-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, PVqdXy4Rz4mE/P8z7eoi9gWj2CxsvB8cfjUK1OTCudNIU2UKLw9BZqm8JJmMFfBc T8zo8QiAI/KvQ22X80ywRw== 0001193125-03-043727.txt : 20030829 0001193125-03-043727.hdr.sgml : 20030829 20030829115652 ACCESSION NUMBER: 0001193125-03-043727 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20030630 FILED AS OF DATE: 20030829 EFFECTIVENESS DATE: 20030829 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ALLMERICA INVESTMENT TRUST CENTRAL INDEX KEY: 0000756742 IRS NUMBER: 043158748 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-04138 FILM NUMBER: 03873095 BUSINESS ADDRESS: STREET 1: 440 LINCOLN ST CITY: WORCESTER STATE: MA ZIP: 01605 BUSINESS PHONE: 5088551000 MAIL ADDRESS: STREET 2: 440 LINCOLN ST MB 260 CITY: WORCESTER STATE: MA ZIP: 01653 FORMER COMPANY: FORMER CONFORMED NAME: SMA INVESTMENT TRUST DATE OF NAME CHANGE: 19920514 N-CSRS 1 dncsrs.txt ALLMERICA INVESTMENT TRUST UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-04138 ----------------------------------- Allmerica Investment Trust (Name of Registrant) ----------------------------------- 440 Lincoln Street Worcester, Massachusetts 01653 (Address of Principal Executive Offices) ----------------------------------- George M. Boyd, Secretary Allmerica Financial 440 Lincoln Street Worcester, MA 01653 (Name and Address of Agent for Service) ----------------------------------- Registrant's Telephone Number, including Area Code: (508) 855-1000 ----------------------------------- Date of Fiscal Year End: December 31 ----------- Date of Reporting Period: June 30, 2003 ------------- Item 1. Reports to Stockholders The following are copies of the reports transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: Allmerica Investment Trust Semi-Annual Report June 30, 2003 Allmerica Investment Trust - Money Market Fund Semi-Annual Report June 30, 2003 Allmerica Financial Semi-Annual Report - -------------------------------------------------------------------------------- June 30, 2003 Allmerica Investment Trust [GRAPHIC] AIT 2003 [LOGO] Allmerica Financial(R) TABLE OF CONTENTS A Letter from the Chairman......... 1 Select Capital Appreciation Fund... 2 Select Value Opportunity Fund...... 3 Select International Equity Fund... 4 Select Growth Fund................. 5 Core Equity Fund................... 6 Equity Index Fund.................. 7 Select Investment Grade Income Fund 8 Government Bond Fund............... 9 Money Market Fund.................. 10 FINANCIALS......................... F-1
For information on ordering additional copies of this report, see Client Notices on page F-53. One or more Funds may not be available under the variable annuity or variable life insurance policy which you have chosen. Inclusion in this report of a Fund which is not available under your policy is not to be considered a solicitation. A LETTER FROM THE CHAIRMAN Dear Client: The global economy continued to sputter during the first half of 2003. At the June economic summit in France, five of the eight leading industrialized nations were either in recession or suffering from slow economic growth. Some European and Japanese officials expressed concern that a continued decline in the value of the already weak U.S. dollar could delay any global recovery. When SARS appeared in China, the country's economic growth decelerated and exports declined throughout the region. As the effects of deflation continued to wreak havoc on Japan's economy, many companies struggled to remain viable. Global stock markets dropped precipitously in the first quarter, but evolving worldwide events triggered a strong second quarter rally, leaving many indices in positive territory for the first half of 2003. Japan's Nikkei Average finished the period up 6.48%, Hong Kong's Hang Seng Index was higher by 5.60%, Germany's DAX Index rose 11.34%, England's FTSE Index gained 4.81% and France's CAC 40 Index was up 3.08%. During the period, business spending remained on hold as the United States led a war against the leaders of Iraq. When coalition forces achieved rapid success on the battlefield, several analysts predicted a surge in post-war economic activity on the home front. Consumer confidence did spike when the major fighting ended, but a stalled labor market and a continued lack of corporate investment limited the extent of the rebound. The U.S. unemployment rate reached 6.1% during the six-month period, as sluggish demand resulted in additional layoffs. In an effort to stimulate economic growth and create jobs, the U.S. Congress passed a $350 billion tax cut package and the Federal Reserve Board cut the federal funds rate by 0.25%, to a low 1.00%. The U.S. stock and bond markets seemed to be signaling better times ahead, as they posted solid returns for the first six months of 2003. The S&P 500(R) Index finished up 11.77%, the Nasdaq Composite Index was higher by 21.82% and the Lehman Brothers Aggregate Bond Index gained 3.92%. All of the Allmerica Investment Trust stock funds achieved positive returns for the first half of 2003, led by Select Capital Appreciation Fund, which gained 18.87%. Each of the Trust's fixed income portfolios also posted positive results, led by Select Investment Grade Income Fund, which returned 3.48%. During the period, following an affirmative vote at a special meeting of shareholders, five funds of Allmerica Investment Trust were merged into other funds of the Trust. Select Strategic Growth Fund and Select Aggressive Growth Fund were merged into Select Growth Fund. Select Emerging Markets Fund was merged into Select International Equity Fund. Select Growth and Income Fund was merged into Equity Index Fund. Select Strategic Income Fund was merged into Select Investment Grade Income Fund. On behalf of the Board of Trustees, /s/ John P. Kavanaugh John P. Kavanaugh Chairman of the Board Allmerica Investment Trust 1 SELECT CAPITAL APPRECIATION FUND The Select Capital Appreciation Fund returned 18.87% for the first half of 2003, outperforming its benchmark, the Russell Midcap Index, which returned 15.47%. Stocks rallied during the first six months of the year, with small-caps and growth stocks leading the market higher. The conclusion of the latest Iraq campaign helped ignite an impressively broad rally in financial assets. Investors may have been anticipating stronger economic growth in the second half of 2003, spurred by what may be a record amount of stimulus, including the new tax cut, another Federal Reserve Board interest rate cut, new highs in mortgage refinancing, easier corporate borrowing conditions and a weaker dollar. The fund benefited from the strong performance of its retail, biotechnology, generic drug, and Internet software and services holdings, among others. Top contributors included a pharmacy services provider, a consumer electronics retailer, a growth-oriented investment manager and an Internet security software firm. Top detractors included an identification and credentials database manager, an information technology services and outsourcing provider, a defensive stock that has more than doubled in the past three years, a human resources consulting and outsourcing firm and a medical research supplies maker. The investment sub-adviser remains optimistic about the U.S. economy, believing that it may grow more strongly in the second half of 2003. But just as the downturn was relatively mild, the investment sub-adviser expects economic growth to be modest over the next few years, with the revival of business capital spending being key to a sustainable economic recovery. In a slow-growth environment, mid-cap growth stocks may offer an attractive investment opportunity because they have the potential to grow faster than larger companies. Average Annual Total Returns
1 Year 5 Year Life of Fund Select Capital Appreciation Fund 4.63% 5.15% 11.51% Russell Midcap Index 2.63% 3.35% 11.13% Lipper Mid-Cap Growth Funds Average 0.34% (1.55)% 7.21%
Growth of a $10,000 Investment Since 1995 [CHART] Select Capital Russell Midcap Appreciation Fund Index ----------------- -------------- 4/28/1995 Inception Date $10,000 $10,000 6/30/1995 11,340 10,676 6/30/1996 15,859 13,078 6/30/1997 15,757 16,079 6/30/1998 18,967 20,098 6/30/1999 22,142 22,373 6/30/2000 26,210 25,203 6/30/2001 26,247 25,444 6/30/2002 23,302 23,100 6/30/2003 24,381 23,706 The Select Capital Appreciation Fund is a portfolio of Allmerica Investment Trust. Portfolio composition will vary over time. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Russell Midcap Index measures the performance of the 800 smallest companies in the Russell 1000 Index. The Lipper Mid-Cap Growth Funds Average is a non-weighted average of funds within the mid-cap growth investment objective. Performance numbers are net of all fund operating expenses, but do not include insurance charges. If performance information included the effect of these additional charges, it would have been lower. Performance prior to 4/1/98 is that of a prior Sub-Adviser. Investment Sub-Adviser T. Rowe Price Associates, Inc. About the Fund Seeks long-term growth of capital by investing primarily in mid-cap growth stocks selling at reasonable prices. Portfolio Composition As of June 30, 2003, the sector allocation of net assets was: [CHART] Commercial Services 11% Pharmaceuticals 10% Computer Software & Processing 9% Retailers 8% Medical Supplies 6% Financial Services 6% Electronics 5% Health Care Providers 5% Heavy Machinery 5% Other 35% - -------------------------------------------------------------------------------- 2 SELECT VALUE OPPORTUNITY FUND The Select Value Opportunity Fund returned 12.78% for the first half of 2003, underperforming its benchmark, the Russell 2500 Value Index, which returned 15.49%. The two largest contributors to performance during the first half of the year were a major reinsurance company and a large West Coast utility. The magnitude of the reinsurance company's profit opportunity became evident when it reported excellent first quarter earnings. The fund purchased shares in the West Coast utility after the shares had become depressed and, in the opinion of the investment sub-adviser, did not reflect the true earning power of the business. A large cable television company and a major provider of health plans were also positive contributors to the fund, after reporting earnings that were better than expected. Other positive contributors to performance included health care companies, technology related service companies and a discount retailer. The leading detractors from performance were a manufacturer of plastic building products, a regional trucking company and a manufacturer of paper products. Despite the recent market rally, the investment sub-adviser continues to find numerous investment opportunities that may support future performance. Historically, the financial markets have anticipated and led trends in the real economy, so the investment sub-adviser believes it is not surprising that stocks have gone up while business spending remains weak, employment has not yet rebounded and earnings remain depressed in many industries. In order for improved performance to be sustained, however, the investment sub-adviser feels that investors will need to see more evidence of a recovery in business conditions. Hence, the investment sub-adviser thinks that the equity markets may remain choppy until there are clear signs of better earnings prospects. Average Annual Total Returns
1 Year 5 Year 10 Year Select Value Opportunity Fund 0.32% 5.64% 10.81% Russell 2500 Value Index (0.61)% 5.39% 11.88% Lipper Mid-Cap Value Funds Average (1.67)% 5.15% 10.65%
Growth of a $10,000 Investment Since 1993 [CHART] Select Value Russell 2500 Opportunity Fund Value Index ---------------- ------------ 6/30/1993 $10,000 $10,000 6/30/1994 10,746 10,746 6/30/1995 11,637 11,635 6/30/1996 14,654 14,652 6/30/1997 18,233 18,228 6/30/1998 21,227 21,221 6/30/1999 22,294 21,032 6/30/2000 22,141 20,805 6/30/2001 28,645 26,042 6/30/2002 27,838 27,755 6/30/2003 27,927 27,589 The Select Value Opportunity Fund is a portfolio of Allmerica Investment Trust. Portfolio composition will vary over time. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Russell 2500 Value Index is a capitalization weighted index measuring the performance of those Russell 2500 companies with both lower price-to-book ratios and forecasted growth values. The Lipper Mid-Cap Value Funds Average is a non-weighted average of mid-cap value funds. Performance numbers are net of all fund operating expenses, but do not include insurance charges. If performance information included the effect of these additional charges, it would have been lower. Performance prior to 1/1/97 is that of a prior Sub-Adviser. Investment Sub-Adviser Cramer Rosenthal McGlynn, LLC About the Fund Seeks long-term growth of capital by investing primarily in small and mid-sized companies believed to be undervalued. Portfolio Composition As of June 30, 2003, the sector allocation of net assets was: [CHART] Insurance 13% Commercial Services 9% Electric Utilities 8% Entertainment & Leisure 6% Banking 5% Retailers 5% Chemicals 5% Heavy Machinery 5% Medical Supplies 4% Other 40% - -------------------------------------------------------------------------------- 3 SELECT INTERNATIONAL EQUITY FUND The Select International Equity Fund returned 6.29% for the first half of 2003, underperforming its benchmark, the MSCI EAFE Index, which returned 9.85%. Most equity indices reflected declines during the first quarter prompted by the uncertain duration and magnitude of the war in Iraq and the resulting impact on the global economy. Markets rallied strongly as the prospect of a short war appeared apparent and oil prices slumped from earlier highs. In the second quarter, a sense of optimism pervaded equity markets as investors shrugged off negative news and focused on the positive. The short duration of the war in Iraq provided support for views that the global economy would pick up in the second half of 2003. In the second quarter, double-digit percentage gains were registered in most regions. This was in sharp contrast to the first quarter when the three key European markets of the Netherlands, Germany and France lost about 15%, led in part by the slump in large-capitalization stocks. Banking and insurance stocks rebounded in the second quarter, and technology stocks continued their strong showing. Europe's second largest utility was the main contributor to performance for the six-month period, while leading consumer staples stocks lagged the overall market. The investment sub-adviser believes that equities continue to offer reasonable value relative to other assets. The investment sub-adviser reports that economic indicators suggest that the recovery in the U.S. is beginning to gain some impetus, and that this should be better reflected in the second half of the year. Average Annual Total Returns
1 Year 5 Year Life of Fund Select International Equity Fund (11.26)% (4.53)% 3.61% MSCI EAFE Index (6.06)% (3.68)% 1.66% Lipper International Funds Average (7.66)% (3.33)% 2.83%
Growth of a $10,000 Investment Since 1994 [CHART] Select International Equity Fund MSCI EAFE Index -------------------- --------------- 5/2/1994 Inception Date $10,000 $10,000 6/30/1994 9,620 10,088 6/30/1995 10,573 10,285 6/30/1996 12,463 11,686 6/30/1997 15,265 13,225 6/30/1998 17,448 14,069 6/30/1999 18,351 15,184 6/30/2000 22,306 17,832 6/30/2001 17,561 13,621 6/30/2002 15,595 12,380 6/30/2003 13,839 11,629 The Select International Equity Fund is a portfolio of Allmerica Investment Trust. Portfolio composition will vary over time. Special risk considerations are associated with investments in non-U.S. companies, including fluctuating foreign exchange rates, foreign governmental regulations and differing degrees of liquidity that may adversely affect the portfolio. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The MSCI EAFE Index is an unmanaged index of European, Australian and Far East stocks. The Lipper International Funds Average is a non-weighted average of funds within the international fund category. Performance numbers are net of all fund operating expenses, but do not include insurance charges. If performance information included the effect of these additional charges, it would have been lower. Investment Sub-Adviser Bank of Ireland Asset Management (U.S.) Ltd. About the Fund Seeks maximum long-term total return by investing in non-U.S. companies based on fundamental value. Portfolio Composition As of June 30, 2003, the country allocation of net assets was: [CHART] United Kingdom 27% Japan 14% Switzerland 12% Netherlands 9% France 8% Germany 7% Italy 4% Spain 4% Other 15% - -------------------------------------------------------------------------------- 4 SELECT GROWTH FUND The Select Growth Fund returned 10.62% for the first half of 2003, underperforming its benchmark, the Russell 1000 Growth Index, which returned 13.08%. The fund recorded a positive return from the beginning of the year through the end of June, helped by a particularly strong second quarter. The broader market and the fund benefited from a post-war rally that allowed investors to focus more on improving economic and company fundamentals. In the Jennison Associates LLC portion of the fund, health care, information technology and consumer discretionary stocks led returns, as economically sensitive stocks performed particularly well. Holdings in more defensive oriented areas such as industrials and consumer staples were detractors from performance. In the Putnam Investment Management, LLC portion of the fund, health care had the greatest positive impact on the portfolio, with the health care services industry being most beneficial. A leading pharmacy benefit management company posted the largest gain when it announced record earnings for its fiscal fourth quarter and fiscal year. Stock selection in the consumer cyclicals, technology, and communication services sectors detracted from results during the period. The investment sub-advisers expect a pick up in economic activity in the latter half of the year and believe that the next move in equities will be driven by acceleration in cash flow, revenue, and earnings growth. The investment sub-advisers continue to focus on the long-term fundamentals of the companies they invest in, which may provide them with superior growth opportunities, competitive positions and attractive profit streams. They each feel that their individual stock picking approaches are well suited to identifying the companies that will become the winners in this market. Average Annual Total Returns
1 Year 5 Year 10 Year Select Growth Fund (2.60)% (6.64)% 6.24% Russell 1000 Growth Index 2.93% (5.04)% 8.29% Lipper Large-Cap Core Funds Average (1.36)% (2.66)% 7.73%
Growth of a $10,000 Investment Since 1993 [CHART] Select Growth Russell 1000 Fund Growth Index ------------- ------------ 6/30/1993 $10,000 $10,000 6/30/1994 9,792 9,970 6/30/1995 12,222 13,010 6/30/1996 14,420 16,628 6/30/1997 18,584 21,839 6/30/1998 25,818 28,697 6/30/1999 31,133 36,525 6/30/2000 36,015 45,901 6/30/2001 25,754 29,294 6/30/2002 18,801 21,534 6/30/2003 18,312 22,163 The Select Growth Fund is a portfolio of Allmerica Investment Trust. Portfolio composition will vary over time. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Russell 1000 Growth Index measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Large-Cap Core Funds Average is a non-weighted average of funds within the large-cap core investment objective. Performance numbers are net of all fund operating expenses, but do not include insurance charges. If performance information included the effect of these additional charges, it would have been lower. Performance prior to 7/1/96 is that of a prior Sub-Adviser. Jennison Associates LLC became a sub-adviser of the fund effective April 17, 2003. Investment Sub-Advisers Jennison Associates LLC Putnam Investment Management, LLC About the Fund Seeks long-term growth of capital by investing in companies believed to have long-term growth potential. Portfolio Composition As of June 30, 2003, the sector allocation of net assets was: [CHART] Pharmaceuticals 20% Retailers 9% Computers & Information 8% Electronics 8% Computer Software & Processing 7% Financial Services 5% Industrial - Diversified 4% Media - Broadcasting & Publishing 4% Beverages, Food & Tobacco 4% Medical Supplies 3% Other 28% - -------------------------------------------------------------------------------- 5 CORE EQUITY FUND The Core Equity Fund returned 11.74% for the first half of 2003, underperforming its benchmark, the Russell 1000 Index, which returned 12.34%. The U.S. equity markets performed dramatically differently in the second quarter of 2003 than they did in the first. During the first quarter, the markets were generally lower, due in large part to economic and geopolitical uncertainties. Conversely, during the second quarter, the equity markets rallied sharply as investors became increasingly optimistic about an economic revival and subsequent upturn in corporate profits. In the Goldman Sachs Asset Management, L.P. portion of the fund, performance was aided by a rebound in its media and travel and lodging holdings, while specific health care and financial positions detracted from performance. With interest rates at historically low levels, the investment sub-adviser believes that businesses may expand by raising capital and hiring more workers as demand begins to increase. In such an environment, the investment sub-adviser feels that businesses with distinct operating leverage may see margin expansion and earnings growth. In the UBS Global Asset Management (Americas) Inc. portion of the fund, performance was aided by strong stock selection and effective industry allocation. Specific telecommunications, banking and health care stocks were strong performers during the period. The fund's exposure to drug stocks aided performance, as did the fund's overweight position in the strong utilities sector. The investment sub-adviser believes that the recent technology rally lacks fundamental support and is cautious in this area. The investment sub-adviser believes that there may be opportunities within and across sectors, and feels that specific bank, utility and drug stocks may provide attractive investment opportunities going forward. Average Annual Total Returns
1 Year 5 Year 10 Year Core Equity Fund 0.92% (2.88)% 7.67% Russell 1000 Index 0.95% (1.25)% 9.93% Lipper Large-Cap Core Funds Average (1.36)% (2.66)% 7.73%
Growth of a $10,000 Investment Since 1993 [CHART] Core Equity Russell 1000 Fund Index ----------- ------------ 6/30/1993 $10,000 $10,000 6/30/1994 10,191 10,071 6/30/1995 12,481 12,637 6/30/1996 15,436 15,956 6/30/1997 19,759 21,103 6/30/1998 24,240 27,463 6/30/1999 29,871 33,483 6/30/2000 32,753 36,580 6/30/2001 26,668 31,115 6/30/2002 20,755 25,549 6/30/2003 20,946 25,791 The Core Equity Fund is a portfolio of Allmerica Investment Trust. Portfolio composition will vary over time. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Russell 1000 Index measures the performance of the 1,000 largest companies in the Russell 3000 Index. The Lipper Large-Cap Core Funds Average is a non-weighted average of funds within the large-cap core investment objective. Performance numbers are net of all fund operating expenses, but do not include insurance charges. If performance information included the effect of these additional charges, it would have been lower. Investment Sub-Advisers Goldman Sachs Asset Management, L.P. UBS Global Asset Management (Americas) Inc. About the Fund Seeks long-term growth of capital by investing in stocks that are believed to represent significant underlying value. Portfolio Composition As of June 30, 2003, the sector allocation of net assets was: [CHART] Pharmaceuticals 12% Financial Services 11% Banking 8% Media - Broadcasting & Publishing 7% Communications 5% Electric Utilities 5% Commercial Services 5% Insurance 5% Computers & Information 4% Retailers 4% Other 34% - -------------------------------------------------------------------------------- 6 EQUITY INDEX FUND The Equity Index Fund returned 11.33% for the first half of 2003, performing in line with its benchmark, the S&P 500(R) Index, which returned 11.77%. Stock prices ended the first quarter in negative territory, but surged back in the second quarter to end the first six months of 2003 solidly in positive territory. After the relatively quick conclusion to the major fighting in Iraq, many signals pointed to continued economic weakness. But, the Federal Reserve Board made it clear that it intended to cut interest rates further, fueling the rally in stocks. All sectors of the market performed well during the period, led by small and mid-cap stocks. Among large-cap stocks, the value sector outperformed, as shares of previously out-of-favor companies rebounded. The technology sector also showed exceptional relative performance. Many market strategists believe the recent market rally is a short-term phenomenon within a multi-year bear market. The rationale is that serious structural imbalances remain as a result of the huge rally of the late 1990's. The opposing view believes the current rally is the start of a firm economic recovery. This camp points to the massive fiscal and monetary stimulus and the continued willingness of the American consumer to spend. The investment sub-adviser believes that consumer confidence may get a small boost from the psychological effect of positive market returns after such a long drought, but that there may be a period of consolidation before the market can continue its upward trend. The investment sub-adviser feels that if corporate profits fail to materialize, the stock market may reverse course in the near term, pending further evidence that the economy is on solid footing. Average Annual Total Returns
1 Year 5 Year 10 Year Equity Index Fund (0.06)% (1.82)% 9.55% S&P 500(R) Index 0.25% (1.62)% 10.04% Lipper S&P 500 Index Objective Funds Average (0.13)% (1.90)% 9.66%
Growth of a $10,000 Investment Since 1993 [CHART] Equity Index Fund S&P 500/R/ Index ----------------- ---------------- 6/30/1993 $10,000 $10,000 6/30/1994 10,064 10,141 6/30/1995 12,602 12,785 6/30/1996 15,761 16,110 6/30/1997 21,072 21,700 6/30/1998 27,290 28,245 6/30/1999 33,460 34,671 6/30/2000 35,755 37,184 6/30/2001 30,496 31,666 6/30/2002 24,909 25,970 6/30/2003 24,894 26,034 The Equity Index Fund is a portfolio of Allmerica Investment Trust. Portfolio composition will vary over time. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R) Index is a registered trademark of The McGraw-Hill Companies, Inc. The Lipper S&P 500 Index Objective Funds Average is a non-weighted average of funds within the S&P 500(R) Index investment objective. Performance numbers are net of all fund operating expenses, but do not include insurance charges. If performance information included the effect of these additional charges, it would have been lower. Investment Sub-Adviser Opus Investment Management, Inc. About the Fund Seeks to replicate the returns of the S&P 500(R) Index. Portfolio Composition As of June 30, 2003, the sector allocation of net assets was: [CHART] Pharmaceuticals 12% Banking 8% Retailers 7% Financial Services 6% Oil & Gas 6% Beverages, Food & Tobacco 6% Computer Software & Processing 6% Computers & Information 5% Insurance 5% Industrial - Diversified 4% Other 35% - -------------------------------------------------------------------------------- 7 SELECT INVESTMENT GRADE INCOME FUND The Select Investment Grade Income Fund returned 3.48% for the first half of 2003, underperforming its benchmark, the Lehman Brothers Aggregate Bond Index, which returned 3.92%. The first quarter of 2003 was marked by economic and political uncertainty. The strong second quarter was powered by lower interest rates across the board, punctuated by the Federal Reserve Board cutting the federal funds rate by 0.25% to a low 1.00%. The credit sector led the way in terms of outperformance against Treasury securities during the period. Investors continued to find value in corporate bonds as Treasury yields plummeted and corporate earnings reports came in slightly better than expected. During the first quarter, the wireless, refining and media-cable sectors performed best, while utilities and finance led the way in outperformance during the second quarter. The portfolio benefited from the migration to corporate bonds since it was overweighted in that asset class. BBB-rated bonds performed the best as investors sought the highest-yielding sectors amidst one of the lowest absolute yield environments most have ever witnessed. The portfolio was more heavily invested in the higher quality securities and therefore did not get the benefit from owning the weaker bonds that produced the biggest advances. All other spread sectors posted excess returns over Treasury securities during the six-month period. Mortgage-backed securities turned in a strong first quarter, but the second quarter turned out to be lackluster. While several favorable factors contributed to extending gains into April, mortgage-backed securities suffered their worst monthly performance in years, during May. The portfolio benefited from being down in coupon and underweight the mortgage sector during the second quarter. Average Annual Total Returns
