved an amended
plan to combine the International Opportunities B Fund. ("Acquired Fund") into
the International Opportunities Fund ("Acquiring Fund").
The amended plan does not require a shareholder vote to approve the combination,
in compliance with recent changes to rules of the SEC, because (a) the
fundamental investment restrictions of the Acquiring Fund are substantially
identical to the fundamental investment restrictions of the Acquired Fund, (b)
there are no material differences between the investment management agreements
(and sub-investment management agreements) of the Acquired Fund and the
Acquiring Fund, and (c) the Board of Trustees includes a majority of independent
Trustees who were elected by shareholders of the Acquired Fund. The combination
of the Acquired Fund into the Acquiring Fund took place at the close of business
on September 13, 2002.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE E--COMBINATION--Continued
This combination provided for the transfer of substantially all of the
assets and liabilities of the target fund to the acquiring fund in exchange
solely for the fund shares of the acquiring fund. This acquisition was accounted
for as taxfree exchange as follows:
Trust Shares Target Fund Acquiring Fund Acquiring Fund
Acquiring Fund Issued by Target Fund Unrealized Net Assets Prior Aggregate Net Assets
vs. Target Fund Acquiring Fund Net Assets Depreciation to Combination After Combination
- ---------------------- -------------- ----------- ------------ ---------------- --------------------
VST International
Opportunities vs. VST
International Opportu-
nites B (formerly,
International Equity) 3,278 $24,706 $(5,332) $71,914 $96,620
NOTE F--OTHER MATTERS
Section 30 and Rule 30d-1(b) under the Investment Company Act of 1940, as
amended, requires registered management investment companies to furnish
information relating to any matter submitted during the reporting period to a
vote of Shareholders of the Trust.
John Hancock Variable Series Trust I solicited a vote at special meeting of
Contract owners/Policyholders held on March 18, 2004 on the following matters:
For Against Abstain
--- ------- -------
To approve, as to the Overseas Equity B Fund, an amendment to the current 89% 6% 5%
investment mangement agreement between the Trust and John Hancock to
eliminate John Hancock's obligation to reimburse this Fund for certain
operating expenses.
Inception: May 1, 1998
- --------------------------------------------------------------------------------
Overseas Equity C Fund (FORMERLY EMERGING MARKETS EQUITY FUND)
Capital Guardian Trust Company Management Team
- --------------------------------------------------------------------------------
.. Year to date, the Fund returned 8.68% outperforming its custom benchmark.
Relative to Morningstar peers, the Fund has an above average rating of 5
with an average risk profile.
.. On May 1st, the Fund's name, investment strategy and sub-adviser were
changed. Capital Guardian implemented an investment strategy for the Fund
that is substantially the same as the investment strategy it now employs
for the Overseas Equity Fund. Under that strategy, the Fund will invest
primarily in foreign large and mid sized equities with modest emerging
market equity exposure.
.. Since May 1st, the Fund underperformed its benchmark partially due to the
restructuring of the Fund to the new strategy, as well as unfavorable stock
selection.
.. The manager employs a multiple portfolio manager system, with each
portfolio managed by several portfolio managers and research analysts. The
manager selects stocks using proprietary fundamental research. Fundamental
research seeks to uncover companies that are undervalued and asset rich.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Assets
------
Vodafone AirTouch plc 3.5%
AstraZeneca Group plc 3.4%
Sanofi-Synthelabo SA 2.7%
Mitsubishi 2.5%
Royal Dutch Petroleum Co. 2.3%
Novartis AG 2.0%
Sumitomo 1.8%
BNP Paribas 1.8%
Koninklijke 1.7%
Nestle SA 1.7%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Overseas Equity Overseas Equity
C Fund C Benchmark/4/
--------------- ---------------
YTD/3/ 8.68% 3.43%
1 Year 48.52 39.17
3 Years 16.51 14.67
5 Years 5.11 4.14
Since Inception (5/1/98) 2.77 3.25
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Diversified Emerging Markets
MORNINGSTAR RISK/1/:
.. Average (VL/VUL)
.. Average (VA)
MORNINGSTAR RATING/1/:
.. ***** (VL/VUL)
.. ***** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DIVERSIFICATION BY REGION AND COUNTRY/5/
(as of June 30, 2004)
% of
Assets
------
Europe 63%
Asia 28.1%
Other 6.2%
United States 2.9%
DIVERSIFICATION BY REGION/6/
Developed Markets 97%
Emerging Markets 3%
Returns reflect extra-ordinary capital contribution of $445,000 in June
1999.
On May 31, MSCI implemented the final phase of its enhanced methodology
which shifts to a weighting system based on freely floated or publicly
available shares, rather than just market capitalization. South Africa and
South Korea market weight increased the most while Mexico, India and
Malaysia declined the most.
/1/ Source: MorningStar, Inc. Data as of 6/30/04. Data reviewed by Morningstar
reflects the Fund's previous investment strategy. VL represents Variable
Life subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 130 VL/VUL subaccounts and 236 VA subaccounts in the
Morningstar Diversified Emerging Markets category. This represents the
Morningstar 3 year rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. International investing entails special
risks as outlined in the prospectus. The performance of the fund on this
page is reported net of Trust level charges (i.e. investment management
fees and operating expenses). It does not reflect expense and charges of
the applicable separate accounts and variable products, all of which vary
to a considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized
/4/ The Overseas Equity benchmark represents the MSCI Emerging Markets Index
from May 1998 to April 2004 and then the MSCI EAFE Index from May 2004 to
present.
/5/ Calculations based upon country in which security is traded (listed).
/6/ Calculations based upon country in which security is domiciled.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Overseas Equity C Fund
(000's Omitted)
ASSETS
Long term investments at cost ....................................... $68,770
Net unrealized appreciation of investments .......................... 84
Short-term investments at value ..................................... 1,377
-------
Total investments ................................................ 70,231
Foreign currency at value (cost $1,400) ............................. 1,376
Receivable for:
Investments sold ................................................. 50
Interest ......................................................... 3
Dividends ........................................................ 85
Foreign dividend tax withholding reclaim ......................... 8
-------
Total assets ........................................................ 71,753
-------
LIABILITIES
Payables for:
Investments purchased ............................................ 24
Foreign dividend tax withholding ................................. 6
Unrealized depreciation in forward currency contracts ............ 19
Accrued operating expenses ....................................... 105
-------
Total liabilities ................................................... 154
-------
Net assets .......................................................... $71,599
=======
Shares outstanding, $0.01 Par Value (unlimited shares authorized) ... 7,432
-------
Net asset value per share ........................................... $ 9.63
=======
Composition of net assets:
Capital paid-in .................................................. $67,076
Accumulated net realized gain on investment, and foreign
currency transactions ......................................... 4,642
Undistributed net investment loss ................................ (160)
Net unrealized appreciation (depreciation) of:
Investments ................................................... 84
Translation of assets and liabilities in foreign currencies ... (43)
-------
Net assets .......................................................... $71,599
=======
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Overseas Equity C Fund
(000's Omitted)
INVESTMENT INCOME
Interest ........................................................ $ 29
Dividends (net of foreign withholding tax of $101) .............. 835
--------
Total investment income ............................................ 864
--------
EXPENSES
Investment advisory fee ......................................... 498
Auditors fees ................................................... 4
Custodian fees .................................................. 171
Legal fees ...................................................... 4
Printing & mailing fees ......................................... 11
Trustees' fees .................................................. 1
Other fees ...................................................... 3
--------
Total expenses ..................................................... 692
Less expenses reimbursed ........................................ (65)
Less custodian expense reduction offset by commission recapture
arrangement (Note C) ......................................... (49)
--------
Net expenses ....................................................... 578
--------
Net investment income .............................................. 286
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments .................................................. 23,024
Realized Thai Tax ............................................ (308)
Foreign currency transactions ................................ (1,698)
Change in unrealized appreciation (depreciation) on:
Investments .................................................. (16,060)
Translation of assets and liabilities in foreign currencies .. 260
--------
Net realized and unrealized gain ................................... 5,218
--------
Net increase in net assets resulting from operations ............... $ 5,504
========
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Overseas Equity C Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income .......................................... $ 286 $ 565
Net realized gain .............................................. 21,018 2,779
Change in net unrealized appreciation (depreciation) ........... (15,800) 18,113
-------- --------
Net increase in net assets resulting from operations ........ 5,504 21,457
Distributions to shareholders from:
Net investment income .......................................... (312) (803)
Realized gains ................................................. (2,285)
-------- --------
Decrease in net assets resulting from distributions ......... (312) (3,088)
From fund share transactions:
Proceeds from shares sold ...................................... 16,232 82,919
Distributions reinvested ....................................... 312 3,088
Payment for shares redeemed .................................... (14,810) (74,209)
-------- --------
Increase in net assets from fund share transactions ......... 1,734 11,798
-------- --------
NET INCREASE IN NET ASSETS ........................................ 6,926 30,167
NET ASSETS
Beginning of Period ............................................ 64,673 34,506
-------- --------
End of Period (including undistributed net investment loss of
$(160) and $(134), respectively) ............................ $ 71,599 $ 64,673
======== ========
Analysis of fund share transactions:
Sold ........................................................... 1,690 12,330
Reinvested ..................................................... 33 376
Redeemed ....................................................... (1,554) (11,202)
-------- --------
Net increase in fund shares outstanding ........................... 169 1,504
======== ========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Overseas Equity C Fund
-----------------------------------------------------------------
Unaudited
Period Ended Year Ended December 31,
June 30, ----------------------------------------------
2004(g) 2003 2002 2001 2000
------------ ------- ------- ------- -------
Net Assets Value at Beginning of Period .................. $ 8.90 $ 5.99 $ 6.44 $ 6.70 $ 12.26
Income from Investment Operations:
Net Investment Income (Loss) .......................... 0.04 0.09 0.02 0.05 (0.02)
Net Realized and Unrealized Gain (Loss) on
Investment(a) ...................................... 0.73 3.27 (0.45) (0.29) (4.91)
------- ------- ------- ------- -------
Total From Investment Operations ...................... 0.77 3.36 (0.43) (0.24) (4.93)
Less Distributions:
Distribution from Net Investment Income ............... (0.04) (0.12) (0.02)
Distribution from Net Realized Gains on Investments ... (0.33) (0.62)
Distribution from Capital Paid-in ..................... (0.02) (0.01)
------- ------- ------- ------- -------
Total Distributions ................................... (0.04) (0.45) (0.02) (0.02) (0.63)
Capital Contributions .................................
------- ------- ------- ------- -------
Net Assets Value at End of Period ........................ $ 9.63 $ 8.90 $ 5.99 $ 6.44 $ 6.70
======= ======= ======= ======= =======
Total Investment Return(b) ............................... 8.68%(e) 56.90% (6.73)% (3.63)% (40.11)%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net Assets ...... 1.74%(c)(d)(f) 1.60%(d) 1.60%(d) 1.40%(d) 1.32%(d)
Ratio of Net Investment Income (Loss) to Average
Net Assets ......................................... 0.79%(f) 1.28% 0.27% 0.77% (0.28)%
Portfolio Turnover Rate ............................... 155.96%(e) 92.85% 88.40% 120.72% 103.90%
Net Assets End of Period (000s Omitted) .................. $71,599 $64,673 $34,506 $28,956 $31,010
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
(d) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made the expense ratio would have been 1.92% for the period ending
June 30, 2004, and 2.24%, 3.45%, 4.02%, and 2.49%, for the years ended
December 31, 2003, 2002, 2001, and 2000, respectively.
(e) Not annualized.
(f) Annualized.
(g) The fund entered into a new sub-advisory agreement with Capital Guardian
Trust Co. during the period shown.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
OVERSEAS EQUITY C FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK
Australia - 3.8%
Amcor, Ltd. (BE) ........................................ 28,400 $ 138
Australia & New Zealand Banking Group, Ltd. * (JP) ...... 17,200 219
Brambles Industries, Ltd. * (BO) ........................ 37,200 155
Broken Hill Proprietary Co., Ltd. * (BF) ................ 70,100 611
Foster's Brewing Group, Ltd. * (JG) ..................... 34,500 113
Insurance Australia Group (JR) .......................... 51,500 179
National Australia Bank, Ltd. (JP) ...................... 7,000 145
Promina Group (JR) ...................................... 58,800 163
QBE Insurance Group, Ltd. * (JR) ........................ 25,000 222
Rinker Group (BD) ....................................... 41,966 235
Wesfarmers (BL) ......................................... 9,500 194
WMC Resources, Ltd. * (BF) .............................. 44,900 154
Woolworth's, Ltd. * (JF) ................................ 21,200 168
------
2,696
Belgium - 0.1%
UCB SA * (JO) ........................................... 1,000 47
Canada - 1.6%
Abitibi Consolidated, Inc. * (BG) ....................... 21,800 149
Alcan Aluminum, Ltd. (BF) ............................... 7,500 309
Bombardier, Inc. - Cl. B * (BH) ......................... 80,800 242
Great West Lifeco, Inc. (JR) ............................ 4,900 176
National Bank of Canada (JP) ............................ 4,700 151
Suncor Energy, Inc. (BB) ................................ 3,900 99
------
1,126
Denmark - 0.6%
Novo Nordisk AS (JO) .................................... 5,300 273
Tele Danmark AS (J1) .................................... 4,400 143
------
416
Finland - 0.7%
Nokia Oyj * (JW) ........................................ 21,500 310
UPM-Kymmene Corp. * (BG) ................................ 11,900 227
------
537
France - 10.5%
Accor SA (BZ) ........................................... 6,200 262
Air Liquide * (BC) ...................................... 3,740 619
BNP Paribas * (JP) ...................................... 19,900 1,226
Bouygues SA * (J2) ...................................... 23,300 781
Carrefour SA * (JF) ..................................... 4,000 194
Essilor International (JL) .............................. 3,900 255
Groupe Danone * (JH) .................................... 6,000 524
L'Oreal SA * (JK) ....................................... 4,100 328
Renault (BV) ............................................ 4,300 328
Sanofi-Synthelabo SA * (JO) ............................. 29,800 1,891
Schneider SA * (BK) ..................................... 5,400 369
Societe Generale - Cl. A * (JP) ......................... 2,600 221
STMicroelectronics * (J0) ............................... 8,200 180
Vivendi Universal SA * (JA) ............................. 12,300 342
------
7,520
Germany - 5.5%
Allianz AG * (JR) ....................................... 4,500 $ 488
Bayerische Motoren Werke AG * (BV) ...................... 6,100 270
Bayerische Vereinsbank AG * (JP) ........................ 18,700 333
DaimlerChrysler AG * (BV) ............................... 17,700 828
Deutsche Bank AG * (JP) ................................. 1,300 102
Deutsche Boerse AG (JQ) ................................. 5,380 274
E.On AG (J3) ............................................ 2,900 210
Infineon Technologies AG * (J0) ......................... 20,100 270
Muenchener Rueckversicherungs-Gesellschaft AG * (JR) .... 4,300 467
SAP AG * (JV) ........................................... 1,400 232
Siemens AG * (BK) ....................................... 4,600 331
Thyssen Krupp AG * (BF) ................................. 6,700 114
------
3,919
Hong Kong - 1.8%
Cheung Kong Holdings, Ltd. * (JS) ....................... 15,000 111
Esprit Holdings, Ltd. (JE) .............................. 35,000 157
Hang Lung Properties (JS) ............................... 168,000 216
Hang Seng Bank, Ltd. * (JP) ............................. 14,300 183
Huaneng Power International * (J3) ...................... 158,000 141
Li & Fung, Ltd. * (JB) .................................. 208,000 304
Swire Pacific, Ltd. - Cl. A * (JQ) ...................... 22,000 142
------
1,254
Italy - 1.0%
ENI * (BB) .............................................. 25,100 499
UniCredito Italiano SpA * (JP) .......................... 51,200 253
------
752
Japan - 23.4%
Acom Co., Ltd. (JQ) ..................................... 2,400 156
Advantest (J0) .......................................... 3,800 254
Canon, Inc. * (JZ) ...................................... 4,000 210
Chudenko Corp. (BJ) ..................................... 7,300 119
Dai-Nippon Printng Co., Ltd. (BO) ....................... 11,000 175
Daiwa House Industry Co., Ltd. (BW) ..................... 13,000 150
East Japan Railway Co. (BS) ............................. 30 168
Fanuc, Ltd. * (BK) ...................................... 4,700 280
Furukawa Electric Co. (BK) .............................. 37,000 158
Hirose Electric Co., Ltd. * (JY) ........................ 2,500 274
Honda Motor Co. * (BV) .................................. 4,500 216
Hoya Corp. * (JY) ....................................... 1,900 198
Japan Airlines (BQ) ..................................... 39,000 124
Jusco Co., Ltd. * (JD) .................................. 18,000 721
Kansai Electric Power Co., Inc. (J3) .................... 18,600 338
Keyence Corp. (JY) ...................................... 700 159
Konica Corp. (BX) ....................................... 25,000 344
Kyocera Corp. * (JY) .................................... 2,600 220
Millea Holdings, Inc. * (JR) ............................ 43 637
Mitsubishi Corp. (BN) ................................... 22,000 213
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
OVERSEAS EQUITY C FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK - Continued
Japan - Continued
Mitsubishi Estate Co., Ltd. * (JS) ...................... 66,000 $ 817
Mitsubishi Heavy Industries, Ltd. * (BM) ................ 42,000 114
Mitsubishi Tokyo Finance (JP) ........................... 56 517
Mitsui Fudosan Co., Ltd. * (JS) ......................... 19,000 227
Mitsui Marine & Fire Insurance Co., Ltd. * (JR) ......... 64,000 600
Mizuho Financial GB * (JP) .............................. 38 172
Murata Manufacturing Co., Ltd. * (J0) ................... 3,100 176
NEC Corp. * (JX) ........................................ 109,000 766
Nidec Corp. * (JY) ...................................... 1,500 153
Nikko Securities Co., Ltd. * (JQ) ....................... 21,000 102
Nikon Corp. (J0) ........................................ 16,000 180
Nintendo Corp., Ltd. (BW) ............................... 3,000 347
Nissan Motor Acceptance Corp. (BV) ...................... 71,000 788
Nitto Denko Corp. * (BK) ................................ 4,500 230
Nomura Securities Co., Ltd. * (JQ) ...................... 10,000 148
Omron Corp. (JY) ........................................ 7,000 164
Rohm Co., Ltd. * (JY) ................................... 2,500 299
Sankyo Co., Ltd. * (JO) ................................. 12,000 260
Sekisui House, Ltd. * (BW) .............................. 34,000 377
Shionogi & Co., Ltd. * (JO) ............................. 23,000 395
SMC Corp. * (BM) ........................................ 3,300 356
Sumitomo Chemical Co. (BC) .............................. 64,000 298
Sumitomo Forestry Co. (BW) .............................. 14,000 161
Sumitomo Mitsui GR (JP) ................................. 122 835
Takeda Chemical Industries * (JO) ....................... 6,100 267
Tokyo Electron, Ltd. * (J0) ............................. 10,700 599
Tokyo Gas Co. (J4) ...................................... 49,000 173
Tostem Corp. (BI) ....................................... 9,000 194
Toyota Motor Corp. * (BV) ............................... 16,800 679
UFJ Holdings, Inc. * (JP) ............................... 79 348
Uni-Charm Corp. (JJ) .................................... 3,200 159
Yamanouchi Pharmaceutical Co., Ltd. * (JO) .............. 4,000 134
Yamato Transport Co., Ltd. (BP) ......................... 20,000 326
Yasuda F & M Insurance (JR) ............................. 24,000 245
-------
16,720
Luxembourg - 0.2%
Society Europeenne des Satellites (JA) .................. 14,000 119
Netherlands - 5.8%
Heineken Holdings (JG) .................................. 4,825 142
Heineken NV (JG) ........................................ 24,575 809
Koninklijke * (Royal) Philips Electronics NV (BW) ....... 5,600 151
Koninklijke KPN NV * (J1) ............................... 135,400 1,032
Royal Dutch Petroleum Co. * (BB) ........................ 31,200 1,603
TNT Post Group NV (BP) .................................. 9,500 217
VNU NV * (JA) ........................................... 7,800 227
-------
4,181
Norway - 1.1%
Den Norske Bank (JP) .................................... 22,400 153
Norsk Hydro ASA (BB) .................................... 2,700 $ 175
Norske Skogindustrier ASA - Cl. A * (BG) ................ 8,000 143
Statoil ASA * (BB) ...................................... 26,000 330
-------
801
Singapore - 1.2%
Singapore Telecommunications, Ltd. * (J1) ............... 442,000 578
United Overseas Bank, Ltd. * (JP) ....................... 21,000 163
Venture Manufacturing, Ltd. * (JY) ...................... 13,000 136
-------
877
South Korea - 0.7%
Samsung Electronics * (J0) .............................. 1,200 495
Spain - 3.2%
Banco Bilbao Vizcaya SA * (JP) .......................... 78,700 1,053
Iberdrola SA (J3) ....................................... 1,000 21
Inditex (JE) ............................................ 25,700 590
Telefonica SA * (J1) .................................... 43,700 647
-------
2,311
Sweden - 4.0%
AstraZeneca Group plc (JO) .............................. 52,000 2,363
ForeningsSparbanken AB * (JP) ........................... 18,300 350
Scania AB - Ser. B (BM) ................................. 4,700 160
-------
2,873
Switzerland - 10.7%
ABB, Ltd. (BK) .......................................... 33,436 183
Adecco SA * (BO) ........................................ 3,193 159
Credit Suisse Group * (JP) .............................. 2,172 77
Holcim * (BD) ........................................... 15,169 825
Nestle SA * (JH) ........................................ 4,420 1,179
Novartis AG (JO) ........................................ 31,505 1,391
Richemont (JE) .......................................... 33,529 876
Roche Holdings AG * (JO) ................................ 2,383 236
Serono SA (JN) .......................................... 313 197
Swiss Reinsurance Co. * (JR) ............................ 14,838 964
Swisscom AG * (J1) ...................................... 2,430 804
Syngenta AG (BC) ........................................ 1,987 167
Synthes, Inc. * (JL) .................................... 1,620 185
UBS AG * (JP) ........................................... 5,822 410
-------
7,653
United Kingdom - 16.6%
Anglo American plc (BF) ................................. 7,200 147
ARM Holdings plc (J0) ................................... 74,500 162
Barclays (JP) ........................................... 15,200 130
BG Group plc * (BB) ..................................... 176,900 1,090
British Aerospace plc (BH) .............................. 38,800 154
Centrica plc (J4) ....................................... 65,200 265
CRH (BD) ................................................ 14,100 299
Diageo plc * (JG) ....................................... 31,700 427
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
OVERSEAS EQUITY C FUND
Market
Name of Issuer Shares Value
-------------- ----------- -------
(000's)
COMMON STOCK - Continued
United Kingdom - Continued
HBOS * (JP) ......................................... 43,300 $ 536
HSBC Holdings plc (JP) .............................. 54,000 803
Johnston Press (JA) ................................. 7,200 74
Lloyds TSB Group plc (JP) ........................... 18,800 147
National Grid Group * (J3) .......................... 52,900 408
Reckitt Benckiser * (JJ) ............................ 5,300 150
Reed International plc (JA) ......................... 59,600 579
Rio Tinto plc * (BF) ................................ 9,400 226
Royal Bank of Scotland Group * (JP) ................. 40,400 1,163
Shell Transport & Trading Co. plc * (BB) ............ 62,800 461
Smiths Group (BL) ................................... 37,700 510
Standard Chartered plc * (JP) ....................... 24,200 394
Unilever plc * (JH) ................................. 84,100 825
Vodafone AirTouch plc (J2) .......................... 1,113,900 2,438
Wolseley (BN) ....................................... 9,800 152
Xstrata (BF) ........................................ 26,300 351
-------
11,891
United States - 2.8%
America Movil SA de CV - ADR Ser. L (J2) ............ 5,500 200
Companhia Vale Do Rio Doce - ADR (BF) ............... 2,000 95
Hon Hai Precision Industry Co., Ltd. - GDR (JY) ..... 16,000 120
Inco, Ltd. * (BF) ................................... 9,600 332
Taiwan Semiconductor Manufacturing
Co., Ltd. - ADR * (J0) .............................. 47,802 397
The Thomson Corp. * (JA) ............................ 21,500 720
Yukos Corp. - ADR * (BL) ............................ 4,100 130
-------
1,994
-------
TOTAL COMMON STOCK-
(Cost $68,054) 95.3% 68,182
PREFERRED STOCK
Australia - 0.2%
News Corp., Ltd. (JA) ............................... 19,400 158
-------
TOTAL PREFERRED STOCK-
(Cost $166) 0.2% 158
Par Market
Name of Issuer Value Value
-------------- ----------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS
Supra National - 0.5%
SMFG Finance - Bonds (FB)
2.25% due 07/11/05 .................................. $15,000,000 330
Switzerland - 0.2%
Credit Suisse - Bonds (JP)
6.0% due 12/23/05 ................................... $ 173,000 184
-------
TOTAL PUBLICLY-TRADED
BONDS-
(Cost $550) 0.7% 514
----------- -------
TOTAL LONG-TERM INVESTMENTS-
(Cost $68,770) 96.2% 68,854
SHORT-TERM INVESTMENTS - 1.9%
Investment in joint trading account
1.344% due 07/01/04
(Cost $1,377) .................................... $ 1,377 $ 1,377
----------- -------
TOTAL INVESTMENTS-
(Cost $70,147) 98.1% 70,231
Cash and Receivables, less payables- 1.9% 1,368
----------- -------
NET ASSETS- 100.0% $71,599
=========== =======
* Non-income producing security
ADR-American Depository Receipt.