1 Year 5 Year 10 Year Select Investment Grade Income Fund 9.00% 6.51% 6.56% Lehman Brothers Aggregate Bond Index 10.40% 7.54% 7.21% Lipper Intermediate Investment Grade Debt Funds Average 10.59% 6.60% 6.34%
Growth of a $10,000 Investment Since 1993 [CHART] Select Investment Lehman Brothers Grade Income Fund Aggregate Bond Index ----------------- -------------------- 6/30/1993 $10,000 $10,000 6/30/1994 9,822 9,869 6/30/1995 11,038 11,107 6/30/1996 11,526 11,664 6/30/1997 12,489 12,615 6/30/1998 13,770 13,944 6/30/1999 14,063 14,382 6/30/2000 14,592 15,038 6/30/2001 16,108 16,727 6/30/2002 17,313 18,170 6/30/2003 18,871 20,060 The Select Investment Grade Income Fund is a portfolio of Allmerica Investment Trust. Portfolio composition will vary over time. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Lehman Brothers Aggregate Bond Index is an unmanaged index of all fixed-rate debt issues with an investment grade rating, at least one year to maturity and an outstanding par value of at least $25 million. The Lipper Intermediate Investment Grade Debt Funds Average tracks the performance of funds investing in intermediate-term corporate and government debt securities. Performance numbers are net of all fund operating expenses, but do not include insurance charges. If performance information included the effect of these additional charges, it would have been lower. Investment Sub-Adviser Opus Investment Management, Inc. About the Fund Seeks to generate a high level of total return which includes income and capital appreciation. Portfolio Composition As of June 30, 2003, the sector allocation of net assets was: [CHART] Corporate Notes & Bonds 33% U.S. Government Agency Mortgage-Backed Securities 27% U.S. Government & Agency Obligations 22% Asset-Backed & Mortgage-Backed Securities 5% Investment Company 5% Commercial Paper 3% Foreign Bonds 3% Foreign Government Obligations 2% - -------------------------------------------------------------------------------- 8 GOVERNMENT BOND FUND The Government Bond Fund returned 2.81% for the first half of 2003, outperforming its benchmark, the Lehman Brothers Intermediate Government Bond Index, which returned 2.63%. The primary reason for the Fund's outperformance in the first six months of the year was its overweight position in spread product such as U.S. Government Agency securities. During the period, low absolute interest rates pushed many bond managers to leave the safe haven of Treasury securities for higher yields. U.S. Government Agency securities benefited from this migration, since they were a cheaper and higher yielding alternative to Treasury securities. Asset-backed securities also slightly outperformed Treasuries during the period for similar reasons. Looking ahead, many analysts believe that interest rates can only go higher from here. With rates at historic lows across the yield curve and little potential for further price appreciation, navigating this low interest rate environment may prove to be a tough challenge for bond investors. However, the investment sub-adviser believes that for the remainder of 2003, a slow economic recovery, moderate GDP growth of 2.5-3.0%, and a Federal Reserve Board that is ready to act against potential deflation will result in a yield curve environment that is not much different from what we have today. The investment sub-adviser believes that further principal appreciation is unlikely and that the bulk of total return should come from the income component of fixed-income securities. For this reason, the investment sub-adviser intends to continue to maintain a slightly short to neutral duration of the portfolio relative to the benchmark, while overweighting spread product to benefit from the incremental yield. Average Annual Total Returns
Average Annual Total Returns 1 Year 5 Year 10 Year Government Bond Fund 8.48% 6.82% 6.13% Lehman Brothers Intermediate Government Bond Index 8.62% 7.28% 6.59% Lipper General U.S. Government Funds Average 10.06% 6.80% 6.44%
Growth of a $10,000 Investment Since 1993 [CHART] Lehman Brothers Intermediate Government Bond Fund Government Bond Index -------------------- ----------------------------- 6/30/1993 $10,000 $10,000 6/30/1994 10,004 9,982 6/30/1995 10,871 10,956 6/30/1996 11,354 11,497 6/30/1997 12,088 12,297 6/30/1998 13,032 13,326 6/30/1999 13,503 13,919 6/30/2000 14,041 14,542 6/30/2001 15,414 16,055 6/30/2002 16,712 17,435 6/30/2003 18,129 18,938 The Government Bond Fund is a portfolio of Allmerica Investment Trust. Portfolio composition will vary over time. The Fund is neither insured nor guaranteed by the U.S. Government. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Lehman Brothers Intermediate Government Bond Index is an unmanaged index of U.S. Government and Agency bonds with remaining maturities of one to ten years. The Lipper General U.S. Government Funds Average is the non-weighted average performance of funds investing in general U.S. Government securities. Performance numbers are net of all fund operating expenses, but do not include insurance charges. If performance information included the effect of these additional charges, it would have been lower. Investment Sub-Adviser Opus Investment Management, Inc. About the Fund Seeks high income, capital preservation and maintenance of liquidity, primarily through investments in debt instruments issued or guaranteed by the U.S. Government or its Agencies. Portfolio Composition As of June 30, 2003, the sector allocation of net assets was: [CHART] U.S. Government & Agency Obligations 87% Asset-Backed & Mortgage-Backed Securities 7% U.S. Government Agency Mortgage-Backed Securities 3% Investment Company 2% Other 1% - -------------------------------------------------------------------------------- 9 MONEY MARKET FUND The Money Market Fund returned 0.47% for the first half of 2003, outperforming its benchmark, the Money Fund Report Averages: First Tier Taxable, which returned 0.29%. The first quarter of 2003 was marked by economic and political uncertainty. The strong second quarter was powered by lower interest rates across the board, with the five-year Treasury security ending the quarter a remarkable 30 basis points lower than where it was at the beginning of the quarter. The Federal Reserve Board acted late in the second quarter, lowering the federal funds rate by 0.25% to 1.00%, and implied that rates will not be raised in the near future. The Federal Reserve Board has not said what else it may do to attempt to reinvigorate the economy. Many analysts believed that the Federal Reserve Board might employ more non-traditional methods of managing interest rates, such as buying longer-dated treasury securities, as the overnight lending rate approached 0.00%. However, the Chairman has commented about a deep-seated fear of the potential secondary effects of such actions, so cutting the federal funds rate appears to be the primary tactic the Federal Reserve Board intends to utilize. Since the major fighting in Iraq ended, the pickup in economic activity that many forecasters expected has not materialized. The jobless recovery remains intact, but growth of less than 2% has not been enough to persuade businesses to build inventories or increase capital spending. The investment sub-adviser plans to maintain a slightly short duration, between 50-55 days, and a laddered portfolio, in an attempt to provide maximum liquidity and stable current income through this ongoing market uncertainty. Average Annual Total Returns
1 Year 5 Year 10 Year Money Market Fund 1.20% 4.13% 4.55% Money Fund Report Averages: First Tier Taxable 0.79% 3.54% 4.05% Lipper Money Market Funds Average 0.98% 3.74% 4.23% Average Yield as of June 30, 2003 Money Market Fund 7-Day Yield 0.71%
Growth of a $10,000 Investment Since 1993 [CHART] Money Fund Report Averages: Money Market Fund First Tier Taxable ----------------- --------------------------- 6/93 $10,000 $10,000 6/94 10,314 10,282 6/95 10,852 10,790 6/96 11,458 11,342 6/97 12,072 11,898 6/98 12,746 12,501 6/99 13,407 13,078 6/00 14,184 13,753 6/01 15,035 14,490 6/02 15,418 14,758 6/03 15,603 14,873 The Money Market Fund is a portfolio of Allmerica Investment Trust. Portfolio composition will vary over time. The Fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to maintain a net asset value of $1.00 per share, it is possible to lose money by investing in the Fund. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Money Fund Report Averages: First Tier Taxable is published by iMoneyNet, Inc., an independent firm that tracks 2a-7 regulated money market funds on a yield, shareholder, asset size and portfolio allocation basis. The Lipper Money Market Funds Average is the average investment performance of funds within the money market category. Performance numbers are net of all fund operating expenses, but do not include insurance charges. If performance information included the effect of these additional charges, it would have been lower. Investment Sub-Adviser Opus Investment Management, Inc. About the Fund Seeks to maximize current income for investors while preserving capital and liquidity. Portfolio Composition As of June 30, 2003, the sector allocation of net assets was: [CHART] Corporate Notes 46% Commercial Paper 28% U.S. Government & Agency Obligations 15% Investment Company 8% Certificates of Deposit 3% - -------------------------------------------------------------------------------- 10 Financials Select Capital Appreciation Fund PORTFOLIO OF INVESTMENTS . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Shares (Note 2) - -------------------------------------------------------------------------------- COMMON STOCKS - 97.6% Advertising - 1.9% 125,000 Catalina Marketing Corp.* $ 2,206,250 37,100 Lamar Advertising Company* 1,306,291 101,000 Monster Worldwide, Inc. (a) 1,992,730 ----------- 5,505,271 ----------- Aerospace & Defense - 1.0% 57,000 Alliant Techsystems, Inc.* 2,958,870 ----------- Airlines - 0.1% 10,000 JetBlue Airways Corp. (a) 422,900 ----------- Apparel Retailers - 1.0% 68,000 Ross Stores, Inc. 2,906,320 ----------- Automotive - 1.8% 54,100 ITT Industries, Inc. 3,541,386 30,000 Oshkosh Truck Corp. 1,779,600 ----------- 5,320,986 ----------- Banking - 0.2% 21,000 Silicon Valley Bancshares* 500,010 ----------- Beverages, Food & Tobacco - 1.4% 61,600 Cott Corp.* 1,274,504 111,000 Starbucks Corp.* 2,721,720 ----------- 3,996,224 ----------- Chemicals - 1.0% 47,000 Potash Corp. of Saskatchewan, Inc.* (a) 3,008,000 ----------- Commercial Services - 11.0% 22,000 Apollo Group, Inc.* 1,358,720 234,000 BearingPoint, Inc.* 2,258,100 99,000 BISYS Group, Inc.* 1,818,630 92,000 Celestica, Inc.* 1,449,920 117,800 Certegy, Inc.* 3,268,950 121,000 ChoicePoint, Inc.* 4,176,920 37,600 Education Management* 1,999,568 83,000 Hewitt Associates, Inc.* (a) 1,954,650 16,000 Invitrogen Corp.* 613,920 89,000 Iron Mountain, Inc.* 3,301,010 94,200 Manpower, Inc.* 3,493,878 153,500 Robert Half International, Inc.* 2,907,290 137,000 Viad Corp. 3,067,430 38,000 WebMD Corp.* 411,540 ----------- 32,080,526 ----------- Communications - 3.0% 34,000 L-3 Communications Holdings, Inc.* (a) 1,478,660 175,000 Nextel Communications, Inc., Class A* (a) 3,164,000 165,000 Rockwell Collins, Inc. 4,063,950 ----------- 8,706,610 ----------- Computer Software & Processing - 9.4% 65,300 Adobe Systems, Inc. $ 2,094,171 58,300 Affiliated Computer Services, Class A (a) 2,666,059 35,000 Affymetrix, Inc. (a) 689,850 158,300 Ceridian Corp. (a) 2,686,351 90,400 DST Systems, Inc. (a) 3,435,200 66,100 Fiserv, Inc.* 2,353,821 36,900 Intuit, Inc.* 1,643,157 36,700 Mercury Interactive Corp.* 1,416,987 107,000 Network Associates, Inc.* (a) 1,356,760 92,000 PeopleSoft, Inc.* 1,618,280 51,000 Siebel Systems, Inc.* 486,540 71,800 SunGard Data Systems, Inc.* 1,860,338 14,100 Synopsys, Inc.* 872,085 222,700 VeriSign, Inc.* 3,079,941 40,000 VERITAS Software Corp.* 1,146,800 ----------- 27,406,340 ----------- Computers & Information - 2.0% 53,000 Diebold Inc. 2,292,250 55,300 Informatica Corp.* 382,123 15,000 Lexmark International Group, Inc.* 1,061,550 118,000 Seagate Technology, Inc.* (a) 2,082,700 ----------- 5,818,623 ----------- Cosmetics & Personal Care - 0.5% 42,000 Estee Lauder Cos., Inc., Class A 1,408,260 ----------- Electronics - 5.4% 39,200 Garmin, Ltd. (a) 1,562,904 84,600 Intersil Corp., Class A* 2,251,206 66,200 Jabil Circuit, Inc.* 1,463,020 36,300 KLA-Tencor Corp.* (a) 1,687,587 31,000 Maxim Integrated Products, Inc. 1,059,890 124,000 Microchip Technology, Inc. 3,054,120 34,800 Molex Inc., Class A 806,629 45,400 Novellus Systems, Inc.* 1,662,594 19,300 QLogic Corp.* (a) 932,769 89,000 Semtech Corp.* 1,267,360 ----------- 15,748,079 ----------- Entertainment & Leisure - 0.3% 23,000 Westwood One, Inc.* 780,390 ----------- Financial Services - 5.5% 122,000 Charles Schwab Corp. (a) 1,230,980 51,200 Eaton Vance Corp. 1,617,920 41,000 Franklin Resources, Inc. 1,601,870 35,400 Investors Financial Services Corp. 1,026,954 32,000 Legg Mason, Inc.* 2,078,400 61,400 Nationwide Financial Services, Inc. 1,995,500 66,000 Principal Financial Group, Inc. 2,128,500 165,800 Waddell & Reed Financial, Class A 4,256,086 ----------- 15,936,210 ----------- Food Retailers - 1.1% 64,300 Whole Foods Market, Inc.* (a) 3,056,179 ----------- See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-1 Select Capital Appreciation Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Shares (Note 2) - -------------------------------------------------------------------------------- Health Care Providers - 4.7% 78,000 Davita, Inc.* $ 2,088,840 134,500 Health Management Associates, Inc., Class A 2,481,525 97,000 Laboratory Corp. of America Holdings* 2,924,550 117,000 Manor Care, Inc.* (a) 2,926,170 53,000 Triad Hospitals Holdings, Inc.* 1,315,460 22,800 Wellpoint Health Networks, Inc.* 1,922,040 ------------ 13,658,585 ------------ Heavy Machinery - 4.6% 36,000 American Standard Companies, Inc.* 2,661,480 37,400 Cooper Cameron Corp.* 1,884,212 116,000 FMC Technologies, Inc.* 2,441,800 97,500 Harris Corp., Inc. 2,929,875 94,400 Smith International, Inc.* 3,468,256 ------------ 13,385,623 ------------ Insurance - 3.9% 15,000 AMBAC Financial Group, Inc. 993,750 54,700 Anthem, Inc.* 4,220,105 59,400 Protective Life Corp. 1,588,950 46,000 Radian Group, Inc. 1,685,900 31,700 Wellchoice, Inc.* 928,176 62,000 Willis Group Holdings, Ltd. 1,906,500 ------------ 11,323,381 ------------ Lodging - 0.6% 78,600 Fairmont Hotels & Resorts, Inc. 1,839,240 ------------ Media - Broadcasting & Publishing - 2.2% 94,000 Cox Radio, Inc.* 2,172,340 9,000 E.W. Scripps Co. 798,480 128,000 Rogers Communications, Inc., Class B (a) 2,054,400 45,400 Scholastic Corp.* 1,352,012 ------------ 6,377,232 ------------ Medical Supplies - 6.2% 81,000 Apogent Technologies, Inc.* 1,620,000 38,000 Cytyc Corp.* 399,760 49,000 Danaher Corp. (a) 3,334,450 201,500 Omnicare, Inc. 6,808,685 77,300 Roper Industries, Inc. 2,875,560 27,000 St. Jude Medical, Inc.* 1,552,500 52,900 Waters Corp.* 1,540,977 ------------ 18,131,932 ------------ Metals - 0.9% 82,000 Newmont Mining Corp. (a) 2,661,720 ------------ Oil & Gas - 4.5% 110,000 BJ Services Co.* 4,109,600 56,500 Devon Energy Corp.* 3,017,100 121,400 Diamond Offshore Drilling, Inc. (a) 2,548,186 28,000 Murphy Oil Corp. 1,472,800 94,400 XTO Energy, Inc. 1,898,384 ------------ 13,046,070 ------------ Personal Services - 0.8% 54,000 Weight Watchers International, Inc. (a) $ 2,456,460 ------------ Pharmaceuticals - 10.3% 71,000 Alkermes, Inc.* (a) 763,250 36,400 AmerisourceBergen Corp. (a) 2,524,340 48,300 Amylin Pharmaceuticals, Inc.* (a) 1,057,287 125,000 Andrx Corp.* 2,487,500 53,500 Barr Laboratories, Inc.* (a) 3,504,250 47,000 Cephalon, Inc.* (a) 1,934,520 66,000 Gilead Sciences, Inc.* 3,668,280 77,000 Human Genome Sciences, Inc.* 979,440 42,000 Idec Pharmaceuticals Corp.* (a) 1,428,000 88,000 IVAX Corp.* 1,570,800 68,000 Medimmune, Inc.* 2,473,160 85,000 Millennium Pharmaceuticals* (a) 1,337,050 17,400 Neurocrine Biosciences, Inc.* 868,956 47,000 Protein Design Labs, Inc.* 657,060 70,600 Teva Pharmaceutical Industries, Ltd., Sponsored ADR* (a) 4,019,258 41,000 Vertex Pharmaceuticals, Inc.* 598,600 ------------ 29,871,751 ------------ Restaurants - 0.7% 58,000 The Cheesecake Factory, Inc. (a) 2,081,620 ------------ Retailers - 7.7% 21,000 99 Cents Only Stores* 720,720 94,800 Best Buy Co., Inc.* 4,163,616 50,000 CDW Corp.* 2,290,000 110,300 Dollar Tree Stores, Inc. (a) 3,499,819 84,300 Family Dollar Stores, Inc. 3,216,045 14,000 Fastenal Co. (a) 475,160 66,000 InterActiveCorp (a) 2,611,620 8,000 MSC Industrial Co., Class A* 143,200 82,000 O'Reilly Automotive, Inc.* 2,737,980 85,000 Williams-Sonoma, Inc.* 2,482,000 ------------ 22,340,160 ------------ Telephone Systems - 0.7% 91,000 Triton PCS Holdings, Inc.* 459,550 125,400 Western Wireless Corp., Class A* (a) 1,445,862 ------------ 1,905,412 ------------ Textiles, Clothing & FABRICS - 0.8% 45,000 Coach, Inc.* 2,238,300 ------------ Transportation - 2.4% 124,000 Brunswick Corp. 3,102,480 21,000 Expedia, Inc.* (a) 1,603,980 61,000 Expeditors International of Washington, Inc. 2,113,040 ------------ 6,819,500 ------------ Total Common Stocks 283,696,784 ------------ (Cost $233,666,347) See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-2 Select Capital Appreciation Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Par Value (Note 2) - -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS (b) - 2.2% Fannie Mae - 0.8% $1,720,000 0.90%, 07/11/03 $ 1,719,570 500,000 1.00%, 07/07/03 499,917 90,000 1.15%, 07/11/03 89,971 ------------ 2,309,458 ------------ Federal Farm Credit Bank - 0.0% 61,000 1.10%, 07/08/03 60,987 ------------ Freddie Mac - 1.4% 2,783,000 0.75%, 07/01/03 2,783,000 1,060,000 0.93%, 07/10/03 1,059,753 ------------ 3,842,753 ------------ Total U.S. Government Agency Obligations 6,213,198 ------------ (Cost $6,213,199) Total Investments - 99.8% 289,909,982 ------------ (Cost $239,879,546) Net Other Assets and Liabilities - 0.2% 653,251 ------------ Total Net Assets - 100.0% $290,563,233 ============ - ---------- * Non-income producing security. (a) All or a portion of this security is out on loan at June 30, 2003; the value of the securities loaned amounted to $58,327,846. The value of collateral amounted to $60,344,701 which consisted of cash equivalents. (b) Effective yield at time of purchase. ADR American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks entitling the shareholder to all dividends and capital gains. FEDERAL INCOME TAX INFORMATION (SEE NOTE 2) At June 30, 2003, the aggregate cost of investment securities for tax purposes was $239,879,546. Net unrealized appreciation (depreciation) aggregated $50,030,436, of which $65,663,395 related to appreciated investment securities and $(15,632,959) related to depreciated investment securities. OTHER INFORMATION For the six months ended June 30, 2003, the aggregate cost of purchases and the proceeds of sales, other than from short-term investments, included $55,494,377 and $102,308,405 of non-governmental issuers, respectively. See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-3 Select Value Opportunity Fund PORTFOLIO OF INVESTMENTS . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Shares (Note 2) - -------------------------------------------------------------------------------- COMMON STOCKS - 96.3% Advertising - 1.7% 129,300 ADVO, Inc.* $ 5,740,920 ----------- Automotive - 2.2% 346,500 Goodrich (B.F.) Co. 7,276,500 267,700 Mascotech, Inc. (a) 0 ----------- 7,276,500 ----------- Banking - 5.4% 233,200 Hibernia Corp., Class A 4,234,912 315,650 North Fork Bancorp., Inc. 10,751,039 71,470 TCF Financial Corp. 2,847,365 ----------- 17,833,316 ----------- Beverages, Food & Tobacco - 1.4% 92,400 Adolph Coors Co. (b) 4,525,752 ----------- Chemicals - 4.7% 311,720 Georgia Gulf Corp. 6,172,056 194,400 International Flavors & Fragrances, Inc. 6,207,192 72,100 Valspar Corp. 3,044,062 ----------- 15,423,310 ----------- Commercial Services - 8.8% 209,800 Amdocs, Ltd.* 5,035,200 323,360 Aramark Services, Inc., Class B* 7,249,731 647,500 BearingPoint, Inc.* 6,248,375 14,300 Certegy, Inc.* 396,825 158,710 Manpower, Inc. 5,886,554 186,930 Viad Corp. 4,185,363 ----------- 29,002,048 ----------- Communications - 1.4% 193,190 Rockwell Collins, Inc. 4,758,270 ----------- Computers & Information - 1.6% 592,380 Ikon Office Solutions, Inc. 5,272,182 ----------- Containers & Packaging - 1.6% 293,620 Packaging Corp. of America* 5,411,417 ----------- Cosmetics & Personal Care - 0.6% 93,900 Dial Corp. 1,826,355 ----------- Electric Utilities - 8.0% 460,300 PG&E Corp.* 9,735,345 146,910 PPL Corp. 6,317,130 516,300 Reliant Resources, Inc. (b) 3,164,919 248,800 Wisconsin Energy Corp. 7,215,200 ----------- 26,432,594 ----------- Electrical Equipment - 1.6% 143,600 AMETEK, Inc. 5,262,940 ----------- Electronics - 1.7% 1,327,700 Agere Systems, Inc.* 3,053,710 206,500 Fairchild Semiconductor International Corp., Class A* 2,641,135 ----------- 5,694,845 ----------- Entertainment & Leisure - 5.6% 122,000 Alliance Gaming Corp.* $ 2,307,020 144,300 International Speedway Corp. (b) 5,701,293 325,250 Metro-Goldwyn-Mayer, Inc.* 4,039,605 192,500 MGM Mirage, Inc.* 6,579,650 ----------- 18,627,568 ----------- Financial Services - 0.8% 138,500 Investment Technology Group, Inc.* 2,576,100 ----------- Health Care Providers - 3.1% 208,770 Caremax Rx, Inc.* 5,361,214 226,200 LifePoint Hospitals, Inc.* 4,736,628 ----------- 10,097,842 ----------- Heavy Machinery - 4.6% 209,700 Kennametal, Inc. 7,096,248 296,400 Stanley Works 8,180,640 ----------- 15,276,888 ----------- Home Construction, Furnishings & Appliances - 1.0% 146,200 La-Z-Boy Inc. 3,271,956 ----------- Insurance - 12.8% 96,100 AMBAC Financial Group, Inc. 6,366,625 217,090 Everest Re Group, Ltd. 16,607,385 228,450 Oxford Health Plans, Inc.* 9,601,753 309,400 Willis Group Holdings, Ltd. 9,514,050 ----------- 42,089,813 ----------- Lodging - 1.6% 385,890 Extended Stay America, Inc.* 5,205,656 ----------- Media - Broadcasting & Publishing - 3.9% 208,300 Belo Corp. 4,657,588 203,386 Cablevision Systems Corp.* (b) 4,222,293 416,300 Mediacom Communications Corp.* 4,108,881 ----------- 12,988,762 ----------- Medical Supplies - 4.2% 72,340 C.R. Bard, Inc. 5,158,565 106,940 Edwards Lifesciences Corp. (b) 3,437,052 156,800 Omnicare, Inc. 5,298,272 ----------- 13,893,889 ----------- Oil & Gas - 3.6% 199,910 Forest Oil Corp.* 5,021,739 364,200 Pride International Inc. (b) 6,854,244 ----------- 11,875,983 ----------- Real Estate Investment Trust - 3.5% 316,590 Istar Financial, Inc., REIT 11,555,535 ----------- Restaurants - 2.3% 260,200 AFC Enterprises, Inc.* 4,225,648 87,470 Outback Steakhouse, Inc. 3,411,330 ----------- 7,636,978 ----------- See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-4 Select Value Opportunity Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Shares (Note 2) - -------------------------------------------------------------------------------- Retailers - 5.2% 168,700 Dollar Tree Stores, Inc. (b) $ 5,352,851 218,400 J.C. Penney Co., Inc. (b) 3,680,040 115,300 Jo-Ann Stores, Inc. (b) 2,917,090 357,190 Office Depot, Inc.* 5,182,827 ------------ 17,132,808 ------------ Transportation - 3.4% 195,700 CNF Transportation, Inc. 4,966,866 272,700 Royal Caribbean Cruises, Ltd. (b) 6,315,732 ------------ 11,282,598 ------------ Total Common Stocks 317,972,825 ------------ (Cost $277,960,173) Par Value U.S. Government Obligations (c) - 1.4% U.S. Treasury Bills - 1.4% $ 500,000 0.80%, 07/24/03 499,744 3,000,000 0.89%, 07/17/03 2,998,807 1,000,000 0.95%, 07/03/03 999,947 ------------ 4,498,498 ------------ Total U.S. Government Obligations 4,498,498 ------------ (Cost $4,498,498) Total Investments - 97.7% 322,471,323 ------------ (Cost $282,458,671) Net Other Assets and Liabilities - 2.3% 7,585,598 ------------ Total Net Assets - 100.0% $330,056,921 ============ - ---------- * Non-income producing security. (a) Contingent Value Obligation. Security valued by fund management. (b) All or a portion of this security is out on loan at June 30, 2003; the value of securities loaned amounted to $28,519,731. The value of collateral amounted to $30,011,385 which consisted of cash equivalents. (c) Effective yield at time of purchase. REIT Real Estate Investment Trust FEDERAL INCOME TAX INFORMATION (SEE NOTE 2) At June 30, 2003, the aggregate cost of investment securities for tax purposes was $282,458,671. Net unrealized appreciation (depreciation) aggregated $40,012,652, of which $47,134,403 related to appreciated investment securities and $(7,121,751) related to depreciated investment securities. OTHER INFORMATION For the six months ended June 30, 2003, the aggregate cost of purchases and the proceeds of sales, other than from short-term investments, included $143,298,679 and $199,077,682 of non-governmental issuers, respectively. See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-5 Select International Equity Fund PORTFOLIO OF INVESTMENTS . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Shares (Note 2) - -------------------------------------------------------------------------------- COMMON STOCKS - 94.9% Australia - 2.6% 348,596 Foster's Brewing Group, Ltd. (a) $ 985,559 129,509 National Australia Bank, Ltd. 2,913,554 341,186 News Corp., Ltd. 2,566,183 241,409 Westpac Banking Corp., Ltd. 2,634,421 ----------- 9,099,717 ----------- Brazil - 0.0% 301,595 Brasil Telecom SA 1,284 ----------- China - 1.0% 10,971,000 Petrochina Co., Ltd. 3,306,150 ----------- Finland - 1.5% 306,496 Nokia Oyj 5,056,403 ----------- France - 8.3% 165,743 Aventis 9,135,433 288,888 Axa 4,490,065 46,632 Lafarge SA 2,736,058 81,728 Total SA, Class B 12,373,555 ----------- 28,735,111 ----------- Germany - 6.5% 114,909 Bayer AG (a) 2,667,737 165,145 Bayerische Motoren Werke (BMW) AG 6,364,701 71,174 Deutsche Bank AG (a) 4,624,703 168,517 Veba AG 8,679,577 ----------- 22,336,718 ----------- Hong Kong - 2.0% 403,000 Cheung Kong Holdings, Ltd. 2,423,742 330,500 Hong Kong Electric 1,296,885 313,000 Sun Hung Kai Properties, Ltd. 1,581,426 351,000 Swire Pacific, Ltd. 1,534,864 ----------- 6,836,917 ----------- Ireland - 0.6% 135,643 CRH, Plc 2,139,452 ----------- Italy - 4.0% 457,468 ENI SpA (a) 6,931,293 764,108 Telecom Italia SpA (a) 6,927,056 ----------- 13,858,349 ----------- Japan - 13.8% 42,220 Acom Co., Ltd. 1,528,549 268,000 Canon, Inc. 12,318,498 42,200 Fanuc, Ltd. 2,094,599 139,000 Fuji Photo Film 4,023,608 158,200 Honda Motor Co., Ltd. 6,004,672 53,300 Hoya Corp. 3,677,089 18,400 Nintendo Co., Ltd. 1,339,996 1,510 Nippon Telegraph & Telephone Corp. 5,932,930 1,190 NTT Mobile Communcations Network, Inc. 2,581,022 19,100 Rohm Co., Ltd. (a) $ 2,085,664 58,700 Shin-Etsu Chemical Co., Ltd. 2,007,675 105,600 Takeda Chemical Industries, Ltd. 3,902,465 ----------- 47,496,767 ----------- Netherlands - 9.2% 387,591 ABN-Amro Holdings 7,424,303 285,911 Elsevier NV 3,378,073 48,082 Heineken NV 1,709,262 453,656 ING Groep NV 7,896,476 278,681 Koninklijke Ahold NV 2,318,000 287,908 Koninklijke (Royal) Phillips Electronics NV 5,485,065 104,721 TNT Post Group NV 1,821,601 58,319 VNU NV 1,800,108 ----------- 31,832,888 ----------- South Korea - 2.0% 7,925 Kookmin Bank, ADR 239,731 70,720 POSCO, ADR (a) 1,852,157 33,373 Samsung Electronics Co., Ltd., GDR (a) (b) 4,959,151 ----------- 7,051,039 ----------- Spain - 3.9% 779,497 Banco de Santander 6,842,373 583,884 Telefonica SA* 6,791,184 ----------- 13,633,557 ----------- Switzerland - 12.2% 57,222 Nestle SA 11,828,673 176,295 Novartis AG 6,988,693 86,120 Roche Holdings AG 6,767,436 111,012 Swiss Reinsurance Co. 6,161,860 188,057 UBS AG 10,480,064 ----------- 42,226,726 ----------- United Kingdom - 27.3% 1,309,987 Barclays, Plc 9,745,517 481,272 BP Amoco Capital, Plc 3,343,672 264,494 British American Tobacco Industries, Plc 3,006,173 246,080 BT Group, Plc 828,895 767,718 Cadbury Schweppes, Plc 4,543,705 520,524 Centrica, Plc 1,512,382 563,215 Compass Group, Plc, Sponsored ADR 3,042,392 755,979 Diageo, Plc 8,086,106 472,467 GlaxoSmithKline, Plc 9,552,638 590,340 Hilton Group, Plc 1,795,748 427,008 HSBC Holdings Plc 5,054,456 382,216 Kingfisher, Plc 1,751,886 807,153 Lloyds TSB Group, Plc 5,741,193 520,633 Prudential Corp., Plc 3,158,807 986,397 Shell Transportation & Trading, Plc 6,522,846 204,668 Smith & Nephew, Plc 1,178,329 96,385 Smiths Group, Plc 1,120,186 976,747 Tesco, Plc 3,540,357 908,213 Unilever, Plc 7,244,534 4,882,892 Vodafone Airtouch, Plc 9,565,790 See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-6 Select International Equity Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (UNAUDITED) - -------------------------------------------------------------------------------- Value Shares (Note 2) - -------------------------------------------------------------------------------- United Kingdom (continued) 193,356 Wolseley, Plc $ 2,142,495 229,257 WPP Group, Plc 1,800,286 ------------ 94,278,393 ------------ Total Common Stocks 327,889,471 ------------ (Cost $371,409,272) RIGHTS - 0.0% Thailand - 0.0% 100,421 TelecomAsia Corp., Public Co., Ltd.* (c) 0 ------------ Total Rights 0 ------------ (Cost $68,642) Total Investments - 94.9% 327,889,471 ------------ (Cost $371,477,914) Net Other Assets and Liabilities - 5.1% 17,461,036 ------------ Total Net Assets - 100.0% $345,350,507 ============ - ---------- * Non-income producing security. (a) All or a portion of this security is out on loan at June 30, 2003; the value of the securities loaned amounted to $23,720,637. The value of collateral amounted to $25,029,573 which consisted of cash equivalents. (b) Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold, in transactions exempt from registration, to qualified institutional buyers. At June 30, 2003, these securities amounted to $4,959,151 or 1.4% of net assets. (c) Contingent Value Obligation. Security valued by fund management. ADR American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks entitling the shareholder to all dividends and capital gains. GDR Global Depositary Receipt. A negotiable certificate held in the bank of one country representing a specific number of shares of a stock traded on an exchange of another country. FEDERAL INCOME TAX INFORMATION (SEE NOTE 2) At June 30, 2003, the aggregate cost on investment securities for tax purposes was $371,477,914. Net unrealized appreciation (depreciation) aggregated $(43,588,443), of which $17,601,598 related to appreciated investment securities and $(61,190,041) related to depreciated investment securities. OTHER INFORMATION For the six months ended June 30, 2003, the aggregate cost of purchases and the proceeds of sales, other than from short-term investments, included $46,222,091 and $101,147,104 of non-governmental issuers, respectively. FORWARD FOREIGN CURRENCY CONTRACTS PURCHASED: Contracts To Settlement Contracts At In Exchange Unrealized Receive Currency Dates Value for U.S. $ Depreciation - ------------ -------- ---------- ------------ ----------- ------------ 66,567 GBP 07/01/03 $110,049 $110,701 $(652) 950,331 HKD 07/02/03 121,866 121,869 (3) -------- -------- ----- $231,915 $232,570 $(655) ======== ======== ===== FORWARD FOREIGN CURRENCY CONTRACTS SOLD: Contracts to Settlement Contracts At In Exchange Unrealized Deliver Currency Date Value for U.S. $ Depreciation - ------------ -------- ---------- ------------ ----------- ------------ 42,293 GBP 07/01/03 $69,919 $69,598 $(321) ======= ======= ===== - ---------- GBP British Pound Sterling HKD Hong Kong Dollar Industry Concentration of Investments as a Percentage of Net Assets: Advertising 0.5% Automotive 3.6 Banking 16.8 Beverages, Food & Tobacco 10.8 Building Materials 0.6 Chemicals 2.5 Commercial Services 0.9 Communications 4.2 Electric Utilities 2.9 Electronics 8.1 Entertainment & Leisure 0.4 Financial Services 1.7 Food Retailers 2.6 Heavy Machinery 1.4 Insurance 4.0 Lodging 0.5 Media - Broadcasting & Publishing 2.3 Medical Supplies 1.4 Metals 0.5 Oil & Gas 9.8 Pharmaceuticals 10.5 Real Estate 1.2 Retailers 0.5 Telephone Systems 7.2 Net Other Assets and Liabilities 5.1 ----- Total 100.0% ===== See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-7 Select Growth Fund PORTFOLIO OF INVESTMENTS . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Shares (Note 2) - -------------------------------------------------------------------------------- COMMON STOCKS - 98.8% Advertising - 0.7% 16,100 Lamar Advertising Company* $ 566,881 47,500 Omnicom Group, Inc. 3,405,750 ----------- 3,972,631 ----------- Airlines - 0.1% 20,100 Southwest Airlines, Inc. 345,720 ----------- Apparel Retailers - 1.6% 14,800 Abercrombie & Fitch Co., Class A* 420,468 13,800 Chico's FAS, Inc.* (a) 290,490 168,900 Kohls Corp.* 8,678,082 3,900 Timberland Co.* 206,154 ----------- 9,595,194 ----------- Automotive - 0.4% 62,800 Harley-Davidson, Inc. 2,503,208 ----------- Banking - 2.4% 70,700 Banc One Corp. 2,628,626 45,400 Capital One Financial Corp. (a) 2,232,772 291,400 MBNA Corp. 6,072,776 56,600 U.S. Bancorp 1,386,700 13,400 Washington Mutual, Inc. 553,420 21,000 Wells Fargo & Co. 1,058,400 13,700 Zions Bancorp. 693,357 ----------- 14,626,051 ----------- Beverages, Food & Tobacco - 3.6% 76,400 Altria Group, Inc. 3,471,616 91,000 Anheuser-Busch Companies, Inc. 4,645,550 37,700 Coca-Cola Enterprises, Inc. 684,255 18,800 Pepsi Bottling Group, Inc. 376,376 118,700 PepsiCo, Inc. 5,282,150 5,600 Performance Food Group Co.* (a) 207,200 275,700 Starbucks Corp.* 6,760,164 15,700 Sysco Corp. 471,628 ----------- 21,898,939 ----------- Chemicals - 0.1% 8,100 Sealed Air Corp.* 386,046 ----------- Commercial Services - 2.0% 61,500 Apollo Group, Inc.* 3,798,240 15,800 Automatic Data Processing, Inc. 534,988 12,400 Fair Isaac Corp. 637,980 83,300 First Data Corp. 3,451,952 8,800 Getty Images, Inc.* 363,440 19,700 Iron Mountain, Inc.* 730,673 86,400 Paychex, Inc. 2,532,384 6,800 Quest Diagnostics, Inc.* (a) 433,840 ----------- 12,483,497 ----------- Communications - 1.9% 41,300 AOL Time Warner, Inc.* $ 664,517 21,600 Avaya, Inc.* 139,536 122,700 Ciena Corp.* 636,813 41,900 Echostar Communications Corp.* 1,450,578 11,600 L-3 Communications Holdings, Inc.* (a) 504,484 326,100 Nokia Oyj Corp., Sponsored ADR 5,357,823 82,300 Qualcomm, Inc. 2,942,225 ----------- 11,695,976 ----------- Computer Software & Processing - 7.4% 37,100 Adobe Systems, Inc. 1,189,797 16,300 Affiliated Computer Services, Class A* (a) 745,399 27,300 BEA Systems, Inc.* (a) 296,478 115,600 Computer Associates International, Inc. (a) 2,575,568 2,900 Electronic Data Systems Corp. 62,205 12,500 Fiserv, Inc.* 445,125 16,400 GTECH Holdings Corp.* 617,460 18,500 Macromedia, Inc.* 389,240 7,900 Mercury Interactive Corp.* 305,019 1,058,200 Microsoft Corp. 27,100,502 272,600 Oracle Corp.* 3,276,652 155,800 SAP AG, Sponsored ADR (a) 4,552,476 28,200 SunGard Data Systems, Inc.* 730,662 55,700 Symantec Corp.* (a) 2,443,002 46,200 VeriSign, Inc.* 638,946 ----------- 45,368,531 ----------- Computers & Information - 8.0% 952,700 Cisco Systems, Inc.* 15,900,563 507,600 Dell Computer Corp.* 16,222,896 326,000 Hewlett-Packard Co. 6,943,800 92,400 International Business Machines Corp. 7,623,000 33,600 Lexmark International Group, Inc.* 2,377,872 ----------- 49,068,131 ----------- Cosmetics & Personal Care - 2.1% 47,100 Avon Products, Inc. 2,929,620 19,400 Colgate-Palmolive Co. 1,124,230 95,300 Procter & Gamble Co. (a) 8,498,854 ----------- 12,552,704 ----------- Education - 0.3% 30,600 Career Education Corp.* 2,093,652 ----------- Electric Utilities - 0.3% 54,600 Edison International* (a) 897,078 18,400 Entergy Corp. 971,152 ----------- 1,868,230 ----------- Electronics - 7.7% 61,000 Analog Devices, Inc.* 2,124,020 9,700 Arrow Electronics, Inc.* 147,828 891,600 Intel Corp. 18,531,015 15,900 Intersil Corp., Class A* 423,099 106,700 KLA-Tencor Corp.* (a) 4,960,483 47,200 Lam Research Corp.* (a) 859,512 See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-8 Select Growth Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Shares (Note 2) - -------------------------------------------------------------------------------- Electronics (continued) 121,000 Novellus Systems, Inc.* (a) $ 4,431,141 53,700 PMC-Sierra, Inc.* (a) 629,901 55,900 QLogic Corp.* (a) 2,701,647 164,000 STMicroelectronics NV 3,409,560 279,900 Texas Instruments, Inc. 4,926,240 153,800 Xilinx, Inc.* 3,892,678 ----------- 47,037,124 ----------- Entertainment & Leisure - 0.6% 35,600 Harrah's Entertainment, Inc.* (a) 1,432,544 2,800 International Game Technology* 286,524 63,900 Mattel, Inc. 1,208,988 24,300 Walt Disney Co. 479,925 ----------- 3,407,981 ----------- Financial Services - 4.6% 185,900 American Express Co. 7,772,479 197,900 Citigroup, Inc. 8,470,120 11,300 Doral Financial Corp. 504,545 80,100 Fannie Mae 5,401,944 43,600 Freddie Mac 2,213,572 14,600 H&R Block, Inc. 631,450 10,200 SEI Investment Co. 326,400 37,500 SLM Corp. 1,468,875 20,900 State Street Corp. 823,460 9,100 Waddell & Reed Financial, Class A 233,597 ----------- 27,846,442 ----------- Food Retailers - 0.6% 12,100 Krispy Kreme Doughnuts, Inc.* (a) 498,278 53,800 Kroger Co.* 897,384 48,000 Whole Foods Market, Inc.* (a) 2,281,440 ----------- 3,677,102 ----------- Health Care Providers - 1.5% 55,700 AdvancePCS* (a) 2,129,411 14,400 Caremax Rx, Inc.* 369,792 28,800 Coventry Health Care, Inc.* 1,329,408 26,100 Express Scripts, Inc.* 1,783,152 25,300 Health Management Associates, Inc., Class A 466,785 13,100 Universal Health Services, Inc.* (a) 519,022 28,000 Wellpoint Health Networks, Inc.* 2,360,400 ----------- 8,957,970 ----------- Heavy Machinery - 0.7% 260,100 Applied Materials, Inc.* 4,125,186 7,000 Harris Corp., Inc. 210,350 ----------- 4,335,536 ----------- Home Construction, Furnishings & Appliances - 0.2% 15,700 Whirlpool Corp. 1,000,090 ----------- Industrial - Diversified - 4.3% 78,200 3M Co. $10,086,236 568,600 General Electric Co. 16,307,448 ----------- 26,393,684 ----------- Insurance - 3.3% 206,200 American International Group, Inc. 11,378,116 8,000 Anthem, Inc.* 617,200 13,900 Brown & Brown, Inc. (a) 451,750 31,100 Fidelity National Financial, Inc. (a) 956,636 10,700 Mid Atlantic Medical Services, Inc.* 559,610 62,400 UnitedHealth Group, Inc. 3,135,600 40,500 XL Capital, Ltd., Class A 3,361,500 ----------- 20,460,412 ----------- Lodging - 0.5% 84,700 Marriott International, Inc., Class A 3,254,174 ----------- Media - Broadcasting & Publishing - 3.7% 59,600 Clear Channel Communications, Inc.* 2,526,444 11,400 Comcast Corp., Class A* 344,052 69,200 Comcast Corp., Special Class A* 1,995,036 20,100 Fox Entertainment Group, Class A* 578,478 5,400 McGraw-Hill Cos., Inc. 334,800 46,300 New York Times Co., Class A (a) 2,106,650 148,300 Univision Communications, Inc.* (a) 4,508,320 232,600 Viacom, Inc., Class B* 10,155,316 ----------- 22,549,096 ----------- Medical Supplies - 3.4% 88,100 Agilent Technologies, Inc.* 1,722,355 78,000 Allergan, Inc. 6,013,800 5,600 Beckman Coulter, Inc. 227,584 70,300 Boston Scientific Corp.* 4,295,330 21,200 Guidant Corp. 941,068 138,400 Medtronic, Inc. 6,639,048 5,300 Schein (Henry), Inc.* 277,402 23,000 Steris Corp.* 531,070 6,200 Varian Medical Systems, Inc.* 356,934 ----------- 21,004,591 ----------- Metals - 0.3% 77,100 Freeport-McMoRan Copper & Gold, Inc., Class B* (a) 1,888,950 ----------- Oil & Gas - 2.9% 102,700 BJ Services Co.* (a) 3,836,872 11,500 Burlington Resources, Inc. 621,805 18,000 GlobalSantaFe Corp. 420,120 149,300 Schlumberger, Ltd. (a) 7,102,201 79,000 Total SA, Sponsored ADR 5,988,200 ----------- 17,969,198 ----------- Pharmaceuticals - 20.0% 236,500 Abbott Laboratories 10,349,240 48,300 AmerisourceBergen Corp. (a) 3,349,605 293,100 Amgen, Inc.* 19,473,564 See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-9 Select Growth Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Shares (Note 2) - ------------------------------------------------------------------------------- Pharmaceuticals (continued) 64,300 AstraZeneca Plc, ADR (a) $ 2,621,511 15,700 Barr Laboratories, Inc.* 1,028,350 93,500 Cardinal Health, Inc. 6,012,050 119,800 Forest Laboratories, Inc.* 6,559,050 83,600 Genentech, Inc.* 6,029,232 17,500 Genzyme Corp.* 731,500 101,600 Gilead Sciences, Inc.* 5,646,928 263,900 Johnson & Johnson 13,643,630 22,600 Lilly (Eli) & Co. 1,558,722 136,800 Medimmune, Inc.* 4,975,416 89,300 Merck & Co., Inc. 5,407,115 681,840 Pfizer, Inc. 23,284,836 81,800 Teva Pharmaceutical Industries, Ltd., Sponsored ADR (a) 4,656,874 146,000 Wyeth Corp. 6,650,300 ------------ 121,977,923 ------------ Rental and Leasing Services - 0.1% 4,600 Rent-A-Center, Inc.* 348,726 ------------ Restaurants - 0.1% 7,200 CBRL Group, Inc. 279,792 21,000 Yum! Brands, Inc.* 620,760 ------------ 900,552 ------------ Retailers - 9.4% 24,200 Advanced Auto Parts, Inc.* (a) 1,473,780 18,300 AutoZone, Inc.* 1,390,251 189,400 Bed Bath & Beyond, Inc.* 7,350,614 51,400 Best Buy Co., Inc.* 2,257,488 11,400 CarMax, Inc.* 343,710 26,400 eBay, Inc.* 2,750,352 18,600 Family Dollar Stores, Inc. 709,590 27,000 Federated Department Stores, Inc. 994,950 131,000 Home Depot, Inc. 4,338,720 180,900 Lowes Cos., Inc. 7,769,655 22,500 Office Depot, Inc.* 326,475 88,200 Staples, Inc.* 1,618,470 164,000 Tiffany & Co. 5,359,520 114,400 TJX Cos., Inc. 2,155,296 20,500 Walgreen Co. 617,050 322,800 Wal-Mart Stores, Inc. 17,324,676 22,100 Williams-Sonoma, Inc.* 645,320 ------------ 57,425,917 ------------ Securities Broker - 1.8% 63,500 Goldman Sachs and Co. 5,318,125 125,300 Merrill Lynch & Co., Inc. 5,849,004 ------------ 11,167,129 ------------ Telephone Systems - 1.6% 210,900 AT&T Wireless Services, Inc.* 1,731,489 23,600 BellSouth Corp. 628,468 43,200 CenturyTel, Inc. 1,505,520 29,500 Sprint Corp. $ 424,800 274,000 Vodafone Group, Plc, Sponsored ADR (a) 5,384,100 ------------ 9,674,377 ------------ Textiles, Clothing & Fabrics - 0.2% 11,000 Liz Claiborne, Inc. 387,750 29,800 Reebok International, Ltd.* (a) 1,002,174 ------------ 1,389,924 ------------ Transportation - 0.4% 7,400 Expedia, Inc.* 565,212 70,200 Royal Caribbean Cruises, Ltd. (a) 1,625,832 ------------ 2,191,044 ------------ Total Common Stocks 603,316,452 ------------ (Cost $582,854,118) PREFERRED STOCKS - 0.2% Automotive - 0.2% 2,700 Porsche AG, EUR 3.00 (a) 1,146,193 ------------ Total Preferred Stocks 1,146,193 ------------ (Cost $1,037,785) OPTIONS - 0.0% Options on Common Stock - 0.0% 17,000 Astrazeneca, Expires 07/19/03, Strike 40.00 15,946 ------------ Total Options 15,946 ------------ (Cost $7,650) EXCHANGE-TRADED FUND - 0.8% 49,100 SPDR Trust Series 1 4,793,633 ------------ Total Exchange-Traded Fund 4,793,633 ------------ (Cost $4,876,121) INVESTMENT COMPANY - 0.2% 1,215,814 Marshall Money Market Fund 1,215,814 ------------ Total Investment Company 1,215,814 ------------ (Cost $1,215,814) Total Investments - 100.0% 610,488,038 ------------ (Cost $589,991,488) Net Other Assets and Liabilities - 0.0% 254,454 ------------ Total Net Assets - 100.0% $610,742,492 ============ - ---------- * Non-income producing security. (a) All or a portion of this security is out on loan at June 30, 2003; the value of the securities loaned amounted to $48,693,671. The value of collateral amounted to $50,357,927 which consisted of cash equivalents. ADR American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks entitling the shareholder to all dividends and capital gains. See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-10 Select Growth Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- FEDERAL INCOME TAX INFORMATION (SEE NOTE 2) At June 30, 2003, the aggregate cost of investment securities for tax purposes was $589,991,488. Net unrealized appreciation (depreciation) aggregated $20,496,550, of which $43,289,605 related to appreciated investment securities and $(22,793,055) related to depreciated investment securities. OTHER INFORMATION For the six months ended June 30, 2003, the aggregate cost of purchases and the proceeds of sales, other than from short-term investments, included $210,559,534 and $289,911,586 of non-governmental issuers, respectively. Written Options Number Expiration of Contracts Exercise Price Date Value ------------ -------------- ---------- ----- Astrazeneca Call 170 $50.0 7/19/03 $153 Written Options Rollforward Puts Calls ------------------------ ----------------------- Number Number of Contracts Premiums of Contracts Premiums ------------ --------- ------------ -------- Outstanding, beginning of period -- $-- -- $ -- Options written -- -- 170 1,700 Options closed -- -- -- -- --- --- --- ------ Outstanding, end of period -- $-- 170 $1,700 === === === ====== See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-11 Core Equity Fund PORTFOLIO OF INVESTMENTS . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Shares (Note 2) - -------------------------------------------------------------------------------- COMMON STOCKS - 97.9% Advertising - 0.3% 26,800 Lamar Advertising Company* $ 943,628 ----------- Banking - 7.7% 22,800 Bank of America Corp. 1,801,884 112,100 FleetBoston Financial Corp. 3,330,491 10,000 Golden West Financial Corp. 800,100 128,500 Greenpoint Financial Corp. 6,545,790 126,500 MBNA Corp. 2,636,260 97,800 Mellon Financial Corp. 2,713,950 71,600 PNC Bank Corp. 3,494,796 157,500 Wells Fargo & Co. (a) 7,938,000 ----------- 29,261,271 ----------- Beverages, Food & Tobacco - 3.5% 57,100 Coca-Cola Co. 2,650,011 148,700 PepsiCo, Inc. 6,617,150 73,500 Wrigley (Wm.) Jr. Co. 4,132,905 ----------- 13,400,066 ----------- Building Materials - 0.8% 89,600 Martin Marietta Materials, Inc. 3,011,456 ----------- Chemicals - 1.1% 138,100 Dow Chemical Co. 4,275,576 ----------- Commercial Services - 4.6% 252,200 Cendant Corp.* (a) 4,620,304 255,000 First Data Corp. 10,567,200 20,700 Moody's Corp. (a) 1,091,097 50,900 Valassis Communications, Inc.* 1,309,148 ----------- 17,587,749 ----------- Communications - 5.1% 214,700 AOL Time Warner, Inc.* 3,454,523 90,200 Echostar Communications Corp.* 3,122,724 518,000 Nextel Communications, Inc., Class A* 9,365,440 102,000 Qualcomm, Inc. 3,646,500 ----------- 19,589,187 ----------- Computer Software & Processing - 3.0% 47,100 Intuit, Inc. (a) 2,097,363 359,300 Microsoft Corp. 9,201,673 ----------- 11,299,036 ----------- Computers & Information - 4.4% 329,400 Cisco Systems, Inc.* 5,497,686 156,100 Dell Computer Corp.* 4,988,956 262,900 EMC Corp.* 2,752,563 169,300 Hewlett-Packard Co. 3,606,090 ----------- 16,845,295 ----------- Cosmetics & Personal Care - 1.4% 17,700 Avon Products, Inc. (a) $ 1,100,940 42,100 Colgate-Palmolive Co. 2,439,695 21,000 Procter & Gamble Co. 1,872,780 ----------- 5,413,415 ----------- Electric Utilities - 5.1% 124,500 CMS Energy Corp. 1,008,450 65,600 DTE Energy Co. 2,534,784 79,800 Exelon Corp. 4,772,838 119,000 FirstEnergy Corp. 4,575,550 81,600 Progress Energy, Inc. 3,582,240 108,000 Sempra Energy 3,081,240 ----------- 19,555,102 ----------- Electronics - 3.2% 33,400 Energizer Holdings, Inc.* 1,048,760 302,200 Intel Corp. 6,280,925 193,200 Motorola, Inc. 1,821,876 174,400 Texas Instruments, Inc. 3,069,440 ----------- 12,221,001 ----------- Entertainment & Leisure - 1.5% 72,700 Harrah's Entertainment, Inc.* 2,925,448 68,700 Metro-Goldwyn-Mayer, Inc.* 853,254 98,200 Walt Disney Co. 1,939,450 ----------- 5,718,152 ----------- Financial Services - 11.1% 454,000 Charles Schwab Corp. 4,580,860 257,782 Citigroup, Inc. (a) 11,033,069 100,000 Fannie Mae 6,744,000 209,500 Freddie Mac 10,636,315 243,700 Morgan (J.P.) & Co., Inc 8,329,666 23,900 State Street Corp. (a) 941,660 ----------- 42,265,570 ----------- Forest Products & Paper - 0.6% 45,500 Kimberly-Clark Corp. 2,372,370 ----------- Heavy Machinery - 1.8% 67,200 Pentair, Inc. 2,624,832 59,600 United Technologies Corp. 4,221,468 ----------- 6,846,300 ----------- Home Construction, Furnishings & Appliances - 1.5% 23,900 Johnson Controls, Inc. 2,045,840 161,000 Masco Corp. 3,839,850 ----------- 5,885,690 ----------- Household Products - 0.7% 88,800 Newell Rubbermaid, Inc. 2,486,400 ----------- See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-12 Core Equity Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Shares (Note 2) - -------------------------------------------------------------------------------- Industrial - Diversified - 1.5% 33,100 General Electric Co. $ 949,308 72,500 Illinois Tool Works, Inc. 4,774,125 ------------ 5,723,433 ------------ Insurance - 4.5% 43,100 AMBAC Financial Group, Inc. 2,855,375 61,800 American International Group, Inc. 3,410,124 25,300 Anthem, Inc.* 1,951,895 56,300 Hartford Financial Services Group, Inc. (a) 2,835,268 118,400 UnitedHealth Group, Inc. 5,949,600 ------------ 17,002,262 ------------ Lodging - 0.8% 49,500 Marriott International, Inc., Class A (a) 1,901,790 39,800 Starwood Hotels & Resorts Worldwide, Inc. 1,137,882 ------------ 3,039,672 ------------ Media - Broadcasting & Publishing - 7.3% 110,600 Clear Channel Communications, Inc.* 4,688,334 51,300 Cox Communications, Inc.* 1,636,470 17,500 Gannett Co., Inc. 1,344,175 54,900 McGraw-Hill Cos., Inc. 3,403,800 34,700 New York Times Co., Class A 1,578,850 171,930 Univision Communications, Inc.* (a) 5,226,672 229,900 Viacom, Inc., Class B (a) 10,037,434 ------------ 27,915,735 ------------ Medical Supplies - 0.3% 44,900 Baxter International, Inc. 1,167,400 ------------ Oil & Gas - 2.9% 98,556 ConocoPhillips 5,400,869 154,100 Exxon Mobil Corp. 5,533,731 ------------ 10,934,600 ------------ Pharmaceuticals - 12.1% 29,500 Amgen, Inc.* 1,959,980 171,800 Bristol-Myers Squibb Co. 4,664,370 50,400 Cephalon, Inc.* (a) 2,074,464 184,900 Johnson & Johnson 9,559,330 83,400 Lilly (Eli) & Co. 5,752,098 265,100 Pfizer, Inc. 9,053,165 33,500 Schering-Plough Corp. 623,100 83,400 Sicor, Inc.* 1,696,356 231,700 Wyeth Corp. 10,553,935 ------------ 45,936,798 ------------ Retailers - 3.6% 26,400 Dollar Tree Stores, Inc. (a) 837,672 82,300 Family Dollar Stores, Inc. 3,139,745 30,100 Lowes Cos., Inc. 1,292,795 44,400 Walgreen Co. 1,336,440 132,800 Wal-Mart Stores, Inc. 7,127,376 ------------ 13,734,028 ------------ Securities Broker - 1.4% 124,600 Morgan Stanley Dean Witter & Co. $ 5,326,650 ------------ Telephone Systems - 3.6% 111,400 BellSouth Corp. 2,966,582 214,500 Crown Castle International Corp.* 1,666,665 384,500 Liberty Media Group, Class A* 4,444,820 184,000 SBC Communications, Inc. 4,701,200 ------------ 13,779,267 ------------ Transportation - 2.5% 117,200 Burlington Northern Santa Fe Corp. 3,333,168 190,400 Norfolk Southern Corp. 3,655,680 94,500 Sabre Group Holdings, Inc. 2,329,425 ------------ 9,318,273 ------------ Total Common Stocks 372,855,382 ------------ (Cost $391,673,451) EXCHANGE-TRADED FUND - 1.6% 63,100 SPDR Trust Series 1 6,160,453 ------------ Total Exchange-Traded Fund 6,160,453 ------------ (Cost $5,841,300) Total Investments - 99.5% 379,015,835 ------------ (Cost $397,514,751) Net Other Assets and Liabilities - 0.5% 1,823,143 ------------ Total Net Assets - 100.0% $380,838,978 ============ - ---------- * Non-income producing security. (a) All or a portion of this security is out on loan at June 30, 2003; the value of the securities loaned amounted to $33,787,923. The value of collateral amounted to $34,971,374 which consisted of cash equivalents. FEDERAL INCOME TAX INFORMATION (SEE NOTE 2) At June 30, 2003, the aggregate cost of investment securities for tax purposes was $397,514,751. Net unrealized appreciation (depreciation) aggregated $(18,498,916), of which $21,896,453 related to appreciated investment securities and $(40,395,369) related to depreciated investment securities. OTHER INFORMATION For the six months ended June 30, 2003, the aggregate cost of purchases and the proceeds of sales, other than from short-term investments, included $45,614,619 and $101,783,632 of non-governmental issuers, respectively. See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-13 Equity Index Fund PORTFOLIO OF INVESTMENTS . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Shares (Note 2) - -------------------------------------------------------------------------------- COMMON STOCKS - 99.5% Advertising - 0.2% 27,100 Interpublic Group of Companies, Inc. $ 362,598 7,800 Monster Worldwide, Inc.* (a) 153,894 13,300 Omnicom Group, Inc. 953,610 ----------- 1,470,102 ----------- Aerospace & Defense - 1.4% 59,238 Boeing Co. 2,033,048 14,200 General Dynamics Corp. 1,029,500 60,275 Honeywell International, Inc. 1,618,384 32,082 Lockheed Martin Corp. 1,526,141 12,846 Northrop Grumman Corp. 1,108,481 28,600 Raytheon Co. 939,224 9,600 Textron, Inc. 374,592 ----------- 8,629,370 ----------- Airlines - 0.4% 8,600 Delta Air Lines, Inc. (a) 126,248 21,100 FedEx Corp. 1,308,833 54,518 Southwest Airlines, Inc. 937,710 ----------- 2,372,791 ----------- Apparel Retailers - 0.5% 62,250 Gap, Inc. 1,167,810 23,800 Kohls Corp.* 1,222,844 36,800 Limited Brands, Inc. 570,400 9,500 Nordstrom, Inc. 185,440 ----------- 3,146,494 ----------- Automotive - 1.0% 20,400 AutoNation, Inc.* 320,688 5,100 Cooper Tire & Rubber Co. 89,709 10,409 Dana Corp. 120,328 39,428 Delphi Automotive Systems Corp. 340,264 129,281 Ford Motor Co. (a) 1,420,798 39,500 General Motors Corp. (a) 1,422,000 12,250 Genuine Parts Co. 392,122 8,200 Goodrich (B.F.) Co. 172,200 12,300 Goodyear Tire & Rubber Co. (a) 64,575 21,300 Harley-Davidson, Inc. 849,018 6,500 ITT Industries, Inc. (a) 425,490 4,800 Navistar International Corp.* (a) 156,624 8,220 Paccar, Inc. 555,343 9,036 Visteon Corp. 62,077 ----------- 6,391,236 ----------- Banking - 7.8% 25,000 Amsouth Bancorp 546,000 82,075 Banc One Corp. 3,051,548 105,959 Bank of America Corp. 8,373,940 54,000 Bank of New York Co., Inc. 1,552,500 33,200 BB&T Corp. 1,138,760 15,637 Capital One Financial Corp. (a) 769,028 15,875 Charter One Financial, Inc. 494,982 12,350 Comerica, Inc. $ 574,275 40,705 Fifth Third Bancorp (a) 2,334,025 8,900 First Tennessee National Corp. 390,799 73,952 FleetBoston Financial Corp. 2,197,114 10,800 Golden West Financial Corp. 864,108 16,549 Huntington Bancshares, Inc. (a) 323,036 29,900 KeyCorp 755,573 15,400 Marshall & Ilsley Corp. 470,932 89,977 MBNA Corp. 1,875,121 30,400 Mellon Financial Corp. 843,600 43,100 National City Corp. (a) 1,409,801 11,400 North Fork Bancorp., Inc. 388,284 15,600 Northern Trust Corp. 651,924 20,000 PNC Bank Corp. 976,200 15,600 Regions Financial Corp. 526,968 24,300 Southtrust Corp. 660,960 19,900 Suntrust Banks, Inc. 1,180,866 21,400 Synovus Financial Corp. 460,100 135,034 U.S. Bancorp 3,308,333 14,000 Union Planters Corp. 434,420 95,896 Wachovia Corp. 3,832,004 66,774 Washington Mutual, Inc. 2,757,766 119,230 Wells Fargo & Co. (a) 6,009,192 6,400 Zions Bancorp. 323,904 ----------- 49,476,063 ----------- Beverages, Food & Tobacco - 5.5% 2,600 Adolph Coors Co. (a) 127,348 145,800 Altria Group, Inc. 6,625,152 60,300 Anheuser-Busch Companies, Inc. 3,078,315 45,449 Archer-Daniels-Midland Co. 584,929 4,300 Brown Forman Corp., Class B 338,066 28,900 Campbell Soup Co. 708,050 174,700 Coca-Cola Co. 8,107,827 31,600 Coca-Cola Enterprises, Inc. 573,540 37,800 Conagra, Inc. 892,080 26,000 General Mills, Inc. (a) 1,232,660 24,800 H.J. Heinz Co. 817,904 7,600 Hercules, Inc.* 75,240 9,600 Hershey Foods Corp. 668,736 28,800 Kellogg Co. 989,856 9,900 McCormick & Co., Inc. 269,280 19,700 Pepsi Bottling Group, Inc. 394,394 121,710 PepsiCo, Inc. 5,416,095 6,000 R.J. Reynolds Tobacco Holdings, Inc. 223,260 31,000 Safeway, Inc.* 634,260 27,300 Starbucks Corp.* 669,396 9,400 Supervalu, Inc. 200,408 46,100 Sysco Corp. 1,384,844 11,800 UST, Inc. 413,354 15,900 Wrigley (Wm.) Jr. Co. 894,057 ----------- 35,319,051 ----------- Building Materials - 0.0% 7,200 Vulcan Materials Co. 266,904 ----------- See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-14 Equity Index Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Shares (Note 2) - -------------------------------------------------------------------------------- Chemicals - 1.4% 16,000 Air Products & Chemicals, Inc. $ 665,600 7,800 Avery Dennison Corp. 391,560 64,177 Dow Chemical Co. 1,986,920 70,100 Du Pont (E.I.) De Nemours and Co. 2,918,964 5,400 Eastman Chemical Co. 171,018 3,500 Great Lakes Chemical Corp. 71,400 6,600 International Flavors & Fragrances, Inc. 210,738 18,427 Monsanto Co. 398,760 12,000 PPG Industries, Inc. 608,880 11,400 Praxair, Inc. 685,140 15,575 Rohm & Haas Co. 483,292 5,908 Sealed Air Corp.* 281,575 10,500 Sherwin Williams Co. 282,240 ----------- 9,156,087 ----------- Commercial Services - 2.8% 14,700 Allied Waste Industries, Inc.* (a) 147,735 12,300 Apollo Group, Inc.* 759,648 42,300 Automatic Data Processing, Inc. 1,432,278 72,533 Cendant Corp.* 1,328,805 12,000 Cintas Corp. (a) 425,280 35,800 Concord EFS, Inc.* 526,976 12,200 Convergys Corp.* 195,200 4,000 Deluxe Corp. 179,200 18,300 Ecolab, Inc. 468,480 10,000 Equifax, Inc. 260,000 53,000 First Data Corp. 2,196,320 5,700 Fluor Corp. 191,748 30,700 Halliburton Co. 706,100 3,400 Millipore Corp.* (a) 150,858 10,700 Moody's Corp. 563,997 26,550 Paychex, Inc. 778,180 8,900 Perkinelmer, Inc. 122,909 16,700 Pitney Bowes, Inc. 641,447 7,400 Quest Diagnostics, Inc.* (a) 472,120 8,300 Quintiles Transnational Corp.* 117,777 8,000 R. R. Donnelley & Sons Co. 209,120 12,200 Robert Half International, Inc.* (a) 231,068 79,200 United Parcel Service, Class B 5,045,040 41,935 Waste Management, Inc. 1,010,214 ----------- 18,160,500 ----------- Communications - 1.7% 56,500 ADC Telecommunications, Inc.* 131,532 6,900 Andrew Corp.* 63,480 314,998 AOL Time Warner, Inc.* 5,068,318 26,231 Avaya, Inc.* 169,452 33,000 Ciena Corp.* 171,270 84,400 Corning, Inc.* (a) 623,716 291,582 Lucent Technologies, Inc.* (a) 591,911 72,300 Nextel Communications, Inc., Class A* (a) 1,307,184 55,600 Qualcomm, Inc. 1,987,700 12,600 Rockwell Collins, Inc. 310,338 10,700 Scientific Atlanta, Inc. 255,088 29,000 Tellabs, Inc.