GDR-Global Depository Receipt.
See notes to financial statements
SUMMARY OF LONG-TERM SECURITIES BY INDUSTRY
Market % of
Industry Value Long-Term
Industry Abbreviation (000's) Investments
-------- ------------ ------- -----------
Banks JP $10,268 14.9%
Pharmaceuticals JO 7,256 10.5%
Oil & Gas BB 4,257 6.2%
Insurance JR 4,142 6.0%
Wireless Telecommunications Services J2 3,419 5.0%
Diversified Telecommunication Services J1 3,204 4.7%
Automobiles BV 3,109 4.5%
Semiconductor Equipment & Products J0 2,714 3.9%
Food Products JH 2,528 3.7%
Metals & Mining BF 2,339 3.4%
Media JA 2,218 3.2%
Electronic Equipment & Instruments JY 1,723 2.5%
Specialty Retail JE 1,623 2.4%
Electrical Equipment BK 1,550 2.3%
Beverages JG 1,490 2.2%
Real Estate Operations JS 1,372 2.0%
Construction Materials BD 1,359 2.0%
Household Durables BW 1,186 1.7%
Electric Utilities J3 1,118 1.6%
Chemicals BC 1,084 1.6%
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
OVERSEAS EQUITY C FUND
Market % of
Industry Value Long-Term
Industry Abbreviation (000s) Investments
-------- ------------ ------- -----------
Industrial Conglomerates BL $ 835 1.2%
Diversified Financials JQ 821 1.2%
Computers & Peripherals JX 765 1.1%
Multiline Retail JD 721 1.0%
Machinery BM 630 0.9%
Air Freight & Couriers BP 543 0.8%
Paper & Forest Products BG 518 0.8%
Commercial Services & Supplies BO 490 0.7%
Health Care Equipment & Supplies JL 440 0.6%
Gas Utilities J4 439 0.6%
Aerospace & Defense BH 396 0.6%
Trading Companies & Distributors BN 365 0.5%
Food & Drug Retailing JF 362 0.5%
Leisure Equipment & Products BX 344 0.5%
Finance FB 330 0.5%
Personal Products JK 328 0.5%
Communications Equipment JW 311 0.5%
Household Products JJ 309 0.4%
Distributors JB 304 0.4%
Hotels Restaurants & Leisure BZ 262 0.4%
Software JV 232 0.3%
Office Electronics JZ 210 0.3%
Biotechnology JN 197 0.3%
Building Products BI 194 0.3%
Road & Rail BS 168 0.2%
Containers & Packaging BE 138 0.2%
Airlines BQ 124 0.2%
Construction & Engineering BJ 119 0.2%
------- -----
$68,854 100.0%
======= =====
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Overseas Equity C, (formerly, John Hancock Emerging Markets
Equity Fund), (the "Fund") is a diversified series of John Hancock Variable
Series Trust I (the "Trust"), an open-end investment management company
registered under the Investment Company Act of 1940. The Trust is organized as a
Massachusetts business trust and consists of thirty different funds as of June
30, 2004. The results of this Fund are included in this report. The results of
the other Funds in the Trust are presented under separate cover. The Trust may
add or delete Funds in the future to accommodate various investment objectives.
The Trust has issued shares of beneficial interest exclusively to John Hancock
Variable Life Account U ("JHVLAU"), John Hancock Variable Life Account V
("JHVLAV"), John Hancock Variable Life Account S ("JHVLAS"), and John Hancock
Variable Annuity Account I ("JHVAAI") to fund policies and contracts issued by
the John Hancock Variable Life Insurance Company ("JHVLICO"), and to John
Hancock Variable Annuity Account U ("JHVAAU"), John Hancock Variable Annuity
Account V ("JHVAAV"), John Hancock Variable Life Account UV ("JHVLAUV"), John
Hancock Variable Annuity Account H ("JHVAAH"), and John Hancock Variable Annuity
Account JF ("JHVAAJF") to fund contracts and policies issued by John Hancock
Life Insurance Company ("John Hancock" or "JHLICO"), to John Hancock Variable
Life Account PPM-1 ("PPM-1"), and to John Hancock Variable Life Account PPM-2
("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. In the event the Exchange
closes at any time other than 4:00 p.m. Eastern Standard Time on a particular
day, the Fund will determine its net asset value per share as of the close of
the Exchange on that day. All other securities held by the Fund are valued at
the last sale price or official closing price (closing bid price or last
evaluated quote if no sale has occurred) as of the close of business on a
principal securities exchange (domestic or foreign) or, lacking any sales, at
the closing bid price. Investment security transactions are recorded on the date
of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Debt investment securities having a primary market over-the-counter are
valued on the basis of valuations furnished by a pricing service which
determines valuations for normal institutional size trading units of debt
securities, without exclusive reliance upon quoted prices.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
case-balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Currency translation: All assets or liabilities initially expressed in
terms of foreign currencies are translated into U.S. dollars based on London
currency exchange quotations as of 5:00 p.m., London time, on the date of any
determination of the net asset value of the Fund. Unrealized exchange
adjustments are included in unrealized appreciation (depreciation) of
investments. Transactions affecting statement of operations accounts and net
realized gain (loss) on investments are translated at the rates prevailing at
the dates of transactions.
The Fund does not isolate that portion of the results of operations
resulting from changes in foreign exchange rates on investments from the
fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gains or losses
from investments.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Reported net realized gains and losses on foreign currency transactions
represent net gains and losses from sales and maturities of forward foreign
currency contracts, disposition of foreign currencies, currency gains and losses
realized between trade and settlement dates of security transactions, and the
difference between the amounts of net investment income accrued and the U.S.
dollar amount actually received. Net unrealized foreign exchange gains and
losses arise from changes in the value of assets and liabilities other than
investments in securities, resulting from changes in the exchange rate.
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations.
The Fund had borrowings under the line of credit during the period ended
June 30, 2004 as follows:
Average Daily Loan Balance
During the Period for which Weighted Average
Loans were Outstanding Interest Rate Interest Expense
- --------------------------- ---------------- ----------------
$566 1.52% $--
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, the Fund had no open
financial futures contracts.
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage Fund's currency exposure. Contracts to buy generally are used to acquire
exposure to foreign currencies, while contracts to sell are used to hedge the
Fund's investments against currency fluctuations. Neither type of forward
foreign currency transaction will eliminate fluctuations in the prices of the
Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
As of June 30, 2004, the Fund had open forward foreign currency contracts
which contractually obligate the Fund to deliver or receive currencies at a
specified date, as follows:
Unrealized
Principal Amount Appreciation/
Covered by Contract Expiration Month (Depreciation)
------------------- ---------------- --------------
Currency Sold
- -------------
Swiss Franc 130 August 04 $ (5)
Swiss Franc 522 August 04 (10)
Swiss Franc 642 September 04 --
Japanese Yen 235 September 04 $ (4)
----
$(19)
====
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $12,716 and $3,211 which expire in 2009 and 2010, respectively.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Dividend
income for the Fund is shown net of foreign taxes withheld of $101. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH
AFFILIATES--Continued
Between
$20 Million and Excess Over
First $20 Million $50 Million $50 Million
- ----------------- --------------- -----------
1.30% 1.15% 1.05%
For the period from January 1, 2004 to April 30, 2004, John Hancock and
JVLICO agreed to reimburse the Fund for normal operating expenses, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses that exceed 0.10% of the Fund's daily net asset value.
Accordingly, for the period from January 1, 2004 to April 30, 2004 the Fund was
reimbursed $65 by John Hancock and JVLICO. On March 18, 2004, the Fund's
Shareholders approved the removal of John Hancock and JVLICO's respective
obligations to reimburse the Fund for excess operating expenses effective May 1,
2004.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $49.
As of April 30, 2004, John Hancock has entered into a Sub-Advisory
Agreement with Capital Guardian Trust Company, and under its supervision, is
responsible for the day-to-day investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$92,865 $94,429
The identified cost of investments owned by the Fund (including earned discount
on corporate short-term notes, and commercial paper) and their respective gross
unrealized appreciation and depreciation for Federal income tax purposes at
December 31, 2003 were as follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$49,043 $16,200 $(579) $15,621
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax return.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations, which may differ from accounting principles generally accepted in
the United States of America. These differences primarily relate to certain
securities sold at a loss and gains and losses related to certain foreign equity
investments. Additionally, as a result, net investment income (loss) and net
realized gain (loss) on investment transactions for a reporting period may
differ significantly from distributions during such period. Accordingly, the
Fund may periodically make reclassifications among certain of its capital
accounts without impacting the net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $15,927 $15,621
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $2,228 $-- $860
2002 93 -- --
Included in the Fund's 2003 distributions from ordinary income is $870 in
excess of investment company taxable income, which in accordance with applicable
US tax law, is taxable to shareholders as ordinary income distributions.
NOTE E--OTHER MATTERS
Section 30 and Rule 30d-1(b) under the Investment Company Act of 1940, as
amended, requires registered management investment companies to furnish
information relating to any matter submitted during the reporting period to a
vote of Shareholders of the Trust.
John Hancock Variable Series Trust I solicited a vote at special meeting of
Contract owners/Policyholders held on March 18, 2004 on the following matters:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE E--OTHER MATTERS--Continued
For Against Abstain
--- ------- -------
To approve, as to the Overseas Equity C Fund, an amendment to the current 84% 11% 5%
investment mangement agreement between the Trust and John Hancock to
decrease the fees paid by this Fund to John Hancock and to eliminate John
Hancock's obligation to reimburse this Fund for certain operating expenses
Inception: May 16, 1988
- --------------------------------------------------------------------------------
Real Estate Equity Fund
RREEF America LLC K. Knudson/J. Robertson
Van Kampen T. Bigman
- --------------------------------------------------------------------------------
The Fund employs a multi-manager approach with two sub-advisers, each of which
independently manages its portion of the Fund. At quarter end, Van Kampen
managed approximately 52% and RREEF managed approximately 48% of the Fund's
assets.
Fund Commentary
.. Year-to-date, Fund returned 7.02%, outperforming its benchmark, the Dow
Jones Wilshire REIT Index. Relative to Morningstar peers, the Fund has an
average rating of 3 with an above average risk profile. In each portion of
the Fund, exposure to the regional malls and apartment sub-sectors were the
largest contributors to absolute performance.
RREEF
.. Outperformed its benchmark primarily due to favorable stock selection
especially within the hotel and retail subsectors, with sub-sector
allocation exposures also contributing.
.. The manager uses both a top-down market overview to identify attractive
growth sectors and bottom-up fundamental research to identify companies
that have sustainable cash flow growth.
Van Kampen
.. Outperformed its benchmark primarily due to favorable stock selection
especially within residential apartments and retail strip centers, with
sub-sector allocations also adding value.
.. The manager uses a top-down market overview and bottom-up fundamental,
value-driven research to select stocks that are attractively priced
relative to their underlying real estate assets.
Inception: May 16, 1988
- --------------------------------------------------------------------------------
Real Estate Equity Fund
RREEF America LLC K. Knudson/J. Robertson
Van Kampen T. Bigman
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
Simon Property Group, Inc. 7.9%
Prologis Trust 5.4%
Starwood Hotels & Resorts Worldwide, lr 5.1%
Equity Residential Properties Trust 4.9%
Archstone Communities Trust 4.8%
Avalonbay Communities, Inc. 4.7%
General Growth Properties 4.4%
Rouse Co. 4.4%
Brookfield Properties Corporation 4.2%
Federal Realty Investment Trust 3.6%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Real Estate Real Estate
Equity Fund Equity Benchmark/4/
----------- -------------------
YTD/3/ 7.02% 6.00%
1 Year 29.39 27.17
3 Years 14.32 14.28
5 Years 14.01 14.20
10 Years 11.48 11.22
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/
.. Specialty Real Estate
MORNINGSTAR RISK/1/
.. Above Average (VL/VUL)
.. Above Average (VA)
MORNINGSTAR RATING/1/
.. *** (VL/VUL)
.. *** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
Assets
------
Real Estate Investment Trust 86.3%
Hotel/Motel 8.6%
Real Estate 5.1%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 116 VL/VUL subaccounts and 210 VA subaccounts in the
Morningstar Specialty-Real Estate category. This represents the Morningstar
3 year rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original costs. Sector investing and a nondiversified
fund entails special risks as discussed in the prospectus. The performance
of the fund on this page is reported net of Trust level charges (i.e.
investment management fees and operating expenses). It does not reflect
expense and charges of the applicable separate accounts and variable
products, all of which vary to a considerable extent and are described in
your product prospectus. Performance would be lower if expenses and charges
of the separate accounts and products were reflected.
/3/ Year to date returns are not annualized.
/4/ The Real Estate Equity Benchmark represents the Dow Jones Wilshire Real
Estate Securities Index from June 1988 to April 2003 and then the Dow Jones
Wilshire REIT Index from May 2003 to present. Dow Jones Wilshire Real
Estate Securities Index is a market-capitalization weighted index which
measures the performance of real estate securities. The index contains
performance data on five major categories of property: office, retail,
industrial, apartment and miscellaneous.
"Van Kampen" is a registered trade name used by Morgan Stanley Investment
Management, Inc. in its role as a subdivision to the Fund.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Real Estate Equity Fund
(000's Omitted)
ASSETS
Long term investments at cost ....................................... $196,453
Net unrealized appreciation of investments .......................... 54,901
Short-term investments at value ..................................... 3,056
--------
Total investments ............................................. 254,410
Receivable for:
Investments sold ................................................. 416
Dividends ........................................................ 1,113
--------
Total assets ........................................................ 255,939
--------
LIABILITIES
Payables for:
Investments purchased ............................................ 719
Accrued operating expenses ....................................... 93
--------
Total liabilities ................................................... 812
--------
Net assets .......................................................... $255,127
========
Shares outstanding, $0.01 Par Value (unlimited shares authorized) ... 14,959
--------
Net asset value per share ........................................... $ 17.06
========
Composition of net assets:
Capital paid-in .................................................. $188,112
Accumulated net realized gain on investments, futures and foreign
currency transactions ......................................... 11,915
Undistributed net investment income .............................. 199
Net unrealized appreciation of investments ....................... 54,901
--------
Net assets .......................................................... $255,127
========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Real Estate Equity Fund
(000's Omitted)
INVESTMENT INCOME
Interest ......................................................... $ 33
Dividends (net of foreign withholding tax of $18) ................ 5,829
-------
Total investment income ............................................. 5,862
-------
EXPENSES
Investment advisory fee .......................................... 1,162
Auditors fees .................................................... 15
Custodian fees ................................................... 46
Legal fees ....................................................... 15
Printing & mailing fees .......................................... 20
Trustees' fees ................................................... 4
Other fees ....................................................... 4
-------
Total expenses ...................................................... 1,266
Less custodian expense reduction offset by commission recapture
arrangement (Note C) .......................................... (8)
-------
Net expenses ........................................................ 1,258
-------
Net investment income ............................................... 4,604
-------
REALIZED AND UNREALIZED GAIN
Net realized gain on investments ................................. 10,385
Change in unrealized appreciation on investments ................. 1,220
-------
Net realized and unrealized gain .................................... 11,605
-------
Net increase in net assets resulting from operations ................ $16,209
=======
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
Real Estate Equity Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE IN NET ASSETS
From operations
Net investment income .................................... $ 4,604 $ 9,610
Net realized gain ........................................ 10,385 6,974
Change in net unrealized appreciation .................... 1,220 46,768
-------- --------
Net increase in net assets resulting from operations .. 16,209 63,352
Distributions to shareholders from:
Net investment income .................................... (4,405) (9,525)
Realized gains ........................................... (6,666)
-------- --------
Decrease in net assets resulting from distributions ... (4,405) (16,191)
From fund share transactions:
Proceeds from shares sold ................................ 27,614 52,162
Distributions reinvested ................................. 4,405 16,191
Payment for shares redeemed .............................. (25,620) (56,516)
-------- --------
Increase in net assets from fund share transactions ... 6,399 11,837
-------- --------
NET INCREASE IN NET ASSETS .................................. 18,203 58,998
NET ASSETS
Beginning of Period ...................................... 236,924 177,926
-------- --------
End of Period (including undistributed net investment
income of $199 and $0, respectively) ................. $255,127 $236,924
======== ========
Analysis of fund share transactions:
Sold ..................................................... 1,650 3,726
Reinvested ............................................... 262 1,077
Redeemed ................................................. (1,562) (4,106)
-------- --------
Net increase in fund shares outstanding ..................... 350 697
======== ========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each fund share of beneficial interest outstanding throughout
the period indicated:
Real Estate Equity Fund
------------------------------------------------------------
Unaudited Period Year Ended December 31,
Ended June 30, -----------------------------------------
2004 2003(d) 2002 2001 2000(c)
---------------- -------- -------- -------- --------
Net Assets Value at Beginning of Period ............... $ 16.22 $ 12.79 $ 13.55 $ 13.67 $ 11.47
Income from Investment Operations:
Net Investment Income .............................. 0.31 0.69 0.62 0.67 0.76
Net Realized and Unrealized Gain (Loss) on
Investment(a) ................................... 0.82 3.90 (0.43) 0.21 2.73
-------- -------- -------- -------- --------
Total From Investment Operations ................... 1.13 4.59 0.19 0.88 3.49
Less Distributions:
Distribution from Net Investment Income ............ (0.29) (0.69) (0.65) (0.58) (0.76)
Distribution from Net Realized Gains on
Investments ..................................... (0.47) (0.30) (0.42) (0.06)
Distribution from Excess of Net Investment
Income/Gains .................................... (0.17)
Distribution from Capital Paid-in .................. (0.30)
-------- -------- -------- -------- --------
Total Distributions ................................ (0.29) (1.16) (0.95) (1.00) (1.29)
-------- -------- -------- -------- --------
Net Assets Value at End of Period ..................... $ 17.06 $ 16.22 $ 12.79 $ 13.55 $ 13.67
======== ======== ======== ======== ========
Total Investment Return(b) ............................ 7.02%(f) 36.89% 1.36% (6.61)% 31.29%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net
Assets .......................................... 1.03%(e)(g) 1.07% 1.07% 1.07% 0.76%
Ratio of Net Investment Income to Average
Net Assets ...................................... 3.75%(g) 4.84% 4.60% 4.97% 5.99%
Portfolio Turnover Rate ............................ 21.85%(f) 38.11% 22.74% 29.07% 58.81%
Net Assets End of Period (000s Omitted) ............... $255,127 $236,924 $177,926 $163,653 $158,811
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) The Fund entered into a new sub-advisory agreement with Van Kampen during
the period shown.
(d) The Fund entered into a new sub-advisory agreement with RREEF America LLC
during the period shown.
(e) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
(f) Not annualized.
(g) Annualized.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
REAL ESTATE EQUITY FUND
Market
Value
Name of Issuer Shares (000's)
-------------- ------- --------
COMMON STOCK
Real Estate Development - 6.6%
Catellus Development Corp. ............................. 187,300 $ 4,617
Rouse Co. .............................................. 232,400 11,039
The Macerich Co. ....................................... 24,300 1,163
--------
16,819
Real Estate Investment Trust - 75.5%
Acadia Realty Trust .................................... 4,100 56
Affordable Residential Communities ..................... 13,400 222
American Financial Realty Trust ........................ 257,200 3,675
AMLI Residential Properties Trust ...................... 25,825 758
Apartment Investment & Management Co. .................. 121,300 3,776
Archstone Communities Trust ............................ 414,310 12,152
Arden Realty Group, Inc. ............................... 261,000 7,676
Avalonbay Communities, Inc. ............................ 211,022 11,927
Boston Properties, Inc. ................................ 121,684 6,094
BRE Properties, Inc. ................................... 55,600 1,932
Chelsea Property Group, Inc. ........................... 34,750 2,266
Correctional Properties Trust .......................... 14,300 418
Crescent Real Estate Equities, Inc. .................... 109,900 1,772
Equity Office Properties Trust * ....................... 293,625 7,987
Equity Residential Properties Trust * .................. 415,590 12,356
Essex Property Trust, Inc. ............................. 43,700 2,987
Federal Realty Investment Trust ........................ 215,000 8,942
General Growth Properties .............................. 374,400 11,071
Glenborough Realty Trust, Inc. ......................... 63,900 1,173
Heritage Property Investment Trust, Inc. ............... 4,200 114
Highwoods Properties, Inc. ............................. 130,700 3,071
Host Marriott Corp. * .................................. 662,500 8,189
HRPT Properties Trust .................................. 184,583 1,848
Inland Real Estate Corp. ............................... 8,500 111
Innkeepers USA Trust ................................... 17,000 175
Kimco Realty Corp. ..................................... 8,200 373
LaSalle Hotel Properties ............................... 5,300 129
Liberty Property Trust ................................. 104,200 4,190
Mack-Cali Realty LP * .................................. 167,800 6,944
MeriStar Hospitality Corp. ............................. 17,600 120
OMEGA Healthcare Investors, Inc. ....................... 57,200 574
PAN Pacific Retail Properties, Inc. .................... 87,100 4,400
Pennsylvania Real Estate Investment .................... 85,483 2,928
Post Properties, Inc. .................................. 42,050 1,226
Price Legacy Corp. * ................................... 1,450 27
Prologis Trust ......................................... 410,970 13,529
PS Business Parks, Inc. ................................ 7,650 308
Public Storage, Inc. ................................... 106,200 4,886
Reckson Associates Realty Corp. ........................ 91,800 2,521
Regency Centers Corp. .................................. 156,455 6,712
Shurgard Storage Centers, Inc. ......................... 85,400 3,194
Simon Property Group, Inc. ............................. 386,300 19,864
SL Green Realty Corp. .................................. 22,950 1,074
Summit Properties, Inc. ................................ 55,000 1,410
Taubman Centers, Inc. .................................. 66,800 1,529
The St. Joe Co. ........................................ 26,900 1,068
Trizec Properties, Inc. ................................ 24,200 $ 393
Ventas, Inc. ........................................... 3,100 72
Vornado Realty Trust ................................... 76,750 4,383
--------
192,602
Real Estate Operations - 16.4%
AMB Property Corp. ..................................... 159,000 5,506
Brookfield Properties Corporation ...................... 371,700 10,686
Forest City Enterprises, Inc. .......................... 18,500 980
Frontline Capital Group * .............................. 121,500 --
Hilton Hotels Corp. * .................................. 461,500 8,612
La Quinta Corp. - CTF 1 Cl. B .......................... 160,500 1,348
Lodgian, Inc. * ........................................ 12,400 131
Manufactured Home Communities, Inc. .................... 52,000 1,726
Starwood Hotels & Resorts Worldwide, Inc. * ............ 285,300 12,796
Wyndham International, Inc. ............................ 148,000 148
--------
41,933
--------
TOTAL COMMON STOCK-
(Cost $196,453) 98.5% 251,354
Par
Value
(000's)
-------
SHORT-TERM INVESTMENTS - 1.2%
Investment in joint trading account
1.344% due 07/01/04
(Cost $3,056) ........................................ $3,056 3,056
------ --------
TOTAL INVESTMENTS-
(Cost $199,509) 99.7% 254,410
Cash and Receivables, less payables- 0.3% 717
------ --------
NET ASSETS- 100.0% $255,127
====== ========
* Non-income producing security.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Real Estate Equity Fund (the "Fund") is a diversified series
of John Hancock Variable Series Trust I (the "Trust"), an open-end investment
management company registered under the Investment Company Act of 1940. The
Trust is organized as a Massachusetts business trust and consists of thirty
different funds as of June 30, 2004. The results of this Fund are included in
this report. The results of the other Funds in the Trust are presented under
separate cover. The Trust may add or delete Funds in the future to accommodate
various investment objectives. The Trust has issued shares of beneficial
interest exclusively to John Hancock Variable Life Account U ("JHVLAU"), John
Hancock Variable Life Account V ("JHVLAV"), John Hancock Variable Life Account S
("JHVLAS"), and John Hancock Variable Annuity Account I ("JHVAAI") to fund
policies and contracts issued by the John Hancock Variable Life Insurance
Company ("JHVLICO"), and to John Hancock Variable Annuity Account U ("JHVAAU"),
John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock Variable Life
Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H ("JHVAAH"), and
John Hancock Variable Annuity Account JF ("JHVAAJF") to fund contracts and
policies issued by John Hancock Life Insurance Company ("John Hancock" or
"JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"), and to John
Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations.