* 190,530 ----------- 10,870,519 ----------- Computer Software & Processing - 5.5% 16,300 Adobe Systems, Inc. $ 522,741 7,900 Autodesk, Inc. 127,664 16,400 BMC Software, Inc.* 267,812 12,000 Citrix Systems, Inc.* 244,320 40,450 Computer Associates International, Inc. (a) 901,226 13,200 Computer Sciences Corp.* (a) 503,184 26,600 Compuware Corp.* 153,482 10,100 Electronic Arts, Inc.* 747,299 33,500 Electronic Data Systems Corp. 718,575 13,450 Fiserv, Inc.* 478,954 17,200 IMS Health, Inc. 309,428 14,500 Intuit, Inc.* 645,685 6,000 Mercury Interactive Corp.* 231,660 754,200 Microsoft Corp. 19,315,062 6,900 NCR Corp.* (a) 176,778 25,900 Novell, Inc.* 79,772 11,100 NVIDIA Corp.* (a) 255,411 371,320 Oracle Corp.* 4,463,266 18,500 Parametric Technology Corp.* 56,425 22,000 PeopleSoft, Inc.* 386,980 34,100 Siebel Systems, Inc.* 325,314 225,100 Sun Microsystems, Inc.* 1,035,460 19,900 SunGard Data Systems, Inc.* 515,609 10,400 Symantec Corp.* 456,144 22,900 Unisys Corp.* 281,212 29,019 VERITAS Software Corp.* 831,975 41,600 Yahoo!, Inc.* (a) 1,362,816 ----------- 35,394,254 ----------- Computers & Information - 5.1% 25,400 Apple Computer, Inc.* 485,648 501,200 Cisco Systems, Inc.* 8,365,028 13,200 Comverse Technology, Inc.* (a) 198,396 181,800 Dell Computer Corp.* 5,810,328 155,000 EMC Corp.* 1,622,850 22,760 Gateway, Inc.* 83,074 215,098 Hewlett-Packard Co. 4,581,587 119,100 International Business Machines Corp. 9,825,750 8,900 Lexmark International Group, Inc.* 629,853 23,900 Network Appliance, Inc.* (a) 387,419 58,200 Solectron Corp.* 217,668 16,200 Symbol Technologies, Inc. 210,762 ----------- 32,418,363 ----------- Consumer Products - Diversified - 0.2% 55,100 Sara Lee Corp. 1,036,431 ----------- Containers & Packaging - 0.0% 4,000 Ball Corp. (a) 182,040 ----------- Cosmetics & Personal Care - 2.2% 4,100 Alberto-Culver Co., Class B 209,510 16,600 Avon Products, Inc. 1,032,520 38,000 Colgate-Palmolive Co. 2,202,100 See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-15 Equity Index Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - ------------------------------------------------------------------------------- Value Shares (Note 2) - ------------------------------------------------------------------------------- Cosmetics & Personal Care (continued) 73,600 Gillette Co. $ 2,344,896 91,200 Procter & Gamble Co. 8,133,216 ----------- 3,922,242 ----------- Electric Utilities - 2.8% 41,300 AES Corp.* 262,255 8,800 Allegheny Energy, Inc. (a) 74,360 11,200 Ameren Corp. 493,920 27,440 American Electric Power, Inc. (a) 818,535 26,600 Calpine Corp.* (a) 175,560 21,398 CenterPoint Energy, Inc. (a) 174,394 11,843 Cinergy Corp. 435,704 19,800 Citizens Utilities Co., Class B* (a) 255,222 10,100 CMS Energy Corp. 81,810 15,100 Consolidated Edison, Inc. 653,528 11,650 Constellation Energy Group, Inc. 399,595 21,650 Dominion Resources, Inc. 1,391,445 11,800 DTE Energy Co. 455,952 62,834 Duke Energy Corp. 1,253,538 22,900 Edison International* 376,247 15,700 Entergy Corp. 828,646 22,750 Exelon Corp. 1,360,677 21,000 FirstEnergy Corp. 807,450 12,900 Florida Power & Light Group Capital, Inc. 862,365 11,000 KeySpan Energy Corp. 389,950 28,399 Mirant Corp.* (a) 82,357 18,500 NiSource, Inc. 351,500 28,700 PG&E Corp.* 607,005 6,400 Pinnacle West Capital Corp. 239,680 11,600 PPL Corp. 498,800 16,677 Progress Energy, Inc. (a) 732,120 5,000 Progress Energy, Inc. (b) 0 15,700 Public Service Enterprise Group, Inc. 663,325 14,513 Sempra Energy 414,056 50,300 Southern Co. 1,567,348 12,300 TECO Energy, Inc. (a) 147,477 22,640 TXU Corp. 508,268 28,010 Xcel Energy, Inc. 421,270 ----------- 17,784,359 ----------- Electrical Equipment - 0.5% 13,800 American Power Conversion Corp.* 215,142 6,600 Cooper Industries, Ltd. 272,580 20,500 Eastman Kodak Co. (a) 560,675 29,700 Emerson Electric Co. 1,517,670 13,100 Rockwell International Corp. 312,304 4,100 Thomas & Betts Corp.* 59,245 51,800 Xerox Corp.* (a) 548,562 ----------- 3,486,178 ----------- Electronics - 3.3% 24,200 Advanced Micro Devices* 155,122 26,900 Altera Corp.* (a) 441,160 25,700 Analog Devices, Inc.* 894,874 21,400 Applied Micro Circuits Corp.* 129,470 19,400 Broadcom Corp.* 483,254 466,900 Intel Corp. $ 9,704,050 13,900 Jabil Circuit, Inc.* 307,190 13,400 KLA-Tencor Corp.* 622,966 22,000 Linear Technology Corp. 708,620 26,200 LSI Logic Corp.* 185,496 22,800 Maxim Integrated Products, Inc. 779,532 42,800 Micron Technology, Inc.* (a) 497,764 13,525 Molex, Inc. 365,040 162,135 Motorola, Inc. 1,528,933 12,800 National Semiconductor Corp.* 252,416 10,500 Novellus Systems, Inc.* 384,520 11,800 PMC-Sierra, Inc.* (a) 138,414 5,600 Power-One, Inc.* 40,040 6,600 QLogic Corp.* (a) 318,978 35,900 Sanmina Corp.* 226,529 12,900 Teradyne, Inc.* 223,299 122,000 Texas Instruments, Inc. 2,147,200 23,800 Xilinx, Inc.* 602,378 ----------- 21,137,245 ----------- Entertainment & Leisure - 0.7% 7,900 Harrah's Entertainment, Inc.* (a) 317,896 12,150 Hasbro, Inc. 212,504 6,000 International Game Technology* 613,980 30,812 Mattel, Inc. 582,963 143,929 Walt Disney Co. 2,842,598 ----------- 4,569,941 ----------- Financial Services - 6.3% 92,600 American Express Co. 3,871,606 94,700 Charles Schwab Corp. (a) 955,523 362,340 Citigroup, Inc. 15,508,152 8,900 Countrywide Financial Corp. 619,173 70,200 Fannie Mae 4,734,288 7,700 Federated Investors, Inc., Class B 211,134 18,130 Franklin Resources, Inc. 708,339 49,000 Freddie Mac 2,487,730 12,600 H&R Block, Inc. 544,950 17,959 Household International, Inc. (a) 567,933 16,800 Janus Capital Group, Inc. 275,520 140,718 Morgan (J.P.) & Co., Inc 4,809,741 22,600 Principal Financial Group, Inc. 728,850 20,300 Providian Financial Corp.* 187,978 39,900 Prudential Financial, Inc. 1,342,635 32,571 SLM Corp. 1,275,806 23,400 State Street Corp. 921,960 8,600 T. Rowe Price Group, Inc. (a) 324,650 ----------- 40,075,968 ----------- Food Retailers - 0.2% 26,642 Albertson's, Inc. (a) 511,526 53,700 Kroger Co.* 895,716 9,900 Winn-Dixie Stores, Inc. (a) 121,869 ----------- 1,529,111 ----------- See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-16 Equity Index Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Shares (Note 2) - -------------------------------------------------------------------------------- Forest Products & Paper - 0.8% 3,700 Bemis Co. $ 173,160 4,100 Boise Cascade Corp. 97,990 17,602 Georgia-Pacific Corp. 333,558 33,740 International Paper Co. 1,205,530 36,240 Kimberly-Clark Corp. 1,889,554 7,300 Louisiana Pacific Corp.* 79,132 14,098 Meadwestvaco Corp. 348,221 11,100 Pactiv Corp.* (a) 218,781 3,800 Temple Inland, Inc. (a) 163,058 15,400 Weyerhaeuser Co. 831,600 ----------- 5,340,584 ----------- Health Care Providers - 0.5% 36,200 HCA - The Healthcare Corporation 1,159,848 16,800 Health Management Associates, Inc., Class A* 309,960 6,300 Manor Care, Inc.* (a) 157,563 33,350 Tenet Healthcare Corp.* 388,528 10,500 Wellpoint Health Networks, Inc.* 885,150 ----------- 2,901,049 ----------- Heavy Construction - 0.0% 4,400 McDermott International, Inc.* 27,852 ----------- Heavy Machinery - 1.5% 5,100 American Standard Companies, Inc.* 377,043 116,300 Applied Materials, Inc.* 1,844,518 23,780 Baker Hughes, Inc. 798,295 24,300 Caterpillar, Inc. (a) 1,352,538 2,900 Cummins Engine Co., Inc. (a) 104,081 16,900 Deere & Co. 772,330 14,200 Do_r Corp. 425,432 11,900 Ingersoll-Rand Co. 563,108 8,600 Pall Corp. 193,500 8,375 Parker-Hannifin Corp. 351,666 6,200 Stanley Works 171,120 33,200 United Technologies Corp. 2,351,556 6,500 W.W. Grainger, Inc. 303,940 ----------- 9,609,127 ----------- Home Construction, Furnishings & Appliances - 0.5% 5,500 Black & Decker Corp. 238,975 4,400 Centex Corp. 342,276 6,300 Johnson Controls, Inc. 539,280 3,400 KB Home 210,732 13,700 Leggett & Platt, Inc. 280,850 34,600 Masco Corp. (a) 825,210 5,500 Maytag Corp. 134,310 4,300 Pulte Corp. 265,138 4,800 Whirlpool Corp. 305,760 ----------- 3,142,531 ----------- Household Products - 0.3% 15,500 Clorox Co. 661,075 10,500 Fortune Brands, Inc. 548,100 18,833 Newell Rubbermaid, Inc. 527,324 4,100 Snap-On, Inc. $ 119,023 4,100 Tupperware Corp. 58,876 ----------- 1,914,398 ----------- Industrial - Diversified - 4.4% 27,500 3M Co. 3,546,950 701,400 General Electric Co. 20,116,152 21,700 Illinois Tool Works, Inc. 1,428,945 140,637 Tyco International, Ltd. 2,669,290 ----------- 27,761,337 ----------- Insurance - 5.0% 18,500 ACE, Ltd. 634,365 10,598 Aetna, Inc. 638,000 36,400 AFLAC, Inc. 1,119,300 49,538 Allstate Corp. 1,766,030 7,500 AMBAC Financial Group, Inc. 496,875 183,879 American International Group, Inc. 10,146,443 10,000 Anthem, Inc.* 771,500 21,850 AON Corp. 526,148 12,100 Chubb Corp. (a) 726,000 9,800 Cigna Corp. 460,012 11,400 Cincinnati Financial Corp. 422,826 19,700 Hartford Financial Services Group, Inc. 992,092 11,400 Humana, Inc.* 172,140 10,100 Jefferson Pilot Corp. 418,746 20,300 John Hancock Financial Services, Inc. 623,819 12,500 Lincoln National Corp. 445,375 13,100 Loews Corp. 619,499 37,900 Marsh & McLennan Cos., Inc. 1,935,553 10,250 MBIA, Inc. 499,688 53,600 Metlife, Inc. 1,517,952 7,100 MGIC Investment Corp. 331,144 15,400 Progressive Corp. 1,125,740 9,700 SAFECO Corp. 342,216 16,000 St. Paul Cos. (a) 584,160 8,300 Torchmark Corp. 309,175 70,861 Travelers Property Casualty Corp., Class B 1,117,478 43,000 UnitedHealth Group, Inc. 2,160,750 20,218 UnumProvident Corp. 271,123 9,600 XL Capital, Ltd., Class A 796,800 ----------- 31,970,949 ----------- Lodging - 0.2% 26,500 Hilton Hotels Corp. 338,935 16,500 Marriott International, Inc., Class A (a) 633,930 14,100 Starwood Hotels & Resorts Worldwide, Inc. 403,119 ----------- 1,375,984 ----------- Media - Broadcasting & Publishing - 2.7% 4,600 American Greetings Corp., Class A* (a) 90,344 43,200 Clear Channel Communications, Inc.* 1,831,248 1 62,678 Comcast Corp., Class A* 4,909,622 5,800 Dow Jones & Company, Inc. (a) 249,574 18,900 Gannett Co., Inc. 1,451,709 5,800 Knight-Ridder, Inc. 399,794 See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-17 Equity Index Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Shares (Note 2) - ------------------------------------------------------------------------------- Media - Broadcasting & Publishing (continued) 13,700 McGraw-Hill Cos., Inc. $ 849,400 3,500 Meredith Corp. (a) 154,000 10,700 New York Times Co., Class A 486,850 21,487 Tribune Co. 1,037,822 16,100 Univision Communications, Inc.* (a) 489,440 124,128 Viacom, Inc., Class B* 5,419,428 ----------- 17,369,231 ----------- Medical Supplies - 2.5% 32,824 Agilent Technologies, Inc.* 641,709 9,100 Allergan, Inc. 701,610 14,700 Applied Biosystems Group - Applera Corp. 279,741 3,800 Bausch & Lomb, Inc. 142,500 41,800 Baxter International, Inc. 1,086,800 18,000 Becton, Dickinson & Co. 699,300 18,225 Biomet, Inc. 522,329 28,800 Boston Scientific Corp.* (a) 1,759,680 3,700 C.R. Bard, Inc. 263,847 10,800 Danaher Corp. (a) 734,940 5,300 Eaton Corp. (a) 416,633 21,600 Guidant Corp. 958,824 99,700 JDS Uniphase Corp.* 349,947 86,000 Medtronic, Inc. 4,125,420 12,500 St. Jude Medical, Inc.* 718,750 14,000 Stryker Corp. (a) 971,180 6,100 Tektronix, Inc.* 131,760 11,500 Thermo Electron Corp.* 241,730 9,100 Waters Corp.* 265,083 13,770 Zimmer Holdings, Inc.* 620,339 ----------- 15,632,122 ----------- Metals - 0.6% 59,508 Alcoa, Inc. 1,517,454 5,651 Allegheny Technologies, Inc. 37,297 4,150 Crane Co. 93,915 8,950 Engelhard Corp. 221,692 10,200 Freeport-McMoRan Copper & Gold, Inc., Class B* (a) 249,900 28,311 Newmont Mining Corp. (a) 918,975 5,500 Nucor Corp. 268,675 6,300 Phelps Dodge Corp.* 241,542 7,120 United States Steel Corp. 116,554 6,000 Worthington Industries, Inc. 80,400 ----------- 3,746,404 ----------- Oil & Gas - 5.8% 6,300 Amerada Hess Corp. 309,834 17,579 Anadarko Petroleum Corp. 781,738 11,300 Apache Corp. 735,178 4,800 Ashland, Inc. 147,264 11,100 BJ Services Co.* 414,696 14,182 Burlington Resources, Inc. 766,821 75,336 ChevronTexaco Corp. (a) 5,439,259 47,695 ConocoPhillips 2,613,686 16,200 Devon Energy Corp. 865,080 26,100 Dynegy, Inc. 109,620 42,130 El Paso Energy Corp. $ 340,410 8,100 EOG Resources, Inc. 338,904 474,260 Exxon Mobil Corp. 17,030,677 7,081 Kerr-Mcgee Corp. 317,229 8,600 Kinder Morgan, Inc. 469,990 22,000 Marathon Oil Corp. 579,700 10,200 Nabors Industries, Ltd.* 403,410 3,100 Nicor, Inc. 115,041 9,400 Noble Corp.* 322,420 26,600 Occidental Petroleum Corp. 892,430 2,500 Peoples Energy Corp. 107,225 6,600 Rowan Cos., Inc.* 147,840 41,000 Schlumberger, Ltd. 1,950,370 5,400 Sunoco, Inc. 203,796 22,427 Transocean Sedco Forex, Inc.* 492,721 18,200 Unocal Corp. 522,158 36,400 Williams Cos., Inc. 287,560 ----------- 36,705,057 ----------- Pharmaceuticals - 11.5% 110,200 Abbott Laboratories 4,822,352 7,800 AmerisourceBergen Corp. (a) 540,930 90,708 Amgen, Inc.* 6,026,640 10,500 Biogen, Inc.* 399,000 136,500 Bristol-Myers Squibb Co. 3,705,975 31,900 Cardinal Health, Inc. 2,051,170 13,200 Chiron Corp.* 577,104 25,600 Forest Laboratories, Inc.* 1,401,600 15,100 Genzyme Corp.* 631,180 209,360 Johnson & Johnson 10,823,912 16,966 King Pharmaceuticals, Inc.* 250,418 79,200 Lilly (Eli) & Co. 5,462,424 20,514 McKesson HBOC Corp. 733,170 17,700 Medimmune, Inc.* 643,749 158,300 Merck & Co., Inc. 9,585,065 561,884 Pfizer, Inc. 19,188,339 103,300 Schering-Plough Corp. 1,921,380 5,100 Sigma Aldrich Corp. 276,318 7,500 Watson Pharmaceuticals, Inc.* 302,775 93,400 Wyeth Corp. 4,254,370 ----------- 73,597,871 ----------- Real Estate Investment Trust - 0.4% 6,600 Apartment Investment & Management Co., REIT 228,360 29,000 Equity Office Properties Trust, REIT 783,290 19,100 Equity Residential Properties Trust, REIT 495,645 13,000 Plum Creek Timber Co., Inc., REIT (a) 337,350 13,000 Simon Property Group, Inc., REIT 507,390 ----------- 2,352,035 ----------- Restaurants - 0.5% 12,000 Darden Restaurants, Inc. 227,760 89,400 McDonald's Corp. 1,972,164 8,100 Wendy's International, Inc. (a) 234,657 20,820 Yum! Brands, Inc.* 615,439 ----------- 3,050,020 ----------- See Notes to Financial Statements. - ------------------------------------------------------------------------------- F-18 Equity Index Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - ------------------------------------------------------------------------------- Value Shares (Note 2) - ------------------------------------------------------------------------------- Retailers - 6.5% 6,900 AutoZone, Inc.* $ 524,193 20,700 Bed Bath & Beyond, Inc.* 803,367 22,700 Best Buy Co., Inc.* 996,984 8,100 Big Lots, Inc.* 121,824 14,800 Circuit City Stores, Inc. 130,240 32,112 Costco Wholesale Corp.* 1,175,299 27,700 CVS Corp. 776,431 5,900 Dillards, Inc., Class A 79,473 23,487 Dollar General Corp. (a) 428,873 21,800 eBay, Inc.* 2,271,124 12,100 Family Dollar Stores, Inc. 461,615 13,400 Federated Department Stores, Inc. 493,790 163,897 Home Depot, Inc. 5,428,269 18,900 J.C. Penney Co., Inc. 318,465 55,000 Lowes Cos., Inc. 2,362,250 20,300 May Department Stores Co. 451,878 21,700 Office Depot, Inc.* 314,867 11,800 RadioShack Corp. 310,458 22,300 Sears Roebuck & Co. (a) 750,172 33,300 Staples, Inc.* 611,055 64,100 Target Corp. (a) 2,425,544 10,200 Tiffany & Co. 333,336 37,000 TJX Cos., Inc. 697,080 14,900 Toys 'R' Us, Inc.* 180,588 72,200 Walgreen Co. 2,173,220 311,100 Wal-Mart Stores, Inc. 16,696,737 ------------ 41,317,132 ------------ Securities Broker - 1.7% 7,052 Bear Stearns Cos., Inc. (a) 510,706 33,300 Goldman Sachs and Co. (a) 2,788,875 17,100 Lehman Brothers Holdings, Inc. 1,136,808 65,400 Merrill Lynch & Co., Inc. 3,052,872 76,334 Morgan Stanley Dean Witter & Co. 3,263,279 ------------ 10,752,540 ------------ Telephone Systems - 3.6% 21,900 Alltel Corp. 1,056,018 54,248 AT&T Corp. 1,044,274 190,855 AT&T Wireless Services, Inc.* 1,566,920 131,100 BellSouth Corp. 3,491,193 10,000 CenturyTel, Inc. (a) 348,500 119,463 Qwest Communications International, Inc.* 571,033 233,998 SBC Communications, Inc. 5,978,649 63,000 Sprint Corp. 907,200 70,400 Sprint Corp. (PCS Group)* 404,800 192,830 Verizon Communications, Inc. 7,607,144 ------------ 22,975,731 ------------ Textiles, Clothing & FABRICS - 0.3% 9,100 Jones Apparel Group, Inc.* 266,266 7,500 Liz Claiborne, Inc. 264,375 18,700 Nike, Inc., Class B 1,000,263 4,200 Reebok International, Ltd.* (a) 141,246 7,700 V.F. Corp. 261,569 ------------ 1,933,719 ------------ Transportation - 0.7% 6,300 Brunswick Corp. $ 157,626 26,452 Burlington Northern Santa Fe Corp. 752,295 44,300 Carnival Corp. (a) 1,440,193 15,100 CSX Corp. 454,359 27,400 Norfolk Southern Corp. 526,080 4,400 Ryder System, Inc. 112,728 10,008 Sabre Group Holdings, Inc. 246,697 17,900 Union Pacific Corp. 1,038,558 ------------ 4,728,536 ------------ Total Common Stocks 634,999,458 ------------ (Cost $703,096,747) CONVERTIBLE PREFERRED STOCKS - 0.0% Electric Utilities - 0.0% 4,200 NiSource, Inc.* 9,324 ------------ Total Convertible Preferred Stocks 9,324 ------------ (Cost $8,531) Par Value U.S. GOVERNMENT OBLIGATIONS - 0.2% U.S. Treasury Bill - 0.1% $1,100,000 0.78%, 09/18/03 (c) (d) 1,098,118 ------------ U.S. Treasury Note - 0.1% 475,000 3.00%, 02/29/04 481,457 ------------ Total U.S. Government Obligations 1,579,575 ------------ (Cost $1,579,301) Shares INVESTMENT COMPANY - 0.3% 1,631,933 Marshall Money Market Fund 1,631,933 ------------ Total Investment Company 1,631,933 ------------ (Cost $1,631,933) Total Investments - 100.0% 638,220,290 ------------ (Cost $706,316,512) Net Other Assets and Liabilities - (0.0)% (155,705) ------------ Total Net Assets - 100.0% $638,064,585 ============ - ---------- * Non-income producing security. (a) All or a portion of this security is out on loan at June 30, 2003; the value of the securities loaned amounted to $38,053,313. The value of collateral amounted to $39,905,710 which consisted of cash equivalents. (b) Contingent Value Obligation. Represents the right to receive contingent payments based upon the net after-tax flow to Progress Energy generated by certain operations. No such payments have been received to date. Security valued by fund management. See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-19 Equity Index Fund PORTFOLIO OF INVESTMENTS, Continued - June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- (c) Security has been deposited as initial margin on futures contracts. At June 30, 2003, the Portfolio's open futures contracts were as follows: Number Market Value of Contracts Contract Expiration Aggregate at Purchased Type Date Cost June 30, 2003 - ------------ -------- -------------- ---------- ------------- 9 S&P 500 September-2003 $2,207,903 $2,189,925 ========== ========== (d) Effective yield at time of purchase. REIT Real Estate Investment Trust FEDERAL INCOME TAX INFORMATION (SEE NOTE 2) At June 30, 2003, the aggregate cost of investment securities for tax purposes was $706,318,141. Net unrealized appreciation (depreciation) aggregated $(68,097,851), of which $36,785,871 related to appreciated investment securities and $(104,883,722) related to depreciated investment securities. OTHER INFORMATION For the six months ended June 30, 2003, the aggregate cost of purchases and the proceeds of sales, other than from short-term investments, included $115,408,052 and $159,953,998 of non-governmental issuers, respectively. See Notes to Financial Statements. - ------------------------------------------------------------------------------- F-20 Select Investment Grade Income Fund PORTFOLIO OF INVESTMENTS . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Par Value Moody's Ratings (Note 2) - -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS (k) - 26.6% Fannie Mae - 14.8% $ 5,000,000 5.00%, 07/01/33, TBA (a) NR $ 5,079,690 2,215,000 5.00%, 08/01/33, TBA (a) NR 2,241,303 5,206,918 5.50%, 11/25/10 - 05/01/33 NR 5,379,966 11,700,000 5.50%, 08/01/33, TBA (a) NR 12,054,650 12,953,056 6.00%, 09/01/13 - 11/01/32 NR 13,508,943 7,995,000 6.00%, 07/01/33, TBA (a) NR 8,307,301 29,326,244 6.50%, 05/01/08 - 09/01/32 NR 30,621,273 11,097,570 7.00%, 08/01/10 - 06/01/32 NR 11,739,166 4,721,405 7.50%, 01/01/07 - 09/01/30 NR 5,036,208 1,399,249 8.00%, 04/01/09 - 08/01/32 NR 1,503,661 131,952 8.50%, 07/01/08 - 06/01/30 NR 137,615 403,708 9.00%, 02/01/10 - 11/01/25 NR 444,398 4,457 10.00%, 10/01/20 NR 5,068 ------------ 96,059,242 ------------ Freddie Mac - 8.4% 1,685,000 4.50%, 07/01/18, TBA (a) NR 1,719,753 6,200,000 5.00%, 07/01/18, TBA (a) NR 6,401,500 19,345,720 5.00%, 05/01/18 - 06/01/23 NR 19,944,878 336,248 5.50%, 04/01/18 NR 348,766 4,860,000 5.50%, 07/01/33, TBA (a) NR 5,013,391 12,535,366 6.00%, 10/15/07 - 02/01/33 NR 13,001,638 2,531,407 6.50%, 06/01/04 - 12/01/31 NR 2,635,514 3,853,369 7.00%, 05/01/32 NR 4,039,890 1,214,275 7.50%, 06/01/15 - 11/01/30 NR 1,293,316 75,198 8.75%, 05/01/17 NR 83,382 144,411 9.50%, 08/01/19 - 02/01/21 NR 160,532 ------------ 54,642,560 ------------ Ginnie Mae - 3.4% 5,575,000 5.50%, 08/01/33, TBA (a) NR 5,784,063 7,801,802 6.00%, 01/15/32 - 11/15/32 NR 8,182,048 3,878,821 6.50%, 09/15/08 - 11/15/32 NR 4,075,863 3,174,918 7.00%, 06/15/23 - 12/15/31 NR 3,360,928 153,293 7.50%, 11/15/30 NR 162,930 108,502 9.50%, 02/15/06 NR 113,987 ------------ 21,679,819 ------------ Total U.S. Government Agency Mortgage-Backed Obligations 172,381,621 ------------ (Cost $170,662,456) U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 22.1% Fannie Mae - 6.5% 13,000,000 0.96%, 07/01/03 (b) Aaa 13,000,000 725,000 1.22%, 10/22/03 (b) Aaa 722,224 3,500,000 3.00%, 11/01/05 Aaa 3,586,387 1,405,000 5.15%, 05/03/07 Aaa 1,488,731 2,045,000 5.25%, 03/22/07 Aaa 2,099,694 40,000 5.38%, 11/15/11 Aaa 44,989 6,871,026 6.00%, 02/01/17 - 06/01/31 NR 7,161,571 6,290,000 6.25%, 07/19/11 Aaa 6,579,095 3,000,000 6.40%, 05/14/09 Aaa 3,127,275 $ 3,262,832 6.50%, 07/01/14 - 05/01/31 NR $ 3,435,210 126,898 7.50%, 03/01/28 - 12/01/30 NR 134,964 676,294 8.00%, 10/01/29 - 05/01/30 NR 730,605 ------------ 42,110,745 ------------ Federal Home Loan Bank - 1.0% 3,200,000 0.96%, 07/01/03 (b) (c) Aaa 3,200,000 3,145,000 4.96%, 06/18/07 Aaa 3,247,389 ------------ 6,447,389 ------------ Freddie Mac - 3.0% 3,300,000 4.50%, 07/23/07 Aaa 3,407,210 8,015,000 5.75%, 03/15/09 - 01/15/12 Aaa 9,206,602 6,840,279 6.50%, 12/01/31 NR 7,118,099 ------------ 19,731,911 ------------ Ginnie Mae - 0.4% 2,554,597 7.00%, 02/15/28 - 11/15/28 NR 2,702,169 ------------ Sallie Mae - 0.2% 1,500,000 0.88%, 10/16/03 (d) Aaa 1,500,000 ------------ U.S. Treasury Bond - 3.4% 12,620,000 5.38%, 02/15/31 (e) NR 14,210,814 515,000 5.50%, 08/15/28 NR 579,315 665,000 6.13%, 08/15/29 NR 812,573 5,100,000 6.25%, 08/15/23 NR 6,247,102 ------------ 21,849,804 ------------ U.S. Treasury Inflationary Index - 0.0% 143,067 3.38%, 04/15/32 NR 175,516 ------------ U.S. Treasury Note - 7.5% 15,000,000 2.25%, 07/31/04 NR 15,193,950 2,890,000 3.88%, 02/15/13 (e) NR 2,973,877 220,000 4.00%, 11/15/12 NR 228,929 5,000,000 4.25%, 11/15/03 NR 5,060,940 230,000 5.00%, 02/15/11 NR 258,166 4,370,000 5.25%, 05/15/04 (e) NR 4,530,121 14,920,000 5.88%, 02/15/04 NR 15,371,673 4,035,000 6.50%, 02/15/10 (e) NR 4,895,117 ------------ 48,512,773 ------------ U.S. Treasury Principal Only Strip - 0.1% 660,000 5.50%, 08/15/28 (f) NR 188,080 1,390,000 6.13%, 11/15/27 (f) NR 412,214 ------------ 600,294 ------------ Total U.S. Government and Agency Obligations 143,630,601 ------------ (Cost $139,713,076) See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-21 Select Investment Grade Income Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Par Value Moody's Ratings (Note 2) - -------------------------------------------------------------------------------- CORPORATE NOTES AND BONDS - 33.1% Aerospace & Defense - 0.5% $ 2,700,000 Northrop Grumman Corp. 7.13%, 02/15/11 Baa3 $ 3,234,387 152,880 Systems 2001 Asset Trust (g) 6.66%, 09/15/13 Aaa 172,109 ----------- 3,406,496 ----------- Airlines - 0.0% 94,322 Delta Airlines, Inc. 6.72%, 01/02/23 Aaa 102,212 ----------- Automotive - 0.8% 100,000 DaimlerChrysler North America Holding Corp. (d) 1.51%, 08/21/03 A3 100,000 42,470 DaimlerChrysler North America Holding Corp. 7.23%, 01/06/05 Aaa 43,361 100,000 DaimlerChrysler North America Holding Corp. 7.30%, 01/15/12 A3 112,779 1,775,000 DaimlerChrysler North America Holding Corp. 8.50%, 01/18/31 A3 2,121,125 2,660,000 General Motors Corp. (e) 7.20%, 01/15/11 Baa1 2,681,083 ----------- 5,058,348 ----------- Banking - 4.8% 325,000 Bank of America Corp. (d) 1.61%, 10/22/04 Aa2 326,134 2,700,000 Bank of America Corp. 4.88%, 09/15/12 Aa2 2,849,491 500,000 Bank of America Corp. 6.25%, 04/15/12 Aa2 579,242 3,020,000 BB&T Corp. (d) 6.38%, 06/30/05 A2 3,278,569 2,700,000 Citifinancial 6.75%, 07/01/07 Aa1 3,095,969 280,000 Credit Suisse First Boston, Inc. 4.63%, 01/15/08 Aa3 299,005 3,200,000 Fifth Third Bank 4.50%, 06/01/18 Aa3 3,138,547 575,000 MBNA Corp. 7.50%, 03/15/12 Baa2 681,558 2,955,000 National City Bank of Indiana 4.88%, 07/20/07 Aa3 3,169,240 245,000 National City Corp. 5.75%, 02/01/09 A2 278,861 1,385,000 Suntrust Banks, Inc. 6.38%, 04/01/11 Aa3 1,614,758 320,000 Suntrust Banks, Inc. 7.75%, 05/01/10 A1 397,826 2,700,000 U.S. Bancorp 5.10%, 07/15/07 Aa3 2,951,305 3,900,000 US Bank National Cincinnati 6.50%, 02/01/08 Aa3 4,496,322 $ 450,000 Wells Fargo & Co. (d) 1.38%, 03/03/06 Aa2 $ 450,590 3,195,000 Wells Fargo & Co. 5.13%, 02/15/07 Aa2 3,495,253 ----------- 31,102,670 ----------- Beverages, Food & Tobacco - 2.8% 2,700,000 Anheuser-Busch Cos., Inc. 4.63%, 02/01/15 A1 2,821,929 2,385,000 Bottling Group LLC (e) (g) 4.63%, 11/15/12 A3 2,492,802 2,175,000 Conagra Foods, Inc. 7.50%, 09/15/05 Baa1 2,425,443 1,500,000 Diageo, Plc 0.00%, 01/06/04 A2 1,488,528 2,700,000 General Mills, Inc. 6.00%, 02/15/12 Baa2 3,048,187 370,000 Pepsi Bottling Group, Inc. 7.00%, 03/01/29 A3 450,478 4,900,000 Unilever Capital Corp. 5.90%, 11/15/32 A1 5,275,899 ----------- 18,003,266 ----------- Chemicals - 1.1% 1,820,000 Du Pont (E.I.) De Nemours and Co. 3.38%, 11/15/07 Aa3 1,872,516 1,501,000 Du Pont (E.I.) De Nemours and Co. 6.88%, 10/15/09 Aa3 1,810,394 3,200,000 Praxair, Inc. 6.63%, 10/15/07 A3 3,660,630 ----------- 7,343,540 ----------- Commercial Services - 0.5% 2,800,000 USA Waste Services, Inc. 7.00%, 10/01/04 Baa3 2,969,464 ----------- Computer Software & Processing - 0.1% 300,000 Electronic Data Systems Corp. (e) 6.85%, 10/15/04 Baa3 314,250 ----------- Electric Utilities - 2.0% 2,500,000 Baltimore Gas & Electric Co. 5.20%, 06/15/33 A2 2,390,593 1,250,000 Dominion Resources, Inc. 7.60%, 07/15/03 Baa1 1,252,491 2,750,000 Exelon Corp. 6.75%, 05/01/11 Baa2 3,181,714 160,000 FirstEnergy Corp. 6.45%, 11/15/11 Baa2 175,578 2,915,000 Florida Power & Light 6.88%, 12/01/05 Aa3 3,254,227 2,325,000 Nisource Finance Corp. 7.88%, 11/15/10 Baa3 2,745,128 See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-22 Select Investment Grade Income Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Par Value Moody's Ratings (Note 2) - -------------------------------------------------------------------------------- Electric Utilities (Continued) $ 80,000 TXU Energy Co. (g) 7.00%, 03/15/13 Baa2 $ 88,539 ----------- 13,088,270 ----------- Entertainment & Leisure - 1.3% 4,850,000 AOL Time Warner, Inc. (e) 6.15%, 05/01/07 Baa1 5,455,911 120,000 AOL Time Warner, Inc. 8.38%, 07/15/33 Baa1 155,225 2,700,000 Harrah's Operating Co., Inc. 7.13%, 06/01/07 Baa3 3,054,062 15,000 MGM Mirage, Inc. 7.25%, 10/15/06 Ba1 16,050 4,000 MGM Mirage, Inc. 8.50%, 09/15/10 Ba1 4,700 11,000 Park Place Entertainment Corp. 8.50%, 11/15/06 Ba1 12,155 ----------- 8,698,103 ----------- Financial Services - 5.3% 2,700,000 American Express Co. 3.75%, 11/20/07 A1 2,813,557 2,000,000 American Express Credit Corp. 3.00%, 05/16/08 Aa3 2,013,784 3,200,000 CIT Group, Inc. (e) 4.00%, 05/08/08 A2 3,258,797 274,764 CVRD Finance Ltd., Series 1A (d) (g) 1.94%, 10/15/07 Aaa 272,016 100,000 Ford Motor Credit Co. 5.75%, 02/23/04 A3 102,087 2,895,000 Ford Motor Credit Co. (e) 6.50%, 01/25/07 A3 3,045,896 1,345,000 Ford Motor Credit Co. 6.88%, 02/01/06 A3 1,426,507 1,110,000 Ford Motor Credit Co. 7.25%, 10/25/11 A3 1,141,161 190,000 Ford Motor Credit Co. 7.38%, 10/28/09 A3 199,179 160,000 Ford Motor Credit Co. 7.38%, 02/01/11 A3 165,420 500,000 Ford Motor Credit Co. 7.88%, 06/15/10 A3 535,804 3,300,000 General Electric Capital Corp., MTN 4.25%, 01/15/08 Aaa 3,495,419 300,000 General Electric Capital Corp., MTN (e) 5.88%, 02/15/12 Aaa 335,582 200,000 General Electric Capital Corp., MTN 6.00%, 06/15/12 Aaa 225,754 280,000 General Electric Capital Corp., MTN 6.75%, 03/15/32 Aaa 327,478 1,725,000 General Electric Credit Corp. 6.27%, 07/23/03 Aaa 1,729,928 $ 100,000 General Motors Acceptance Corp. 7.25%, 03/02/11 A3 $ 102,610 200,000 General Motors Nova Finance 6.85%, 10/15/08 Baa1 209,990 2,760,000 Household Finance Corp. 8.00%, 07/15/10 A1 3,423,863 2,700,000 KFW International Finance, Inc. 4.25%, 04/18/05 Aaa 2,830,529 190,000 KFW International Finance, Inc. (e) 4.75%, 01/24/07 Aaa 206,224 2,700,000 Mellon Funding Corp. 5.00%, 12/01/14 A2 2,912,725 2,875,000 Toyota Motor Credit Corp. 5.50%, 12/15/08 Aa1 3,254,598 ----------- 34,028,908 ----------- Food Retailers - 1.0% 2,700,000 Kroger Co. 5.50%, 02/01/13 Baa3 2,850,009 3,300,000 Safeway, Inc. 6.50%, 03/01/11 Baa2 3,683,628 ----------- 6,533,637 ----------- Forest Products & Paper - 0.5% 2,700,000 International Paper Co. (g) 5.30%, 04/01/15 Baa2 2,775,854 600,000 Weyerhaeuser Co. (d) 2.24%, 09/15/03 Baa2 600,318 ----------- 3,376,172 ----------- Health Care Providers - 0.0% 21,000 Columbia/HCA Healthcare Corp. 6.91%, 06/15/05 Ba1 22,279 3,000 HCA, Inc. 6.30%, 10/01/12 Ba1 3,067 ----------- 25,346 ----------- Home Construction, Furnishings & Appliances - 0.0% 38,000 Lennar Corp. 9.95%, 05/01/10 Baa3 44,460 ----------- Insurance - 0.5% 2,700,000 UnitedHealth Group, Inc. 7.50%, 11/15/05 A3 3,054,677 ----------- Media - Broadcasting & Publishing - 2.6% 200,000 Continental Cablevision 8.63%, 08/15/03 Baa3 201,442 2,855,000 Continental Cablevision, Inc., Senior Notes 8.30%, 05/15/06 Baa3 3,285,357 3,300,000 Cox Communications, Inc. 7.13%, 10/01/12 Baa2 3,940,639 See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-23 Select Investment Grade Income Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - ------------------------------------------------------------------------------- Value Par Value Moody's Ratings (Note 2) - ------------------------------------------------------------------------------- Media - Broadcasting & Publishing (Continued) $ 3,300,000 News America Holdings, Inc. 7.38%, 10/17/08 Baa3 $ 3,898,115 2,155,000 Viacom, Inc. 5.50%, 05/15/33 A3 2,142,318 2,695,000 Viacom, Inc. 7.88%, 07/30/30 A3 3,521,319 ------------ 16,989,190 ------------ Metals - 0.0% 30,000 Scotia Pacific Co. LLC 7.71%, 01/20/14 Baa2 17,172 ------------ Oil & Gas - 1.9% 2,700,000 Burlington Resources, Inc. 7.40%, 12/01/31 Baa1 3,377,878 3,308,000 Conoco Funding Co. 5.45%, 10/15/06 A3 3,651,619 60,000 Conoco Funding Co. 6.35%, 10/15/11 A3 70,085 70,000 Conoco Funding Co. 7.25%, 10/15/31 A3 87,939 310,000 Conoco, Inc. 6.95%, 04/15/29 A3 372,978 40,000 ConocoPhillips 4.75%, 10/15/12 A3 42,273 1,055,000 Enterprise Products 8.25%, 03/15/05 Baa2 1,158,356 2,290,000 Occidental Petroleum Corp. 5.88%, 01/15/07 Baa2 2,542,115 575,000 Occidental Petroleum Corp. 6.75%, 01/15/12 Baa2 683,776 ------------ 11,987,019 ------------ Pharmaceuticals - 1.1% 3,170,000 Lilly (Eli) & Co. 7.13%, 06/01/25 Aa3 4,009,790 2,680,000 Zeneca Wilmington 7.00%, 11/15/23 Aa2 3,273,676 ------------ 7,283,466 ------------ Retailers - 1.2% 420,000 Target Corp. 5.88%, 03/01/12 A2 474,628 2,700,000 Target Corp. 6.35%, 11/01/32 A2 3,010,778 3,295,000 Wal-Mart Stores, Inc. 7.55%, 02/15/30 Aa2 4,351,680 ------------ 7,837,086 ------------ Securities Broker - 2.1% 2,700,000 Bear Stearns Cos., Inc. 4.00%, 01/31/08 A2 2,824,297 3,200,000 Goldman Sachs Group, Inc. 5.70%, 09/01/12 Aa3 3,515,613 2,700,000 Lehman Brothers Holdings, Inc. 4.00%, 01/22/08 A2 2,813,948 $ 600,000 Lehman Brothers Holdings, Inc. 8.25%, 06/15/07 A2 $ 716,494 300,000 Morgan Stanley Dean Witter & Co. 5.80%, 04/01/07 Aa3 331,313 2,800,000 Morgan Stanley Dean Witter & Co. 6.60%, 04/01/12 Aa3 3,235,078 ------------ 13,436,743 ------------ Telephone Systems - 2.1% 3,300,000 Sprint Capital Corp. 6.13%, 11/15/08 Baa3 3,581,579 1,550,000 Sprint Capital Corp. 7.90%, 03/15/05 Baa3 1,681,164 2,600,000 Verizon Florida, Inc. 6.13%, 01/15/13 A1 2,943,949 700,000 Verizon Global Funding Corp. 4.38%, 06/01/13 A2 698,025 1,895,000 Verizon Wireless Capital (d) 1.49%, 12/17/03 A3 1,894,394 2,700,000 Vodafone Group, Plc 5.38%, 01/30/15 A2 2,883,573 ------------ 13,682,684 ------------ Transportation - 0.9% 2,620,000 Consolidated Rail Corp. 9.75%, 06/15/20 Baa2 3,612,066 300,000 Union Pacific Corp. 5.38%, 06/01/33 Baa3 289,402 1,910,000 Union Pacific Corp. 6.63%, 02/01/08 Baa3 2,180,137 ------------ 6,081,605 ------------ Total Corporate Notes and Bonds 214,464,784 ------------ (Cost $203,793,998) ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (k) - 5.4% 715,224 Bank of America Corp., Series 2001-8, Class 2A (h) 6.50%, 07/25/31 AAA 725,702 3,080,000 Bear Stearns Commercial Mortgage Securities, Inc., Series 2002-PBW1, Class A2 4.72%, 11/11/35 Aaa 3,228,670 312,946 Bear Stearns Mortgage Securities, Inc., Series 1995-1, Class 1A, CMO (d) 6.11%, 05/25/10 Aaa 317,269 3,120,000 Bear Stearns Mortgage Securities, Inc., Series 1999-WF2, Class A2, CMO 7.08%, 06/15/09 Aaa 3,705,321 41,894 CBA Mortgage Corp., Series 1993-C1, Class E 6.72%, 12/25/03 NR 41,894 See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-24 Select Investment Grade Income Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Par Value Moody's Ratings (Note 2) - -------------------------------------------------------------------------------- ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (k) (Continued) $ 1,300,000 Chase Credit Card Master Trust, Series 1999-3, Class B, 6.95%, 01/15/07 A2 $ 1,377,545 1,285,000 Citibank Credit Card Issuance Trust, Series 2000-Cl, CMO 6.88%, 11/16/09 Aaa 1,508,181 1,000,000 Conseco Finance Corp. 6.77%, 09/01/32 Aaa 1,034,241 258,692 Contimortgage Home Equity Loan Trust, Series 1999-1, Class A5 6.37%, 02/25/26 Aaa 261,442 1,805,000 DaimlerChrysler Auto Trust, Series 2002-B, Class A3 2.93%, 06/06/06 Aaa 1,839,776 3,225,000 General Electric Capital Commercial Mortgage Corp., Series 2002-1A, Class A3 6.27%, 12/10/35 Aaa 3,739,429 170,000 Green Tree Financial Corp., Series 1999-3, Class A, CMO (h) 6.16%, 02/01/31 BBB 168,347 880,000 Green Tree Home Improvement Loan Trust, Series 1996-D, Class H, CMO (h) 8.30%, 09/15/27 AA 882,259 130,899 Green Tree Recreation Equipment & Consumer Trust, Series 1997-B, Class A1, CMO (h) 6.55%, 07/15/28 AAA 131,119 2,040,000 GS Mortgage Securities Corp. II, Series 1997-GL, Class A2D 6.94%, 07/13/30 Aaa 2,345,575 107,351 Housing Securities, Inc., Series 1994-2, Class A-1 6.50%, 07/25/09 Aaa 109,752 700,000 MBNA Master Credit Card Trust, Series 1995-C, Class A 6.45%, 02/15/08 Aaa 764,959 2,000,000 MBNA Master Credit Card Trust, Series 1999-G, Class B, CMO 6.60%, 12/15/06 A2 2,105,782 1,135,000 Morgan Stanley Dean Witter Capital I, Series 2002-TOP7, Class B, CMO 6.08%, 01/15/39 Aa2 1,296,051 4,775,000 Morgan Stanley Dean Witter Capital I, Series 2003-T0P9, Class A2, CMO (h) 4.74%, 11/13/36 AAA 5,000,265 1,613,955 Toyota Auto Receivables Grantor Trust, Series 2000-A, Class A4, CMO 7.21%, 04/15/07 Aaa 1,655,301 2,700,000 Toyota Auto Receivables Owner Trust, Series 2002-B, Class A3 3.76%, 06/15/06 Aaa 2,761,918 $ 337,946 United Air Lines, Inc., Pass- Through Certificate (i) 9.30%, 03/22/08 Caa2 $ 83,885 ----------- Total Asset-Backed and Mortgage-Backed Securities 35,084,683 ----------- (Cost $33,648,431) FOREIGN GOVERNMENT OBLIGATIONS (l) - 1.9% 3,300,000 Province of British Columbia 5.38%, 10/29/08 Aa2 3,709,510 3,025,000 Province of Manitoba 4.25%, 11/20/06 Aa2 3,233,045 2,800,000 Province of Ontario 2.63%, 12/15/05 Aa2 2,858,086 1,600,000 Province of Quebec 7.00%, 01/30/07 A1 1,859,619 140,000 Province of Quebec 7.13%, 02/09/24 A1 175,734 230,000 Province of Quebec 7.50%, 09/15/29 A1 306,537 30,000 United Mexican States 8.38%, 01/14/11 Baa2 35,940 ----------- Total Foreign Government Obligations 12,178,471 ----------- (Cost $11,308,293) FOREIGN BONDS (l) - 3.1% 3,025,000 Alberta Energy Co., Ltd. 7.38%, 11/01/31 Baa1 3,825,373 2,740,000 British Telecom, Plc (j) 8.38%, 12/15/10 Baa1 3,465,220 2,675,000 Canadian Pacific Railroad 5.75%, 03/15/33 Baa2 2,765,284 100,000 Hydro-Quebec 6.30%, 05/11/11 A1 117,653 270,000 Hydro-Quebec 7.50%, 04/01/16 A1 356,267 2,700,000 Sappi Papier Holding AG (g) 6.75%, 06/15/12 Baa2 3,083,556 2,055,000 Stora Enso Oyj 7.38%, 05/15/11 Baa1 2,460,698 2,710,000 Telus Corp. 7.50%, 06/01/07 Ba1 3,021,650 10,000 Tyco International Group S.A. (e) 5.88%, 11/01/04 Ba2 10,300 10,000 Tyco International Group S.A. 6.75%, 02/15/11 Ba2 10,600 1,000,000 Unilever Capital Corp. 6.75%, 11/01/03 A1 1,018,374 250,000 Unilever Capital Corp. 7.13%, 11/01/10 A1 302,893 ----------- Total Foreign Bonds 20,437,868 ----------- (Cost $18,661,791) See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-25 Select Investment Grade Income Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Par Value Moody's Ratings (Note 2) - -------------------------------------------------------------------------------- COMMERCIAL PAPER (b) - 9.2% BANKING - 9.2% $30,000,000 Rabobank Nederland (c) (h) 1.28%, 07/01/03 AAA $ 30,000,000 30,000,000 UBS Finance (DE) LLC (c) 1.31%, 07/01/03 Aa2 30,000,000 ------------ TOTAL COMMERCIAL PAPER 60,000,000 ------------ (Cost $60,000,000) Shares INVESTMENT COMPANIES - 4.5% 23,851,775 Dreyfus Cash Management Plus Money Market Fund (c) NR 23,851,775 5,117,398 Marshall Money Market Fund (c) NR 5,117,398 ------------ Total Investment Companies 28,969,173 ------------ (Cost $28,969,173) WARRANTS - 0.0% Computers & Information - 0.0% 500,000 International Business Machines Corp., 07/10/06 53,750 ------------ Telephone Systems - 0.0% 500,000 BellSouth Telecom, Inc., 07/12/06 42,500 ------------ Total Warrants 96,250 ------------ (Cost $16,562) Total Investments - 105.9% 687,243,451 ------------ (Cost $666,773,780) Net Other Assets and Liabilities - (5.9)% (38,477,804) ------------ Total Net Assets - 100.0% $648,765,647 ============ - ---------- (a) All or part of security is designated as a Forward Commitment. (b) Effective yield at time of purchase. (c) Designated as Collateral on Forward Commitments. (d) Variable rate security. The rate shown reflects rate in effect at period end. (e) All or a portion of this security is out on loan at June 30, 2003; the value of the securities loaned amounted to $37,079,345. The value of collateral amounted to $37,991,225 which consisted of cash equivalents. (f) No payments of interest are passed through to the "principal only" holder. The rate shown is the coupon rate of the original bond. (g) Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold, in transactions exempt from registration, to qualified institutional buyers. At June 30, 2003, these securities amounted to $8,884,876 or 1.4% of net assets. (h) Standard & Poor's (S&P) credit ratings are used in the absence of a rating by Moody's Investors, Inc. (i) Issuer filed for bankruptcy. (j) Debt obligation initially issued in coupon form which converts to a higher coupon form at a specified date and rate. The rate shown is the rate at period end. The maturity date shown is the ultimate maturity. (k) Pass Through Certificates. (l) U.S. currency denominated. CMO Collateralized Mortgage Obligation MTN Medium Term Note NR Not Rated FEDERAL INCOME TAX INFORMATION (SEE NOTE 2) At June 30, 2003, the aggregate cost of investment securities for tax purposes was $668,225,763. Net unrealized appreciation (depreciation) aggregated $19,017,688, of which $20,739,273 related to appreciated investment securities and $(1,721,585) related to depreciated investment securities. OTHER INFORMATION For the six months ended June 30, 2003, the aggregate cost of purchases and the proceeds of sales, other than from short-term investments, included $152,517,600 and $170,446,995 of non-governmental issuers, respectively, and $470,620,418 and $564,625,181 of U.S. Government and Agency issuers, respectively. The composition of ratings of both long-term and short-term debt holdings as a percentage of total value of investments in securities is as follows: Moody's Ratings (Unaudited) Aaa 12.3% Aa 14.3% A 12.1% Baa 12.8% Ba 0.4% Caa 0.0% NR (Not Rated) 42.8% ---- 94.7% ==== S&P Ratings (Unaudited) AAA 5.2% AA 0.1% BBB 0.0% --- 5.3% === Written Options Rollforward
Puts Calls --------------------------- --------------------------- Principal Amount Principal Amount of Contracts of Contracts (000'S Omitted) Premiums (000'S Omitted) Premiums ---------------- -------- ---------------- -------- Outstanding, beginning of period $ -- $ -- $ -- $ -- Options written 22 15,125 34 32,797 Options closed (22) (15,125) (34) (32,797) ---- ------- ---- -------- Outstanding, end of period $ -- $ -- $ -- $ -- ==== ======= ==== ========
See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-26 Government Bond Fund PORTFOLIO OF INVESTMENTS . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Par Value (Note 2) - -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS (b) - 2.7% Fannie Mae - 2.5% $ 6,500,000 4.00%, 07/25/22 $ 6,620,071 3,102 7.00%, 05/01/17 3,166 154,075 7.50%, 03/01/07 163,704 6,572 8.00%, 04/01/09 7,047 77,548 8.00%, 09/01/21 84,512 ------------ 6,878,500 ------------ Freddie Mac - 0.1% 172,009 6.50%, 06/01/04 - 06/01/23 181,369 54,536 7.50%, 02/01/07 57,357 27,130 8.00%, 09/01/09 - 06/01/19 29,180 38,468 10.00%, 03/01/21 43,746 ------------ 311,652 ------------ Ginnie Mae - 0.1% 21,831 6.50%, 06/15/09 23,234 190,119 7.00%, 06/15/12 204,104 32,330 9.50%, 02/15/06 33,964 ------------ 261,302 ------------ Total U.S. Government Agency Mortgage- Backed Obligations 7,451,454 ------------ (Cost $7,363,054) U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 87.5% Fannie Mae - 37.1% 13,385,000 3.50%, 09/15/04 13,762,992 3,075,000 4.38%, 09/15/12 (a) 3,218,467 24,710,000 5.00%, 01/15/07 (a) 27,197,160 10,578,000 5.13%, 02/13/04 10,841,149 14,595,000 5.38%, 11/15/11 16,415,420 13,510,000 5.50%, 05/02/06 14,832,291 3,500,000 6.00%, 05/15/08 4,041,719 9,460,000 6.38%, 06/15/09 11,203,487 ------------ 101,512,685 ------------ Federal Farm Credit Bank - 6.4% 12,000,000 2.63%, 12/15/05 12,293,424 5,000,000 3.88%, 12/15/04 5,188,130 ------------ 17,481,554 ------------ Federal Home Loan Bank - 12.8% 6,500,000 3.50%, 04/22/08 6,606,158 8,200,000 3.63%, 10/15/04 (a) 8,452,995 3,900,000 4.13%, 01/14/05 4,067,973 2,000,000 4.88%, 04/16/04 2,059,548 7,500,000 5.28%, 01/06/04 (a) 7,670,783 $ 1,000,000 5.55%, 11/25/08 $ 1,139,423 3,225,000 5.63%, 11/15/11 3,651,771 1,350,000 6.19%, 05/06/08 1,571,631 ------------ 35,220,282 ------------ Freddie Mac - 19.9% 6,350,000 4.50%, 08/15/04 6,584,918 2,500,000 4.75%, 10/11/12 2,581,313 6,985,000 5.13%, 10/15/08 (a) 7,804,361 2,000,000 5.70%, 07/11/06 2,002,386 13,325,000 5.75%, 04/15/08 - 01/15/12 14,892,116 9,405,000 6.63%, 09/15/09 11,287,655 7,650,000 6.88%, 09/15/10 9,356,937 ------------ 54,509,686 ------------ Sallie Mae - 1.5% 4,000,000 5.00%, 06/30/04 4,163,236 ------------ U.S. Treasury Bond - 3.6% 6,370,000 8.88%, 08/15/17 - 02/15/19 9,754,899 ------------ U.S. Treasury Note - 6.2% 5,395,000 2.00%, 11/30/04 (a) 5,459,066 2,860,000 4.88%, 02/15/12 3,179,067 1,485,000 5.25%, 05/15/04 (a) 1,539,412 1,945,000 6.00%, 08/15/04 2,052,127 4,125,000 6.63%, 05/15/07 (a) 4,825,928 ------------ 17,055,600 ------------ Total U.S. Government and Agency Obligations 239,697,942 ------------ (Cost $229,345,300) ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (b) - 6.5% 6,013,051 Capital Auto Receivables Asset Trust, Series 2002-4, Class A2B 1.74%, 01/17/05 6,024,392 5,500,000 Citibank Credit Card Issuance Trust, Series 2001, Class A8 4.10%, 12/07/06 5,713,957 3,500,000 Ford Credit Auto Owner Trust, Series 2003-A, Class A4A 2.70%, 06/15/07 3,574,227 2,000,000 MBNA Master Credit Card Trust, Series 1999-B, Class A 5.90%, 08/15/11 2,294,426 ------------ Total Asset-Backed and Mortgage-Backed Securities 17,607,002 ------------ (Cost $17,200,886) See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-27 Government Bond Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Shares (Note 2) - -------------------------------------------------------------------------------- INVESTMENT COMPANIES - 2.4% 4,078 Dreyfus Cash Management Plus Money Market Fund $ 4,078 6,562,740 Marshall Money Market Fund 6,562,740 ------------ Total Investment Companies 6,566,818 ------------ (Cost $6,566,818) Total Investments - 99.1% 271,323,216 ------------ (Cost $260,476,058) Net Other Assets and Liabilities - 0.9% 2,527,377 ------------ Total Net Assets - 100.0% $273,850,593 ============ - ---------- (a) All or a portion of this security is out on loan at June 30, 2003; the value of the securities loaned amounted to $52,281,287. The value of collateral amounted to $53,388,145, which consisted of cash equivalents. (b) Pass Through Certificates. FEDERAL INCOME TAX INFORMATION (SEE NOTE 2) At June 30, 2003, the aggregate cost of investment securities for tax purposes was $262,173,298. Net unrealized appreciation (depreciation) aggregated $9,149,918, of which $9,157,590 related to appreciated investment securities and $(7,672) related to depreciated investment securities. OTHER INFORMATION For the six months ended June 30, 2003, the aggregate cost of purchases and the proceeds of sales, other than from short-term investments, included $3,499,363 and $1,986,949 of non-governmental issuers, respectively, and $86,955,975 and $86,683,821 of U.S. Government and Agency issuers, respectively. See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-28 Money Market Fund PORTFOLIO OF INVESTMENTS . June 30, 2003 (unaudited) - -------------------------------------------------------------------------------- Value Par Value (Note 2) - -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS - 15.3% Fannie Mae - 6.2% $ 5,000,000 1.18%, 07/27/04 $ 5,000,000 14,850,000 1.19%, 03/05/04 (a) 14,728,774 12,681,000 1.23%, 07/01/03 (a) 12,681,000 ------------ 32,409,774 ------------ Federal Home Loan Bank - 8.1% 25,000,000 1.16%, 03/15/04 (b) 25,000,000 7,500,000 1.35%, 03/30/04 7,500,000 10,000,000 1.40%, 06/04/04 10,000,000 ------------ 42,500,000 ------------ Freddie Mac - 1.0% 5,000,000 0.89%, 09/30/03 (a) 4,988,752 ------------ Total U.S. Government Agency Obligations 79,898,526 ------------ (Cost $79,898,526) CORPORATE NOTES - 46.5% Banking - 8.6% 25,000,000 Bayerische Landesbank NY (b) 1.26%, 02/23/04 25,000,000 20,000,000 Marshall & Isley Bank (b) 1.17%, 12/19/03 20,000,000 ------------ 45,000,000 ------------ Financial Services - 22.3% 7,864,000 Caterpillar Financial Services Corp. (b) 1.37%, 07/09/03 7,864,157 10,000,000 Caterpillar Financial Services Corp. (b) 1.43%, 04/02/04 10,013,992 3,050,000 Citigroup, Inc. 5.70%, 02/06/04 3,128,827 23,000,000 Countrywide Home Loans, Inc. (b) 1.68%, 11/21/03 23,018,861 12,000,000 J.P. Morgan Chase & Co. 5.75%, 02/25/04 12,338,641 15,000,000 Money Market Trust LLC (b) (c) 1.37%, 12/03/03 15,000,000 30,000,000 Money Market Trust Series 2003A (b) (c) 1.19%, 08/19/03 29,998,977 5,000,000 Sigma Finance, Inc. (b) (c) 1.14%, 05/18/04 4,999,750 10,000,000 Sigma Finance, Inc. 1.64%, 12/03/03 10,000,000 ------------ 116,363,205 ------------ Oil & Gas - 3.9% 20,000,000 Deer Park Refining, LP (c) 1.15%, 07/18/03 20,000,000 ------------ Securities Broker - 11.7% $10,000,000 Bear Stearns Cos., Inc. (b) 1.50%, 12/12/03 $ 10,006,767 10,000,000 Goldman Sachs Group, Inc. (b) 1.28%, 12/08/03 10,000,000 4,000,000 Goldman Sachs Group, Inc. (b) 1.28%, 01/23/04 4,000,000 6,885,000 Lehman Brothers Holdings, Inc. 7.36%, 12/15/03 7,070,625 10,000,000 Morgan Stanley Dean Witter & Co. (b) 1.28%, 11/14/03 10,000,000 13,000,000 Morgan Stanley Dean Witter & Co. 5.63%, 01/20/04 13,293,530 6,488,000 Travelers Group, Inc. 6.75%, 08/15/03 6,531,904 ------------ 60,902,826 ------------ Total Corporate Notes 242,266,031 ------------ (Cost $242,266,031) ASSET BACKED SECURITIES - 0.2% 1,077,195 Whole Auto Loan Trust, Series 2002-1, Class A1 1.42%, 12/15/03 1,077,195 ------------ Total Asset Backed Securities 1,077,195 ------------ (Cost $1,077,195) COMMERCIAL PAPER (a) - 28.0% Banking - 5.9% 5,000,000 Societe Generale North America, Inc. 1.07%, 08/01/03 4,995,393 7,500,000 UBS Finance (DE) LLC 1.04%, 07/08/03 7,498,483 18,300,000 UBS Finance (DE) LLC 1.31%, 07/01/03 18,300,000 ------------ 30,793,876 ------------ Financial Services - 16.3% 15,000,000 Amstel Funding Corp. (c) 1.22%, 07/02/03 14,999,491 15,000,000 Blue Ridge Asset Funding (c) 1.17%, 08/05/03 14,982,938 15,000,000 Clipper Receivables Corp. 1.02%, 07/22/03 14,991,075 10,000,000 High Peak Funding LLC (c) 0.97%, 09/12/03 9,980,331 10,000,000 High Peak Funding LLC (c) 1.12%, 08/06/03 9,988,800 10,000,000 Ivory Funding Corp. (c) 1.23%, 08/12/03 9,985,650 5,000,000 Newbury Funding (c) 1.12%, 10/24/03 4,982,111 5,000,000 Sheffield Receivables Corp. (c) 1.20%, 07/08/03 4,998,834 ------------ 84,909,230 ------------ See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-29 Money Market Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Value Par Value (Note 2) - -------------------------------------------------------------------------------- Securities Broker - 5.8% $20,000,000 Barton Capital Corp. (c) 1.25%, 07/07/03 $ 19,995,833 10,000,000 Goldman Sachs Promissory Note 1.35%, 07/25/03 10,000,000 ------------ 29,995,833 ------------ Total Commercial Paper 145,698,939 ------------ (Cost $145,698,939) CERTIFICATES OF DEPOSIT - 2.9% 15,000,000 Associated Bank Green Bay 1.34%, 07/16/03 15,000,000 ------------ Total Certificates of Deposit 15,000,000 ------------ (Cost $15,000,000) Shares INVESTMENT COMPANIES - 7.6% 19,201,475 Bear Stearns Prime Money Market Portfolio 19,201,475 110,405 Dreyfus Cash Management Plus Money Market Fund 110,405 20,240,143 One Group Institutional Prime Money Market Fund 20,240,143 ------------ Total Investment Companies 39,552,023 ------------ (Cost $39,552,023) Total Investments - 100.5% 523,492,714 ------------ (Cost $523,492,714) Net Other Assets and Liabilities - (0.5)% (2,366,543) ------------ Total Net Assets - 100.0% $521,126,171 ============ - ---------- (a) Effective yield at time of purchase. (b) Variable rate security. The rate shown reflects rate in effect at period end. (c) Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, to qualified institutional buyers. At June 30, 2003, these securities amounted to $159,912,715 or 30.7% of net assets. These securities have been deemed to be liquid in accordance with procedures established by the Board of Trustees. FEDERAL INCOME TAX INFORMATION (SEE NOTE 2) At June 30, 2003, the aggregate cost of investment securities for tax purposes was $523,492,714. See Notes to Financial Statements. - ------------------------------------------------------------------------------- F-30 (This page intentionally left blank) - -------------------------------------------------------------------------------- F-31 Allmerica Investment Trust STATEMENTS OF ASSETS AND LIABILITIES . June 30, 2003 (Unaudited) - --------------------------------------------------------------------------------
Select Capital Select Value Appreciation Opportunity Fund Fund - --------------------------------------------------------------------------------- ASSETS: Investments: Investments at cost .......................... $239,879,546 $282,458,671 Net unrealized appreciation (depreciation) ............................ 50,030,436 40,012,652 ------------ ------------ Total investments at value+ ............... 289,909,982 322,471,323 Cash and foreign currency* ...................... 3,808 5,335,651 Short-term investments held as collateral for securities loaned ............................ 60,344,701 30,011,385 Receivable for investments sold ................. 3,202,757 3,546,266 Receivable for shares sold ...................... -- -- Interest and dividend receivables ............... 4,859 242,777 Dividend tax reclaim receivable ................. 722 -- Miscellaneous receivable ........................ -- -- ------------ ------------ Total Assets .............................. 353,466,829 361,607,402 ------------ ------------ LIABILITIES: Payable for investments purchased ............... 1,885,254 1,028,267 Collateral for securities loaned ................ 60,344,701 30,011,385 Management fee payable .......................... 223,954 241,740 Distribution fee payable ........................ 36,679 41,273 Trustees' fees and expenses payable ............. 3,966 4,662 Unrealized depreciation on forward currency contracts ........................... -- -- Payable for shares repurchased .................. 349,288 161,525 Written options outstanding, at value** ......... -- -- Accrued expenses and other payables ............. 59,754 61,629 ------------ ------------ Total Liabilities ......................... 62,903,596 31,550,481 ------------ ------------ NET ASSETS ...................................... $290,563,233 $330,056,921 ============ ============ NET ASSETS consist of: Paid-in capital ................................. $249,566,660 $309,850,113 Undistributed (distribution in excess of) net investment income (loss) ................. (526,188) 803,528 Accumulated (distribution in excess of) net realized gain (loss) on investments sold, foreign currency transactions, written options contracts and futures contracts .............. (8,507,675) (20,609,372) Net unrealized appreciation (depreciation) of investments, assets and liabilities in foreign currency, written options contracts and futures contracts ............................ 50,030,436 40,012,652 ------------ ------------ TOTAL NET ASSETS ................................ $290,563,233 $330,056,921 ============ ============ Shares of beneficial interest outstanding (unlimited authorization, no par value) ...... 160,701,018 196,819,042 NET ASSET VALUE, Offering and redemption price per share (Net Assets/Shares Outstanding) ................. $ 1.808 $ 1.677 ============ ============ +Total value of securities on loan ........ $ 58,327,846 $ 28,519,731 ============ ============
- ---------- * Cost $18,341,302 for Select International Equity Fund. ** Premiums of $1,700 for the Select Growth Fund. See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-32 Allmerica Investment Trust
Select Select Core Equity International Growth Equity Index Equity Fund Fund Fund Fund - -------------------------------------------------------------------------------------------------------------- ASSETS: Investments: Investments at cost .......................... $371,477,914 $589,991,488 $397,514,751 $706,316,512 Net unrealized appreciation (depreciation) ............................ (43,588,443) 20,496,550 (18,498,916) (68,096,222) ------------ ------------ ------------ ------------ Total investments at value+ ............... 327,889,471 610,488,038 379,015,835 638,220,290 Cash and foreign currency* ...................... 18,294,726 1,517,378 1,375,815 5,449 Short-term investments held as collateral for securities loaned ............................ 25,029,573 50,357,927 34,971,374 39,905,710 Receivable for investments sold ................. -- 3,944,542 2,334,228 -- Receivable for shares sold ...................... -- 5,228 -- 11,376 Interest and dividend receivables ............... 982,057 834,005 446,895 861,365 Dividend tax reclaim receivable ................. 480,914 437 -- -- Miscellaneous receivable ........................ -- -- -- 831 ------------ ------------ ------------ ------------ Total Assets .............................. 372,676,741 667,147,555 418,144,147 679,005,021 ------------ ------------ ------------ ------------ LIABILITIES: Payable for investments purchased ............... 990,977 4,665,436 1,643,309 -- Collateral for securities loaned ................ 25,029,573 50,357,927 34,971,374 39,905,710 Management fee payable .......................... 273,915 414,940 186,873 147,732 Distribution fee payable ........................ 44,375 77,911 48,691 78,207 Trustees' fees and expenses payable ............. 4,789 6,239 5,775 5,463 Unrealized depreciation on forward contracts .... 982 -- -- -- Payable for shares repurchased .................. 881,994 725,709 357,306 636,014 Written options outstanding, at value** ......... -- 153 -- -- Accrued expenses and other payables ............. 99,629 156,748 91,841 167,310 ------------ ------------ ------------ ------------ Total Liabilities ......................... 27,326,234 56,405,063 37,305,169 40,940,436 ------------ ------------ ------------ ------------ NET ASSETS ...................................... $345,350,507 $610,742,492 $380,838,978 $638,064,585 ============ ============ ============ ============ NET ASSETS consist of: Paid-in capital ................................. $490,066,925 $890,000,639 $649,079,199 $741,619,548 Undistributed (distribution in excess of) net investment income (loss) ..................... 7,225,134 2,321,741 38,545 203,447 Accumulated (distribution in excess of) net realized gain (loss) on investments sold, foreign currency transactions, written options contracts and futures contracts .............. (108,388,525) (302,077,964) (249,779,850) (35,644,210) Net unrealized appreciation (depreciation) of investments, assets and liabilities in foreign currency,written options contracts and futures contracts ............................ (43,553,027) 20,498,076 (18,498,916) (68,114,200) ------------ ------------ ------------ ------------ TOTAL NET ASSETS ................................ $345,350,507 $610,742,492 $380,838,978 $638,064,585 ============ ============ ============ ============ Shares of beneficial interest outstanding (unlimited authorization, no par value) ...... 371,740,854 484,899,800 276,350,222 296,664,092 NET ASSET VALUE, Offering and redemption price per share (Net Assets/Shares Outstanding) ................. $ 0.929 $ 1.260 $ 1.378 $ 2.151 ============ ============ ============ ============ +Total value of securities on loan ........ $ 23,720,637 $ 48,693,671 $ 33,787,923 $ 38,053,313 ============ ============ ============ ============ Select Government Money Investment Grade Bond Market Income Fund Fund Fund - -------------------------------------------------------------------------------------------------- ASSETS: Investments: Investments at cost .......................... $666,773,780 $260,476,058 $523,492,714 Net unrealized appreciation (depreciation) ............................ 20,469,671 10,847,158 -- ------------ ------------ ------------ Total investments at value+ ............... 687,243,451 271,323,216 523,492,714 Cash and foreign currency* ...................... 2,765,974 12,085 26,118 Short-term investments held as collateral for securities loaned ............. 37,991,225 53,388,145 -- Receivable for investments sold ................. 30,015,234 976 -- Receivable for shares sold ...................... -- 225 1,341,932 Interest and dividend receivables ............... 5,960,574 2,959,082 1,473,199 Dividend tax reclaim receivable ................. -- -- -- Miscellaneous receivable ........................ 6,678 -- 1,737 ------------ ------------ ------------ Total Assets .............................. 763,983,136 327,683,729 526,335,700 ------------ ------------ ------------ LIABILITIES: Payable for investments purchased ............... 76,425,572 -- 5,000,000 Collateral for securities loaned ................ 37,991,225 53,388,145 -- Management fee payable .......................... 219,564 112,601 132,792 Distribution fee payable ........................ 80,472 33,742 64,799 Trustees' fees and expenses payable ............. 8,717 4,153 1,049 Unrealized depreciation on forward currency contracts ........................... -- -- -- Payable for shares repurchased .................. 405,809 266,393 -- Written options outstanding, at value** ......... -- -- -- Accrued expenses and other payables ............. 86,130 28,102 10,889 ------------ ------------ ------------ Total Liabilities ......................... 115,217,489 53,833,136 5,209,529 ------------ ------------ ------------ NET ASSETS ...................................... $648,765,647 $273,850,593 $521,126,171 ============ ============ ============ NET ASSETS Consist Of: Paid-in capital ................................. $618,144,011 $264,858,602 $521,008,388 Undistributed (distribution in excess of) net investment income (loss) ................. (2,556,364) (2,330,999) -- Accumulated (distribution in excess of) net realized gain (loss) on investments sold,foreign currency transactions,written options contracts and futures contracts ............................ 12,380,812 475,832 117,783 Net unrealized appreciation (depreciation) of investments, assets and liabilities in foreign currency, written options contracts and futures contracts ............................ 20,797,188 10,847,158 -- ------------ ------------ ------------ TOTAL NET ASSETS ................................ $648,765,647 $273,850,593 $521,126,171 ============ ============ ============ Shares of beneficial interest outstanding (unlimited authorization, no par value) ................................... 565,399,791 240,227,491 521,010,014 NET ASSET VALUE, Offering and redemption price per share (Net Assets/Shares Outstanding) ................. $ 1.147 $ 1.140 $ 1.000 ============ ============ ============ +Total value of securities on loan ........ $ 37,079,345 $ 52,281,287 $ -- ============ ============ ============