The Fund had borrowings under the line of credit during the period ended
June 30, 2004 as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Average Daily Loan Balance
During the Period for which Weighted Average
Loans were Outstanding Interest Rate Interest Expense
- --------------------------- ---------------- ----------------
$190 1.50% $ -
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, the Fund had no open
financial futures contracts.
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had no capital loss carryforwards on a
tax basis to be applied against any future taxable gains.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Dividend
income for the Fund is shown net of foreign taxes withheld of $18. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on annual basis of the
Fund's net assets:
Between Between
$50 Million and $100 Million and Excess Over
First $50 Million $100 Million $200 Million $200 Million
- ----------------- --------------- ---------------- ------------
1.10% 1.00% 0.90% 0.80%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. Accordingly,
for the period ended June 30, 2004, there were no reimbursements paid to the
Fund.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $8.
John Hancock has entered into Sub-Advisory Agreements with John Hancock
Advisers, an affiliate of John Hancock, and under its supervision, is
responsible for the day-to-day investment management of the Fund. John Hancock
has also entered into Sub-Advisory Agreements with Van Kampen and RREEF America
LLC, and under its supervision, are also responsible for the day-to-day
investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the year ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$57,190 $46,033
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, and commercial paper) and their
respective gross unrealized appreciation and depreciation for Federal income tax
purposes at December 31, 2003 were as follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$180,950 $55,554 $(1,197) $54,357
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
relate to certain securities sold at a loss and to certain distributions
received from investments in Real Estate Investment Trusts. Additionally, as a
result, net investment income (loss) and net realized gain (loss) on investment
transactions for a reporting period may differ significantly from distributions
during such period. Accordingly, the Fund may periodically make
reclassifications among certain of its capital accounts without impacting the
net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $889 $-- $54,357
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $10,296 $ 5,895 $--
2002 8,766 4,175 --
Inception: May 1, 1994
- --------------------------------------------------------------------------------
Short-Term Bond Fund
Independence Investment LLC J. Shallcross/P. Farley
- --------------------------------------------------------------------------------
.. Year to date, the Fund returned 0.14%, outperforming its benchmark, the
Lehman Brothers 1-3 Year Aggregate Bond Index. Relative to Morningstar
peers, the Fund has an average/above average rating of 3/4 with a below
average / average risk profile.
.. The Fund outperformed its benchmark primarily due to favorable security
selection and duration/yield curve decisions, while sector allocation
decisions were neutral.
.. The Fund's exposure to mortgaged-backed and corporate bonds contributed the
most to absolute performance.
.. The manager employs proprietary research and quantitative tools in a risk
controlled, benchmark-relative approach to evaluate bonds and bond sectors
that are attractively priced. Fund emphasizes higher quality U.S.
investment grade sectors.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
Federal National Mortgage Assoc. 16.0%
Federal Home Loan Mortgage Corp. 10.7%
Wells Fargo & Co. 3.6%
U.S. Treasury 3.4%
General Motors 2.2%
JP Morgan Chase & Co. 2.1%
LB UBS Commercial Mortgage Trust 1.9%
Citigroup, Inc. 1.8%
Bear Stearns 1.7%
General Electric 1.7%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Short-Term Short-Term
Bond Fund Bond Benchmark/4/
---------- -----------------
YTD/3/ 0.14% 0.11%
1 Year 0.79 0.89
3 Years 4.09 4.25
5 Years 5.32 5.47
10 Years 5.47 5.98
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Short-Term Bond
MORNINGSTAR RISK/1/:
.. Average (VL/VUL)
.. Below Average (VA)
MORNINGSTAR RATING/1/:
.. **** (VL/VUL)
.. *** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FUND COMPOSITION (as of June 30, 2004)
% of
Credit Quality Assets
- -------------- ------
AAA/Government/Agency 59.49%
AA 6.41%
A 9.79%
BBB 20.61%
BB 3.71%
Not Rated 0%
Weighted Average Yield 3.20%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 52 VL/VUL subaccounts and 96 VA subaccounts in the
Morningstar Short-Term Bond category. This represents the Morningstar 3
year rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The performance of the fund on this page
is reported net of Trust level charges (i.e. investment management fees and
operating expenses). It does not reflect expense and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
/4/ Short-Term Bond Benchmark represents the Merrill Lynch 1-5 Year Government
Bond from May 1994 to April 1998, 65% Lehman Brothers 1-3 Year Credit Bond,
35% Lehman Brothers 1-3 Year Government Bond Index, May 1998 to April 2002
and now Lehman Brothers 1-3 Year Aggregate Bond from May 2002 to present.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Short-Term Bond Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $15,655 of
securities loaned (Note B)) ..................................... $232,490
Net unrealized depreciation of investments ......................... (244)
Short-term investments at value .................................... 34,261
--------
Total investments ............................................ 266,507
Cash ............................................................... 2
Receivable for interest ............................................ 1,953
--------
Total assets ....................................................... 268,462
--------
LIABILITIES
Payables for:
Collateral for securities on loan ............................... 15,939
Accrued operating expenses ...................................... 54
--------
Total liabilities .................................................. 15,993
--------
Net assets ......................................................... $252,469
========
Shares outstanding, $0.01 Par Value (unlimited shares authorized)... 25,294
--------
Net asset value per share .......................................... $ 9.98
========
Composition of net assets:
Capital paid-in ................................................. $253,464
Accumulated net realized loss on investments,
futures and foreign currency transactions .................... (778)
Undistributed net investment income ............................. 27
Net unrealized depreciation of investments ...................... (244)
--------
Net assets ......................................................... $252,469
========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Short-Term Bond Fund
(000's Omitted)
INVESTMENT INCOME
Interest ......................................................... $ 5,173
Securities lending ............................................... 24
-------
Total investment income ............................................. 5,197
-------
EXPENSES
Investment advisory fee .......................................... 771
Auditors fees .................................................... 16
Custodian fees ................................................... 40
Legal fees ....................................................... 17
Printing & mailing fees .......................................... 22
Trustees' ....................................................... 4
Other fees ....................................................... 4
-------
Total expenses ...................................................... 874
-------
Net investment income ............................................... 4,323
-------
REALIZED AND UNREALIZED LOSS
Net realized loss on investments ................................. (882)
Change in unrealized depreciation on investments ................. (3,073)
-------
Net realized and unrealized loss .................................... (3,955)
-------
Net increase in net assets resulting from operations ................ $ 368
=======
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Short-Term Bond Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE(DECREASE) IN NET ASSETS
From operations
Net investment income .......................................................... $ 4,323 $ 9,392
Net realized loss .............................................................. (882) (468)
Change in net unrealized depreciation .......................................... (3,073) (2,066)
-------- --------
Net increase in net assets resulting from operations ........................ 368 6,858
Distributions to shareholders from:
Net investment income .......................................................... (4,296) (9,367)
-------- --------
Decrease in net assets resulting from distributions ......................... (4,296) (9,367)
From fund share transactions:
Proceeds from shares sold ...................................................... 31,304 96,185
Distributions reinvested ....................................................... 4,296 9,367
Payment for shares redeemed .................................................... (39,220) (84,143)
-------- --------
Increase (decrease) in net assets from fund share transactions .............. (3,620) 21,409
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS ............................................. (7,548) 18,900
NET ASSETS
Beginning of Period ............................................................ 260,017 241,117
-------- --------
End of Period (including undistributed net investment income of $27 and $0,
respectively) ............................................................... $252,469 $260,017
======== ========
Analysis of fund share transactions:
Sold ........................................................................... 3,095 9,405
Reinvested ..................................................................... 426 919
Redeemed ....................................................................... (3,883) (8,235)
-------- --------
Net increase (decrease) in fund shares outstanding ................................ (362) 2,089
======== ========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Short-Term Bond Fund
------------------------------------------------------------
Unaudited
Period Ended Year Ended December 31,
June 30, --------------------------------------------
2004 2003 2002 2001 2000
------------ --------- -------- -------- -------
Net Assets Value at Beginning of Period ....................... $ 10.13 $ 10.23 $ 10.11 $ 9.86 $ 9.72
Income from Investment Operations:
Net Investment Income ...................................... 0.17 0.37 0.44 0.52 0.61
Net Realized and Unrealized Gain (Loss) on Investment(a) ... (0.15) (0.10) 0.12 0.26 0.14
-------- -------- -------- -------- -------
Total From Investment Operations ........................... 0.02 0.27 0.56 0.78 0.75
Less Distributions:
Distribution from Net Investment Income .................... (0.17) (0.37) (0.41) (0.53) (0.61)
Distribution from Net Realized Gains on Investments ........ (0.03)
-------- -------- -------- -------- -------
Total Distributions ........................................ (0.17) (0.37) (0.44) (0.53) (0.61)
-------- -------- -------- -------- -------
Net Assets Value at End of Period ............................. $ 9.98 $ 10.13 $ 10.23 $ 10.11 $ 9.86
======== ======== ======== ======== =======
Total Investment Return(b) .................................... 0.14%(d) 2.76% 5.67% 8.09% 7.98%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net Assets ........... 0.68%(e) 0.67% 0.68% 0.48% 0.36%
Ratio of Net Investment Income to Average Net Assets ....... 3.38%(e) 3.68% 4.29% 5.20%(c) 6.27%
Portfolio Turnover Rate .................................... 19.73%(d) 58.94% 97.00% 86.39% 52.68%
Net Assets End of Period (000s Omitted) ....................... $252,469 $260,017 $241,117 $149,450 $80,109
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Had the Fund not amortized premiums and accreted discounts on debt
securities, the annual ratio of net investment income to average net assets
would have been 5.32% for the years ended December 31, 2001.
(d) Not annualized.
(e) Annualized.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
SHORT-TERM BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS
Aerospace & Defense - 0.5%
Raytheon Co. - Notes
6.75% due 08/15/07 ................................... $1,100 $ 1,191
Auto Loan - 2.9%
Ford Motor Credit Co.
6.7% due 07/16/04 .................................... 1,000 1,001
Ford Motor Credit Co. - Notes
6.875% due 02/01/06 ................................. 1,000 1,049
General Motors Acceptance Corp.
7.5% due 07/15/05 ..................................... 4,000 4,179
General Motors Acceptance Corp. - Notes
6.75% due 01/15/06 ................................... 1,000 1,048
-------
7,277
Automobiles - 0.6%
Daimler Chrysler - Notes
6.4% due 05/15/06 .................................... 1,500 1,579
Banks - 5.2%
Bank of America Corp. - Notes
4.75% due 10/15/06 ................................... 1,400 1,445
Bank One Corp. - Notes
6.875% due 08/01/06 .................................. 1,800 1,926
Bear Stearns Commercial Mortgage Securities, Inc.
- Ser. 2001 Cl. A1
5.06% due 11/15/16 ...................................
Bear Stearns Commercial Mortgage Securities, Inc.
- Ser. 2004 Cl. A1
3.26% due 02/11/41 ................................... 2,946 2,857
Credit Suisse First Boston - Ser. 2003-C3 Cl. A1
2.218% due 05/15/38 .................................. 2,629 2,537
Credit Suisse First Boston Mortgage Securities Corp.
- Cl. A1
3.801% due 06/15/06 .................................. 312 313
First Union Corp. - Notes
6.95% due 11/01/04 ................................... 500 508
7.55% due 08/18/05 ................................... 2,500 2,634
First Union National Bank Commercial & Mortgage Trust
- CTF Cl. A1
7.739% due 07/15/09 ..................................
Popular North America, Inc.
6.125% due 10/15/06 .................................. 855 902
-------
13,122
Beverages - 0.4%
Coca Cola Co. - Sr. Notes
4.0% due 06/01/05 .................................... 1,000 1,013
Communications Equipment - 0.3%
Motorola, Inc. - Notes
6.75% due 02/01/06 ................................... 715 752
Credit Card - 1.0%
Citibank Credit Card Issuance Trust - Notes
4.1% due 12/07/06 .................................... 2,591 2,616
Diversified Financials - 11.9%
Bear Stearns Cos, Inc. - Notes
3.0% due 03/30/06 .................................... $1,250 $ 1,249
BP Capital Markets plc - Notes
4.0% due 04/29/05 .................................... 1,000 1,013
Chase Commercial Mortgage Securities Corp. - Cl. A1
7.656% due 06/15/08 .................................. 1,610 1,679
Chase Funding - Ser. 2002-2 Cl. IA 3
4.038% due 02/25/23 .................................. 847 850
Chase Manhattan Corp.
6.0% due 11/01/05 .................................... 2,000 2,090
CIT Group, Inc.
1.48% due 05/18/07 ................................... 1,000 999
Citigroup, Inc. - Notes
6.75% due 12/01/05 ................................... 4,000 4,220
GE Capital Commercial Mortgage Corp. - CTF Cl. A1
5.033% due 12/10/35 .................................. 706 725
GE Commercial Mortgage Corp. - Ser
2004-C1 CTF Cl. A1
3.009% due 11/10/38 ..................................
Goldman Sachs Group, Inc. - Notes
7.625% due 08/17/05 .................................. 1,000 1,051
Green Tree Financial Corp. - Ser. 1996-8 Cl. A6
7.6% due 10/15/27 .................................... 269 286
GS Mortgage Securities Corp. II - Ser. 2003- C1 Cl. A1
2.904% due 01/10/40 .................................. 1,796 1,759
Lehman Brothers Holdings, Inc. - Notes
6.625% due 02/05/06 .................................. 2,600 2,742
Morgan Stanley Group, Inc.
6.1% due 04/15/06 .................................... 800 842
Nomura Asset Securities Corp. - Ser. 1998- D6 A1A
6.28% due 03/17/28 ................................... 1,665 1,742
PNC Mortgage Securities Corp. - CTF Ser. 1998-14
6.25% due 01/25/14 ................................... 202 202
Wells Fargo & Co. - Notes
6.625% due 07/15/04 .................................. 2,000 2,003
Wells Fargo & Co. - Ser. 2002-E CTF Cl. M
4.969% due 09/25/32 .................................. 1,338 1,336
Wells Fargo Mortgage Backed Securities - Ser. 2003-2
Cl. A6
5.25% due 02/25/18 ................................... 5,000 5,123
-------
29,911
Diversified Telecommunication Services - 1.8%
France Telecom SA - Notes
8.7% due 03/01/06 .................................... 2,000 2,145
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
SHORT-TERM BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Diversified Telecommunication Services - Continued
Verizon Global Funding Corp. - Notes
6.75% due 12/01/05 ................................... $2,303 $ 2,427
-------
4,572
Electric Utilities - 1.2%
Firstenergy Corp. - Notes Ser. A
5.5% due 11/15/06 .................................... 2,200 2,276
Progress Energy, Inc. - Sr. Notes
6.75% due 03/01/06 ................................... 700 738
-------
3,014
Electric/Gas - 3.0%
Alabama Power Co. - Sr. Notes Ser. U
2.65% due 02/15/06 ................................... 1,000 996
American Electric Power, Inc. - Sr. Notes Ser. A
6.125% due 05/15/06 .................................. 1,145 1,202
Citizens Utilities Co. Delaware - Debs.
7.6% due 06/01/06 .................................... 1,250 1,311
Kansas City Power & Light Co. - Sr. Notes Ser. A
6.0% due 03/15/07 .................................... 1,000 1,055
Pacific Gas & Electric Co. - Bonds
1.81% due 04/03/06 ................................... 2,000 2,001
TXU Corp. - Sr. Notes
6.375% due 06/15/06 .................................. 1,000 1,053
-------
7,618
Finance - 6.9%
Boeing Capital Corp. - Sr. Notes
5.65% due 05/15/06 ................................... 1,300 1,366
Bombadier Capital, Inc. - 144A (a)
6.125% due 06/29/06 .................................. 1,000 990
Chase Funding Loan Acquisition Trust - CTF Cl. A2
1.275% due 04/25/31 .................................. 192 192
Deutsche Telekom International Finance
8.25% due 06/15/05 ................................... 1,300 1,367
General Electric Capital Corp.
7.5% due 05/15/05 .................................... 3,150 3,287
Household Financial Corp.
6.5% due 01/24/06 .................................... 2,000 2,108
Nisource Finance Corp. - Notes
7.625% due 11/15/05 .................................. 1,700 1,803
Pinnacle West Capital Corp. - Sr. Notes
6.4% due 04/01/06 .................................... 1,700 1,787
PNC Funding Corp. - Sr. Notes
5.75% due 08/01/06 ................................... 875 920
Sprint Capital Corp. - Notes
7.9% due 03/15/05 .................................... 2,000 2,073
Vornado Realty Trust - Sr. Notes
5.625% due 06/15/07 .................................. 1,485 1,571
-------
17,464
Gas Utilities - 0.4%
Sempra Energy - Notes
1.0% due 05/21/08 .................................... $1,130 $ 1,128
Governmental - 0.1%
Federal National Mortgage Assoc. - Notes
7.0% due 12/01/10 .................................... 308 327
Health Care Providers & Services - 0.4%
Columbia/HCA Healthcare Corp. ...........................
6.91% due 06/15/05 ................................... 1,000 1,031
Home Equity Loan - 1.6%
Residential Asset Mortgage Products, Inc. - Cl. AI2
3.38% due 03/25/29 ................................... 4,000 4,006
Hotels Restaurants & Leisure - 1.9%
Harrah's Operating, Inc. - Sr. Notes
7.125% due 06/01/07 .................................. 1,000 1,077
Hilton Hotels Corp. - Sr. Notes
7.95% due 04/15/07 ................................... 1,000 1,080
Park Place Entertainment Corp. - Notes
8.5% due 11/15/06 .................................... 1,500 1,631
Starwood Hotels & Resorts - Sr. Notes
7.375% due 05/01/07 .................................. 1,000 1,063
-------
4,851
Industrial Conglomerates - 0.6%
Tyco International Group SA - Notes
5.8% due 08/01/06 .................................... 1,500 1,567
Insurance - 0.8%
Aetna Inc. - Sr. Notes
7.375% due 03/01/06 .................................. 2,000 2,132
Internet Software & Services - 0.8%
Electronic Data System Corp. - Notes
6.85% due 10/15/04 ................................... 2,000 2,020
Media - 2.8%
British Sky Broadcasting Group - GTD Notes
7.3% due 10/15/06 .................................... 1,000 1,085
Liberty Media Corp. - Sr. Notes
2.64% due 09/17/06 ................................... 1,500 1,528
The Walt Disney Co. - Sr. Notes
6.75% due 03/30/06 ................................... 1,100 1,165
Time Warner, Inc. - Notes
5.625% due 05/01/05 .................................. 1,500 1,537
Univision - Sr. Notes
2.875% due 10/15/06 .................................. 1,700 1,675
-------
6,990
Metals & Mining - 0.4%
Minnesota Ming & Manufacturing Co.
4.15% due 06/30/05 ................................... 1,000 1,017
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
SHORT-TERM BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- -------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Multi-Utilities - 0.5%
Centerpoint Energy, Inc. - Sr. Notes
5.875% due 06/01/08 .................................. $1,150 $ 1,163
Oil & Gas - 1.2%
Devon Energy Corp. - Sr. Notes
2.75% due 08/01/06 ................................... 1,500 1,478
Duke Energy Field Services - Notes
5.75% due 11/15/06 ................................... 1,450 1,513
-------
2,991
Other Asset Backed - 5.6%
Centex Home Equity Loan Trust - Ser. 2003-B Cl. AF 2
1.838% due 06/25/20 .................................. 2,000 1,987
CWABS, Inc. Ser. 2003-5 Cl. AF 2
3.042% due 04/25/25 .................................. 1,300 1,294
Equity One ABS, Inc. - Ser. 2003-3 Cl. AF3
3.531% due 12/25/33 .................................. 900 894
Equity One ABS, Inc. - Ser. 2004-2 Cl. AV2
1.55% due 07/25/34 ................................... 1,627 1,627
Long Beach Mortgage Loan Trust - Ser. 2004-1 Cl. M3
1.0% due 03/25/35 .................................... 4,000 4,000
Option One Loan Trust - Ser. 2004-1 CTF Cl. A2
1.39% due 01/25/34 ................................... 1,362 1,363
Residential Funding Mortgage Securities II - Ser. 2002
HI4 Cl. A3
3.61% due 02/25/15 ................................... 2,335 2,339
Vanderbilt & Mortgage, Inc. - Sr. Sub. CTF Cl. A2
4.235% due 08/07/14 .................................. 567 572
-------
14,076
Other Mortgage - 1.8%
LB UBS Commercial Mortgage Trust - CTF Cl. A1
7.95% due 07/15/09 ................................... 1,723 1,862
LB UBS Commercial Mortgage Trust - Ser. 2003-C1 Cl. A1
2.72% due 01/17/08 ................................... 2,607 2,552
-------
4,414
Personal Products - 0.6%
Colgate Palmolive Co.
3.98% due 04/29/05 ................................... 1,500 1,519
Pharmaceuticals - 0.8%
Pfizer, Inc. - Notes
3.625% due 11/01/04 .................................. 2,000 2,012
Real Estate Investment Trust - 0.9%
CarrAmerica Realty Corp. - Notes
6.625% due 03/01/05 .................................. 1,167 1,194
United Dominion Realty Trust, Inc.
4.5% due 03/03/08 .................................... $ 1,000 $ 1,011
-------
2,205
U.S. Government Agencies - 26.1%
Federal Home Loan Bank - Notes
7.5% due 06/01/12 .................................... 585 624
Federal Home Loan Mortgage Corp. - Bonds
3.907% due 11/01/33 .................................. 1,739 1,712
4.0% due 03/15/26 .................................... 6,693 6,671
7.0% due 08/01/12 .................................... 490 520
7.0% due 02/01/14 .................................... 1,276 1,353
8.5% due 05/01/15 .................................... 1,428 1,532
Federal Home Loan Mortgage Corp. - Bonds Ser. 2516 Cl. AX
8.5% due 01/15/16 .................................... 1,816 1,996
Federal Home Loan Mortgage Corp. - Notes
2.375% due 04/15/06 .................................. 6,500 6,443
6.5% due 12/01/09 .................................... 894 946
7.0% due 12/01/10 .................................... 351 373
7.0% due 12/01/13 .................................... 2,074 2,202
7.5% due 11/01/09 .................................... 866 908
8.0% due 06/01/10 .................................... 229 245
Federal National Mortgage Assoc. - Bonds
3.638% due 09/01/33 .................................. 2,230 2,238
3.64% due 01/01/33 ................................... 2,284 2,294
6.0% due 01/01/17 .................................... 1,853 1,933
6.0% due 01/01/17 .................................... 1,529 1,595
6.5% due 04/01/17 .................................... 4,069 4,300
6.5% due 08/01/17 .................................... 4,284 4,527
7.0% due 10/01/15 .................................... 919 977
8.0% due 07/01/14 .................................... 1,202 1,289
8.0% due 09/25/16 .................................... 710 761
Federal National Mortgage Assoc. - Notes
2.25% due 05/15/06 ................................... 6,000 5,925
3.875% due 03/15/05 .................................. 2,000 2,028
6.0% due 12/15/05 .................................... 5,000 5,240
6.0% due 01/01/11 .................................... 629 659
7.0% due 07/15/05 .................................... 2,000 2,096
7.5% due 08/01/09 .................................... 842 895
Government National Mortgage Assoc. - Bonds
8.0% due 12/15/25 .................................... 1,462 1,599
8.5% due 11/15/15 .................................... 1,052 1,141
Government National Mortgage Assoc. - Notes
7.0% due 12/15/08 .................................... 923 978
-------
66,000
U.S. Governmental - 3.1%
U.S. Treasury - Notes
2.625% due 11/15/06 .................................. 4,000 3,972
3.375% due 12/15/08 .................................. 4,000 3,949
-------
7,921
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
SHORT-TERM BOND FUND
Par Market
Name of Issuer Value Value
-------------- ------- --------
(000's) (000's)
PUBLICLY-TRADED BONDS - Continued
Whole Loan CMOs - 5.3%
Banc America Commercial Mortgage, Inc. -
Ser. 2004-1 Cl A1
3.156% due 11/10/39 ................................ $3,320 $ 3,232
CWMBS, Inc. - Ser. 2002 Mortgage Pass
Thru Certs Cl. 2A3
5.0% due 12/25/17 .................................. 1,839 1,848
GS Mortgage Securities Corp. - Ser. 2004 Cl. A2C
1.58% due 05/25/34 ................................. 1,000 1,000
Merrill Lynch Mortgage Investments, Inc. - Ser. 2003 A1
Cl. IA
3.981% due 12/25/32 ................................ 1,320 1,330
Merrill Lynch Mortgage Investments, Inc. - Ser. 2003- C
Cl .B1
1.75% due 06/25/28 ................................. 2,000 2,033
Sequoia Mortgage Trust - Ser. 2004-4 Cl. A
1.0% due 05/20/34 .................................. 3,932 3,917
--------
13,360
Wireless Telecommunications Services - 0.6% AT&T
Wireless Services, Inc. - Sr. Notes
7.35% due 03/01/06 ................................. 1,300 1,387
--------
TOTAL PUBLICLY-TRADED BONDS-
(Cost $232,490) 92.0% 232,246
INVESTMENT COMPANIES HELD
AS COLLATERAL ON LOANED
SECURITIES - 6.3%
State Street Navigator Securities Lending
Portfolio .......................................... $15,939 15,939
SHORT-TERM INVESTMENTS - 7.3%
Investment in joint trading account
1.344% due 07/01/04
(Cost $18,322) ..................................... 18,322 18,322
------- --------
TOTAL INVESTMENTS-
(Cost $266,751) 105.6% 266,507
Payables, less cash and receivables- (5.6)% (14,038)
------- --------
NET ASSETS- 100.0% $252,469
======= ========
(a) Pursuant to Rule 144A under the Securities Act of 1933, these securities
may be resold in transactions exempt from registration, normally to
qualified institutional buyers. At June 30, 2004, securities aggregated
$990 or 0.4% of net assets of the Portfolio.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Short-Term Bond (the "Fund") is a diversified series of John
Hancock Variable Series Trust I (the "Trust"), an open-end investment management
company registered under the Investment Company Act of 1940. The Trust is
organized as a Massachusetts business trust and consists of thirty different
funds as of June 30, 2004. The results of this Fund are included in this report.