- -------------------------------------------------------------------------------- F-33 Allmerica Investment Trust STATEMENTS OF OPERATIONS . For the Six Months Ended June 30, 2003 (Unaudited) - --------------------------------------------------------------------------------
Select Capital Select Value Appreciation Opportunity Fund Fund - --------------------------------------------------------------------------------- INVESTMENT INCOME Interest ..................................... $ 520,015 $ 239,180 Dividends .................................... 441,101 1,682,645 Securities lending income .................... 26,435 14,540 Less net foreign taxes withheld .............. (6,281) -- ----------- ------------ Total investment income ................... 981,270 1,936,365 ----------- ------------ EXPENSES Management fees .............................. 1,251,479 1,393,809 Distribution fees ............................ 202,129 235,770 Custodian and Fund accounting fees ........... 41,499 45,476 Legal fees ................................... 13,853 16,759 Audit fees ................................... 10,133 11,572 Trustees' fees and expenses .................. 11,632 13,265 Reports to shareholders ...................... 1,241 1,375 Miscellaneous ................................ 3,414 3,617 ----------- ------------ Total expenses before reductions .......... 1,535,380 1,721,643 Less reductions ........................... (27,924) (94,803) ----------- ------------ Total expenses net of reductions .......... 1,507,456 1,626,840 ----------- ------------ NET INVESTMENT INCOME (LOSS) .................... (526,186) 309,525 ----------- ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain(loss) on investments sold... 3,113,650 (17,296,737) Net realized gain on futures contracts ....... -- -- Net realized gain (loss) on foreign currency transactions .................... -- -- Net realized gain on written options contracts ......................... -- -- Net change in unrealized appreciation (depreciation) of investments ............. 44,097,468 52,067,666 Net change in unrealized appreciation (depreciation) of assets and liabilities in foreign currency .......... -- -- ----------- ------------ NET GAIN ON INVESTMENTS ......................... 47,211,118 34,770,929 ----------- ------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .............................. $46,684,932 $ 35,080,454 =========== ============
See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-34 Allmerica Investment Trust
Select Select Core International Growth Equity Equity Fund Fund Fund - ----------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest ..................................... $ 17,155 $ 2,020,109 $ 6,770 Dividends .................................... 6,900,804 2,511,761 3,102,207 Securities lending income .................................... 89,318 10,641 10,373 Less net foreign taxes withheld ............................ (853,170) (21,136) -- ------------ ------------ ------------ Total investment income ................... 6,154,107 4,521,375 3,119,350 ------------ ------------ ------------ EXPENSES Management fees .............................. 1,449,797 1,855,679 1,079,798 Distribution fees ............................ 236,157 338,463 277,585 Custodian and Fund accounting fees ........... 125,563 136,506 44,287 Legal fees ................................... 16,846 27,035 19,095 Audit fees ................................... 11,941 26,858 13,849 Trustees' fees and expenses .................. 12,539 10,377 13,176 Reports to shareholders ...................... 1,637 87,664 48,029 Miscellaneous ................................ 3,805 5,071 5,187 ------------ ------------ ------------ Total expenses before reductions .......... 1,858,285 2,487,653 1,501,006 Less reductions ........................... (19,607) (40,901) (82,743) ------------ ------------ ------------ Total expenses net of reductions .......... 1,838,678 2,446,752 1,418,263 ------------ ------------ ------------ NET INVESTMENT INCOME (LOSS) .................... 4,315,429 2,074,623 1,701,087 ------------ ------------ ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain(loss) on investments sold... (22,055,092) (48,636,147) (24,633,746) Net realized gain on futures contracts ....... -- -- -- Net realized gain (loss) on foreign currency transactions ..................... (636,359) (24,431) -- Net realized gain on written options contracts ......................... -- -- -- Net change in unrealized appreciation (depreciation) of investments ............. 37,583,143 98,018,594 63,286,241 Net change in unrealized appreciation (depreciation) of assets and liabilities in foreign currency ........... 150,285 (21) -- ------------ ------------ ------------ NET GAIN ON INVESTMENTS ......................... 15,041,977 49,357,995 38,652,495 ------------ ------------ ------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .............................. $ 19,357,406 $ 51,432,618 $ 40,353,582 ============ ============ ============ Equity Select Government Money Index Investment Grade Bond Market Fund Income Fund Fund Fund - ------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest ..................................... $ 27,742 $12,840,736 $4,964,360 $4,413,129 Dividends .................................... 3,920,791 -- -- -- Securities lending income .................................... 10,762 25,036 23,413 -- Less net foreign taxes withheld ............................ -- -- -- -- ------------ ----------- ---------- ---------- Total investment income ................... 3,959,295 12,865,772 4,987,773 4,413,129 ------------ ----------- ---------- ---------- EXPENSES Management fees .............................. 608,663 1,255,368 715,929 899,934 Distribution fees ............................ 320,567 456,816 214,779 450,701 Custodian and Fund accounting fees ........... 96,737 101,634 39,414 90,661 Legal fees ................................... 13,924 30,308 14,476 26,747 Audit fees ................................... 20,317 21,658 10,932 23,210 Trustees' fees and expenses .................. 11,517 24,938 13,144 25,061 Reports to shareholders ...................... 1,427 12,989 5,710 15,722 Miscellaneous ................................ 6,587 388 1,151 3,195 ------------ ----------- ---------- ---------- Total expenses before reductions .......... 1,079,739 1,904,099 1,015,535 1,535,231 Less reductions ........................... (42,543) -- -- -- ------------ ----------- ---------- ---------- Total expenses net of reductions .......... 1,037,196 1,904,099 1,015,535 1,535,231 ------------ ----------- ---------- ---------- NET INVESTMENT INCOME (LOSS) .................... 2,922,099 10,961,673 3,972,238 2,877,898 ------------ ----------- ---------- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain(loss) on investments sold... (22,087,740) 17,537,635 1,732,862 80,778 Net realized gain on futures contracts ....... 498,228 31,888 -- -- Net realized gain (loss) on foreign currencytransactions ...................... -- 2,301,254 -- -- Net realized gain on written options contracts ......................... -- 18,798 -- -- Net change in unrealized appreciation (depreciation) of investments ............. 77,234,164 (6,414,425) 2,282,576 -- Net change in unrealized appreciation (depreciation) of assets and liabilities in foreign currency ........... -- 117,247 -- -- ------------ ----------- ---------- ---------- NET GAIN ON INVESTMENTS ......................... 55,644,652 13,592,397 4,015,438 80,778 ------------ ----------- ---------- ---------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .............................. $ 58,566,751 $24,554,070 $7,987,676 $2,958,676 ============ =========== ========== ==========
- -------------------------------------------------------------------------------- F-35 Allmerica Investment Trust STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------------------- Select Capital Appreciation Fund - -------------------------------------------------------------------------------------------- Six Months Ended Year Ended June 30, 2003 December 31, (Unaudited) 2002 - -------------------------------------------------------------------------------------------- NET ASSETS at beginning of period ....................... $287,593,224 $ 435,863,705 ------------ ------------- Increase (decrease) in net assets resulting from operations: Net investment income (loss) ......................... (526,186) (2,557,333) Net realized gain (loss) on investments sold and foreign currency transactions ................. 3,113,650 950,749 Net change in unrealized appreciation (depreciation) of investments, assets and liabilities in foreign currency, written option contracts and futures contracts ......................................... 44,097,468 (92,440,948) ------------ ------------- Net increase (decrease) in net assets resulting from operations ......................... 46,684,932 (94,047,532) ------------ ------------- Distributions to shareholders from: Net investment income ................................ -- -- Net realized gain on investments ..................... -- -- ------------ ------------- Total distributions ............................... -- -- ------------ ------------- Capital share transactions: Net proceeds from sales of shares .................... 599,125 13,237,382 Value of shares issued in exchange for the net assets of the Select Aggressive Growth Fund (Note 9) .............................. -- -- Value of shares issued in exchange for the net assets of the Select Strategic Growth Fund (Note 9) .............................. -- -- Value of shares issued in exchange for the net assets of the Select Emerging Markets Fund (Note 9) ............................. -- -- Issued to shareholders in reinvestment of distributions ..................................... -- -- Cost of shares repurchased ........................... (44,314,048) (67,460,331) ------------ ------------- Net increase (decrease) from capital share transactions ............................. (43,714,923) (54,222,949) ------------ ------------- Total increase (decrease) in net assets ........... 2,970,009 (148,270,481) ------------ ------------- NET ASSETS at end of period ............................. $290,563,233 $ 287,593,224 ============ ============= Undistributed (distribution in excess of) net investment income (loss) ............................. $ (526,188) $ (2) ============ ============= OTHER INFORMATION: Share transactions: Sold ................................................. 356,428 7,193,851 Issued in exchange for the shares of the Select Aggressive Growth Fund (Note 9) ............ -- -- Issued in exchange for the shares of the Select Strategic Growth Fund (Note 9) ............. -- -- Issued in exchange for the shares of the Select Emerging Markets Fund (Note 9) ............. -- -- Issued to shareholders in reinvestment of distributions ..................................... -- -- Repurchased .......................................... (28,686,781) (42,804,867) ------------ ------------- Net increase (decrease) in shares outstanding ..... (28,330,353) (35,611,016) ============ =============
See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-36 Allmerica Investment Trust
Select Value Select International Opportunity Fund Equity Fund - ------------------------------------------------------------------------------------------------------------------------------- Six Months Ended Year Ended Six Months Ended Year Ended June 30, 2003 December 31, June 30, 2003 December 31, (Unaudited) 2002 (Unaudited) 2002 - ------------------------------------------------------------------------------------------------------------------------------- NET ASSETS at beginning of period ....................... $351,830,989 $440,335,089 $335,889,657 $ 460,006,450 ------------ ------------ ------------ ------------- Increase (decrease) in net assets resulting from operations: Net investment income (loss) ......................... 309,525 494,004 4,315,429 4,714,748 Net realized gain (loss) on investments sold and foreign currency transactions ................. (17,296,737) (2,962,234) (22,691,451) (70,636,155) Net change in unrealized appreciation (depreciation) of investments, assets and liabilities in foreign currency, written option contracts and futures contracts ......................................... 52,067,666 (73,857,508) 37,733,428 (18,848,771) ------------ ------------ ------------ ------------- Net increase (decrease) in net assets resulting from operations ......................... 35,080,454 (76,325,738) 19,357,406 (84,770,178) ------------ ------------ ------------ ------------- Distributions to shareholders from: Net investment income ................................ -- (2,569,624) -- (6,485,063) Net realized gain on investments ..................... -- (37,133,238) -- (3,713,786) ------------ ------------ ------------ ------------- Total distributions ............................... -- (39,702,862) -- (10,198,849) ------------ ------------ ------------ ------------- Capital share transactions: Net proceeds from sales of shares .................... 11,258,564 67,470,986 8,384,339 180,993,225 Value of shares issued in exchange for the net assets of the Select Aggressive Growth Fund (Note 9) .............................. -- -- -- -- Value of shares issued in exchange for the net assets of the Select Strategic Growth Fund (Note 9) .............................. -- -- -- -- Value of shares issued in exchange for the net assets of the Select Emerging Markets Fund (Note 9) ............................. -- -- 45,260,073 -- Issued to shareholders in reinvestment of distributions ..................................... -- 39,702,862 -- 10,198,849 Cost of shares repurchased ........................... (68,113,086) (79,649,348) (63,540,968) (220,339,840) ------------ ------------ ------------ ------------- Net increase (decrease) from capital share transactions ............................. (56,854,522) 27,524,500 (9,896,556) (29,147,766) ------------ ------------ ------------ ------------- Total increase (decrease) in net assets ........... (21,774,068) (88,504,100) 9,460,850 (124,116,793) ------------ ------------ ------------ ------------- NET ASSETS at end of period ............................. $330,056,921 $351,830,989 $345,350,507 $ 335,889,657 ============ ============ ============ ============= Undistributed (distribution in excess of) net investment income (loss) ............................. $ 803,528 $ 494,003 $ 7,225,134 $ 2,909,705 ============ ============ ============ ============= OTHER INFORMATION: Share transactions: Sold ................................................. 7,774,430 37,651,169 9,865,114 182,043,260 Issued in exchange for the shares of the Select Aggressive Growth Fund (Note 9) ............ -- -- -- -- Issued in exchange for the shares of the Select Strategic Growth Fund (Note 9) ............. -- -- -- -- Issued in exchange for the shares of the Select Emerging Markets Fund (Note 9) ............. -- -- 52,384,344 -- Issued to shareholders in reinvestment of distributions ..................................... -- 25,224,182 -- 10,525,128 Repurchased .......................................... (47,571,708) (49,241,628) (74,658,440) (221,703,483) ------------ ------------ ------------ ------------- Net increase (decrease) in shares outstanding ..... (39,797,278) 13,633,723 (12,408,982) (29,135,095) ============ ============ ============ ============= Select Growth Core Equity Fund Fund - ------------------------------------------------------------------------------------------------------------------------------- Six Months Ended Year Ended Six Months Ended Year Ended June 30, 2003 December 31, June 30, 2003 December 31, (Unaudited) 2002 (Unaudited) 2002 - ------------------------------------------------------------------------------------------------------------------------------- NET ASSETS at beginning of period ....................... $375,958,982 $ 660,892,540 $401,888,470 $ 673,752,990 ------------ ------------- ------------ ------------- Increase (decrease) in net assets resulting from operations: Net investment income (loss) ......................... 2,074,623 247,125 1,701,087 4,104,620 Net realized gain (loss) on investments sold and foreign currency transactions ................. (48,660,578) (102,291,344) (24,633,746) (87,239,808) Net change in unrealized appreciation (depreciation) of investments, assets and liabilities in foreign currency, written option contracts and futures contracts ......................................... 98,018,573 (73,300,418) 63,286,241 (65,291,304) ------------ ------------- ------------ ------------- Net increase (decrease) in net assets resulting from operations ......................... 51,432,618 (175,344,637) 40,353,582 (148,426,492) ------------ ------------- ------------ ------------- Distributions to shareholders from: Net investment income ................................ -- (860,385) (1,703,730) (4,267,718) Net realized gain on investments ..................... -- -- -- -- ------------ ------------- ------------ ------------- Total distributions ............................... -- (860,385) (1,703,730) (4,267,718) ------------ ------------- ------------ ------------- Capital share transactions: Net proceeds from sales of shares .................... 1,266,672 7,490,096 906,672 1,921,318 Value of shares issued in exchange for the net assets of the Select Aggressive Growth Fund (Note 9) .............................. 259,023,031 -- -- -- Value of shares issued in exchange for the net assets of the Select Strategic Growth Fund (Note 9) .............................. 17,766,775 -- -- -- Value of shares issued in exchange for the net assets of the Select Emerging Markets Fund (Note 9) ............................. -- -- -- -- Issued to shareholders in reinvestment of distributions ..................................... -- 860,385 1,703,730 4,267,718 Cost of shares repurchased ........................... (94,705,586) (117,079,017) (62,309,746) (125,359,346) ------------ ------------- ------------ ------------- Net increase (decrease) from capital share transactions ............................. 183,350,892 (108,728,536) (59,699,344) (119,170,310) ------------ ------------- ------------ ------------- Total increase (decrease) in net assets ........... 234,783,510 (284,933,558) (21,049,492) (271,864,520) ------------ ------------- ------------ ------------- NET ASSETS at end of period ............................. $610,742,492 $ 375,958,982 $380,838,978 $ 401,888,470 ============ ============= ============ ============= Undistributed (distribution in excess of) net investment income (loss) ............................. $ 2,321,741 $ 247,118 $ 38,545 $ 41,188 ============ ============= ============ ============= OTHER INFORMATION: Share transactions: Sold ................................................. 893,678 5,062,244 720,721 1,512,659 Issued in exchange for the shares of the Select Aggressive Growth Fund (Note 9) ............ 220,257,679 -- -- -- Issued in exchange for the shares of the Select Strategic Growth Fund (Note 9) ............. 15,107,801 -- -- -- Issued in exchange for the shares of the Select Emerging Markets Fund (Note 9) ............. -- -- -- -- Issued to shareholders in reinvestment of distributions ..................................... -- 674,283 1,338,642 3,200,648 Repurchased .......................................... (81,479,718) (94,889,188) (50,096,818) (92,816,807) ------------ ------------- ------------ ------------- Net increase (decrease) in shares outstanding ..... 154,779,440 (89,152,661) (48,037,455) (88,103,500) ============ ============= ============ =============
- -------------------------------------------------------------------------------- F-37 Allmerica Investment Trust STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
Equity Index Fund - ------------------------------------------------------------------------------------------ Six Months Ended Year Ended June 30, 2003 December 31, (Unaudited) 2002 - ------------------------------------------------------------------------------------------ NET ASSETS at beginning of period ..................... $ 342,682,878 $ 517,315,322 ------------- ------------- Increase (decrease) in net assets resulting from operations: Net investment income ............................... 2,922,099 5,053,941 Net realized gain (loss) on investments sold, foreign currency transactions, written option transactions and futures contracts ........ (21,589,512) (8,569,701) Net change in unrealized appreciation (depreciation) of investments, assets and liabilities in foreign currency, written option contracts and futures contracts ........... 77,234,164 (112,255,534) ------------- ------------- Net increase (decrease) in net assets resulting from operations .................................. 58,566,751 (115,771,294) ------------- ------------- Distributions to shareholders from: Net investment income ............................ (2,748,307) (5,185,015) Net realized gain on investments ................................... -- (27,569,023) ------------- ------------- Total distributions ........................... (2,748,307) (32,754,038) ------------- ------------- Capital share transactions: Net proceeds from sales of shares ........................................ 8,145,327 29,174,075 Value of shares issued in exchange for the net assets of the Select Strategic Income Fund (Note 9) .................. -- -- Value of shares issued in exchange for the net assets of the Select Growth and Income Fund (Note 9) ................. 292,154,078 -- Issued to shareholders in reinvestment of distributions ................................. 2,748,307 32,754,038 Cost of shares repurchased .......................... (63,484,449) (88,035,225) ------------- ------------- Net increase (decrease) from capital share transactions ................. 239,563,263 (26,107,112) ------------- ------------- Total increase (decrease) in net assets ..................................... 295,381,707 (174,632,444) ------------- ------------- NET ASSETS at end of period ........................... $ 638,064,585 $ 342,682,878 ============= ============= Undistributed (distribution in excess of) net investment income (loss) .................... $ 203,447 $ 29,655 ============= ============= OTHER INFORMATION: Share transactions: Sold ............................................. 4,062,742 11,937,167 Issued in exchange for the shares of the Select Strategic Income Fund (Note 9) ......... -- -- Issued in exchange for the shares of the Select Growth and Income Fund (Note 9) ........ 147,106,786 -- Issued to shareholders in reinvestment of distributions ................................. 1,348,178 15,370,677 Repurchased ...................................... (32,132,272) (41,539,895) ------------- ------------- Net increase (decrease) in shares outstanding ................................ 120,385,434 (14,232,051) ============= =============
See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-38 Allmerica Investment Trust