The results of the other Funds in the Trust are presented under separate cover.
The Trust may add or delete Funds in the future to accommodate various
investment objectives. The Trust has issued shares of beneficial interest
exclusively to John Hancock Variable Life Account U ("JHVLAU"), John Hancock
Variable Life Account V ("JHVLAV"), John Hancock Variable Life Account S
("JHVLAS"), and John Hancock Variable Annuity Account I ("JHVAAI") to fund
policies and contracts issued by the John Hancock Variable Life Insurance
Company ("JHVLICO"), and to John Hancock Variable Annuity Account U ("JHVAAU"),
John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock Variable Life
Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H ("JHVAAH"), and
John Hancock Variable Annuity Account JF ("JHVAAJF") to fund contracts and
policies issued by John Hancock Life Insurance Company ("John Hancock" or
"JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"), and to John
Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Debt investment securities having a primary market over-the-counter are
valued on the basis of valuations furnished by a pricing service which
determines valuations for normal institutional size trading units of debt
securities, without exclusive reliance upon quoted prices.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment secutities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Discount and premium on debt securities: The Fund accretes discount and
amortizes premium from par value on securities from either the date of issue or
the date of purchase over the life of the security.
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations. For period ended June 30,
2004, the Fund had no bank borrowings.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Securities lending: The Fund has entered into an agreement with SSBT to
lend its securities to certain qualified brokers who pay the Fund's negotiated
lender fees. This loan is collateralized at all times with cash or securities
with a market value at least equal to the market value of the securities on
loan. Cash collateral is invested in a short-term instrument. As with other
extensions of credit, the Fund may bear the risk of delay of the loaned
securities in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. At June 30, 2004, the market value
of the securities loaned and the market value of the collateral for the Fund was
as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$15,655 $15,939
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, the Fund had no open
financial futures contracts.
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had no capital loss carryforwards on a
tax basis to be applied against any future taxable gains.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the rate of 0.60% on an annual basis of the
Fund's net assets.
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. For the period
ended June 30, 2004, there were no reimbursements paid to the Fund.
John Hancock has entered into a Sub-Advisory Agreement with Independence
Investment LLC, with respect to the Fund. Independence Investment LLC is an
affiliate of John Hancock, and under its supervision, is responsible for the
day-to-day investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$57,882 $48,745
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, commercial paper and collateral for
securities lending) and their respective gross unrealized appreciation and
depreciation for Federal income tax purposes at December 31, 2003 were as
follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$286,274 $3,450 $(517) $2,933
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
relate to certain securities sold at a loss, premium amortization and market
discount accretion on debt securities. Additionally, as a result, net investment
income (loss) and net realized gain (loss) on investment transactions for a
reporting period may differ significantly from distributions during such period.
Accordingly, the Fund may periodically make reclassifications among certain of
its capital accounts without impacting the net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $-- $2,933
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $8,761 $54 $552
2002 7,972 -- 489
Included in the Fund's distributions from ordinary income is $1,302 in
excess of investment company taxable income, which in accordance with applicable
US tax law, is taxable to shareholders as ordinary income distributions.
Inception: May 1, 1996
- --------------------------------------------------------------------------------
Small Cap Emerging Growth Fund
Wellington Management Company, LLP Steven C. Angeli
- --------------------------------------------------------------------------------
.. Year-to-date, the Fund returned 3.22%, underperforming its benchmark, the
Russell 2000 Growth Index. Relative to Morningstar peers, the Fund has an
average rating of 3 with an above average/high risk profile.
.. The Fund underperformed its benchmark primarily due to unfavorable security
selection decisions especially within the health care and consumer
discretionary sectors, while sector allocation decisions contributed
modestly to performance.
.. For the period, nearly all sectors contributed positively to absolute Fund
returns, with the consumer discretionary sector the only to detract. The
Fund's exposure to the telecommunications sector was the largest
contributor to absolute returns.
.. At quarter end relative to its Index, the Fund held the most significant
overweight to the telecommunications sector, while it was underweight the
information technology and health care sectors.
.. The manager employs bottom-up, fundamental research to identify
attractively valued growth stocks. The Fund's sector allocations are
broadly diversified but are primarily driven by stock selection.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
American Tower Corp. 2.5%
Crown Castle International Corp. 2.2%
Acxiom Corp. 2.1%
Aeroflex, Inc. 2.0%
MEMC Electronic Materials, Inc. 2.0%
SBS Technologies, Inc. 1.8%
Sirva, Inc. 1.7%
Forward Air Corp. 1.6%
Service Corp. International 1.6%
MPS Group, Inc. 1.5%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Small Cap Emerging Small Cap Emerging
Growth Fund Growth Benchmark/4/
------------------ -------------------
YTD/3/ 3.22% 5.69%
1 Year 30.53 31.56
3 Years 0.67 5.97
5 Years -2.24 5.59
Since Inception (5/1/96) 2.43 8.37
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Small Growth
MORNINGSTAR RISK/1/:
.. Above Average (VL/VUL)
.. High (VA)
MORNINGSTAR RATING/1/:
.. *** (VL/VUL)
.. *** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
Assets
------
Information Technology 25%
Health Care 18%
Industrials 17%
Consumer Discretionary 16%
Financials 9%
Telecommunication Services 5%
Energy 4%
Materials 4%
Consumer Staples 1%
Utilities 0%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 404 VL/VUL subaccounts and 600 VA subaccounts in the
Morningstar Small Growth category. This represents the Morningstar 3 year
rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Small-company investing entails special
risks as outlined in the prospectus. The performance of the fund on this
page is reported net of Trust level charges (i.e. investment management
fees and operating expenses). It does not reflect expense and charges of
the applicable separate accounts and variable products, all of which vary
to a considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
/4/ The Small Cap Emerging Growth benchmark represents the Russell 2000 Value
Index from May 1996 to October 2000, the Russell 2000 from November 2000 to
April 2003 and then the Russell 2000 Growth from May 2003 to present.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Small Cap Emerging Growth Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $17,929 of
securities loaned (Note B)) ..................................... $ 77,468
Net unrealized appreciation of investments ......................... 8,290
Short-term investments at value .................................... 18,857
--------
Total investments ............................................ 104,615
Cash ............................................................... 111
Receivable for:
Investments sold ................................................ 1,612
Dividends ....................................................... 18
--------
Total assets ....................................................... 106,356
--------
LIABILITIES
Payables for:
Investments purchased ........................................... 3,523
Collateral for securities on loan ............................... 18,406
Accrued operating expenses ...................................... 12
--------
Total liabilities .................................................. 21,941
--------
Net assets ......................................................... $ 84,415
========
Shares outstanding, $0.01 Par Value (unlimited shares authorized) .. 10,093
--------
Net asset value per share .......................................... $ 8.36
========
Composition of net assets:
Capital paid-in ................................................. $ 90,572
Accumulated net realized loss on investments,
futures and foreign currency transactions .................... (14,121)
Undistributed net investment loss ............................... (326)
Net unrealized appreciation of investments ...................... 8,290
--------
Net assets ......................................................... $ 84,415
========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Small Cap Emerging Growth Fund
(000's Omitted)
INVESTMENT INCOME
Interest ........................................................ $ 10
Dividends ....................................................... 100
Securities lending .............................................. 18
--------
Total investment income ............................................ 128
--------
EXPENSES
Investment advisory fee ......................................... 451
Auditors fees ................................................... 5
Custodian fees .................................................. 32
Legal fees ...................................................... 5
Printing & mailing fees ......................................... 7
Trustees' fees .................................................. 1
Other fees ...................................................... 2
--------
Total expenses ..................................................... 503
Less expenses reimbursed ........................................ (10)
Less custodian expense reduction offset by
commission recapture arrangement (Note C) .................... (39)
--------
Net expenses ....................................................... 454
--------
Net investment loss ................................................ (326)
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on investments ................................ 8,164
Change in unrealized depreciation on investments ................ (5,581)
--------
Net realized and unrealized gain ................................... 2,583
--------
Net increase in net assets resulting from operations ............... $ 2,257
========
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
Small Cap Emerging Growth Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment loss ..................................... $ (326) $ (384)
Net realized gain (loss) ................................ 8,164 (4,652)
Change in net unrealized appreciation (depreciation) .... (5,581) 32,639
-------- --------
Net increase in net assets resulting from
operations ........................................ 2,257 27,603
Distributions to shareholders from:
Net investment income ................................... (71)
Realized gains .......................................... (11,472)
--------
Decrease in net assets resulting from distributions .. (11,543)
From fund share transactions:
Proceeds from shares sold ............................... 26,074 50,786
Distributions reinvested ................................ 11,543
Payment for shares redeemed ............................. (30,495) (42,137)
-------- --------
Increase (decrease) in net assets from fund share
transactions ...................................... (4,421) 20,192
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS ...................... (2,164) 36,252
NET ASSETS
Beginning of Period ..................................... 86,579 50,327
-------- --------
End of Period (including undistributed net
investment loss of $(326) and $0, respectively) ...... $ 84,415 $ 86,579
======== ========
Analysis of fund share transactions:
Sold .................................................... 3,149 6,929
Reinvested .............................................. 1,458
Redeemed ................................................ (3,740) (5,696)
-------- --------
Net increase (decrease) in fund shares outstanding ...... (591) 2,691
======== ========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Small Cap Emerging Growth Fund
-------------------------------------------------------------------
Unaudited Period
Ended June 30, Year Ended December 31,
2004 2003(e) 2002 2001 2000(c)
---------------- ------- ------- ------- -------
Net Assets Value at Beginning of Period ....... $ 8.10 $ 6.30 $ 8.79 $ 9.14 $ 10.92
Income from Investment Operations:
Net Investment Income (Loss) ............... (0.03) (0.03) 0.01 0.01 0.14
Net Realized and Unrealized Gain (Loss)
on Investment(a) ........................ 0.29 3.07 (2.49) (0.35) (1.13)
------- ------- ------- ------- -------
Total From Investment Operations ........... 0.26 3.04 (2.48) (0.34) (0.99)
Less Distributions:
Distribution from Net Investment Income .... (0.01) (0.01) (0.01) (0.15)
Distribution from Net Realized Gains on
Investments ............................. (1.23) (0.14)
Distribution from Excess of Net
Investment Income/Gains ................. (0.20)
Distribution from Capital Paid-in .......... (0.30)
------- ------- ------- ------- -------
Total Distributions ........................ (1.24) (0.01) (0.01) (0.79)
------- ------- ------- ------- -------
Net Assets Value at End of Period ............. $ 8.36 $ 8.10 $ 6.30 $ 8.79 $ 9.14
======= ======= ======= ======= =======
Total Investment Return(b) .................... 3.22%(g) 48.83% (28.21)% (3.78)% (8.89)%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net
Assets .................................. 1.16%(d)(f)(h) 1.11%(d)(f) 1.00%(d) 1.00%(d) 0.92%(d)
Ratio of Net Investment Income (Loss) to
Average Net Assets ...................... (0.77)%(h) (0.59)% 0.19% 0.06% 1.25%
Portfolio Turnover Rate .................... 79.33%(g) 235.48% 45.03% 60.73% 189.57%
Net Assets End of Period (000s Omitted) ....... $84,415 $86,579 $50,327 $71,193 $70,031
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) The Fund entered into a new sub-advisory agreement with Capital Guardian
Trust Company during the period shown.
(d) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made the expense ratio would have been 1.18% for the period ending
June 30, 2004, and 1.21%, 1.04%, 1.02%, and 95%, for the years ended
December 31, 2003, 2002, 2001, and 2000, respectively.
(e) The fund entered into a new sub-advisory agreement with Wellington
Management Company during the period shown.
(f) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
(g) Not annualized.
(h) Annualized.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
SMALL CAP EMERGING GROWTH FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK
Aerospace & Defense - 3.0%
Aeroflex, Inc. * ........................................ 120,920 $1,733
Moog, Inc. - Cl. A * .................................... 21,260 789
------
2,522
Airlines - 0.9%
Gol-Linhas Aereas Inteligentes SA - ADR * ............... 42,890 729
Banks - 1.9%
Amcore Financial, Inc. .................................. 25,930 782
Hancock Holding Co. ..................................... 27,740 806
------
1,588
Biotechnology - 2.9%
Abgenix, Inc. * ......................................... 47,430 556
Alkermes, Inc. * ........................................ 58,550 796
Exelixis, Inc. * ........................................ 65,377 660
Telik, Inc. * ........................................... 19,800 472
------
2,484
Commercial Services & Supplies - 5.9%
Corporate Executive Board Co. * ......................... 16,880 976
CSG Systems International, Inc. * ....................... 7,560 156
DiamondCluster, Inc. * .................................. 84,700 736
Gevity HR., Inc. ........................................ 49,340 1,292
Navigant Consulting, Inc. * ............................. 37,500 804
Sotheby's Holdings, Inc. - Cl. A * ...................... 59,370 948
The Bisys Group, Inc. * ................................. 2,150 30
------
4,942
Commingled Fund - 1.1%
iShares Trust * ......................................... 15,370 961
Communications Equipment - 4.2%
Harmonic, Inc. * ........................................ 60,980 520
NMS Communications Corp. ................................ 84,480 623
Plantronics, Inc. * ..................................... 20,730 873
Polycom, Inc. * ......................................... 39,520 886
Sierra Wireless, Inc. * ................................. 17,160 635
------
3,537
Computers & Peripherals - 2.0%
Overland Storage, Inc. * ................................ 14,460 192
SBS Technologies, Inc. * ................................ 94,430 1,518
------
1,710
Construction & Engineering - 1.2%
Washington Group International, Inc. * .................. 28,560 1,025
Construction Materials - 1.4%
Eagle Materials, Inc. ................................... 16,960 1,204
Diversified Financials - 4.6%
Affiliated Managers Group, Inc. * ....................... 19,675 991
IndyMac Mortgage Holdings, Inc. ......................... 26,100 825
Jackson Hewitt, Inc. * .................................. 59,780 1,046
Psychiatric Solutions, Inc. * ........................... 41,560 $1,036
------
3,898
Electrical Equipment - 1.7%
Fuelcell Energy, Inc. ................................... 44,790 523
Techtronic Industries, Ltd. - ADR ....................... 114,200 911
------
1,434
Energy Equipment & Services - 0.5%
Key Energy Services, Inc. * ............................. 45,250 427
Food Products - 1.0%
Peets Coffee & Tea, Inc. * .............................. 33,810 845
Health Care Equipment & Supplies - 4.8%
Abaxis, Inc. - Sr. Notes ................................ 30,080 571
DJ Orthopedics, Inc. * .................................. 43,900 1,010
Orthofix International * ................................ 16,440 702
Respironics, Inc. * ..................................... 18,310 1,076
Zoll Medical Corp. * .................................... 18,680 655
------
4,014
Health Care Providers & Services - 5.3%
Accredo Health, Inc. * .................................. 9,760 380
Covance, Inc. * ......................................... 33,560 1,294
Genesis Healthcare Corp. * .............................. 28,850 838
Service Corp. International ............................. 185,730 1,369
Symbion, Inc. * ......................................... 36,430 636
------
4,517
Hotels Restaurants & Leisure - 2.9%
Landry's Seafood Restaurants, Inc. * .................... 21,600 646
Rare Hospitality International, Inc. * .................. 28,080 699
Scientific Games Corp. - Sr. Notes ...................... 57,150 1,094
------
2,439
Household Durables - 3.0%
Fleetwood Enterprises, Inc. * ........................... 87,120 1,268
Helen of Troy, Ltd. * ................................... 10,900 402
Standard Pacific Corp. .................................. 16,960 836
------
2,506
Insurance - 6.0%
American Equity Investment Life * ....................... 82,280 819
Arch Capital Group, Ltd. * .............................. 32,180 1,283
Healthextras, Inc. * .................................... 46,240 766
Platinum Underwriters Holdings .......................... 34,510 1,050
United Holdings Corp. ................................... 70,150 1,109
------
5,027
Internet & Catalog Retail - 1.0%
Insight Enterprises, Inc. * ............................. 45,700 812
Internet Software & Services - 1.1%
Ask Jeeves, Inc. * ...................................... 17,910 699
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
SMALL CAP EMERGING GROWTH FUND
Market
Name of Issuer Shares Value
-------------- ------- --------
(000's)
COMMON STOCK - Continued
Internet Software & Services - Continued
Tumbleweed Communications Corp. * ................... 50,630 $ 216
--------
915
IT Consulting & Services - 3.5%
Acxiom Corp. * ...................................... 72,330 1,796
Sapient Corp. ....................................... 189,460 1,139
--------
2,935
Machinery - 0.9%
ESCO Technologies, Inc. * ........................... 14,410 769
Media - 3.6%
GrayTelevison, Inc. ................................. 62,430 867
Lin TV Corp. - Cl. A * .............................. 37,310 791
Sirius Satellite Radio, Inc. * ...................... 323,940 998
Tivo, Inc. * ........................................ 58,090 412
--------
3,068
Metals & Mining - 2.3%
Arch Coal, Inc. ..................................... 29,550 1,081
GrafTech International, Ltd. * ...................... 83,440 873
--------
1,954
Oil & Gas - 3.9%
Cabot Oil & Gas Corp. - Cl. A ....................... 30,010 1,269
Patina Oil & Gas Corp. .............................. 31,930 954
Whiting Petroleum Corp. * ........................... 42,240 1,062
--------
3,285
Pharmaceuticals - 3.0%
Atherogenics, Inc. * ................................ 39,080 743
Medicinesco ......................................... 31,690 967
NPS Pharmaceuticals, Inc. * ......................... 15,180 319
Salix Pharmaceuticals, Ltd. * ....................... 14,470 477
--------
2,506
Road & Rail - 6.1%
Arkansas Best Corp. ................................. 36,270 1,194
Forward Air Corp. * ................................. 37,640 1,408
Sirva, Inc. * ....................................... 64,920 1,493
Yellow Roadway Corp. * .............................. 26,150 1,042
--------
5,137
Semiconductor Equipment & Products - 5.1%
MEMC Electronic Materials, Inc. * ................... 172,470 1,704
MPS Group, Inc. * ................................... 107,690 1,305
ON Semiconductor Corp. * ............................ 161,560 811
Pixelworks, Inc. * .................................. 32,400 497
--------
4,317
Software - 7.0%
Agile Software Corp. ................................ 67,320 589
Cognex Corp. ........................................ 31,240 1,202
Embarcadero Technologies, Inc. * .................... 55,270 683
Network Associates, Inc. * .......................... 9,500 172
Safenet, Inc. * ..................................... 16,730 $ 463
Serena Software, Inc. * ............................. 45,340 866
Skillsoftpub Co., Ltd. - ADR * ...................... 3,960 30
THQ, Inc. * ......................................... 40,840 935
Verint Systems, Inc. * .............................. 28,610 979
--------
5,919
Specialty Retail - 1.9%
AC Moore Arts & Crafts, Inc. * ...................... 30,750 846
Linens 'n Things, Inc. .............................. 25,430 745
--------
1,591
Textiles & Apparel - 2.5%
Kenneth Cole Productions, Inc. - Cl. A * ............ 29,430 1,009
Quiksilver, Inc. * .................................. 47,470 1,130
--------
2,139
Wireless Telecommunications Services - 5.4%
American Tower Corp. - Cl. A ........................ 142,490 2,166
Crown Castle International Corp. * .................. 127,110 1,875
Dobson Communications Corp. ......................... 172,200 561
--------
4,602
--------
TOTAL COMMON STOCK-
(Cost $77,468) 101.6% 85,758
Par
Value
(000's)
--------
INVESTMENT COMPANIES HELD AS COLLATERAL ON LOANED
SECURITIES - 21.8%
State Street Navigator Securities Lending
Portfolio ........................................ $ 18,406 18,406
SHORT-TERM INVESTMENTS - 0.5%
Investment in joint trading account
1.344% due 07/01/04
(Cost $451) ...................................... 451 451
-------- --------
TOTAL INVESTMENTS-
(Cost $96,325) 123.9% 104,615
Payables, less cash and receivables- (23.9)% (20,200)
-------- --------
NET ASSETS- 100.0% $ 84,415
======== ========
* Non-income producing security.
ADR-American Depository Receipt.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Small Cap Emerging Growth Fund, (formerly John Hancock Small
Cap Equity), (the "Fund") is a diversified series of John Hancock Variable
Series Trust I (the "Trust"), an open-end investment management company
registered under the Investment Company Act of 1940. The Trust is organized as a
Massachusetts business trust and consists of thirty different funds as of June
30, 2004. The results of this Fund are included in this report. The results of
the other Funds in the Trust are presented under separate cover. The Trust may
add or delete Funds in the future to accommodate various investment objectives.
The Trust has issued shares of beneficial interest exclusively to John Hancock
Variable Life Account U ("JHVLAU"), John Hancock Variable Life Account V
("JHVLAV"), John Hancock Variable Life Account S ("JHVLAS"), and John Hancock
Variable Annuity Account I ("JHVAAI") to fund policies and contracts issued by
the John Hancock Variable Life Insurance Company ("JHVLICO"), and to John
Hancock Variable Annuity Account U ("JHVAAU"), John Hancock Variable Annuity
Account V ("JHVAAV"), John Hancock Variable Life Account UV ("JHVLAUV"), John
Hancock Variable Annuity Account H ("JHVAAH"), and John Hancock Variable Annuity
Account JF ("JHVAAJF") to fund contracts and policies issued by John Hancock
Life Insurance Company ("John Hancock" or "JHLICO"), to John Hancock Variable
Life Account PPM-1 ("PPM-1"), and to John Hancock Variable Life Account PPM-2
("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations.
The Fund had borrowings under the line of credit during the period ended
June 30, 2004 as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Average Daily Loan Balance
During the Period for which Weighted Average
Loans were Outstanding Interest Rate Interest Expense
- --------------------------- ---------------- ----------------
$1,589 1.50% $1
Securities lending: The Fund has entered into an agreement with SSBT to
lend its securities to certain qualified brokers who pay the Fund's negotiated
lender fees. This loan is collateralized at all times with cash or securities
with a market value at least equal to the market value of the securities on
loan. Cash collateral is invested in a short-term instrument. As with other
extensions of credit, the Fund may bear the risk of delay of the loaned
securities in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. At June 30, 2004, the market value
of the securities loaned and the market value of the collateral for the Fund was
as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$17,929 $18,406
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, the Fund had no open
financial futures contracts.
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $11,459, $2,741 and $7,997 which expire in 2009, 2010 and 2011,
respectively.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
Excess Over
First $100 Million $100 Million
- ------------------ ------------
1.05% 1.00%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. Accordingly,
for the period ended June 30, 2004, the reimbursements paid from John Hancock
and JHVLICO were $10 to the Fund.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $39.
John Hancock has entered into a Sub-Advisory Agreement with Wellington
Management Company LLP, and under its supervision, is responsible for the
day-to-day investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV, JHV
LAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$66,696 $69,332
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, commercial paper and collateral for
securities lending) and their respective gross unrealized appreciation and
depreciation for Federal income tax purposes at December 31, 2003 were as
follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$92,836 $15,219 $(1,438) $13,781
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax return.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
relate to certain securities sold at a loss. Additionally, as a result, net
investment income (loss) and net realized gain (loss) on investment transactions
for a reporting period may differ significantly from distributions during such
period. Accordingly, the Fund may periodically make reclassifications among
certain of its capital accounts without impacting the net asset value of the
Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $22,197 $13,781
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $ -- $-- $11,543
2002 114 -- --
Inception: May 1, 1996
- --------------------------------------------------------------------------------
Small Cap Growth Fund
Wellington Management Company, LLP S. Angeli
- --------------------------------------------------------------------------------
.. Year-to-date, the Fund returned 3.80%, underperforming its benchmark, the
Russell 2000 Growth Index. Relative to Morningstar peers, the Fund has a
below average rating of 2 with an average risk profile.
.. On May 1st, the Fund's sub-adviser and investment strategy were changed.
Wellington implemented an investment strategy for the Fund that is
substantially the same as the investment strategy it now employs for the
Small Cap Emerging Growth Fund.
.. Since May 1st, the Fund underperformed its benchmark primarily due to
unfavorable security selection decisions, while sector allocation exposures
contributed modestly to performance.
.. At quarter end relative to its Index, the Fund held the most significant
overweight to the telecommunications sector, while it was underweight the
information technology and health care sectors.
.. The manager employs bottom-up, fundamental research to identify
attractively valued growth stocks. The Fund's sector allocations are
broadly diversified but are primarily driven by stock selection.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
American Tower Corp. 2.6%
Crown Castle International Corp. 2.4%
Acxiom Corp. 2.2%
Aeroflex, Inc. 2.1%
MEMC Electronic Materials, Inc. 2.0%
SBS Technologies, Inc. 1.9%
Forward Air Corp. 1.8%
Sirva, Inc. 1.8%
United Holdings Corp. 1.8%
MPS Group, Inc. 1.7%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Small Cap Russell 2000(R)
Growth Fund Growth Index
----------- ---------------
YTD/3/ 3.80% 5.69%
1 Year 19.84% 31.56
3 Years -4.08 -0.22
5 Years -1.02 -0.45
Since Inception (5/1/96) 4.35 2.59
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Small Growth
MORNINGSTAR RISK/1/:
.. Average (VL/VUL)
.. Average (VA)
MORNINGSTAR RATING/1/:
.. ** (VL/VUL)
.. ** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
Assets
------
Information Technology 25%
Industrials 19%
Health Care 17%
Consumer Discretionary 14%
Financials 9%
Energy 5%
Telecommunication Services 5%
Materials 4%
Consumer Staples 1%
Utilities 0%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 404 VL/VUL subaccounts and 600 VA subaccounts in the
Morningstar Small Growth category. This represents the Morningstar 3 year
rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Small-company investing entails special
risks as outlined in the prospectus. The performance of the fund on this
page is reported net of Trust level charges (i.e. investment management
fees and operating expenses). It does not reflect expense and charges of
the applicable separate accounts and variable products, all of which vary
to a considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Small Cap Growth Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $36,059 of
securities loaned (Note B)) ..................................... $137,541
Net unrealized appreciation of investments ......................... 9,719
Short-term investments at value .................................... 38,679
--------
Total investments ............................................ 185,939
Cash ............................................................... 63
Receivable for:
Investments sold ................................................ 3,473
Dividends ....................................................... 25
--------
Total assets ....................................................... 189,500
--------
LIABILITIES
Payables for:
Fund shares purchased ........................................... 5,874
Collateral for securities on loan ............................... 36,852
Accrued operating expenses ...................................... 42
Other payables .................................................. 2
--------
Total liabilities .................................................. 42,770
--------
Net assets ......................................................... $146,730
========
Shares outstanding, $0.01 Par Value (unlimited shares authorized) .. 13,589
--------
Net asset value per share .......................................... $ 10.80
========
Composition of net assets:
Capital paid-in ................................................. $215,773
Accumulated net realized loss on investments,
futures and foreign currency transactions .................... (78,254)
Undistributed net investment loss ............................... (508)
Net unrealized appreciation of investments ...................... 9,719
--------
Net assets ......................................................... $146,730
========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Small Cap Growth Fund
(000's Omitted)
INVESTMENT INCOME
Interest ..................................................... $ 15
Dividends .................................................... 241
Securities lending ........................................... 27
--------
Total investment income ............................................ 283
--------
EXPENSES
Investment advisory fee ...................................... 777
Auditors fees ................................................ 10
Custodian fees ............................................... 29
Legal fees ................................................... 9
Printing & mailing fees ...................................... 13
Trustees' ................................................... 2
Other fees ................................................... 3
--------
Total expenses ..................................................... 843
Less custodian expense reduction offset by
commission recapture arrangement (Note C) ................. (52)
--------
Net expenses ....................................................... 791
--------
Net investment loss ................................................ (508)
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on investments ................................ 21,219
Change in unrealized depreciation on investments ................ (15,277)
--------
Net realized and unrealized gain ................................... 5,942
--------
Net increase in net assets resulting from
operations ...................................................... $ 5,434
========
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
Small Cap Growth Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment loss ............................................................. $ (508) $ (1,144)
Net realized gain (loss) ........................................................ 21,219 (6,450)
Change in net unrealized appreciation (depreciation) ............................ (15,277) 40,426
-------- --------
Net increase in net assets resulting from operations ......................... 5,434 32,832
Distributions to shareholders from:
Realized gains .................................................................. (2,029)
--------
Decrease in net assets resulting from distributions .......................... (2,029)
From fund share transactions:
Proceeds from shares sold ....................................................... 16,213 49,341
Distributions reinvested ........................................................ 2,029
Payment for shares redeemed ..................................................... (24,194) (53,619)
-------- --------
Decrease in net assets from fund share transactions .......................... (7,981) (2,249)
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS .............................................. (2,547) 28,554
NET ASSETS
Beginning of Period ............................................................. 149,277 120,723
-------- --------
End of Period (including undistributed net investment loss of $(508) and $0,
respectively) ................................................................ $146,730 $149,277
======== ========
Analysis of fund share transactions:
Sold ............................................................................ 1,496 5,339
Reinvested ...................................................................... 197
Redeemed ........................................................................ (2,256) (5,826)
-------- --------
Net decrease in fund shares outstanding ............................................ (760) (290)
======== ========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each fund share of beneficial interest outstanding throughout
the period indicated:
Small Cap Growth Fund
-----------------------------------------------------------------
Unaudited
Period Ended Year Ended December 31,
June 30, ------------------------------------------------
2004(h) 2003 2002 2001 2000
------------- -------- -------- -------- --------
Net Assets Value at Beginning of Period .......... $ 10.40 $ 8.25 $ 11.77 $ 13.47 $ 19.12
Income from Investment Operations:
Net Investment Loss ........................... (0.06) (0.09) (0.11) (0.08) (0.02)
Net Realized and Unrealized Gain (Loss) on
Investment(a) .............................. 0.46 2.38 (3.41) (1.62) (4.16)
-------- -------- -------- -------- --------
Total From Investment Operations .............. 0.40 2.29 (3.52) (1.70) (4.18)
Less Distributions:
Distribution from Net Realized Gains on
Investments ................................. (0.14) (0.12)
Distribution from Capital Paid-in ............. (1.35)
-------- --------
Total Distributions ........................... (0.14) (1.47)
-------- -------- -------- -------- --------
Net Assets Value at End of Period ................ $ 10.80 $ 10.40 $ 8.25 $ 11.77 $ 13.47
======== ======== ======== ======== ========
Total Investment Return(b) ....................... 3.80%(e) 27.88% (29.95)% (12.61)% (21.43)%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net
Assets ..................................... 1.14%(f)(g) 1.15%(d) 1.13% 0.91%(d) 0.82%
Ratio of Net Investment Loss to Average Net
Assets ..................................... (0.69)%(f) (0.87)% (0.83)% (0.55)% (0.50)%
Portfolio Turnover Rate ....................... 135.17%(e) 108.43% 77.38% 91.48%(c) 97.73%
Net Assets End of Period (000's Omitted) ......... $146,730 $149,277 $120,723 $189,401 $234,542
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Excludes merger activity.
(d) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made the expense ratio would have been 1.22% and .94% for the year
ended December 31, 2003 and 2001, respectively.
(e) Not annualized.
(f) Annualized.
(g) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
(h) The Fund entered into a new sub-advisory agreement with Wellington
Management Co., LLP, during the period shown.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK
Aerospace & Defense - 3.1%
Aeroflex, Inc. * ..................................... 214,200 $ 3,069
Moog, Inc. - Cl. A * ................................. 38,990 1,447
-------
4,516
Airlines - 0.9%
Gol-Linhas Aereas Inteligentes SA - ADR * ............ 73,360 1,247
Banks - 1.0%
Amcore Financial, Inc. ............................... 50,130 1,512
Biotechnology - 2.9%
Abgenix, Inc. * ...................................... 75,570 886
Alkermes, Inc. * ..................................... 102,790 1,398
Exelixis, Inc. * ..................................... 112,990 1,140
Telik, Inc. * ........................................ 35,420 845
-------
4,269
Commercial Services & Supplies - 7.5%
Corporate Executive Board Co. * ...................... 29,900 1,728
CSG Systems International, Inc. * .................... 27,810 576
DiamondCluster, Inc. * ............................... 138,530 1,204
Gevity HR., Inc. ..................................... 87,450 2,290
Navigant Consulting, Inc. * .......................... 85,660 1,836
Sotheby's Holdings, Inc. - Cl. A * ................... 113,160 1,806
The Bisys Group, Inc. * .............................. 4,200 59
Apollo Group * ....................................... 16,710 1,464
-------
10,963
Commingled Fund - 1.3%
iShares Trust * ...................................... 30,500 1,906
Communications Equipment - 4.5%
Harmonic, Inc. * ..................................... 112,140 956
NMS Communications Corp. ............................. 161,230 1,190
Plantronics, Inc. * .................................. 39,310 1,655
Polycom, Inc. * ...................................... 74,400 1,667
Sierra Wireless, Inc. * .............................. 30,060 1,113
-------
6,581
Computers & Peripherals - 2.1%
Overland Storage, Inc. * ............................. 26,300 349
SBS Technologies, Inc. * ............................. 171,420 2,755
-------
3,104
Construction & Engineering - 1.3%
Washington Group International, Inc. * ............... 55,070 1,976
Construction Materials - 1.6%
Eagle Materials, Inc. ................................ 31,950 2,269
Diversified Financials - 3.6%
Affiliated Managers Group, Inc. * .................... 37,915 1,910
IndyMac Mortgage Holdings, Inc. ...................... 48,500 1,533
Jackson Hewitt, Inc. * ............................... 103,110 1,804
Psychiatric Solutions, Inc. * ........................ 940 23
-------
5,270
Electrical Equipment - 0.7%
Techtronic Industries, Ltd. - ADR .................... 124,000 $ 990
Energy Equipment & Services - 0.5%
Key Energy Services, Inc. * .......................... 82,900 783
Food Products - 1.0%
Peets Coffee & Tea, Inc. * ........................... 59,490 1,487
Health Care Equipment & Supplies - 4.8%
Abaxis, Inc. ......................................... 48,660 923
DJ Orthopedics, Inc. * ............................... 73,990 1,702
Orthofix International * ............................. 32,160 1,374
Respironics, Inc. * .................................. 29,050 1,707
Zoll Medical Corp. * ................................. 38,150 1,338
-------
7,044
Health Care Providers & Services - 5.6%
Accredo Health, Inc. * ............................... 17,400 678
Covance, Inc. * ...................................... 58,800 2,268
Genesis Healthcare Corp. * ........................... 60,300 1,751
Service Corp. International .......................... 327,400 2,413
Symbion, Inc. * ...................................... 67,000 1,170
-------
8,280
Hotels Restaurants & Leisure - 3.1%
Landry's Seafood Restaurants, Inc. * ................. 39,600 1,184
Rare Hospitality International, Inc. * ............... 53,080 1,322
Scientific Games Corp. - Cl. A ....................... 104,160 1,993
-------
4,499
Household Durables - 1.5%
Helen of Troy, Ltd. * ................................ 18,800 693
Standard Pacific Corp. ............................... 31,320 1,544
-------
2,237
Insurance - 6.3%
American Equity Investment Life * .................... 146,410 1,457
Arch Capital Group, Ltd. * ........................... 50,870 2,029
Healthextras, Inc. * ................................. 81,450 1,349
Platinum Underwriters Holdings ....................... 57,810 1,759
United Holdings Corp. ................................ 165,430 2,614
-------
9,208
Internet & Catalog Retail - 1.0%
Insight Enterprises, Inc. * .......................... 80,930 1,437
Internet Software & Services - 1.2%
Ask Jeeves, Inc. * ................................... 34,470 1,345
Tumbleweed Communications Corporation * .............. 101,500 433
-------
1,778
IT Consulting & Services - 3.6%
Acxiom Corp. * ....................................... 127,900 3,176
Sapient Corp. ........................................ 347,580 2,089
-------
5,265
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
Market
Name of Issuer Shares Value
-------------- ------- --------
(000's)
COMMON STOCK - Continued
Machinery - 0.9%
ESCO Technologies, Inc. * .............................. 25,540 $ 1,363
Media - 3.9%
Cumulus Media, Inc. - Cl. A * .......................... 11 0
GrayTelevison, Inc. .................................... 102,160 1,419
Lin TV Corp. - Cl. A * ................................. 70,840 1,502
Sirius Satellite Radio, Inc. * ......................... 644,700 1,986
Tivo, Inc. * ........................................... 121,920 864
--------
5,771
Metals & Mining - 2.7%
Arch Coal, Inc. ........................................ 61,700 2,258
GrafTech International, Ltd. * ......................... 163,120 1,706
--------
3,964
Oil & Gas - 4.3%
Cabot Oil & Gas Corp. - Cl. A .......................... 55,390 2,343
Patina Oil & Gas Corp. ................................. 73,000 2,181
Whiting Petroleum Corp. * .............................. 72,940 1,834
--------
6,358
Pharmaceuticals - 2.8%
Atherogenics, Inc. * ................................... 53,290 1,014
Medicinesco ............................................ 53,970 1,647
NPS Pharmaceuticals, Inc. * ............................ 31,430 660
Salix Pharmaceuticals, Ltd. * .......................... 25,010 824
--------
4,145
Road & Rail - 6.4%
Arkansas Best Corp. .................................... 67,600 2,225
Forward Air Corp. * .................................... 71,730 2,683
Sirva, Inc. * .......................................... 114,200 2,627
Yellow Roadway Corp. * ................................. 46,400 1,849
--------
9,384
Semiconductor Equipment & Products - 4.4%
MEMC Electronic Materials, Inc. * ...................... 304,900 3,012
MPS Group, Inc. * ...................................... 208,210 2,524
Pixelworks, Inc. * ..................................... 55,810 855
--------
6,391
Software - 6.6%
Agile Software Corp. ................................... 130,010 1,137
Cognex Corp. ........................................... 61,690 2,374
Embarcadero Technologies, Inc. * ....................... 103,000 1,273
Network Associates, Inc. * ............................. 16,200 294
Safenet, Inc. * ........................................ 32,580 902
Skillsoftpub Co., Ltd. - ADR * ......................... 8,600 65
THQ, Inc. * ............................................ 72,000 1,649
Verint Systems, Inc. * ................................. 57,180 1,957
--------
9,651
Specialty Retail - 1.0%
Linens 'n Things, Inc. ................................. 48,030 1,408
Textiles & Apparel - 2.9%
K-Swiss, Inc. - Cl. A .................................. 21,340 $ 431
Kenneth Cole Productions, Inc. - Cl. A * ............... 52,340 1,794
Quiksilver, Inc. * ..................................... 86,600 2,062
--------
4,287
Wireless Telecommunications Services - 5.4%
American Tower Corp. - Cl. A ........................... 251,000 3,829
Crown Castle International Corp. * ..................... 240,450 3,547
Dobson Communications Corp. ............................ 166,000 541
--------
7,917
--------
TOTAL COMMON STOCK-
(Cost $137,541) 100.4% 147,260
Par
Value
(000's)
-------
INVESTMENT COMPANIES HELD AS COLLATERAL ON LOANED
SECURITIES - 25.1%
State Street Navigator Securities Lending
Portfolio ......................................... $36,852 36,852
SHORT-TERM INVESTMENTS - 1.2%
Investment in joint trading account
1.344% due 07/01/04
(Cost $1,827) ..................................... 1,827 1,827
------- --------
TOTAL INVESTMENTS-
(Cost $176,220) 126.7% 185,939
Payables, less cash and receivables- (26.7)% (39,209)
------- --------
NET ASSETS- 100.0% $146,730
======= ========
* Non-income producing security.
ADR-American Depository Receipt.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Small Cap Growth Fund (the "Fund") is a diversified series of
John Hancock Variable Series Trust I (the "Trust"), an open-end investment
management company registered under the Investment Company Act of 1940. The
Trust is organized as a Massachusetts business trust and consists of thirty
different funds as of June 30, 2004. The results of this Fund are included in
this report. The results of the other Funds in the Trust are presented under
separate cover. The Trust may add or delete Funds in the future to accommodate
various investment objectives. The Trust has issued shares of beneficial
interest exclusively to John Hancock Variable Life Account U ("JHVLAU"), John
Hancock Variable Life Account V ("JHVLAV"), John Hancock Variable Life Account S
("JHVLAS"), and John Hancock Variable Annuity Account I ("JHVAAI") to fund
policies and contracts issued by the John Hancock Variable Life Insurance
Company ("JHVLICO"), and to John Hancock Variable Annuity Account U ("JHVAAU"),
John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock Variable Life
Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H ("JHVAAH"), and
John Hancock Variable Annuity Account JF ("JHVAAJF") to fund contracts and
policies issued by John Hancock Life Insurance Company ("John Hancock" or
"JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"), and to John
Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations.
The Fund had borrowings under the line of credit during the period ended
June 04, 2004 as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Average Daily Loan Balance
During the Period for which Weighted Average
Loans were Outstanding Interest Rate Interest Expense
- --------------------------- ---------------- ----------------
$697 1.53% $--
Securities lending: The Fund has entered into an agreement with SSBT to
lend its securities to certain qualified brokers who pay the Fund's negotiated
lender fees. This loan is collateralized at all times with cash or securities
with a market value at least equal to the market value of the securities on
loan. Cash collateral is invested in a short-term instrument. As with other
extensions of credit, the Fund may bear the risk of delay of the loaned
securities in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. At June 30, 2004, the market value
of the securities loaned and the market value of the collateral for the Fund was
as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$36,059 $36,852
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, the Fund had no open
financial futures contracts.
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had approximate net tax basis capital
loss carryforwards, which may be applied against any net taxable gains, as
follows: $2,089, $10,299, $43,738, $35,469 and $7,507 which expire in 2007,
2008, 2009, 2010 and 2011, respectively.
Included in the above, certain losses may be limited under sections 382 -
384 of the Internal Revenue Code, as amended.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
Excess Over
First $100 Million $100 Million
- ------------------ ------------
1.05% 1.00%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. For the period
ended June 30, 2004, there were no reimbursements paid to the Fund.
As of May 3, 2004, John Hancock has entered into a Sub-Advisory Agreement
with Wellington Management Company, and under its supervision, is responsible
for the day-to-day investment management of the Fund.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $52.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$197,637 $200,981
The identified cost of investments owned by the Fund (including earned discount
on corporate short-term notes, commercial paper and collateral held for
securities lending) and their respective gross unrealized appreciation and
depreciation for Federal income tax purposes at December 31, 2003 were as
follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$164,391 $28,438 $(3,813) $24,625
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
relate to certain securities sold at a loss. Additionally, as a result, net
investment income (loss) and net realized gain (loss) or investment transactions
for a reporting period may differ significantly from distributions during such
period. Accordingly, the Fund may periodically make reclassifications among
certain of its capital accounts without impacting the net asset value of the
Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$-- $-- $99,102 $24,625
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $-- $-- $2,029
2002 -- -- --
Inception: August 31, 1999
- --------------------------------------------------------------------------------
Small Cap Value Fund
T. Rowe Price Associates, Inc. Preston G. Athey
Wellington Management Company, LLP S. O'Brien/T.McCormack
- --------------------------------------------------------------------------------
.. The Fund employs a multi-manager approach with two sub-advisers
independently managing portions of the Fund and each using distinct
investment strategies.
.. At quarter-end, T. Rowe Price managed approximately 57% and Wellington
managed approximately 43%.
Fund Commentary
.. Year to date, the Fund returned 9.96%, outperforming its benchmark, the
Russell 2000 Value Index. Relative to Morningstar peers, the Fund has an
above average rating of 4/5 with a below average risk profile.
T. Rowe Price
.. Outperformed its benchmark primarily due to favorable stock selection
broadly across sectors with sector allocation exposures also adding value.
.. Exposures to the industrial and financial sectors were the largest
contributors to absolute performance.
.. The manager selects stocks using proprietary fundamental equity research
and seeks companies with attractive valuation relative to industry peers
and historical norms.
Wellington
.. Underperformed its benchmark primarily due to unfavorable security
selection especially within industrials, while sector allocation exposures
added modest value.
.. Exposure to the consumer discretionary sector was the largest contributor
to absolute performance.
.. The manager employs proprietary fundamental research to identify stocks
having distinct value characteristics based on industry-specific valuation
criteria.
Inception: August 31, 1999
- --------------------------------------------------------------------------------
Small Cap Value Fund
T. Rowe Price Associates, Inc. Preston G. Athey
Wellington Management Company, LLP S. O'Brien/T.McCormack
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
O'Reilly Automotive, Inc. 1.5%
United Stationers, Inc. 1.4%
Cable Design Technologies Corp. 1.4%
AptarGroup, Inc. 1.3%
Texas Regional Bancshares, Inc. 1.2%
Casey's General Stores, Inc. 1.2%
Genesee & Wyo., Inc. 1.1%
Universal Corp. 1.1%
Black Hills Corp. 1.0%
Reinsurance Group of America 1.0%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Small Cap Small Cap Value
Value Fund Benchmark/4/
---------- ---------------
YTD/3/ 9.96% 7.83%
1 Year 31.27 35.18
3 Years 12.66 12.16
Since Inception (8/31/99) 19.67 14.65
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Small Value
MORNINGSTAR RISK/1/:
.. Below Average (VL/VUL)
.. Below Average (VA)
MORNINGSTAR RATING/1/:
.. ***** (VL/VUL)
.. **** (VA)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR/INDUSTRY ALLOCATION (as of June 30, 2004)
% of
Assets
------
Financials 25%
Industrials 21%
Consumer Discretionary 17%
Materials 9%
Information Technology 8%
Energy 6%
Consumer Staples 5%
Health Care 5%
Utilities 4%
Telecommunication Services 0%
- --------------------------------------------------------------------------------
/1/ Source: MorningStar, Inc. Data as of 6/30/04. VL represents Variable Life
subaccounts, VUL represents Variable Universal Life subaccounts and VA
represents Variable Annuity subaccounts Hancock VL/VUL subaccounts were
rated against 57 VL/VUL subaccounts and 129 VA subaccounts in the
Morningstar Small Value category. This represents the Morningstar 3 year
rating.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Small-company investing entails special
risks as outlined in the prospectus. The performance of the fund on this
page is reported net of Trust level charges (i.e. investment management
fees and operating expenses). It does not reflect expense and charges of
the applicable separate accounts and variable products, all of which vary
to a considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
/4/ The Small Cap Value benchmark is the Russell 2500(TM) Value Index from
September 1999 to December 2000 and the Russell 2000(R) Value Index January
2001- present.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Small Cap Value Fund
(000's Omitted)
ASSETS
Long term investments at cost (including $30,822 of
securities loaned (Note B)) ...................................... $164,638
Net unrealized appreciation of investments .......................... 42,336
Short-term investments at value ..................................... 34,785
--------
Total investments ................................................ 241,759
Receivable for:
Investments sold ................................................. 416
Dividends ........................................................ 276
--------
Total assets ........................................................ 242,451
--------
LIABILITIES
Payables for:
Investments purchased ............................................ 353
Collateral for securities on loan ................................ 31,412
Accrued operating expenses ....................................... 55
--------
Total liabilities ................................................... 31,820
--------
Net assets .......................................................... $210,631
========
Shares outstanding, $0.01 Par Value (unlimited shares
authorized) ...................................................... 11,623
--------
Net asset value per share ........................................... $ 18.12
========
Composition of net assets:
Capital paid-in .................................................. $157,543
Accumulated net realized gain on investments,
futures and foreign currency transactions ..................... 10,735
Undistributed net investment income .............................. 17
Net unrealized appreciation of investments ....................... 42,336
--------
Net assets ....................................................... $210,631
========
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Small Cap Value Fund
(000's Omitted)
INVESTMENT INCOME
Interest ......................................................... $ 21
Dividends ........................................................ 1,938
Securities lending ............................................... 29
-------
Total investment income ............................................. 1,988
-------
EXPENSES
Investment advisory fee .......................................... 956
Auditors fees .................................................... 25
Custodian fees ................................................... 39
Legal fees ....................................................... 12
Printing & mailing fees .......................................... 16
Trustees' fees ................................................... 5
Other fees ....................................................... 3
-------
Total expenses ...................................................... 1,056
Less custodian expense reduction offset by
commission recapture arrangement (Note C) ..................... (14)
-------
Net expenses ........................................................ 1,042
-------
Net investment income ............................................... 946
-------
REALIZED AND UNREALIZED GAIN
Net realized gain on investments ................................. 10,670
Change in unrealized appreciation on
investments ................................................... 7,219
-------
Net realized and unrealized gain .................................... 17,889
-------
Net increase in net assets resulting from
operations ....................................................... $18,835
=======
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Small Cap Value Fund
(000's Omitted)
Unaudited
Six-Month
Period Ended Year Ended
June 30, December 31,
2004 2003
------------ ------------
INCREASE(DECREASE) IN NET ASSETS
From operations
Net investment income ..................................... $ 946 $ 978
Net realized gain ......................................... 10,670 7,581
Change in net unrealized appreciation ..................... 7,219 39,529
-------- --------
Net increase in net assets resulting from operations ... 18,835 48,088
Distributions to shareholders from:
Net investment income ..................................... (929) (980)
Realized gains ............................................ (7,128)
-------- --------
Decrease in net assets resulting from distributions .... (929) (8,108)
From fund share transactions:
Proceeds from shares sold ................................. 41,268 59,731
Distributions reinvested .................................. 929 8,108
Payment for shares redeemed ............................... (39,245) (38,116)
-------- --------
Increase in net assets from fund share transactions .... 2,952 29,723
-------- --------
NET INCREASE IN NET ASSETS ................................... 20,858 69,703
NET ASSETS
Beginning of Period ....................................... 189,773 120,070
-------- --------
End of Period (including undistributed net investment
income of $17 and $0, respectively) .................... $210,631 $189,773
======== ========
Analysis of fund share transactions:
Sold ...................................................... 2,374 4,095
Reinvested ................................................ 54 495
Redeemed .................................................. (2,268) (2,697)
-------- --------
Net increase in fund shares outstanding ...................... 160 1,893
======== ========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Small Cap Value Fund
----------------------------------------------------------------------
Unaudited
Period Ended Year Ended December 31,
June 30, -----------------------------------------------------
2004 2003 2002(h) 2001(g) 2000
------------ -------- -------- -------- --------
Net Assets Value at Beginning of Period .................. $ 16.56 $ 12.55 $ 13.76 $ 11.70 $ 10.13
Income from Investment Operations:
Net Investment Income ................................. 0.08 0.09 0.08 0.09 0.01
Net Realized and Unrealized Gain (Loss) on
Investment(a) ...................................... 1.56 4.66 (0.96) 2.14 3.37
-------- -------- -------- -------- -------
Total From Investment Operations ...................... 1.64 4.75 (0.88) 2.23 3.38
Less Distributions:
Distribution from Net Investment Income ............... (0.08) (0.09) (0.09) (0.09) (0.01)
Distribution from Net Realized Gains on Investments ... (0.65) (0.24) (0.08) (1.80)
-------- -------- -------- -------- -------
Total Distributions ................................... (0.08) (0.74) (0.33) (0.17) (1.81)
-------- -------- -------- -------- -------
Net Assets Value at End of Period ........................ $ 18.12 $ 16.56 $ 12.55 $ 13.76 $ 11.70
======== ======== ======== ======== =======
Total Investment Return(b) ............................... 9.96%(c) 37.97% (6.43)% 19.10% 34.19%
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net Assets ...... 1.06%(d)(f) 1.05%(e)(f) 1.04%(e) 1.05%(e) 1.05
Ratio of Net Investment Income to Average Net Assets .. 0.94%(d) 0.67% 0.62% 0.87% 0.13%
Portfolio Turnover Rate ............................... 22.67%(c) 29.95% 41.46% 60.36% 220.80%
Net Assets End of Period (000s Omitted) .................. $210,631 $189,773 $120,070 $103,224 $29,436
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Not annualized.
(d) Annualized.
(e) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made the expense ratio would have been 1.06%, 1.04%, 1.08%, and 1.29%,
for the years ended December 31, 2003, 2002, 2001, and 2000, respectively.
(f) The Fund is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset
arrangements.
(g) The Fund entered into a new sub-advisory agreement with T. Rowe Price
Associates, Inc. during the period shown.
(h) The fund entered into a new sub-advisory agreement with Wellington
Management Company during the period shown.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND
Market
Value
Name of Issuer Shares (000's)
-------------- ------- -------
COMMON STOCK
Aerospace & Defense - 0.9%
Curtiss Wright Corp. - Cl. B ........................... 25,600 $ 1,377
EDO Corp. .............................................. 22,800 550
-------
1,927
Air Freight & Couriers - 1.1%
Hub Group Inc. * ....................................... 27,600 941
United Technologies Worldwide, Inc. .................... 25,700 1,354
-------
2,295
Airlines - 0.5%
Frontier Airlines, Inc. * .............................. 94,000 1,023
Auto Components - 0.8%
Modine Manufacturing Co. ............................... 32,500 1,035
Spartan Motors, Inc. ................................... 52,100 638
-------
1,673
Banks - 6.0%
Amcore Financial, Inc. ................................. 29,800 899
Century Bancorp, Inc. - Cl. A .......................... 14,800 487
East West Bancorp, Inc. * .............................. 51,700 1,587
First Midwest Bancorp, Inc. ............................ 26,900 947
First Republic Bank * .................................. 42,900 1,848
New Alliance Bancshares, Inc. * ........................ 88,700 1,238
Silicon Valley Bancshares * ............................ 48,900 1,939
Sky Financial Group, Inc. .............................. 48,300 1,194
Texas Regional Bancshares, Inc. ........................ 55,300 2,539
-------
12,678
Beverages - 0.6%
Coca Cola Bottling Co. ................................. 11,200 648
Robert Mondavi Corp. - Cl. A * ......................... 16,200 600
-------
1,248
Biotechnology - 0.3%
Diversa Corp. * ........................................ 55,000 557
Building Products - 1.4%
Insituform Technologies, Inc. - Cl. A * ................ 53,100 864
Simpson Manufacturing, Inc. * .......................... 27,100 1,521
Trex, Inc. * ........................................... 16,700 630
-------
3,015
Chemicals - 1.8%
Airgas, Inc. * ......................................... 49,500 1,183
Arch Chemicals, Inc. ................................... 35,900 1,035
MacDermid, Inc. ........................................ 18,600 630
Material Sciences Corp. * .............................. 47,000 500
Symyx Technologies, Inc. * ............................. 14,100 340
-------
3,688
Commercial Services & Supplies - 4.4%
Casella Waste Systems, Inc. - Cl. A * .................. 76,400 1,005
Electro Rent Corp. * ................................... 86,000 901
G & K Services, Inc. - Cl. A ........................... 32,600 1,310
Healthcare Services Group, Inc. ........................ 43,350 663
Landauer, Inc .......................................... 16,300 $ 728
McGrath Rent Corp. ..................................... 37,600 1,389
United Stationers, Inc. * .............................. 71,200 2,828
Waste Connections, Inc. * .............................. 17,700 525
-------
9,349
Commingled Fund - 0.8%
First Financial Fund, Inc. * ........................... 54,200 962
Ishares Russell ........................................ 4,700 810
-------
1,772
Communications Equipment - 1.8%
Black Box Corp. ........................................ 20,600 973
Cable Design Technologies Corp. * ...................... 264,500 2,804
-------
3,777
Computers & Peripherals - 0.2%
Intergraph Corp. * ..................................... 17,700 458
Construction Materials - 1.1%
Ameron International Corp. ............................. 23,300 795
Florida Rock Industries, Inc. .......................... 36,850 1,554
-------
2,349
Containers & Packaging - 1.5%
AptarGroup, Inc. ....................................... 59,500 2,600
Myers Industries, Inc. ................................. 45,700 644
-------
3,244
Diversified Financials - 2.5%
Allied Capital Corp. ................................... 62,400 1,524
American Capital Strategies, Ltd. ...................... 63,400 1,776
Assured Guaranty, Ltd. * ............................... 82,200 1,393
Financial Federal Corp. ................................ 14,400 508
-------
5,201
Electric Utilities - 3.2%
Black Hills Corp. ...................................... 67,600 2,129
Cleco Corp. ............................................ 58,300 1,048
El Paso Electric Co. * ................................. 83,900 1,296
Otter Tail Power Co. ................................... 20,700 556
PNM Resources, Inc. .................................... 83,000 1,724
-------
6,753
Electrical Equipment - 2.4%
C&D Technologies, Inc. ................................. 37,200 663
Deswell Industries, Inc. ............................... 46,100 1,111
Franklin Electric Co., Inc. ............................ 30,100 1,137
The Genlyte Corp. * .................................... 18,600 1,170
Woodward Governor Co. .................................. 12,500 901
-------
4,982
Electronic Equipment & Instruments - 1.6%
Analogic Corp. ......................................... 9,400 399
Exar Corp. * ........................................... 46,500 682
Littelfuse, Inc. * ..................................... 26,400 1,119
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND
Market
Name of Issuer Shares Value
-------------- ------- -------
(000's)
COMMON STOCK - Continued
Electronic Equipment & Instruments - Continued
Methode Electronics, Inc. - Cl. A ....................... 32,600 $ 423
Technitrol, Inc. * ...................................... 33,100 725
-------
3,348
Energy Equipment & Services - 1.9%
Atwood Oceanics, Inc. * ................................. 15,000 626
Carbo Ceramics, Inc. .................................... 9,000 614
Lone Star Technologies, Inc. * .......................... 46,500 1,282
Tetra Technologies, Inc. * .............................. 37,600 1,010
West Hampshire Energy Services, Inc. * .................. 24,900 488
-------
4,020
Food & Drug Retailing - 1.4%
Casey's General Stores, Inc. * .......................... 137,700 2,520
Wild Oats Markets, Inc. * ............................... 32,900 463
-------
2,983
Food Products - 1.2%
John B Sanfilippo & Son, Inc. * ......................... 31,000 828
Riviana Foods, Inc. Delaware ............................ 14,300 374
Sensient Technologies Corp. ............................. 41,800 898
Volume Services America Holdings, Inc. .................. 24,000 325
-------
2,425
Gas Utilities - 1.3%
Atmos Energy Corp. ...................................... 33,400 855
New Jersey Resources Corp. .............................. 23,700 985
WGL Holdings, Inc. ...................................... 29,000 833
-------
2,673
Health Care Equipment & Supplies - 1.0%
Arrow International, Inc. ............................... 17,800 532
PolyMedica Corporation * ................................ 50,800 1,577
-------
2,109
Health Care Providers & Services - 3.6%
Amerigroup Corp. * ...................................... 41,300 2,032
Amsurg Corp. ............................................ 40,049 1,006
Capital Senior Living Corp. * ........................... 122,200 588
Corvel Corp. ............................................ 19,600 556
Maximus, Inc. * ......................................... 51,900 1,840
Owens & Minor, Inc. ..................................... 62,400 1,616
-------
7,638
Hotels Restaurants & Leisure - 1.9%
CEC Entertainment, Inc. * ............................... 24,150 713
Interstate Hotels & Resorts * ........................... 81,000 436
Rare Hospitality International, Inc. * .................. 38,100 949
Ruby Tuesday, Inc. ...................................... 35,700 980
Sonic Corp. * ........................................... 37,600 855
-------
3,933
Household Durables - 4.1%
CSS Industries, Inc. * .................................. 32,600 1,142
Mathews International Corp. * ........................... 31,900 1,051
Meritage Corp. * ........................................ 14,000 $ 963
Skyline Corp. ........................................... 26,500 1,077
Stanley Furniture Co., Inc. * ........................... 25,600 1,078
WCI Communities, Inc. * ................................. 83,800 1,870
Yankee Candle, Inc. * ................................... 47,200 1,381
-------
8,562
Industrial Conglomerates - 0.7%
Carlisle Cos., Inc. ..................................... 23,000 1,432
Insurance - 7.9%
Delphi Financial Group, Inc. - Cl. A * .................. 35,950 1,600
IPC Holdings, Ltd. ...................................... 34,200 1,263
Markel Corp. * .......................................... 3,100 860
Max Re Capital, Ltd. .................................... 67,000 1,305
Platinum Underwriters Holdings .......................... 53,300 1,622
Proassurance Corp. * .................................... 51,200 1,746
Reinsurance Group of America ............................ 52,200 2,122
Scottish Annuity & Life ................................. 86,200 2,004
The Midland Co. ......................................... 49,400 1,465
Triad Guaranty, Inc. * .................................. 24,200 1,409
Universal American Financial Corp. * .................... 122,400 1,344
-------
16,740
Internet Software & Services - 0.3%
Websense, Inc. * ........................................ 18,000 670
Leisure Equipment & Products - 0.5%
SCP Pool Corp. * ........................................ 25,000 1,125
Machinery - 4.4%
Albany International Corp. - Cl . A ..................... 42,800 1,436
IDEX Corp. .............................................. 38,600 1,326
JLG Industries, Inc. .................................... 75,100 1,043
Kadant, Inc. * .......................................... 63,800 1,476
Nordson Corp. ........................................... 34,800 1,509
Quixote Corp. ........................................... 48,000 963
Thomas Industries, Inc. ................................. 44,600 1,481
-------
9,234
Marine - 0.5%
Kirby Corp. * ........................................... 27,900 1,085
Media - 1.9%
Advo, Inc. * ............................................ 20,100 662
Courier Corp. ........................................... 36,200 1,511
Journal Register Co. * .................................. 51,200 1,024
Saga Communications, Inc. - Cl. A * ..................... 45,100 823
-------
4,020
Metals & Mining - 2.1%
Aber Diamond Corp. ...................................... 17,400 516
Carpenter Technology Corp. * ............................ 47,400 1,614
Gibraltar Steel Corp. ................................... 36,000 1,182
Meridian Gold, Inc. * ................................... 85,100 1,104
-------
4,416
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND
Market
Name of Issuer Shares Value
-------------- --------- ---------
(000's)
COMMON STOCK - Continued
Multi-Utilities - 0.7%
Vectren Corp. * ..................................... 29,700 $ 745
Weststar Energy, Inc. ............................... 39,100 779
--------
1,524
Multiline Retail - 0.7%
Stein Mart, Inc. * .................................. 87,400 1,421
Oil & Gas - 4.0%
Encore Acquisition Co. .............................. 75,000 2,092
Forest Oil Corp. * .................................. 51,700 1,412
Magnum Hunter Resources, Inc. ....................... 86,100 894
Penn Virginia Corp. ................................. 37,600 1,358
Plains Exploration & Production Co. * ............... 39,900 732
St. Mary Land & Exploration Co. * ................... 23,700 845
Todco - Cl. A * ..................................... 24,600 381
Vintage Petroleum, Inc. ............................. 36,200 614
--------
8,328
Paper & Forest Products - 1.7%
Chesapeake Corp. .................................... 18,800 501
Deltic Timber Corp. ................................. 24,400 937
Potlatch Corp. ...................................... 32,800 1,366
Wausau-Mosinee Paper Corp. .......................... 41,200 713
--------
3,517
Personal Products - 0.5%
NBTY, Inc. * ........................................ 36,200 1,064
Real Estate Investment Trust - 7.5%
Acadia Realty Trust ................................. 55,100 757
Bedford Property Investors, Inc. .................... 49,700 1,453
East Group Properties, Inc. ......................... 34,500 1,162
Gables Residential Trust ............................ 33,100 1,125
Getty Realty Corp. NEW .............................. 29,500 742
Glenborough Realty Trust, Inc. ...................... 23,300 428
Innkeepers USA Trust ................................ 121,000 1,247
Kilroy Realty Corp. ................................. 46,900 1,599
LaSalle Hotel Properties ............................ 49,400 1,205
Maguire Properties, Inc. ............................ 21,900 542
PS Business Parks, Inc. ............................. 18,900 761
RAIT Investment Trust ............................... 26,600 656
Realty Income Corp. ................................. 25,600 1,068
Sun Communities, Inc. ............................... 31,200 1,175
Ventas, Inc. ........................................ 30,900 722
Washington Real Estate Investment Trust ............. 40,100 1,178
--------
15,820
Road & Rail - 3.9%
Dollar Thrifty Automotive Group, Inc. * ............. 28,200 774
Genesee & Wyo., Inc. - Cl. A ........................ 98,350 2,331
Landstar Systems, Inc. * ............................ 27,700 1,465
Overnite Corp. * .................................... 46,500 1,367
USF Corp. ........................................... 38,200 $ 1,342
Werner Enterprises, Inc. * .......................... 42,100 888
--------
8,167
Semiconductor Equipment & Products - 1.9%
Atmi, Inc. * ........................................ 19,600 535
ESS Technology, Inc. * .............................. 65,300 699
MPS Group, Inc. * ................................... 98,700 1,196
Mykrolis Corp. * .................................... 53,600 934
Pericom Semiconductor Corp. * ....................... 50,400 540
--------
3,904
Software - 1.0%
Ansys, Inc. ......................................... 13,900 653
Progress Software Corp. * ........................... 39,100 847
SPSS, Inc. .......................................... 39,100 703
--------
2,203
Specialty Retail - 6.7%
Aaron Rents, Inc. ................................... 54,500 1,806
Building Materials Holdings Corp. - Sr. Notes ....... 63,300 1,198
Cato Corp. - Cl. A .................................. 27,900 626
Gildan Activewear, Inc. - Cl. A * ................... 53,100 1,524
Hancock Fabrics, Inc. ............................... 51,200 653
Haverty Furniture Co., Inc. ......................... 72,300 1,264
Hibbett Sporting Goods, Inc. * ...................... 42,300 1,157
O'Reilly Automotive, Inc. * ......................... 66,600 3,010
Shoe Carnival, Inc. * ............................... 57,500 863
Stage Stores, Inc. * ................................ 19,900 750
TBC Corp. * ......................................... 56,800 1,352
--------
14,203
Textiles & Apparel - 0.6%
Culp, Inc. * ........................................ 33,700 262
Cutter & Buck, Inc. * ............................... 63,500 654
Unifi, Inc. * ....................................... 111,700 328
--------
1,244
Tobacco - 1.5%
Standard Commercial Corp. * ......................... 52,100 941
Universal Corp. * ................................... 43,900 2,236
--------
3,177
--------
TOTAL COMMON STOCK-
(Cost $164,638) 98.3% 206,974
INVESTMENT COMPANIES HELD AS COLLATERAL ON LOANED
SECURITIES - 14.9%
State Street Navigator Securities Lending
Portfolio ........................................ $ 31,412 31,412
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND
Par
Name of Issuer Value Value
-------------- ------- --------
(000's) (000's)
SHORT-TERM INVESTMENTS - 1.6%
Investment in joint trading account
1.344% due 07/01/04
(Cost $3,373) ........................................ $3,373 $ 3,373
------ --------
TOTAL INVESTMENTS-
(Cost $199,423) 114.8% 241,759
Payables, less cash and receivables- (14.8)% (31,128)
------ --------
NET ASSETS- 100.0% $210,631
====== ========
* Non-income producing security.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Small Cap Growth Fund (the "Fund") is a diversified series of
John Hancock Variable Series Trust I (the "Trust"), an open-end investment
management company registered under the Investment Company Act of 1940. The
Trust is organized as a Massachusetts business trust and consists of thirty
different funds as of June 30, 2004. The results of this Fund are included in
this report. The results of the other Funds in the Trust are presented under
separate cover. The Trust may add or delete Funds in the future to accommodate
various investment objectives. The Trust has issued shares of beneficial
interest exclusively to John Hancock Variable Life Account U ("JHVLAU"), John
Hancock Variable Life Account V ("JHVLAV"), John Hancock Variable Life Account S
("JHVLAS"), and John Hancock Variable Annuity Account I ("JHVAAI") to fund
policies and contracts issued by the John Hancock Variable Life Insurance
Company ("JHVLICO"), and to John Hancock Variable Annuity Account U ("JHVAAU"),
John Hancock Variable Annuity Account V ("JHVAAV"), John Hancock Variable Life
Account UV ("JHVLAUV"), John Hancock Variable Annuity Account H ("JHVAAH"), and
John Hancock Variable Annuity Account JF ("JHVAAJF") to fund contracts and
policies issued by John Hancock Life Insurance Company ("John Hancock" or
"JHLICO"), to John Hancock Variable Life Account PPM-1 ("PPM-1"), and to John
Hancock Variable Life Account PPM-2 ("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transactions are recorded on the date of purchase or sale.
Common stocks and other such securities traded on national exchanges are
normally valued on the basis of closing prices. Securities traded in the
over-the-counter market and securities with no sales on the day of valuation are
normally valued at their last available bid price.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- -------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations.
The Fund had borrowings under the line of credit during the period ended
June 04, 2004 as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Average Daily Loan Balance
During the Period for which Weighted Average
Loans were Outstanding Interest Rate Interest Expense
- --------------------------- ----------------- ----------------
$1,342 1.51% $1
Securities lending: The Fund has entered into an agreement with SSBT to
lend its securities to certain qualified brokers who pay the Fund's negotiated
lender fees. This loan is collateralized at all times with cash or securities
with a market value at least equal to the market value of the securities on
loan. Cash collateral is invested in a short-term instrument. As with other
extensions of credit, the Fund may bear the risk of delay of the loaned
securities in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. At June 30, 2004, the market value
of the securities loaned and the market value of the collateral for the Fund was
as follows:
Value of Securities Loaned Value of Collateral
- -------------------------- -------------------
$30,822 $ 31,412
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, the Fund had no open
financial futures contracts.
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date. At June 30, 2004, the Fund had no
open forward foreign currency contracts.
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had no capital loss carryforwards on a
tax basis to be applied against any future taxable gains.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred no net realized capital losses.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the rate of 0.95% on an annual basis of the
Fund's net assets.
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. Accordingly,
for the period ended June 30, 2004, there were no reimbursements paid to the
Fund.
The Fund entered into a commission recapture program, which enables it to
pay some of its operational expenses by recouping a portion of the commissions
it pays to a broker that is not a related party of the Fund. Expenses paid
through this program may include costs of custodial, transfer agency or
accounting services. The impact of this arrangement was a reduction of $14.
John Hancock has entered into Sub-Advisory Agreements with T. Rowe Price
Associates, Inc. and Wellington Management Company, and under its supervision,
are responsible for the day-to-day investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$49,196 $44,780
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, commercial paper and collateral for
securities lending) and their respective gross unrealized appreciation and
depreciation for Federal income tax purposes at December 31, 2003 were as
follows:
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$ 170,416 $37,355 $(2,688) $34,667
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
related to certain securities sold at a loss and to certain distributions
received from investments in Real Estate Investment Trusts. Additionally, as a
result, net investment income (loss) and net realized gain (loss) on investment
transactions for a reporting period may differ significantly from distributions
during such period. Accordingly, the Fund may periodically make
reclassifications among certain of its capital accounts without impacting the
net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a
tax basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$67 $449 $-- $34,667
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $2,961 $5,147 $ --
2002 885 1,001 1,231
Inception: May 1, 2003
- --------------------------------------------------------------------------------
Total Return Bond Fund
Pacific Investment Management Company Llc William H. Gross
- --------------------------------------------------------------------------------
.. Year to date, the Fund returned 0.23%, outperforming its benchmark, the
Lehman Brothers Aggregate Bond Index.
.. The Fund outperformed its benchmark primarily due to sector allocation
decisions (especially an overweight to non-dollar securities), while
duration / yield curve decisions detracted.
.. The Fund's exposure to TIPS (U.S. inflation-index bonds) contributed the
most to absolute performance.
.. The manager uses proprietary research, economic analysis and quantitative
tools seeking to add value across all key decisions (duration, sector,
security and derivatives) and opportunistically invests broadly across key
fixed income sectors including high yield and non-U.S. sectors.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS (as of June 30, 2004)
% of
Investments
-----------
Federal Republic of Germany 16.5%
Government National Mortgage Assoc. 15.4%
Bear Stearns Trust 9.6%
U.S. Treasury 7.9%
Federal Home Loan Mortgage Corp. 6.7%
CWMBS, Inc. 6.2%
Federal National Mortgage Assoc. 5.8%
Small Business Administration 3.2%
NAAC Reperforming Loan Remic Trust 2.6%
United Mexican States 1.9%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS/2/
Lehman Brothers
Total Return Aggregate Bond
Bond Fund Index
------------ ---------------
YTD/3/ 0.23% 0.15%
1 Year 0.56 0.33
Since Inception (5/1/03) 1.90 1.70
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MORNINGSTAR CATEGORY/1/:
.. Intermediate Term Bond
MORNINGSTAR RISK/1/:
.. (VL/VUL) N/A
.. (VA) N/A
MORNINGSTAR RATING/1/:
.. (VL/VUL) N/A
.. (VA) N/A
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FUND COMPOSITION (as of June 30, 2004)/4/
% of
Credit Quality Assets
- -------------- ------
AAA/Government/Agency 67.11%
AA 16.42%
A 3.23%
BBB 10.40%
BB & lower 2.66%
Not Rated/Other 0.18%
Weighted Average Yield 5.08%
- --------------------------------------------------------------------------------
/1/ Source: Morningstar Inc. Data as of 6/30/04, this fund is not yet rated.
/2/ Total returns are for the period ended June 30, 2004. Returns represent
past performance, assume reinvestment of all distributions and are not
indicative of future performance. Investment returns and principal value of
fund shares will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The performance of the fund on this page
is reported net of Trust level charges (i.e. investment management fees and
operating expenses). It does not reflect expenses and charges of the
applicable separate accounts and variable products, all of which vary to a
considerable extent and are described in your product prospectus.
Performance would be lower if expenses and charges of the separate accounts
and products were reflected.
/3/ Year to date returns are not annualized.
STATEMENT OF ASSETS AND LIABILITIES
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Total Return Bond Fund
(000's Omitted)
ASSETS
Long term investments at cost ....................................... $39,194
Net unrealized depreciation of investments .......................... (530)
Short-term investments at value ..................................... 20,060
-------
Total investments ............................................. 58,724
Cash ................................................................ 26
Foreign currency at value (cost $14) ................................ 14
Receivable for:
Interest ......................................................... 289
Unrealized appreciation in forward currency contracts ............ 13
Other assets ..................................................... 5
-------
Total assets ........................................................ 59,071
-------
LIABILITIES
Payables for:
Investments purchased ............................................ 9,173
Net payable for swap contracts ................................... 123
Written options at value (premium received $77) .................. 21
-------
Total liabilities ................................................... 9,317
-------
Net assets .......................................................... $49,754
=======
Shares outstanding, $0.01 Par Value (unlimited shares authorized) ... 4,997
-------
Net asset value per share ........................................... $ 9.96
=======
Composition of net assets:
Capital paid-in .................................................. $50,065
Accumulated net realized loss on investments, futures and
foreign currency transactions ................................. 297
Undistributed net investment income .............................. 8
Net unrealized appreciation (depreciation) of:
Investments ................................................... (530)
Written Options ............................................... 56
Swap contracts ................................................ (123)
Translation of assets and liabilities in foreign currencies ... (19)
-------
Net assets .......................................................... $49,754
=======
STATEMENT OF OPERATIONS
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004 (Unaudited)
- --------------------------------------------------------------------------------
Total Return Bond Fund
(000's Omitted)
INVESTMENT INCOME
Interest ........................................................... $ 674
EXPENSES
Investment advisory fee ............................................ 166
Auditors fees ...................................................... 2
Custodian fees ..................................................... 20
Legal fees ......................................................... 2
Printing & mailing fees ............................................ 3
Trustees' fees ..................................................... 1
Other fees ......................................................... 1
-----
Total expenses ........................................................ 195
-----
Less expenses reimbursed ........................................... (15)
-----
Net expenses .......................................................... 180
-----
Net investment income ................................................. 494
-----
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on:
Investments ..................................................... 245
Foreign currency transactions ................................... 83
Change in unrealized appreciation (depreciation) on:
Investments ..................................................... (783)
Written options ................................................. 53
Swap contracts .................................................. (92)
Translation of assets and liabilities in foreign currencies ..... 57
-----
Net realized and unrealized loss ...................................... (437)
-----
Net increase in net assets resulting from operations .................. $ 57
=====
See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Total Return Bond Fund
(000's Omitted)
Unaudited
Six-Month Year Ended
Period Ended December 31,
June 30, 2004 2003
------------- ------------
INCREASE (DECREASE) IN NET ASSETS
From operations
Net investment income ....................................................... $ 494 $ 404
Net realized gain ........................................................... 328 142
Change in net unrealized appreciation (depreciation) ........................ (765) 149
------- -------
Net increase in net assets resulting from operations ..................... 57 695
Distributions to shareholders from:
Net investment income ....................................................... (490) (400)
Realized gains .............................................................. (173)
------- -------
Decrease in net assets resulting from distributions ...................... (490) (573)
From fund share transactions:
Proceeds from shares sold ................................................... 14,002 43,263
Distributions reinvested .................................................... 490 573
Payment for shares redeemed ................................................. (6,311) (1,952)
------- -------
Increase in net assets from fund share transactions ...................... 8,181 41,884
------- -------
NET INCREASE IN NET ASSETS ..................................................... 7,748 42,006
NET ASSETS
Beginning of Period ......................................................... 42,006
------- -------
End of Period (including undistributed net investment income of $8 and $4,
respectively) ............................................................ $49,754 $42,006
======= =======
Analysis of fund share transactions:
Sold ........................................................................ 1,385 4,324
Reinvested .................................................................. 49 57
Redeemed .................................................................... (623) (195)
------- -------
Net increase in fund shares outstanding ........................................ 811 4,186
======= =======
See notes to financial statements.
FINANCIAL HIGHLIGHTS
JOHN HANCOCK VARIABLE SERIES TRUST I
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding throughout the
period indicated:
Total Return Bond Fund
-----------------------------------------
Unaudited Period from May 1, to
Period Ended December 31,
June 30, 2004 2003(e)
------------- ----------------------
Net Assets Value at Beginning of Period ........................................ $ 10.04 $ 10.00
Income from Investment Operations:
Net Investment Income ....................................................... 0.10 0.12
Net Realized and Unrealized Gain (Loss) on Investment(a) .................... (0.08) 0.08
------- -------
Total From Investment Operations ............................................ 0.02 0.20
Less Distributions:
Distribution from Net Investment Income ..................................... (0.10) (0.12)
Distribution from Net Realized Gains on Investments ......................... (0.04)
------- -------
Total Distributions ......................................................... (0.10) (0.16)
------- -------
Net Assets Value at End of Period .............................................. $ 9.96 $ 10.04
======= =======
Total Investment Return (b)..................................................... 0.23%(c) 1.99%(c)
Ratios/Supplemental Data:
Ratio of Operating Expense to Average Net Assets ............................ 0.76%(d)(f) 0.77%(d)
Ratio of Net Investment Income to Average Net Assets ........................ 2.10%(d) 1.89%(d)
Portfolio Turnover Rate ..................................................... 469.81%(c) 537.79%(c)
Net Assets End of Period (000s Omitted) ........................................ $49,754 $42,006
(a) The amount shown at this caption for each share outstanding throughout the
year may not accord with the change in the aggregate gains and losses in
the portfolio securities for the year because of the timing of the
purchases and withdrawals of the shares in relation to the fluctuating
market values of the portfolio.
(b) The performance does not reflect expenses and charges of the applicable
separate accounts and variable products, all of which vary to a
considerable extent and are described in your product's prospectus.
(c) Not annualized.
(d) Annualized.
(e) Commencement of investment operations.
(f) Expense ratio is net of expense reimbursements. Had such reimbursements not
been made, the expense ratio would have been .83% for the period ending
June 30, 2004.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
TOTAL RETURN BOND FUND
Par Market
Value Value
Name of Issuer (000's) (000's)
-------------- ------- -------
PUBLICLY-TRADED BONDS
Auto Loan - 0.2% Ford Motor Credit Co. - Bonds
7.75% due 03/15/05 ...................................... $ 90 $ 93
Banks - 0.5% Banc America Mortgage Securities, Inc. - Ser
2004-2 Cl. 5A1 6.5% due 10/25/19 ........................ 257 262
Diversified Financials - 0.5% CIT Group, Inc. - Sr. Notes
7.75% due 04/02/12 ...................................... 200 228
Citigroup, Inc.
1.275% due 12/28/04 ..................................... 1,000 9
------
237
Diversified Telecommunication Services - 2.1%
AT&T Broadband Corp. - Notes
8.375% due 03/15/13 .................................. 200 235
AT&T Corp. - Sr. Notes
7.8% due 11/15/11 .................................... 150 154
Bellsouth Corp. - Notes
6.0% due 10/15/11 .................................... 150 157
France Telecom
8.25% due 03/14/08 ................................... 200 270
France Telecom SA - Notes
9.25% due 03/01/11 ................................... 200 232
------
1,048
Electric/Gas - 1.1%
Dominion Resources, Inc. - Notes
5.7% due 09/17/12 .................................... 150 153
Pacific Gas & Electric Co. - Bonds
1.81% due 04/03/06 ................................... 200 200
Progress Energy, Inc. - Sr. Notes
6.85% due ............................................ 100 108
PSEG Power LLC - Sr. Notes
6.95% due 06/01/12 ................................... 100 109
------
570
Finance - 5.0%
AIG SunAmerica Institutional Funding
1.2% due 01/26/05 .................................... 45,000 414
Deutsche Telekom International Finance
6.375% due 07/11/06 .................................. 400 517
General Motors Acceptance Corp.
1.995% due 05/18/06 .................................. 700 701
Tobacco Settlement Financing Corp. - Ser. A
6.25% due 06/01/42 ................................... 500 411
Tobacco Settlement Revenue Management - Ser. B
6.375% due 05/15/28 .................................. 200 171
UFJ Finance Aruba - GTD Notes
6.75% due 07/15/13 ................................... 50 52
Verizon Global Funding Corp. - Notes
7.25% due 12/01/10 ................................... $ 200 $ 224
------
2,490
Food Products - 0.2% Kraft Foods, Inc. - Notes
6.25% due 06/01/12 ...................................... 100 105
Foreign Governmental - 16.5%
Federal Republic of Brazil - Bonds
11.0% due 08/17/40 ...................................... 250 233
Federal Republic of Germany
4.5% due 07/04/09 ....................................... 3,200 4,054
5.0% due 07/04/12 ....................................... 1,600 2,062
5.25% due 01/04/11 ...................................... 200 262
Republic of Brazil
2.063% due 04/15/09 ..................................... 29 27
Republic of Brazil - Ser. L
2.125% due 04/15/06 ..................................... 171 169
Republic of Panama
9.625% due 02/08/11 ..................................... 350 384
Republic of Peru - Bonds
9.125% due 02/21/12 ..................................... 225 230
Russian Federation
8.75% due 07/24/05 ...................................... 50 53
United Mexican States
1.84% due 01/13/09 ...................................... 500 508
6.375% due 01/16/13 ..................................... 230 229
------
8,211
Hotels Restaurants & Leisure - 0.4%
MGM Mirage, Inc. - Ser. B
6.0% due 10/01/09 ....................................... 200 196
Media - 0.7% Time Warner, Inc. - Notes
6.875% due 05/01/12 ..................................... 300 324
Municipal - 2.7% De Kalb County Georgia Water & Sewage -
Ser. A 5.0% due 10/01/35 ................................ 200 197
Harris County Texas
5.0% due 08/15/33 .................................... 100 97
Massachusetts Saint - Ser. C
5.5% due 11/01/10 .................................... 500 557
University of Texas Permanent University Fund - Ser. B
4.75% due 07/01/30 ................................... 500 471
------
1,322
Other Asset Backed - 2.6%
NAAC Reperforming Loan Remic Trust - Ser
2004-R1 Cl. A2 144A (a)
7.5% due 03/25/34 .................................... 906 989
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
TOTAL RETURN BOND FUND
Par Market
Value Value
Name of Issuer (000's) (000's)
-------------- ------- -------
PUBLICLY-TRADED BONDS - Continued
Other Asset Backed - Continued
Residential Asset Funding and Mortgage
Securities Corp. - Ser. 2001 KS3 Cl. A II
1.33% due 09/25/31 ................................... $ 106 $ 107
Residential Asset Securities Corp. - Ser. 2004
KS6 Cl. AII B1
1.22% due 04/25/13 ................................... 200 200
-------
1,296
Paper & Forest Products - 0.2% Weyerhaeuser Co. - Notes
6.125% due 03/15/07 ..................................... 75 79
U.S. Government Agencies - 24.1%
Federal Home Loan Mortgage Corp. - Bonds
5.5% due 06/01/24 ....................................... 2,000 2,025
6.0% due 10/15/32 ....................................... 484 501
Federal Home Loan Mortgage Corp. - Bonds Ser. 2559 Cl. PB
5.5% due 08/15/30 ....................................... 61 62
Federal National Mortgage Assoc. - Bonds
5.5% due 10/01/32 .......................................
5.5% due 12/01/33 .......................................
Federal National Mortgage Assoc. - Bonds Ser.
2004-11 Cl. 1A
1.22% due 03/25/34 ...................................... 388 386
Federal National Mortgage Assoc. - Ser. 2004- T1 1A1
6.0% due 01/25/44 ....................................... 917 940
Federal National Mortgage Assoc. - Ser. 2004- W2 Cl. 1A2F
1.44% due 02/25/44 ...................................... 908 904
Government National Mortgage Assoc. - Bonds
5.0% due 05/15/33 ....................................... 5,763 5,596
Government National Mortgage Assoc. - Ser.2002-30 Cl. Z
6.5% due 05/20/32 ....................................... 345 358
Small Business Administration - Ser. 2004 10A
4.504% due 02/10/14 ..................................... 1,291 1,222
-------
11,994
U.S. Governmental - 6.1%
U.S. Treasury - Bonds
7.875% due 02/15/21 .................................. 900 1,162
U.S. Treasury - Notes
2.0% due 01/15/14 .................................... 710 706
3.0% due 07/15/12 .................................... 521 563
5.0% due 08/15/11 .................................... 600 626
-------
3,057
Whole Loan CMOs - 14.5%
Ameriquest Mortgage Securities, Inc. - Ser .................
2004-X2 Cl. A 144A (a)
1.851% due 06/25/34 ..................................... $ 200 $ 200
Bear Stearns ARM Trust - Ser. 2003 Cl. III A1
5.18% due 04/25/33 ......................................
Bear Stearns ARM Trust - Ser. 2004-3 Cl. IA 2
3.996% due 07/25/34 ..................................... 985 983
Bear Stearns ARM Trust - Ser. 2004-6 Cl. 1A1
4.707% due 07/30/34 ..................................... 1,900 1,909
Bear Stearns Trust - Ser. 2004-2 Cl. 1A1
5.316% due 02/19/05 ..................................... 800 809
CWMBS, Inc. - Ser. 1999-9 Cl. A1
6.5% due 08/25/29 ....................................... 57 57
CWMBS, Inc. - Ser. 2003-J14 Cl. 2A1
6.25% due 12/25/33 ...................................... 531 540
CWMBS, Inc. - Ser. 2003-R4 Cl. 2A 144A (a)
6.5% due 01/25/34 ....................................... 768 789
CWMBS, Inc. - Ser. 2004 12 Cl. 11A2
4.431% due 08/25/34 ..................................... 1,000 1,005
GS Mortgage Securities Corp. - Ser. 2003-1 Cl. A2
1.79% due 01/25/32 ...................................... 200 204
Mellon Residential Funding Corp. - Ser. 2000 TBC2 Cl. A1
1.34% due 06/15/30 ...................................... 115 114
Structured Asset Securities Corp. - Ser. 2003
NP3 Cl. A1 144A (a)
1.6% due 11/25/33 ....................................... 223 223
Structured Asset Securities Corp. - Ser. 2003- S1 Cl. A1
1.25% due 08/25/33 ...................................... 65 65
WAMU - CTF Cl. A
1.0% due 02/27/34 ....................................... 309 309
-------
7,207
Wireless Telecommunications Services - 0.3%
AT&T Wireless Group - Notes
8.125% due 05/01/12 ..................................... 150 173
-------
TOTAL PUBLICLY-TRADED BONDS-
(Cost $39,194) ....................................... 77.7% 38,664
COMMERCIAL PAPER
Auto Loan - 0.6%
Ford Motor Credit Co.
1.77% due 09/03/04 ................................... 300 299
Banks - 11.6%
Bank Ireland Governor & Co.
1.285% due 09/03/04 .................................. 500 499
Danske Corp.
1.24% due 09/17/04 ................................... 800 798
DNB NOR Bank ASA
1.265% due 09/03/04 .................................. 600 599
SCHEDULE OF INVESTMENTS--Continued
(UNAUDITED)
JOHN HANCOCK VARIABLE SERIES TRUST I
June 30, 2004
- --------------------------------------------------------------------------------
TOTAL RETURN BOND FUND
Par Market
Value Value
Name of Issuer (000's) (000's)
-------------- ------- -------
COMMERCIAL PAPER - Continued
Banks - Continued
Lloyds Bank plc
1.185% due 07/21/04 ................................. $ 1,300 $ 1,299
Royal Bank of Scotland plc
1.09% due 08/06/04 .................................. 500 499
Spintab
1.49% due 09/02/04 .................................. 800 798
Svenska Handelsbanken AB
1.25% due 09/01/04 .................................. 100 100
1.07% due 07/21/04 .................................. 300 300
Westpac Trust Securities NZ, Ltd.
1.22% due 08/25/04 .................................. 900 898
--------
5,790
Finance -19.7%
CBA Delaware Finance, Inc.
1.07% due 07/15/04 .................................. 800 800
1.15% due 08/10/04 .................................. 100 100
1.225% due 08/23/04 ................................. 500 499
CDC Commercial
1.085% due 08/04/04 ................................. 500 499
1.10% due 08/17/04 .................................. 900 899
General Electric Capital Corp.
1.30% due 09/08/04 .................................. 1,300 1,297
1.46% due 09/14/04 .................................. 100 100
HBOS Treasury Services plc
1.095% due 08/02/04 ................................. 600 599
1.58% due 10/21/04 .................................. 500 498
1.585% due 10/26/04 ................................. 300 298
ING United Funding LLC
1.345% due 09/09/04 ................................. 100 100
National Australia Funding Delaware, Inc.
1.21% due 07/19/04 .................................. 200 200
Shell Finance
1.23% due 08/11/04 .................................. 1,300 1,298
UBS Finance Delaware LLC
1.195% due 07/21/04 ................................. 1,300 1,299
UniCredit Delaware
1.47% due 09/14/04 .................................. 1,300 1,296
--------
9,782
U.S Government Agencies - 8.4%
Federal Home Loan Bank - Disc. Notes
1.17% due 07/16/04 .................................. 100 100
1.18% due 08/25/04 .................................. 500 499
Federal Home Loan Mortgage Corp. - Disc. Notes
1.44% due 09/14/04 .................................. 200 199
1.475% due 09/30/04 ................................. 100 100
Federal National Mortgage Assoc. - Disc. Notes
1.105% due 09/01/04 ................................. 500 499
1.06% due 07/21/04 .................................. 200 200
1.185% due 08/25/04 ................................. 600 599
U.S.Government Agencies - Continued
1.20% due 09/08/04 .................................. $ 900 $ 897
1.415% due 09/15/04 ................................. 900 897
1.53% due 10/18/04 .................................. 200 199
--------
4,189
TOTAL COMMERCIAL PAPER-
(Cost $20,060) 40.3% 20,060
------- --------
TOTAL INVESTMENTS-
(Cost $59,254) 118.0% 58,724
Payables, less cash and receivables- (18.0)% (8,970)
------- --------
NET ASSETS- 100.0% $ 49,754
======= ========
(a) Pursuant to Rule 144A under the Securities Act of 1933, these securities
may be resold in transactions exempt from registration, normally to
qualified institutional buyers. At June 30, 2004, securities aggregated
$2,201 or 4.4% of net assets of the Portfolio.
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
NOTE A--ORGANIZATION
John Hancock Total Return Bond Fund (the "Fund"), which commenced
operations on May 1, 2003, is a diversified series of John Hancock Variable
Series Trust I (the "Trust"), an open-end investment management company
registered under the Investment Company Act of 1940. The Trust is organized as a
Massachusetts business trust and consists of thirty different funds as of June
30, 2004. The results of this Fund are included in this report. The results of
the other Funds in the Trust are presented under separate cover. The Trust may
add or delete Funds in the future to accommodate various investment objectives.
The Trust has issued shares of beneficial interest exclusively to John Hancock
Variable Life Account U ("JHVLAU"), John Hancock Variable Life Account V
("JHVLAV"), John Hancock Variable Life Account S ("JHVLAS"), and John Hancock
Variable Annuity Account I ("JHVAAI") to fund policies and contracts issued by
the John Hancock Variable Life Insurance Company ("JHVLICO"), and to John
Hancock Variable Annuity Account U ("JHVAAU"), John Hancock Variable Annuity
Account V ("JHVAAV"), John Hancock Variable Life Account UV ("JHVLAUV"), John
Hancock Variable Annuity Account H ("JHVAAH"), and John Hancock Variable Annuity
Account JF ("JHVAAJF") to fund contracts and policies issued by John Hancock
Life Insurance Company ("John Hancock" or "JHLICO"), to John Hancock Variable
Life Account PPM-1 ("PPM-1"), and to John Hancock Variable Life Account PPM-2
("PPM-2").
NOTE B--ACCOUNTING POLICIES
Valuation of investments: The Fund determines its net asset value per share
once daily as of the close of the customary trading session of the New York
Stock Exchange ("Exchange") on each business day of the Fund. The Exchange
generally closes at 4:00 p.m. Eastern Standard Time. However, ETF's and certain
derivative instruments may be valued using prices as late as 4:15 p.m. Eastern
Standard Time. In the event the Exchange closes at any time other than 4:00 p.m.
Eastern Standard Time on a particular day, the Fund will determine its net asset
value per share as of the close of the Exchange on that day. Investment security
transations are recorded on the date of purchase or sale.
Debt investment securities having a primary market over-the-counter are
valued on the basis of valuations furnished by a pricing service which
determines valuations for normal institutional size trading units of debt
securities, without exclusive reliance upon quoted prices.
Short-term investments, with a maturity not to exceed 60 days, are valued
at amortized cost, which approximates market value.
Investment securities for which no current market quotations are readily
available, including certain foreign securities, when held by the Fund, are
valued at fair value as determined in good faith by the Board of Trustees.
Occasionally, events that affect the values of such securities may occur between
the times at which they are generally determined and the close of the New York
Stock Exchange. In such events, these securities will then be valued at their
fair value as determined in good faith under consistently applied procedures
established by and under the general supervision of the Board of Trustees. Three
types of significant events require valuation of a portfolio security. In each
situation, the significant event has rendered the price of the affected security
as not "readily available."
The first type of significant events involves single issuer specific events
that affect only the price of one particular portfolio security. Examples
include, but are not limited to: corporate reorganizations, mergers, corporate
announcements of earnings, buyouts, and significant litigation involving the
issuer of the portfolio security.
The second type of significant events involves events that may relate to
more than one issuer. These events could include, for example: governmental
actions affecting securities in a sector, country or region; a natural disaster;
an armed conflict; or a similar situation affecting a country, region or sector.
The third category of significant events involves significant fluctuations
in domestic or foreign markets that may affect the prices of all portfolio
securities belonging to a particular market. There are a number of factors that
may indicate a market fluctuation significant event has occurred, including, but
not limited to, a swing in the U.S. market indexes, a swing in particular
foreign market indexes, or a significant price change in Exchange Traded Funds
in a particular foreign market.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Repurchase agreements: The Fund may enter into repurchase agreements which
are contracts under which the Fund would acquire a security for a relatively
short period (usually not more than 7 days) subject to the obligation of the
seller to repurchase and the Fund to resell such security at a fixed time and
price (representing the Fund's cost plus interest). The Fund will enter into
repurchase agreements only with member banks of the Federal Reserve System and
with "primary dealers" in United States Government Securities. The underlying
securities, which represent the collateral of the agreement, must be marked to
market daily to ensure that each repurchase agreement is fully collateralized at
all times. The Fund will not invest more than 10% of its net assets in
repurchase agreements maturing in more than 7 days.
Joint trading account: Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the order permits the Fund to pool daily
uninvested cash balances into a joint account for the purpose of investing the
cash balances in short-term repurchase agreements, commercial paper and other
short-term investments which in no event will have a maturity in excess of 7
days. Joint account holdings as of June 30, 2004 are as follows:
Name of Issuer Market Value
- ------------- ------------
Alpine Securitization Corp., 1.20%, due 07/02/04 $ 29,999
American General Finance Corp., 1.26%, due 07/07/04 29,994
Barton Capital Corp., 1.06%, due 07/01/04 12,000
Barton Capital Corp., 1.20%, due 07/01/04 18,000
Citicorp, 1.25%, due 07/02/04 29,999
Clipper Receivables Corp., 1.50%, due 07/01/04 30,000
ED & F Man Treasury Management, 1.46%, due 07/01/04 11,282
Gemini Securitization Corp., Inc., 1.5%, due 07/01/04 30,000
Goldman Sachs Group, 1.25%, due 07/02/04 19,999
Goldman Sachs Group, 1.27%, due 07/06/04 9,998
National Australia Funding, 1.22%, due 07/02/04 5,700
Receivables Capital Corp., 1.34%, due 07/07/04 1,051
Societe Generale North, 1.32%, due 07/06/04 14,997
Surrey Funding Corp., 1.50%, due 07/01/04 30,000
Three Pillars Funding Corp. 1.30%, due 07/06/04 29,995
--------
Joint Trading Account Totals $303,014
========
Currency translation: All assets or liabilities initially expressed in
terms of foreign currencies are translated into U.S. dollars based on London
currency exchange quotations as of 5:00 p.m., London time, on the date of any
determination of the net asset value of the Fund. Unrealized exchange
adjustments are included in unrealized appreciation (depreciation) of
investments. Transactions affecting statement of operations accounts and net
realized gain (loss) on investments are translated at the rates prevailing at
the dates of transactions.
The Fund does not isolate that portion of the results of operations
resulting from changes in foreign exchange rates on investments from the
fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gains or losses
from investments.
Reported net realized gains and losses on foreign currency transactions
represent net gains and losses from sales and maturities of forward foreign
currency contracts, disposition of foreign currencies, currency gains and losses
realized between trade and settlement dates of security transactions, and the
difference between the amounts of net investment income accrued and the U.S.
dollar amount actually received. Net unrealized foreign exchange gains and
losses arise from changes in the value of assets and liabilities other than
investments in securities, resulting from changes in the exchange rate.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Discount and premium on debt securities: The Fund accretes discount and
amortizes premium from par value on securities from either the date of issue or
the date of purchase over the life of the security.
Expenses: Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributed to the Fund are allocated on the basis of
relative net assets of the Fund.
Bank borrowings: The Fund is permitted to have bank borrowings for
temporary or emergency purposes, including the meeting of redemption requests
that otherwise might require the untimely disposition of securities. The Fund
has entered into syndicated line of credit agreements with State Street Bank and
Trust Company ("SSBT"), the Trust's record keeper and custodian, and the Bank of
New York. These agreements enable the Fund to participate in an unsecured line
of credit, which permits borrowings up to $125 and $75 million, respectively.
Interest is charged to the Fund, based on its borrowing. In addition, a
commitment fee is charged to the Fund based on the average daily unused portion
of the line of credit and is allocated among the participating Funds in the
Trust. Interest expense paid under the line of credit is included under the
caption "Other fees" in the Statement of Operations. For the period ended June
30, 2004, the Fund had no bank borrowings.
Financial futures contracts: The Fund may buy and sell financial futures
contracts to hedge against the effects of fluctuations in interest rates and
other market conditions. At the time the Fund enters into a financial futures
contract, it will be required to deposit with its custodian a specified amount
of cash or U.S. government securities, known as "initial margin". Each day, the
futures contract is valued at the official settlement price of the Chicago Board
of Trade or U.S. commodities exchange. Daily adjustments, called variation
margin, arising from this "mark to market", are recorded by the Fund as
unrealized gains or losses.
When the contracts are closed, the Fund recognizes a gain or a loss. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and/or that a change in the value of the contract may not
correlate with changes in the value of the underlying securities. In addition,
the Fund could be prevented from opening or realizing the benefits of closing
out futures positions because of position limits or limits on daily price
fluctuations imposed by an exchange. At June 30, 2004, the Fund had no open
financial futures contracts.
Forward foreign currency contracts: The Fund may use forward foreign
currency contracts to facilitate transactions in foreign securities and to
manage the Fund's currency exposure. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuations. Neither type of
forward foreign currency transaction will eliminate fluctuations in the prices
of the Fund's securities or prevent loss if the price of such securities should
decline. The U.S. dollar value of a forward foreign currency contract is
determined using forward exchange rates supplied by a quotation service.
Realized gain (loss) on the purchases and sales of forward foreign currency
contracts is recognized on settlement date.
As of June 30, 2004, the Fund had open forward foreign currency contracts
which contractually obligate the Fund to deliver or receive currencies at a
specified date, as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Principal Amount Unrealized
Currency Purchased Covered by Contract Expiration Month Gain (Loss)
- ------------------ ------------------- ---------------- -----------
Brazilian Real 18 September 04 $--
Chilean Peso 29 August 04 --
Chilean Peso 19 September 04 --
Hong Kong Dollar 10 July 04 --
Hong Kong Dollar 30 September 04 --
Indian Rupee 30 September 04 --
Japanese Yen 504 July 04 2
South Korean Won 10 July 04 --
South Korean Won 20 September 04 --
Mexican Peso 77 August 04 --
Mexican Peso 20 September 04 --
Peruvian Nouveau 20 September 04 --
New Russian Ruble 19 September 04 --
Singapore Dollar 10 July 04 --
Singapore Dollar 20 September 04 --
New Taiwan Dollar 20 September 04 --
South African Rand 21 September 04 --
---
$ 2
===
Currency Sold
- -------------
Euro 1,041 July 04 $11
South African Rand 13 September 04 --
---
$11
---
$13
===
Options: The Fund may use option contracts to manage its exposure to the
bond market and to fluctuations in interest rates and currency values. Option
contracts tend to increase or decrease the Fund's exposure to the underlying
instrument or hedge other fund investments.
When the Fund purchases an option, the premium paid by the Fund is included
in the Fund's Statement of Assets and Liabilities as an investment and
subsequently "marked to market" to reflect the option's current market value.
Purchased options are valued at the last sale price on the market on which they
are principally traded. If the purchased option expires, the Fund realizes a
loss in the amount of the premium. If the Fund enters into a closing sale
transaction, it realizes a gain or loss, depending on whether the proceeds from
the sale are greater or less than the cost of the option. If the Fund exercises
a call option, the cost of the securities acquired by exercising the call is
increased by the premium paid to buy the call. If the Fund exercises a put
option, it realizes a gain or loss from the sale of the underlying security and
the proceeds from such sale are decreased by the premium originally paid. The
risk associated with purchasing options is limited to the premium originally
paid.
When the Fund writes an option, the premium received by the Fund is
presented in the Fund's Statement of Assets and Liabilities as an asset and an
equivalent liability. The amount of the liability is subsequently "marked to
market" to reflect the current market value of the option written. Written
options are valued at the last sale price or, in the absence of
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
a sale, the last offering price on the market on which they are principally
traded. If an option expires on its stipulated expiration date, or if the Fund
enters into a closing purchase transaction, the Fund realizes a gain (or loss if
the cost of a closing purchase transaction exceeds the premium received when the
option was written) without regard to any unrealized gain or loss on the
underlying security, and the liability related to such option is extinguished.
If a written option is exercised, the Fund realizes a gain or loss from the sale
of the underlying security and the proceeds of the sale are increased by the
premium originally received. If a written put option is exercised, the amount of
the premium originally received reduces the cost of the security which the Fund
purchases upon exercise of the option.
The risk in writing a call option is that the Fund relinquishes the
opportunity to profit if the market price of the underlying security increases
and the option is exercised. In writing a put option, the Fund assumes the risk
of incurring a loss if the market price of the underlying security decreases and
the option is exercised. In addition, there is a risk the Fund may not be able
to enter into a closing transaction because of an illiquid secondary market, or
if the counterparties do not preform under the contracts' terms.
As of June 30, 2004, the Fund had open written options as follows:
Open
Contracts Strike Price Expiration Month Market Value
--------- ------------ ---------------- ------------
OTC EWPO 3ML 6.0 (Put) 2,000 6.0 October04 $ (1)
OTC EWCO 3ML 3.8 (Call) 2,000 3.8 October04 (1)
OTC EWPO 3ML 5.5 (Put) 2,100 5.5 October04 (19)
OTC EWCO 3ML 3.75 (Call) 3,800 3.75 October04 --
----
$(21)
====
Swap Agreements: The Fund may invest in swap agreements which involve the
exchange of cash payments based on the specified terms and conditions of such
agreements. A swap is an agreement to exchange the return generated by one
investment for the return generated by another instrument. The value of each
swap is determined by the counterparty to the swap agreement using a methodology
which discounts the expected future cash receipts or disbursements related to
the swap. The Fund may also enter into interest rate swap agreements which
involve the exchange by the Fund with another party of their respective
commitments to pay or receive interest, (e.g., an exchange of floating rate
payments with respect to a notional amount of principal). Interest rate swaps
are "marked-to-market" daily. Net market value is reported as an asset or a
liability in the Statement of Assets and Liabilities. The cash paid or received
on a swap is recognized as income or expense when such a payment is paid or
received.
Entering into swap agreements involves, to varying degrees, elements of
credit risk, market risk and interest rate risk in excess of the amount
recognized in the Statement of Assets and Liabilities. Such risks involve the
possibility that there is not a liquid market for these agreements, that the
counterparty to the agreements may default on its obligation to perform and that
there may be unfavorable changes in market conditions or interest rates.
Swap agreements which were open for the period ended June 30, 2004 are
summarized as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Net Unrealized
Appreciation
Par Value Interest Rate Swaps: Counter Party (Depreciation)
- --------- -------------------- -------------- --------------
9,000 To make or receive semi-annual pay- Morgan Stanley $(266)
ments through 12/15/2009 based on the
difference between (A) the fixed rate of 4.00%
and (B) floating rate of 3 Month LIBOR,
adjusted every 3 months.
400 To make or receive semi-annual pay- Bank of (12)
ments through 12/15/2009 based on the America
difference between (A) the fixed rate of
4.00% and (B) floating rate of 3 Month
LIBOR, adjusted every 3 months.
3,500 To make or receive semi-annual pay- Barclays (45)
(EURO) ments through 6/17/2010 based on the
difference between (A) the fixed rate of 4.00%
and (B) floating rate of 6 Month EURIBOR,
adjusted every 6 months.
300 To make or receive semi-annual pay- Bank of 8
ments through 12/15/2014 based on the America
difference between (A) the fixed rate of
5.00% and (B) floating rate of 3 Month
LIBOR, adjusted every 3 months.
2,600 To make or receive semi-annual pay- JP Morgan 67
ments through 12/15/2014 based on the
difference between (A) the fixed rate of
5.00% and (B) floating rate of 6 Month
LIBOR, adjusted every 3months.
3,800 To make or receive semi-annual pay- UBS 55
(GBP) ments through 3/20/2018 based on the
difference between (A) the fixed rate of 5.00%
and (B) floating rate of 6 Month LIBOR,
adjusted every 6 months.
4,700 To make or receive semi-annual pay- UBS 70
(EURO) ments through 3/20/2018 based on the
difference between (A) the fixed rate of 6.00%
and (B) floating rate of 6 Month EURIBOR,
adjusted every 6 months.
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE B--ACCOUNTING POLICIES--Continued
Net Unrealized
Appreciation
Par Value Credit Default Swaps: Counter Party (Depreciation)
- --------- ----------------------------------- ------------- --------------
200 To make annual fixed coupon Merrill Lynch $ --
payments through 3/09/2005 based on
the annual fixed rate of 0.97%. In
the event of a predefined "credit
event notice" of the Russian
Federation 5.0%, 3/31/2030 Note,
the Fund will receive amounts
specified under the terms of the
swap agreement.
-----
$(123)
=====
Federal income taxes: The Fund intends to comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
As of December 31, 2003, the Fund had no capital loss carryforwards on a
tax basis to be applied against any future taxable gains.
In addition, from the period November 1, 2003 through December 31, 2003,
the Fund incurred approximately $31 in net realized capital losses. As permitted
by tax regulations, the Fund intends to elect to defer these losses and treat
them as arising in the fiscal year ending on December 31, 2004.
Dividends, Interest and Distributions: Dividend income is recorded on the
ex-dividend date and interest income is recorded on the accrual basis. Realized
gains and losses from security transactions are determined on the basis of
identified cost.
Dividends of net investment income will be declared and distributed monthly
by the Fund. The Fund will distribute all of its net realized capital gains
annually, at the end of its fiscal year.
Estimates: The preparation of the financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
On February 11, 2004, the Board of Trustees of the Trust renewed its
Investment Advisory Agreement with John Hancock. For its services, John Hancock
receives monthly compensation at the following rate on an annual basis of the
Fund's net assets:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE C--INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH
AFFILIATES--Continued
Between
$250 Million and Excess Over
First $250 Million $500 Million $500 Million
- ------------------ ---------------- ------------
0.70% 0.68% 0.65%
In the event that normal operating expenses of the Fund, exclusive of
investment advisory fees, taxes, interest, brokerage commissions and
extraordinary expenses, shall exceed 0.10% of the Fund's daily net asset value,
John Hancock and JHVLICO will reimburse the Fund for such excess. Accordingly,
for the period ended June 30, 2004, there were no reimbursements paid to the
Fund.
John Hancock has entered into a Sub-Advisory Agreement with Pacific
Investment Management Company, and under its supervision, is responsible for the
day-to-day investment management of the Fund.
Signator Investors, Inc., a wholly owned subsidiary of John Hancock is the
principal underwriter and transfer agent of the Trust. Certain officers and
trustees of the Trust are officers and directors of JHVLICO, JHVLAU, JHVLAV,
JHVLAS, JHVAAI, JHVLAUV, JHVAAV, JHVAAU, JHVAAH, JHVAAJF, PPM-1, and PPM-2, and
some are also officers of John Hancock. Fees for independent trustees are paid
by the Trust.
NOTE D--INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities and obligations of the U.S. government, for the Fund for
the period ended June 30, 2004 were as follows:
Purchases Sales and Maturities
- --------- --------------------
$171,383 $160,956
As of June 30, 2004, transactions for written options were as follows:
Contracts Premium ($)
--------- -----------
Beginning of period 4,000 35
Options opened 5,900 42
Options closed/expired -- --
----- ---
End of period 9,900 77
The identified cost of investments owned by the Fund (including earned
discount on corporate short-term notes, and commercial paper) and their
respective gross unrealized appreciation and depreciation for Federal income tax
purposes at December 31, 2003 were as follows:
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
(000's Omitted)
NOTE D--INVESTMENT TRANSACTIONS--Continued
Identified Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
- ---------- ------------ ------------ --------------
$46,768 $11,317 $(11,064) $253
Distribution of Income and Gains: Distributions of net investment income,
if any, are made at least annually. Net realized gains from investment
transactions, in excess of available capital loss carryforwards, would be
taxable to the Fund if not distributed, and, therefore, will be distributed to
shareholders at least annually. Earnings and profits distributed to shareholders
on redemption of fund shares may be utilized by the Fund, to the extent
permissible, as part of the Fund's dividends-paid deduction on its federal
income tax returns.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax
regulations. As a result, net investment income (loss) and net realized gain
(loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. These differences primarily
relate to certain securities sold at a loss and sales of certain foreign
currency denominated debt securities. Additionally, as a result, net investment
income (loss) and net realized gain (loss) on investment transactions for a
reporting period may differ significantly from distributions during such period.
Accordingly, the Fund may periodically make reclassifications among certain of
its capital accounts without impacting the net asset value of the Fund.
At December 31, 2003, the Fund's components of distributable earnings on a tax
basis were as follows:
Undistributed Undistributed
Ordinary Net Long-Term Capital Loss Net Unrealized
Income Capital Gain Carryforwards Appreciation
- ------------- ------------- ------------- --------------
$3 $-- $-- $253
In addition, the tax character of distributions paid by the Fund are
summarized as follows:
Distributions from Distributions from
Year Ordinary Income Long-Term Capital Gain Return of Capital
- ---- ------------------ ---------------------- -----------------
2003 $573 $-- $--
NOTES TO FINANCIAL STATEMENTS
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
ADDITIONAL INFORMATION
Beginning in August 2004, information regarding how the Funds voted proxies
relating to portfolio securities during the most recent twelve-month period
ended June 30, 2004, will be available on the SEC's website at
http://www.sec.gov. To obtain a written copy without charge, call us toll free
at 1-800-576-2227.
BOARD OF TRUSTEES AND OFFICERS OF THE TRUST
The Board of Trustees of the Trust is responsible for overall management of
the Trust. The Board may exercise all powers of the Trust, except those powers
which are conferred solely upon or reserved to the shareholders. The Trust's
Statement of Additional Information (SAI) includes additional information about
the Trustees and is available without charge, upon request, by calling toll-free
at 1-800-576-2227.
The following table provides information about the members of the Board of
Trustees and the officers of the Trust:
Disinterested Trustees
Position with Principal Occupation(s)
Name, Address and Age the Trust During Past Five Years
- --------------------- ------------- -----------------------
Elizabeth G. Cook (age 66) Trustee Expressive Arts Therapist, Dana-
c/o John Hancock Variable Series (Since 1993) Farber Cancer Institute; President,
Trust I The Advertising Club of Greater
John Hancock Place Boston
Boston, Massachusetts 02117
Diane C. Kessler (age 57) Trustee Executive Director, Massachusetts
c/o John Hancock Variable Series (Since 1999) Council of Churches
Trust I
John Hancock Place
Boston, Massachusetts 02117
Robert Verdonck (age 58) Trustee President and Chief
c/o John Hancock Variable Series (Since 1999) Executive Officer, East Boston
Trust I Savings Bank
John Hancock Place
Boston, Massachusetts 02117
Hassell H. McClellan (age 58) Trustee Associate Professor and Graduate
c/o John Hancock Variable Series (Since 2001) Dean, The Graduate School of the
Trust I Wallace G. Carroll School of
John Hancock Place Management, Boston College
Boston, Massachusetts 02117
NOTES TO FINANCIAL STATEMENTS--Continued
JOHN HANCOCK VARIABLE SERIES TRUST I
(UNAUDITED)
June 30, 2004
- --------------------------------------------------------------------------------
Trustees Affiliated with the Trust and Officers of the Trust
Position with Principal Occupation(s)
Name, Address and Age the Trust During Past Five Years
- --------------------- ------------- -----------------------
Michele G. Van Leer* (age 46) Chairman and Executive Vice President, Long
John Hancock Place Trustee Term Care, John Hancock Life
Boston, Massachusetts 02117 (Since 1998) Insurance Company; Senior Vice
President, Product Management,
John Hancock Life Insurance
Company; Vice Chairman, President
& Director, John Hancock Variable
Life Insurance Company
Ronald J. Bocage (age 58) Chief Legal Vice President & Counsel, John
John Hancock Place Officer Hancock Life Insurance Company
Boston, Massachusetts 02117 (Since 2003)
Jude A. Curtis (age 45) Compliance Vice President and Chief Investment
John Hancock Place Officer Compliance Officer, John Hancock
Boston, Massachusetts 02117 (Since 2000) Life Insurance Company; formerly
Second Vice President and Counsel,
Office of Business Conduct; John
Hancock Life Insurance Company;
formerly a Partner at Hale and Dorr
LLP (law firm)
Janet Wang (age 35) Assistant Compliance Specialist, John
John Hancock Place Compliance Officer Hancock Life Insurance Company
Boston, Massachusetts 02117 (Since 2003)
Raymond F. Skiba (age 58) Treasurer Director of Fund Operations, John
John Hancock Place (Since 1986) Hancock Life Insurance Company
Boston, Massachusetts 02117
Gladys C. Millan (age 57) Assistant Treasurer Manager of Fund Operations, John
John Hancock Place (Since 2003) Hancock Life Insurance Company
Boston, Massachusetts 02117
Karen Q. Visconti (age 50) Secretary Director, Product & Market
John Hancock Place (Since 1999) Management, John Hancock Life
Boston, Massachusetts 02117 Insurance Company
Arnold R. Bergman (age 53) Assistant Secretary Senior Counsel, Law Department,
John Hancock Place (Since 1999) John Hancock Life Insurance
Boston, Massachusetts 02117 company; formerly Vice President,
General Counsel and Secretary, First
Variable Life Insurance Company
*Trustee who is an "interested person" as defined in the 1940 Act, due to
her position with John Hancock Life Insurance Company (or its affiliates), the
ultimate controlling parent of the investment advisor.
Because the Trust does not hold regular annual shareholders meetings, each
Trustee holds office for an indefinite term until his successor is duly elected
and qualified or until he dies, retires, resigns, is removed or becomes
disqualified. None of the Trustees is a director of other complexes except noted
above.
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[LOGO] John Hancock.
WORLDWIDE SPONSOR
The John Hancock Variable Series Trust I consists of funds used as investment
options for various John Hancock variable life and variable annuity contracts.
Investors are not able to invest directly in the John Hancock Variable Series
Trust I. The investment adviser for each fund is John Hancock Life Insurance
Company, but the Trust employs a subadviser for each fund. The subadvisers are
identified in the reports contained in this booklet.
If the total investment return for any fund for any given year appears unusually
high, the return may be attributable to unusually favorable market conditions
which will probably not be sustainable. For instance, a high total investment
return may reflect participation in IPOs, "hot" industries (e.g.,
internet-related companies), private placements, and/or leveraging investment
techniques during the period indicated. There is no assurance that any of those
methods, or any other investment technique will continue to have the same impact
on the fund's total investment returns.
All of the funds (except bond funds and equity index funds) may participate in
initial public offerings (IPOs). Under certain market conditions, such
participation could significantly improve a fund's total investment return.
There is no assurance that such market conditions will continue and provide the
same favorable impact on future investment returns.
Please refer to the prospectus for your product for additional information about
the investment options available. Variable life insurance and variable annuities
are sold by prospectus. These reports may be used as sales literature when
preceeded or accompanied by the funds' prospectus, which detail charges,
investment objectives, and operating policies. Read the prospectus carefully
before investing or sending money.
Insurance products are issued by John Hancock Life Insurance Company, or John
Hancock Variable Life Insurance Company* (*not licensed in New York), Boston, MA
02117. Securities products are distributed by Signator Investors, Inc., Member
NASD, SIPC, 197 Clarendon Street, Boston, MA 02116.
[LOGO] IMSA
INSURANCE
MARKET PLACE
STANDARDS
ASSOCIATION
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) Disclosure Controls and Procedures. The Principal Executive and
Financial Officers concluded that the Registrant's Disclosure Controls
and Procedures are effective based on their evaluation of these
controls and procedures as of a date within 90 days of the filing date
of the report.
(b) Internal Controls. There were no significant changes in Registrant's
internal controls or in other factors that could significantly affect
these actions with regard to significant deficiencies and material
weaknesses.
ITEM 10. EXHIBITS.
(a) Not applicable.
(b) Section 302 Certifications.
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.
John Hancock Variable Series Trust I
(Registrant)
By: /s/ MICHELE G. VAN LEER
-----------------------------------
Michele G. Van Leer
Chairman
Date: August 13, 2004
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.
John Hancock Variable Series Trust I
(Registrant)
By: /s/ MICHELE G. VAN LEER
-----------------------------------
Michele G. Van Leer
Chairman
Date: August 13, 2004
By: /s/ RAYMOND F. SKIBA
-----------------------------------
Raymond F. Skiba
Treasurer
Date: August 13, 2004