Select Investment Government Grade Income Fund Bond Fund - --------------------------------------------------------------------------------------------------------------------------- Six Months Ended Year Ended Six Months Ended Year Ended June 30, 2003 December 31, June 30, 2003 December 31, (Unaudited) 2002 (Unaudited) 2002 - --------------------------------------------------------------------------------------------------------------------------- NET ASSETS at beginning of period ..................... $ 620,074,063 $571,582,104 $291,995,366 $116,513,871 ------------- ------------ ------------ ------------ Increase (decrease) in net assets resulting from operations: Net investment income ............................... 10,961,673 30,020,772 3,972,238 5,893,003 Net realized gain (loss) on investments sold, foreign currency transactions, written option transactions and futures contracts ........ 19,889,575 2,102,222 1,732,862 839,254 Net change in unrealized appreciation (depreciation) of investments, assets and liabilities in foreign currency, written option contracts and futures contracts ........... (6,297,178) 16,023,439 2,282,576 7,745,330 ------------- ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations .................................. 24,554,070 48,146,433 7,987,676 14,477,587 ------------- ------------ ------------ ------------ Distributions to shareholders from: Net investment income ............................ (13,598,975) (32,973,670) (5,343,170) (7,053,538) Net realized gain on investments ................................... -- -- -- -- ------------- ------------ ------------ ------------ Total distributions ........................... (13,598,975) (32,973,670) (5,343,170) (7,053,538) ------------- ------------ ------------ ------------ Capital share transactions: Net proceeds from sales of shares ........................................ 2,003,445 92,838,100 20,248,014 201,562,216 Value of shares issued in exchange for the net assets of the Select Strategic Income Fund (Note 9) .................. 142,624,667 -- -- -- Value of shares issued in exchange for the net assets of the Select Growth and Income Fund (Note 9) ................. -- -- -- -- Issued to shareholders in reinvestment of distributions ................................. 13,598,974 32,973,670 5,343,170 7,053,538 Cost of shares repurchased .......................... (140,490,597) (92,492,574) (46,380,463) (40,558,308) ------------- ------------ ------------ ------------ Net increase (decrease) from capital share transactions ................. 17,736,489 33,319,196 (20,789,279) 168,057,446 ------------- ------------ ------------ ------------ Total increase (decrease) in net assets ..................................... 28,691,584 48,491,959 (18,144,773) 175,481,495 ------------- ------------ ------------ ------------ NET ASSETS at end of period ........................... $ 648,765,647 $620,074,063 $273,850,593 $291,995,366 ============= ============ ============ ============ Undistributed (distribution in excess of) net investment income (loss) .................... $ (2,556,364) $ 80,938 $ (2,330,999) $ (960,067) ============= ============ ============ ============ OTHER INFORMATION: Share transactions: Sold ............................................. 3,679,084 83,168,665 17,896,978 180,409,403 Issued in exchange for the shares of the Select Strategic Income Fund (Note 9) ......... 125,882,319 -- -- -- Issued in exchange for the shares of the Select Growth and Income Fund (Note 9) ........ -- -- -- -- Issued to shareholders in reinvestment of distributions ................................. 11,943,279 29,641,576 4,709,853 6,370,987 Repurchased ...................................... (123,129,423) (82,522,052) (40,768,665) (36,622,170) ------------- ------------ ------------ ------------ Net increase (decrease) in shares outstanding ................................ 18,375,259 30,288,189 (18,161,834) 150,158,220 ============= ============ ============ ============ Money Market Fund - ------------------------------------------------------------------------------------------ Six Months Ended Year Ended June 30, 2003 December 31, (Unaudited) 2002 - ------------------------------------------------------------------------------------------ NET ASSETS at beginning of period ..................... $ 704,804,637 $ 604,656,688 ------------- ------------- Increase (decrease) in net assets resulting from operations: Net investment income ............................... 2,877,898 10,414,765 Net realized gain (loss) on investments sold, foreign currency transactions, written option transactions and futures contracts ........ 80,778 48,471 Net change in unrealized appreciation (depreciation) of investments, assets and liabilities in foreign currency, written option contracts and futures contracts ........... -- -- ------------- ------------- Net increase (decrease) in net assets resulting from operations .................................. 2,958,676 10,463,236 ------------- ------------- Distributions to shareholders from: Net investment income ............................ (2,877,898) (10,414,765) Net realized gain on investments ................................... -- -- ------------- ------------- Total distributions ........................... (2,877,898) (10,414,765) ------------- ------------- Capital share transactions: Net proceeds from sales of shares ........................................ 121,525,921 962,438,922 Value of shares issued in exchange for the net assets of the Select Strategic Income Fund (Note 9) .................. -- -- Value of shares issued in exchange for the net assets of the Select Growth and Income Fund (Note 9) ................. -- -- Issued to shareholders in reinvestment of distributions ................................. 2,877,898 10,414,765 Cost of shares repurchased .......................... (308,163,063) (872,754,209) ------------- ------------- Net increase (decrease) from capital share transactions ................. (183,759,244) 100,099,478 ------------- ------------- Total increase (decrease) in net assets ..................................... (183,678,466) 100,147,949 ------------- ------------- NET ASSETS at end of period ........................... $ 521,126,171 $ 704,804,637 ============= ============= Undistributed (distribution in excess of) net investment income (loss) .................... $ -- $ -- ============= ============= OTHER INFORMATION: Share transactions: Sold ............................................. 121,525,921 962,438,922 Issued in exchange for the shares of the Select Strategic Income Fund (Note 9) ......... -- -- Issued in exchange for the shares of the Select Growth and Income Fund (Note 9) ........ -- -- Issued to shareholders in reinvestment of distributions ................................. 2,877,898 10,414,765 Repurchased ...................................... (308,163,063) (872,754,209) ------------- ------------- Net increase (decrease) in shares outstanding ................................ (183,759,244) 100,099,478 ============= =============
- -------------------------------------------------------------------------------- F-39 Allmerica Investment Trust - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Income from Investment Operations -------------------------------------------------- Net Realized Net and Asset Net Unrealized Value Investment Gain (Loss) Total from Year Ended Beginning Income on Investment December 31, of Period (Loss)/(2)/ Investments Operations - ---------------------- --------- ----------- ------------ ---------- Select Capital Appreciation Fund/(1)/ 2003/(d)/ $1.521 $(0.003) $ 0.290 $ 0.287 2002 1.940 (0.014) (0.405) (0.419) 2001 2.122 (0.010) (0.019) (0.029) 2000 2.053 (0.008) 0.147 0.139 1999 1.640 (0.007) 0.423 0.416 1998 1.698 (0.006) 0.241 0.235 Select Value Opportunity Fund 2003/(d)/ $1.487 $ 0.002 $ 0.188 $ 0.190 2002 1.975 0.002 (0.315) (0.313) 2001 1.958 0.012 0.225 0.237 2000 1.521 0.012 0.446 0.458 1999 1.686 0.006 (0.077) (0.071) 1998 1.626 0.014 0.066 0.080 Select International Equity Fund 2003/(d)/ $0.874 $ 0.012 $ 0.043 $ 0.055 2002 1.113 0.013 (0.226) (0.213) 2001 1.781 0.018 (0.385) (0.367) 2000 2.031 0.013 (0.191) (0.178) 1999 1.542 0.012 0.477 0.489 1998 1.341 0.014 0.207 0.221 Select Growth Fund 2003/(d)/ $1.139 $ 0.004 $ 0.117 $ 0.121 2002 1.576 0.001 (0.436) (0.435) 2001 2.214 0.002 (0.545) (0.543) 2000 3.049 (0.001) (0.489) (0.490) 1999 2.428 (0.002) 0.709 0.707 1998 1.811 0.002 0.638 0.640 Core Equity Fund/(1)/ 2003/(d)/ $1.239 $ 0.006 $ 0.139 $ 0.145 2002 1.633 0.011/(4)/ (0.393) (0.382) 2001 2.689 0.016 (0.439) (0.423) 2000 3.310 0.016 (0.295) (0.279) 1999 2.825 0.020 0.779 0.799 1998 2.416 0.028 0.436 0.464 Less Distributions ------------------------------------------- Net Distributions Increase Dividends from Net (Decrease) from Net Realized in Year Ended Investment Capital Total Net Asset December 31, Income Gains Distributions Value - ---------------------- ---------- ------------- ------------- ---------- Select Capital Appreciation Fund/(1)/ 2003/(d)/ $ -- $ -- $ -- $ 0.287 2002 -- -- -- (0.419 2001 -- (0.153) (0.153) (0.182) 2000 -- (0.070) (0.070) 0.069 1999 -- (0.003) (0.003) 0.413 1998 -- (0.293) (0.293) (0.058) Select Value Opportunity Fund 2003/(d)/ $ -- $ -- $ -- $ 0.190 2002 (0.011) (0.164) (0.175) (0.488) 2001 (0.012) (0.208) (0.220) 0.017 2000 (0.006) (0.015) (0.021) 0.437 1999 -- (0.094) (0.094) (0.165) 1998 (0.014) (0.006) (0.020) 0.060 Select International Equity Fund 2003/(d)/ $ -- $ -- $ -- $ 0.055 2002 (0.017) (0.009) (0.026) (0.239) 2001 (0.024) (0.277) (0.301) (0.668) 2000 (0.009) (0.063) (0.072) (0.250) 1999 -- -- -- 0.489 1998 (0.020) -- (0.020) 0.201 Select Growth Fund 2003/(d)/ $ -- $ -- $ -- $ 0.121 2002 (0.002) -- (0.002) (0.437) 2001 -- (0.095) (0.095) (0.638) 2000 -- (0.345) (0.345) (0.835) 1999 (0.001) (0.085) (0.086) 0.621 1998 --/(3)/ (0.023) (0.023) 0.617 Core Equity Fund/(1)/ 2003/(d)/ $(0.006) $ -- $(0.006) $ 0.139 2002 (0.012) -- (0.012) (0.394) 2001 (0.015) (0.618) (0.633) (1.056) 2000 (0.017) (0.325) (0.342) (0.621) 1999 (0.020) (0.294) (0.314) 0.485 1998 (0.028) (0.027) (0.055) 0.409
- ---------- * Annualized. ** Not Annualized. (a) Including reimbursements, waivers and reductions. (b) Excluding reductions. Certain Portfolios have entered varying arrangements with brokers who reduced a portion of the Portfolio's expenses. (c) Excluding reimbursements and reductions. /(d)/ For the six months ended June 30, 2003 (Unaudited). /(1)/ The Select Capital Appreciation Fund changed sub-advisers on April 1, 1998. The Core Equity Fund changed sub-advisers on May 1, 2002. /(2)/ Net investment income (loss) per share before reimbursements of fees by the investment adviser or reductions were less than $(0.003) for the six months ended June 30, 2003, less than $(0.014) in 2002, less than $(0.010) in 2001, less than $(0.008) in 2000, less than $(0.007) in 1999 and less than $(0.006) in 1998 for Select Capital Appreciation Fund; less than $0.002 for the six months ended June 30, 2003, $0.000 in 2002, $0.011 in 2001, $0.011 in 2000, $0.005 in 1999 and $0.013 in 1998 for Select Value Opportunity Fund; less than $0.012 for the six months ended June 30, 2003, less than $0.013 in 2002, less than $0.018 in 2001, less than $0.013 in 2000, $0.011 in 1999 and less than $0.014 in 1998 for Select International Equity Fund; less than $0.004 for the six months ended June 30, 2003, $0.000 in 2002, $0.001 in 2001, $(0.002) in 2000, $(0.003) in 1999, and $0.001 in 1998 for Select Growth Fund; and less than $0.006 for the six months ended June 30, 2003, less than $0.011 in 2002, $0.014 in 2001, $0.015 in 2000, $0.019 in 1999 and $0.027 in 1998 for Core Equity Fund. /(3)/ Dividends from net investment income are less than $0.0005. /(4)/ Computed using average shares outstanding throughout the period. See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-40 Allmerica Investment Trust
Ratios/Supplemental Data ------------------------------------------------------------------------------------- Ratios To Average Net Assets --------------------------------------------------- Net Asset Net Assets Value End of Net Operating Expenses Management Fee Portfolio Year Ended End of Total Period Investment ------------------ -------------- Turnover December 31, Period Return (000's) Income (Loss) (a) (b) (c) Gross Net Rate - ---------------------- --------- ------ ---------- ------------- ---- ---- ---- ----- ---- --------- Select Capital Appreciation Fund/(1)/ 2003/(d)/ $1.808 18.87%**$ 290,563 (0.39)%* 1.12%* 1.14%* 1.14%* 0.93%* 0.93%* 21%** 2002 1.521 (21.60)% 287,593 (0.70)% 1.05% 1.06% 1.06% 0.90% 0.90% 41% 2001 1.940 (1.14)% 435,864 (0.51)% 0.93% 0.94% 0.94% 0.88% 0.88% 44% 2000 2.122 6.81% 510,483 (0.38)% 0.93% 0.94% 0.94% 0.87% 0.87% 53% 1999 2.053 25.36% 417,087 (0.42)% 0.98% 0.98% 0.98% 0.91% 0.91% 61% 1998 1.640 13.88% 310,582 (0.47)% 1.02% 1.04% 1.04% 0.94% 0.94% 141% Select Value Opportunity Fund 2003/(d)/ $1.677 12.78%**$ 330,057 0.20%* 1.04%* 1.10%* 1.10%* 0.89%* 0.89%* 46%** 2002 1.487 (16.32)% 351,831 0.12% 0.96% 1.03% 1.03% 0.87% 0.87% 94% 2001 1.975 12.70% 440,335 0.63% 0.87% 0.92% 0.92% 0.87% 0.87% 97% 2000 1.958 30.40% 397,541 0.71% 0.87% 0.94% 0.94% 0.88% 0.88% 22% 1999 1.521 (4.70)% 308,331 0.43% 0.88% 0.97% 0.97% 0.90% 0.90% 98% 1998 1.686 4.87% 268,405 0.95% 0.94% 0.98% 0.99% 0.91% 0.90% 73% Select International Equity Fund 2003/(d)/ $0.929 6.29%**$ 345,351 2.74%* 1.17%* 1.18%* 1.18%* 0.92%* 0.92%* 15%** 2002 0.874 (19.37)% 335,890 1.17% 1.13% 1.14% 1.14% 0.91% 0.91% 14% 2001 1.113 (21.43)% 460,006 0.97% 0.99% 1.01% 1.01% 0.89% 0.89% 26% 2000 1.781 (9.03)% 679,128 0.77% 0.98% 0.99% 0.99% 0.88% 0.88% 24% 1999 2.031 31.71% 679,341 0.69% 1.01% 1.02% 1.02% 0.89% 0.89% 18% 1998 1.542 16.48% 505,553 0.99% 1.01% 1.02% 1.02% 0.90% 0.90% 27% Select Growth Fund 2003/(d)/ $1.260 10.62%**$ 610,742 0.92%* 1.08%* 1.10%* 1.10%* 0.82%* 0.82%* 46%** 2002 1.139 (27.60)% 375,959 0.05% 0.95% 1.01% 1.01% 0.82% 0.82% 125% 2001 1.576 (24.71)% 660,893 0.12% 0.78% 0.85% 0.85% 0.79% 0.79% 91% 2000 2.214 (17.79)% 1,040,237 (0.05)% 0.80% 0.81% 0.81% 0.76% 0.76% 79% 1999 3.049 29.80% 1,216,365 (0.08)% 0.81% 0.83% 0.83% 0.78% 0.78% 84% 1998 2.428 35.44% 815,390 0.08% 0.85% 0.87% 0.87% 0.82% 0.82% 86% Core Equity Fund/(1)/ 2003/(d)/ $1.378 11.74%**$ 380,839 0.92%* 0.77%* 0.81%* 0.81%* 0.58%* 0.58%* 12%** 2002 1.239 (23.45)% 401,888 0.78% 0.70% 0.74% 0.74% 0.57% 0.57% 115% 2001 1.633 (16.90)% 673,753 0.75% 0.58% 0.61% 0.61% 0.55% 0.55% 134% 2000 2.689 (9.51)% 924,904 0.51% 0.44% 0.50% 0.50% 0.45% 0.45% 190% 1999 3.310 29.33% 1,076,297 0.65% 0.45% 0.48% 0.48% 0.43% 0.43% 116% 1998 2.825 19.32% 860,333 1.08% 0.46% 0.49% 0.49% 0.44% 0.44% 100%
See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-41 Allmerica Investment Trust FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Income from Investment Operations Less Distributions (e) ----------------------------------------------------- ------------------------------------------ Net Realized Net Net and Distributions Increase Asset Unrealized Dividends from Net (Decrease) Value Net Gain (loss) Total from from Net Realized in Year Ended Beginning Investment on Investment Investment Capital Total Net Asset December 31, of Period Income/(2)/ Investments Operations Income Gains Distributions Value - ------------ --------- ------------- ------------ ---------- ---------- ------------- ------------- ---------- Equity Index Fund 2003/(d)/ $1.944 $0.013 $ 0.206 $ 0.219 $(0.012) $ -- $(0.012) $ 0.207 2002 2.715 0.027 (0.616) (0.589) (0.028) (0.154) (0.182) (0.771) 2001 3.299 0.030 (0.422) (0.392) (0.029) (0.163) (0.192) (0.584) 2000 4.060 0.032 (0.362) (0.330) (0.034) (0.397) (0.431) (0.761) 1999 3.408 0.036 0.656 0.692 (0.035) (0.005) (0.040) 0.652 1998 2.753 0.035 0.741 0.776 (0.034) (0.087) (0.121) 0.655 Select Investment Grade Income Fund/(1)/ 2003/(d)/ $1.134 $0.021 $ 0.018 $ 0.039 $(0.026) $ -- $(0.026) $ 0.013 2002 1.106 0.054 0.034 0.088 (0.060) -- (0.060) 0.028 2001 1.086 0.064/(3)/ 0.021 0.085 (0.065) -- (0.065) 0.020 2000 1.051 0.070 0.035 0.105 (0.070) -- (0.070) 0.035 1999 1.132 0.068 (0.079) (0.011) (0.069) (0.001) (0.070) (0.081) 1998 1.112 0.067 0.020 0.087 (0.067) -- (0.067) 0.020 Government Bond Fund/(1)/ 2003/(d)/ $1.130 $0.016 $ 0.016 $ 0.032 $(0.022) $ -- $(0.022) $ 0.010 2002 1.077 0.041 0.057 0.098 (0.045) -- (0.045) 0.053 2001 1.051 0.049/(3)/ 0.030 0.079 (0.053) -- (0.053) 0.026 2000 1.011 0.058 0.040 0.098 (0.058) -- (0.058) 0.040 1999 1.068 0.058 (0.056) 0.002 (0.059) -- (0.059) (0.057) 1998 1.047 0.058 0.021 0.079 (0.058) -- (0.058) 0.021 Money Market Fund 2003/(d)/ $1.000 $0.005 $ -- $ 0.005 $(0.005) $ -- $(0.005) $ -- 2002 1.000 0.016 -- 0.016 (0.016) -- (0.016) -- 2001 1.000 0.042 -- 0.042 (0.042) -- (0.042) -- 2000 1.000 0.062 -- 0.062 (0.062) -- (0.062) -- 1999 1.000 0.051 -- 0.051 (0.051) -- (0.051) -- 1998 1.000 0.054 -- 0.054 (0.054) -- (0.054) --
- ---------- * Annualized. ** Not Annualized. (a) Including reimbursements, waivers and reductions. (b) Excluding reductions. Certain Portfolios have entered into varying arrangements with brokers who reduced a portion of the Portfolio's expenses. (c) Excluding reimbursements and reductions. /(d)/ For the six months ended June 30, 2003 (Unaudited). (e) Certain prior year amounts have been reclassified to conform to curent year presentation. /(1)/ Effective January 1, 2001 the Select Investment Grade Income Fund and Government Bond Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and is amortizing premium and discount on debt securitites using the daily effective yield method. The effect of this change for the year ended December 31, 2001 was a decrease in net investment income per share by $0.003 for Select Investment Grade Income Fund and a decrease in net investment income per share by $0.007 for Government Bond Fund, an increase in net realized and unrealized gains and losses per share by $0.003 for Select Investment Grade Income Fund and an increase in net realized and unrealized gains and losses per share by $0.007 for Government Bond Fund and a decrease in the ratio of net investment income to average net assets from 6.04% to 5.79% for Select Investment Grade Income Fund and a decrease in the ratio of net investment income to average net assets from 5.16% to 4.52% for Government Bond Fund. Per share data and ratio/supplemental data for periods prior to January 1, 2001 have not been restated to reflect this change in presentation. /(2)/ Net investment income (loss) per share before reimbursement of fees by the investment advisor was less than $0.013 for the six months ended June 30, 2003, less than $0.027 in 2002, $0.029 in 2001, and less than $0.032 in 2000 for Equity Index Fund. /(3)/ Computed using average shares outstanding throughout the period. See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-42 Allmerica Investment Trust
Ratios/Supplemental Data ------------------------------------------------------------------------------------------------ Ratios To Average Net Assets Net Asset Net Assets ------------------------------------------------------------ Value End of Net Operating Expenses Management Fee Portfolio Year Ended End of Total Period Investment -------------------------- --------------- Turnover December 31, Period Return (000's) Income (a) (b) (c) Gross Net Rate - -------------- --------- ------- ---------- ---------- ------ ------- ------- ------ ------ -------- Equity Index Fund 2003/(d)/ $2.151 11.33%** $638,065 1.35%* 0.48%* 0.50%* 0.50%* 0.28%* 0.28%* 26%** 2002 1.944 (22.22)% 342,683 1.16% 0.45% 0.47% 0.47% 0.28% 0.28% 10% 2001 2.715 (12.02)% 517,315 1.02% 0.32% 0.34% 0.34% 0.28% 0.28% 21% 2000 3.299 (9.03)% 599,266 0.87% 0.32% 0.33% 0.33% 0.27% 0.27% 9% 1999 4.060 20.41% 638,230 0.98% 0.35% 0.35% 0.35% 0.28% 0.28% 21% 1998 3.408 28.33% 481,877 1.17% 0.36% 0.36% 0.36% 0.29% 0.29% 6% Select Investment Grade Income Fund/(1)/ 2003/(d)/ $1.147 3.48%** $648,766 3.60%* 0.63%* 0.63%* 0.63%* 0.41%* 0.41%* 107%** 2002 1.134 8.14% 620,074 4.85% 0.58% 0.58% 0.58% 0.41% 0.41% 130% 2001 1.106 7.94% 571,582 5.79% 0.47% 0.47% 0.47% 0.41% 0.41% 114% 2000 1.086 10.31% 445,609 6.53% 0.49% 0.49% 0.49% 0.42% 0.42% 159% 1999 1.051 (0.97)% 240,541 6.22% 0.50% 0.50% 0.50% 0.43% 0.43% 75% 1998 1.132 7.97% 230,623 6.01% 0.52% 0.52% 0.52% 0.43% 0.43% 158% Government Bond Fund/(1)/ 2003/(d)/ $1.140 2.81%** $273,851 2.77%* 0.71%* 0.71%* 0.71%* 0.50%* 0.50%* 31%** 2002 1.130 9.28% 291,995 3.48% 0.68% 0.68% 0.68% 0.50% 0.50% 79% 2001 1.077 7.63% 116,514 4.52% 0.58% 0.58% 0.58% 0.50% 0.50% 190% 2000 1.051 10.00% 78,531 5.58% 0.61% 0.61% 0.61% 0.50% 0.50% 53% 1999 1.011 0.23% 87,247 5.64% 0.62% 0.62% 0.62% 0.50% 0.50% 37% 1998 1.068 7.67% 81,018 5.63% 0.64% 0.64% 0.64% 0.50% 0.50% 61% Money Market Fund 2003/(d)/ $1.000 0.47%** $521,126 0.96%* 0.51%* 0.51%* 0.51%* 0.30%* 0.30%* N/A 2002 1.000 1.66% 704,805 1.63% 0.45% 0.45% 0.45% 0.30% 0.30% N/A 2001 1.000 4.28% 604,657 4.11% 0.36% 0.36% 0.36% 0.31% 0.31% N/A 2000 1.000 6.40% 457,912 6.19% 0.31% 0.31% 0.31% 0.26% 0.26% N/A 1999 1.000 5.19% 513,606 5.09% 0.29% 0.29% 0.29% 0.24% 0.24% N/A 1998 1.000 5.51% 336,253 5.36% 0.32% 0.32% 0.32% 0.26% 0.26% N/A
See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-43 Allmerica Investment Trust NOTES TO FINANCIAL STATEMENTS (Unaudited) - -------------------------------------------------------------------------------- 1. ORGANIZATION Allmerica Investment Trust (the "Trust") is registered under the Investment Company Act of 1940 (the "1940 Act"), as amended, as an open-end, diversified management investment company established as a Massachusetts business trust. The Trust is intended to serve as an investment medium for (i) variable life insurance policies and variable annuity contracts offered by insurance companies, (ii) certain qualified pension and retirement plans, as permitted by Treasury Regulations; and (iii) life insurance companies and advisers to the Portfolios and their affiliates. Allmerica Financial Corporation ("AFC") has ceased all new sales of proprietary variable annuities and life insurance products. The Trust is comprised of nine managed investment portfolios. The accompanying financial statements and financial highlights are those of the Select Capital Appreciation, Select Value Opportunity, Select International Equity, Select Growth, Core Equity, Equity Index, Select Investment Grade Income, Government Bond and Money Market Funds (individually a "Portfolio", collectively, the "Portfolios"). 2. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements: Security Valuation: Equity securities which are traded on a recognized exchange are valued at the last quoted sales price available at the time of the closing of the New York Stock Exchange or, if there were no sales that day, at the mean of the closing bid and asked price. Over-the-counter securities are valued at the last available price in the market prior to the time of valuation. Securities that are primarily traded on foreign exchanges generally are valued at the closing values of such securities on their respective exchanges. Corporate debt securities and debt securities of the U.S. Government and its agencies (other than short-term investments) are valued by an independent pricing service approved by the Board of Trustees which utilizes market quotations and transactions, quotations from dealers and various relationships among securities in determining value. If not valued by a pricing service, such securities are valued at prices obtained from independent brokers. Investments with prices that cannot be readily obtained are carried at fair value as determined in good faith under consistently applied procedures established by and under the supervision of the Board of Trustees. Short-term investments that mature in 60 days or less are valued at amortized cost. The investments of the Money Market Fund are valued utilizing the amortized cost valuation method, permitted in accordance with Rule 2a-7 under the 1940 Act. This method involves valuing a portfolio security initially at its cost and thereafter assuming a constant amortization to maturity of any discount or premium. Forward Foreign Currency Contracts: The Select Capital Appreciation, Select International Equity and Select Growth Funds may enter into forward foreign currency contracts whereby the Portfolios agree to exchange a specific currency at a specific price at a future date in an attempt to hedge against fluctuations in the value of the underlying currency of certain portfolio instruments. Forward foreign currency contracts are valued at the daily forward exchange rate of the underlying currency with any fluctuations recorded as unrealized gains or losses. Gains or losses on the purchase or sale of forward foreign currency contracts having the same settlement date and broker are recognized on the date of offset, otherwise gains and losses are recognized on the settlement date. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of the Portfolios, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign currency contracts used for hedging purposes limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. In addition, the Portfolios could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. - -------------------------------------------------------------------------------- F-44 Allmerica Investment Trust NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) - -------------------------------------------------------------------------------- Foreign Currency Translation: Investment valuations, other assets and liabilities denominated in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investments and income and expenses are translated into U.S. dollars based upon exchange rates prevailing on the respective dates of such transactions. Net realized gains or losses on foreign currency transactions represent net gains or losses on sales and maturities of foreign currency contracts, disposition of foreign currencies, the difference between the amount of net investment income and withholding taxes accrued and the U.S. dollar amount actually received and paid, and gains or losses between the trade and settlement date on the purchases and sales of the securities. That portion of unrealized gains or losses on investments due to fluctuations in foreign currency exchange rates is not separately disclosed. Security Transactions and Investment Income: Security transactions are recorded as of the trade date. Realized gains and losses from security transactions are determined on the basis of identified cost. Interest income, including amortization of premium and accretion of discount on securities, is accrued daily. Income distributions earned by the Portfolios from investments in certain investment companies are recorded as interest income in the accompanying financial statements. Dividend income is recorded on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon as the Portfolios are informed of the ex-dividend date. Federal Income Taxes: The Trust treats each Portfolio as a separate entity for Federal income tax purposes. Each Portfolio intends to continue to qualify as a "regulated investment company" under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying, each Portfolio will not be subject to Federal income taxes to the extent it distributes all of its taxable income and net realized gains, if any, for its fiscal year. In addition, by distributing during each calendar year substantially all of its net investment income, capital gains and certain other amounts, if any, each Portfolio will not be subject to Federal excise tax. Therefore, no Federal income tax provision is required. Withholding taxes on foreign dividend income and gains have been paid or provided for in accordance with the applicable country's tax rules and rates. Distributions to Shareholders: Dividends from net investment income are declared and reinvested daily for the Money Market Fund, declared and distributed quarterly for the Core Equity, Equity Index, Select Investment Grade Income and Government Bond Funds, and annually for the Select Capital Appreciation, Select Value Opportunity, Select International Equity and Select Growth Funds. All Portfolios declare and distribute all net realized capital gains, if any, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions are determined in accordance with income tax regulations. Differences between book basis and tax basis amounts are primarily due to differing book and tax treatments in the timing of the recognition of gains or losses, including "Post-October Losses", foreign currency gains and losses, and losses deferred due to wash sales and differing treatments for foreign currency transactions, amortization of premium and market discount, and non-taxable dividends. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to paid in capital. Permanent book-tax differences, if any, are not included in ending undistributed net investment income for the purpose of calculating net investment income per share in the Financial Highlights, as applicable. Futures Contracts: All Portfolios, except the Money Market Fund, may use futures contracts to manage their exposure to the stock and bond markets and to fluctuations in interest rates and currency values. Buying futures tends to increase a Portfolio's exposure to the underlying instrument, while selling futures tends to decrease a Portfolio's exposure to the underlying instrument or hedge other portfolio investments. Futures contracts involve, to varying degrees, risk of loss in excess of the futures variation margin, if any, reflected in each applicable Portfolio's Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in each applicable Portfolio's portfolio of investments. The face amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the terms of the contracts. Gains and losses are realized upon the expiration or closing of the futures contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. - -------------------------------------------------------------------------------- F-45 Allmerica Investment Trust NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) - -------------------------------------------------------------------------------- Securities Lending: Each Portfolio, using Investors Bank & Trust Company ("IBT") as its lending agent, may loan securities to brokers and dealers in exchange for negotiated lenders' fees. These fees are disclosed as "Securities lending income" in the Statements of Operations. Each applicable Portfolio receives collateral against the loaned securities which must be maintained at not less than 102% of the market value of the loaned securities during the period of the loan. Collateral received is generally cash, and is invested in short term investments. There may be risks of delay in recovery of the securities loaned or even loss of rights in the collateral should the counterparty (borrower) not meet its obligations under the terms of the loan. Information regarding the value of the securities loaned and the value of the collateral at period end is included in a footnote at the end of each applicable Portfolio's portfolio of investments. Cash Accounts: From time to time the Portfolios may leave cash overnight in their account. IBT has been contracted on behalf of the Portfolios to sweep these moneys into a demand note account, which will pay interest equal to 75% of that day's U.S. Treasury Bill rate back to the Portfolios. Expenses: Expenses directly attributed to a Portfolio are charged to the Portfolio, while expenses which are attributable to more than one Portfolio of the Trust are allocated based upon relative net assets among the respective Portfolios and one other affiliated investment company, Allmerica Securities Trust. Forward Commitments: The Select Capital Appreciation, Select Investment Grade Income, Government Bond, and Money Market Funds may enter into contracts to purchase securities for a fixed price at a specified future date beyond customary settlement time ("forward commitments"). If the Portfolios do so, they will maintain cash or other liquid obligations having a value in an amount at all times sufficient to meet the purchase price. Forward commitments involve a risk of loss if the value of the security to be purchased declines prior to the settlement date. Although the Portfolios generally will enter into forward commitments with the intention of acquiring securities for their portfolios, they may dispose of a commitment prior to settlement if their Sub-Adviser deems it appropriate to do so. Options: All Portfolios, except the Money Market Fund, may use options to manage its exposure to the stock and bond markets and to fluctuations in interest rates. Writing puts and buying calls tend to increase a Portfolio's exposure to the underlying security. Buying puts and writing calls tend to decrease a Portfolio's exposure to the underlying security. When a Portfolio writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amounts paid on the underlying security to determine the realized gain or loss. Realized gains and losses on written options are included in realized gains and losses on securities. The underlying value of any open options at period end is shown in the portfolio of investments under the caption "Written Options." This amount reflects each contract's exposure to the underlying security at period end. Written options involve, to varying degrees, risk of loss in excess of the option value reflected in the Statement of Assets and Liabilities. Losses may arise from changes in the value of the underlying securities, if there is an illiquid secondary market for the contracts, or if the counterparties do not perform under the terms of the contracts. Exchange-traded options are valued using the last sale price or, if there were no sales that day, the last offering price. Options traded over-the-counter are valued using dealer-supplied valuations. Repurchase Agreements: Each Portfolio may engage in repurchase agreement transactions with institutions that the Sub-Adviser has determined are creditworthy pursuant to guidelines established by the Trust's Board of Trustees. Each Portfolio requires that the securities purchased in a repurchase agreement transaction be transferred to the Trust's Custodian in a manner that is intended to enable the Portfolio to obtain those securities in the event of a counterparty default. The Sub-Adviser monitors the value of the securities, including accrued interest, daily to ensure that the value of the collateral equals or exceeds amounts due under the repurchase agreement. Repurchase agreement transactions involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Portfolio's ability to dispose of the underlying securities, and a possible decline in the value of the underlying securities during the period while the Portfolio seeks to assert its rights. - -------------------------------------------------------------------------------- F-46 Allmerica Investment Trust NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) - -------------------------------------------------------------------------------- 3. INVESTMENT MANAGEMENT, ADMINISTRATION, AND OTHER RELATED PARTY TRANSACTIONS Management Fees: Allmerica Financial Investment Management Services, Inc. (the "Manager"), a wholly-owned subsidiary of Allmerica Financial Life Insurance and Annuity Company ("Allmerica Financial"), serves as investment manager and administrator to the Trust. Allmerica Financial is a wholly-owned subsidiary of AFC. Under the terms of the management agreement, the Portfolios pay a management fee, calculated daily and payable monthly, at an annual rate based upon the following fee schedules:
Percentage of Average Daily Net Assets ----------------------------------------------------------------------------------------- First Next Next Next Next Over Portfolio $100,000,000 $150,000,000 $250,000,000 $250,000,000 $250,000,000 $1,000,000,000 - -------------------------------------------------------------------------------------------------------------------- Select Capital Appreciation Fund 1.00% 0.90% 0.80% 0.70% 0.70% 0.65% Select Value Opportunity Fund 1.00% 0.85% 0.80% 0.75% 0.70% 0.70% Select International Equity Fund 1.00% 0.90% 0.85% 0.85% 0.85% 0.85% Select Growth Fund 0.85% 0.85% 0.80% 0.75% 0.70% 0.70% Core Equity Fund 0.60% 0.60% 0.55% 0.50% 0.45% 0.45% Government Bond Fund 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% Money Market Fund 0.35% 0.30% 0.30% 0.25% 0.20% 0.20%
First Next Over Portfolio $50,000,000 $200,000,000 $250,000,000 - ---------------------------------------------------------------- Equity Index Fund 0.35% 0.30% 0.25% First Next Over Portfolio $50,000,000 $50,000,000 $100,000,000 - --------------------------------------------------------------- Select Investment Grade Income Fund 0.50% 0.45% 0.40% The Manager has entered into Sub-Adviser Agreements for the management of the investments of each of the Portfolios. The Manager is solely responsible for the payment of all fees to the Sub-Advisers. The Sub-Advisers for each of the Portfolios are as follows: Select Capital Appreciation Fund T. Rowe Price Associates, Inc. ("T. Rowe Price") Select Value Opportunity Fund Cramer Rosenthal McGlynn, LLC Select International Equity Fund Bank of Ireland Asset Management (U.S.) Limited Select Growth Fund Putnam Investment Management, LLC ("Putnam") Jennison Associates LLC ("Jennison") Core Equity Fund UBS Global Asset Management (Americas) Inc. ("UBS") Goldman Sachs Asset Management, L.P. ("Goldman") Equity Index Fund Opus Investment Management, Inc. (formerly Allmerica Asset Management, Inc.; wholly-owned subsidiary of AFC) Select Investment Grade Income Fund Opus Investment Management, Inc. Government Bond Fund Opus Investment Management, Inc. Money Market Fund Opus Investment Management, Inc.
T. Rowe Price International Series, Inc., an investment company managed by an affiliate of T. Rowe Price, is currently used as an investment vehicle for certain insurance products sponsored by Allmerica Financial and First Allmerica Financial Life Insurance Company ("First Allmerica"), a wholly-owned subsidiary of Allmerica Financial. In addition, T. Rowe Price currently serves as investment adviser to a corporate investment account of AFC. Effective April 18, 2003, both Putnam and Jennison assumed sub-adviser responsibilities for the Select Growth Fund; prior to April 18, 2003, Putnam was the sole sub-adviser. Putnam and Jennison each independently manages their own portion of the Select - -------------------------------------------------------------------------------- F-47 Allmerica Investment Trust NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) - -------------------------------------------------------------------------------- Growth Fund. UBS and Goldman each independently manages its own portion of the Core Equity Fund. In addition, UBS and Goldman each independently manages its own portion of certain assets for First Allmerica and its affiliates. Effective February 1, 2003, the name of Allmerica Asset Management, Inc. was changed to Opus Investment Management, Inc. Plan of distribution and Service: The 12b-1 Plan permits the Portfolios to pay Allmerica Financial and First Allmerica for marketing and distribution expenses to support the sale and distribution of the Portfolios' shares and the provision of services to maintain and retain accounts. The 12b-1 Plan authorizes payment of a distribution and service fee at an annual rate of up to 0.25% of each Portfolio's average daily net assets. As directed by the Board of Trustees, each Portfolio pays a distribution fee at an annual rate of 0.15% of each Portfolio's average daily net assets. For the six months ended June 30, 2003, total payments made to Allmerica Financial and First Allmerica by the Portfolios under the 12b-1 Plan amounted to $3,097,534. Custodian, Fund Accounting, and Administrative Fees: IBT provides portfolio accounting and custody services to the Trust and receives fees and reimbursement of certain out-of-pocket expenses for its services from the Trust. The Manager has entered into an Administrative Services Agreement with IBT, whereby IBT performs certain administrative services for the Portfolios and is entitled to receive an administrative fee and reimbursement of certain out-of-pocket expenses. The Manager is solely responsible for the payment of the administrative fee to IBT. The Trust pays no salaries or compensation to any of its officers. Trustees who are not directors, officers or employees of the Trust or any investment adviser are reimbursed for their travel expenses in attending meetings of the Trustees, and receive quarterly meeting and retainer fees for their services. Such amounts are paid by the Trust. 4. REIMBURSEMENT OF EXPENSES AND WAIVER OF FEES In the event normal operating expenses of each Portfolio, excluding taxes, interest, broker commissions, and extraordinary expenses, but including the management fee, exceed certain voluntary expense limitations as a percentage of average net assets, The Manager will voluntarily reimburse fees and any expenses in excess of the expense limitations. The Portfolios' voluntary expense limitations are as follows: Select Capital Appreciation Fund 1.35% Select Value Opportunity Fund* 1.25% Select International Equity Fund 1.50% Select Growth Fund 1.20% Core Equity Fund 1.20% Equity Index Fund 0.60% Select Investment Grade Income Fund 1.00% Government Bond Fund 1.00% Money Market Fund 0.60% Expense limitations may be removed or revised at any time after a Portfolio's first fiscal year of operations without prior notice to existing shareholders. * The Manager has also voluntarily agreed to limit its management fees to an annual rate of 0.90% of average daily net assets of the Select Value Opportunity Fund until further notice. 5. REDUCTION OF EXPENSES Certain Portfolios have entered into agreements with brokers whereby the brokers will rebate a portion of brokerage commissions. Such amounts earned by the Portfolios, under such agreements, are presented as a reduction of expenses in the Statements of Operations. - -------------------------------------------------------------------------------- F-48 Allmerica Investment Trust NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) - -------------------------------------------------------------------------------- 6. SHARES OF BENEFICIAL INTEREST The Trust's Declaration of Trust authorizes the Trustees to issue an unlimited number of shares of beneficial interest for the Portfolios, each without a par value. 7. FOREIGN SECURITIES All Portfolios except the Government Bond Fund may purchase securities of foreign issuers. The Money Market Fund may invest in only U.S. dollar denominated foreign securities. Investing in foreign securities involves special risks not typically associated with investing in securities of U.S. issuers. The risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of many foreign issuers and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. issuers. 8. FINANCIAL INSTRUMENTS Investing in certain financial instruments including futures and options transactions, and forward foreign currency contracts involves risks other than those reflected in the Statements of Assets and Liabilities. Risks associated with these instruments include the potential for an imperfect correlation between the movements in the price of the instruments and the price of the underlying securities and interest rates, an illiquid secondary market for the instruments or inability of counterparties to perform under terms of the contracts, and changes in the value of foreign currency relative to the U.S. dollar. The Select Capital Appreciation, Select International Equity and Select Growth Funds may enter into these forward contracts primarily to protect the Portfolio from adverse currency movement. 9. REORGANIZATIONS Pursuant to separate Agreements and Plans of Reorganization ("Reorganizations") approved by the Board of Trustees on January 7, 2003 and then approved by shareholders on March 27, 2003, each of the following Acquired Funds of the Trust were reorganized into the respective Acquiring Funds of the Trust after the close of business on the effective date shown. Each Reorganization was accomplished by a tax-free exchange of all of the assets and liabilities of the Acquired Fund for shares of the Acquiring Fund and by the distribution of such shares to the shareholders of the Acquired Fund, in complete liquidation of the Acquired Fund. The reorganizations qualified as tax-free reorganizations for federal income tax purposes with no gain or loss recognized to the Portfolios or the separate account level of shares.
Acquired Fund Acquiring Fund Effective Date - ------------------------------------------------------------------------------------------------------- Reorganization #1 Select Strategic Growth Fund Select Growth Fund April 17, 2003 Reorganization #2 Select Emerging Markets Fund Select International Equity Fund April 30, 2003 Reorganization #3 Select Growth and Income Fund Equity Index Fund April 25, 2003 Reorganization #4 Select Aggressive Growth Fund Select Growth Fund April 17, 2003 Reorganization #5 Select Strategic Income Fund Select Investment Grade Income Fund April 22, 2003
Each Reorganization was accomplished as follows: Reorganization #1: An exchange of 15,107,801 shares of Select Growth Fund for the 67,820,054 shares then outstanding (each valued at $0.262) of Select Strategic Growth Fund; whose net assets, including $8,264,448 of unrealized depreciation were combined with Select Growth Fund for total net assets after the reorganization of $601,471,129 (includes the net assets of Select Aggressive Growth Fund of Reorganization #4). Reorganization #2: An exchange of 52,384,344 shares of Select International Equity Fund for the 70,465,156 shares then outstanding (each valued at $0.642) of Select Emerging Markets Fund; whose net assets, including $1,690,066 of unrealized appreciation were combined with Select International Equity Fund for total net assets after the reorganization of $344,940,863. - -------------------------------------------------------------------------------- F-49 Allmerica Investment Trust NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) - -------------------------------------------------------------------------------- Reorganization #3: An exchange of 147,106,786 shares of Equity Index Fund for the 306,640,159 shares then outstanding (each valued at $0.953) of Select Growth and Income Fund; whose net assets, including $39,999,505 of unrealized depreciation were combined with Equity Index Fund for total net assets after the reorganization of $611,065,810. Reorganization #4: An exchange of 220,257,679 shares of Select Growth Fund for the 281,013,367 shares then outstanding (each valued at $0.922) of Select Aggressive Growth Fund; whose net assets, including $14,734,409 of unrealized depreciation were combined with Select Growth Fund for total net assets after the reorganization of $601,471,129 (includes the net assets of Select Strategic Growth Fund of Reorganization #1). Reorganization #5: An exchange of 125,882,319 shares of Select Investment Grade Income Fund for the 131,490,310 shares then outstanding (each valued at $1.085) of Select Strategic Income Fund; whose net assets, including $3,796,669 of unrealized appreciation were combined with Select Investment Grade Income Fund for total net assets after the reorganization of $674,124,396. - -------------------------------------------------------------------------------- F-50 Allmerica Investment Trust OTHER INFORMATION - -------------------------------------------------------------------------------- SHAREHOLDER VOTING RESULTS: (UNAUDITED) A special meeting of the Trust's shareholders was held on March 27, 2003 in which they approved five proposals. The voting results were as follows: Proposal 1 To approve the Agreement and Plan of Reorganization providing for the sale of all of the assets of the Select Strategic Growth Fund to, and the assumption of all of the liabilities of the Select Strategic Growth Fund by, the Select Growth Fund in exchange for shares of the Select Growth Fund, and the distribution of such shares to the shareholders of the Select Strategic Growth Fund, in complete liquidation of the Select Strategic Growth Fund.
Shares Shares Shares For Against Abstaining Total ----------- --------- ---------- ---------- Select Strategic Growth Fund: Number of Votes Cast: 67,339,974 1,313,765 4,172,201 72,825,940 Percentage of Votes Cast: 92.47% 1.80% 5.73% 100.00%
Proposal 2 To approve the Agreement and Plan of Reorganization providing for the sale of all of the assets of the Select Emerging Markets Fund to, and the assumption of all of the liabilities of the Select Emerging Markets Fund by, the Select International Equity Fund in exchange for shares of the Select International Equity Fund, and the distribution of such shares to the shareholders of the Select Emerging Markets Fund, in complete liquidation of the Select Emerging Markets Fund.
Shares Shares Shares For Against Abstaining Total ----------- --------- ---------- ---------- Select Emerging Markets Fund: Number of Votes Cast: 73,191,917 3,286,060 4,837,143 81,315,120 Percentage of Votes Cast: 90.01% 4.04% 5.95% 100.00%
Proposal 3 To approve the Agreement and Plan of Reorganization providing for the sale of all of the assets of the Select Growth and Income Fund to, and the assumption of all of the liabilities of the Select Growth and Income Fund by, the Equity Index Fund in exchange for shares of the Equity Index Fund, and the distribution of such shares to the shareholders of the Select Growth and Income Fund, in complete liquidation of the Select Growth and Income Fund.
Shares Shares Shares For Against Abstaining Total ----------- ---------- ---------- ----------- Select Growth and Income Fund: Number of Votes Cast: 318,020,168 11,016,836 24,036,001 353,073,005 Percentage of Votes Cast: 90.07% 3.12% 6.81% 100.00%
Proposal 4 To approve the Agreement and Plan of Reorganization providing for the sale of all of the assets of the Select Aggressive Growth Fund to, and the assumption of all of the liabilities of the Select Aggressive Growth Fund by, the Select Growth Fund in exchange for shares of the Select Growth Fund, and the distribution of such shares to the shareholders of the Select Aggressive Growth Fund, in complete liquidation of the Select Aggressive Growth Fund.
Shares Shares Shares For Against Abstaining Total ----------- ---------- ---------- ----------- Select Aggressive Growth Fund: Number of Votes Cast: 286,858,081 11,381,224 19,961,572 318,200,877 Percentage of Votes Cast: 90.15% 3.58% 6.27% 100.00%
- -------------------------------------------------------------------------------- F-51 Allmerica Investment Trust OTHER INFORMATION (Continued) - -------------------------------------------------------------------------------- Proposal 5 To approve the Agreement and Plan of Reorganization providing for the sale of all of the assets of the Select Strategic Income Fund to, and the assumption of all of the liabilities of the Select Strategic Income Fund by, the Select Investment Grade Income Fund in exchange for shares of the Select Investment Grade Income Fund, and the distribution of such shares to the shareholders of the Select Strategic Income Fund, in complete liquidation of the Select Strategic Income Fund.
Shares Shares Shares For Against Abstaining Total ----------- --------- ---------- ----------- Select Strategic Income Number of Votes Cast: 121,765,245 2,239,410 9,436,545 133,441,200 Fund: Percentage of Votes Cast: 91.25% 1.68% 7.07% 100.00%
- -------------------------------------------------------------------------------- F-52 Allmerica Investment Trust REGULATORY DISCLOSURES (Unaudited) - -------------------------------------------------------------------------------- The performance data quoted represents past performance and the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. An investment in the Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Portfolio seeks to preserve the value of your investment at a stable net asset value of $1.00 per share, it is possible to lose money by investing in the Portfolio. This report and the financial statements contained herein are submitted for the general information of the shareholders of the Portfolios and are not authorized for distribution to prospective investors in the flexible premium variable life insurance or annuity products of Allmerica Financial Life Insurance and Annuity Company or First Allmerica Financial Life Insurance Company unless accompanied or preceded by effective prospectuses for the flexible premium variable life insurance or annuity products of Allmerica Financial Life Insurance and Annuity Company or First Allmerica Financial Life Insurance Company, and Allmerica Investment Trust which include important information related to charges and expenses. CLIENT NOTICES (Unaudited) - -------------------------------------------------------------------------------- This report includes financial statements for Allmerica Investment Trust. It does not include financial statements for the separate accounts that correspond to the insurance and/or annuity products included in this report. The SEC has modified mailing requirements for annual reports to allow a single copy of this report to be delivered to customers who share the same last name and address. This will automatically apply to all customers. If you would prefer to receive your own copy, please notify us at the phone number listed on the back cover of this report. - -------------------------------------------------------------------------------- F-53 [LOGO] Allmerica FINANCIAL (R) THE ALLMERICA FINANCIAL COMPANIES The Hanover Insurance Company . Allmerica Financial Alliance Insurance Company . Allmerica Financial Benefit Insurance Company Citizens Insurance Company of America . Citizens Management Inc. . AMGRO, Inc. . Financial Profiles, Inc. VeraVest Investments, Inc. . VeraVest Investments Advisors, Inc. . Opus Investment Management, Inc. . Allmerica Trust Company, N.A. First Allmerica Financial Life Insurance Company . Allmerica Financial Life Insurance and Annuity Company (all states except NY) 12260SAR (6/03) 03-1471 Allmerica Financial Semi-Annual Report - -------------------------------------------------------------------------------- June 30, 2003 Allmerica Investment Trust .Money Market Fund [GRAPHIC] AIT 2003 [LOGO] Allmerica Financial(R) TABLE OF CONTENTS A Letter from the Chairman....................................... 1 Money Market Fund................................................ 2 FINANCIALS....................................................... F-1
For information on ordering additional copies of this report, see Client Notices on page F-10. One or more Funds may not be available under the variable annuity or variable life insurance policy which you have chosen. Inclusion in this report of a Fund which is not available under your policy is not to be considered a solicitation. A LETTER FROM THE CHAIRMAN Dear Client: The global economy continued to sputter during the first half of 2003. At the June economic summit in France, five of the eight leading industrialized nations were either in recession or suffering from slow economic growth. Some European and Japanese officials expressed concern that a continued decline in the value of the already weak U.S. dollar could delay any global recovery. When SARS appeared in China, the country's economic growth decelerated and exports declined throughout the region. As the effects of deflation continued to wreak havoc on Japan's economy, many companies struggled to remain viable. Global stock markets dropped precipitously in the first quarter, but evolving worldwide events triggered a strong second quarter rally, leaving many indices in positive territory for the first half of 2003. Japan's Nikkei Average finished the period up 6.48%, Hong Kong's Hang Seng Index was higher by 5.60%, Germany's DAX Index rose 11.34%, England's FTSE Index gained 4.81% and France's CAC 40 Index was up 3.08%. During the period, business spending remained on hold as the United States led a war against the leaders of Iraq. When coalition forces achieved rapid success on the battlefield, several analysts predicted a surge in post-war economic activity on the home front. Consumer confidence did spike when the major fighting ended, but a stalled labor market and a continued lack of corporate investment limited the extent of the rebound. The U.S. unemployment rate reached 6.1% during the six-month period, as sluggish demand resulted in additional layoffs. In an effort to stimulate economic growth and create jobs, the U.S. Congress passed a $350 billion tax cut package and the Federal Reserve Board cut the federal funds rate by 0.25%, to a low 1.00%. The U.S. stock and bond markets seemed to be signaling better times ahead, as they posted solid returns for the first six months of 2003. The S&P 500(R) Index finished up 11.77%, the Nasdaq Composite Index was higher by 21.82% and the Lehman Brothers Aggregate Bond Index gained 3.92%. Money market fund returns declined during the first half of 2003, as short-term interest rates continued to fall. When the Federal Reserve Board cut the target federal funds rate by 0.25% in June, it reinforced the downward trend in short-term interest rates and reduced money market fund returns to historically low levels. The Money Market Fund continued its strong relative performance during the six-month period, returning 0.47%, outperforming its benchmark, the Money Fund Report Averages: First Tier Taxable. According to iMoneyNet, Inc., the Money Market Fund ranked in the top ten percent for net return among money market funds in the First Tier Taxable universe for the first six months of 2003. On behalf of the Board of Trustees, /s/ John P. Kavanaugh John P. Kavanaugh Chairman of the Board Allmerica Investment Trust 1 MONEY MARKET FUND The Money Market Fund returned 0.47% for the first half of 2003, outperforming its benchmark, the Money Fund Report Averages: First Tier Taxable, which returned 0.29%. The first quarter of 2003 was marked by economic and political uncertainty. The strong second quarter was powered by lower interest rates across the board, with the five-year Treasury security ending the quarter a remarkable 30 basis points lower than where it was at the beginning of the quarter. The Federal Reserve Board acted late in the second quarter, lowering the federal funds rate by 0.25% to 1.00%, and implied that rates will not be raised in the near future. The Federal Reserve Board has not said what else it may do to attempt to reinvigorate the economy. Many analysts believed that the Federal Reserve Board might employ more non-traditional methods of managing interest rates, such as buying longer-dated treasury securities, as the overnight lending rate approached 0.00%. However, the Chairman has commented about a deep-seated fear of the potential secondary effects of such actions, so cutting the federal funds rate appears to be the primary tactic the Federal Reserve Board intends to utilize. Since the major fighting in Iraq ended, the pickup in economic activity that many forecasters expected has not materialized. The jobless recovery remains intact, but growth of less than 2% has not been enough to persuade businesses to build inventories or increase capital spending. The investment sub-adviser plans to maintain a slightly short duration, between 50-55 days, and a laddered portfolio, in an attempt to provide maximum liquidity and stable current income through this ongoing market uncertainty. Average Annual Total Returns
1 Year 5 Year 10 Year Money Market Fund 1.20% 4.13% 4.55% Money Fund Report Averages: First Tier Taxable 0.79% 3.54% 4.05% Lipper Money Market Funds Average 0.98% 3.74% 4.23% Average Yield as of June 30, 2003 Money Market Fund 7-Day Yield 0.71%
Growth of a $10,000 Investment Since 1993 [CHART] Money Fund Report Averages: Money Market Fund First Tier Taxable ----------------- --------------------------- 6/93 $10,000 $10,000 6/94 10,314 10,282 6/95 10,852 10,790 6/96 11,458 11,342 6/97 12,072 11,898 6/98 12,746 12,501 6/99 13,407 13,078 6/00 14,184 13,753 6/01 15,035 14,490 6/02 15,418 14,758 6/03 15,603 14,873 The Money Market Fund is a portfolio of Allmerica Investment Trust. Portfolio composition will vary over time. The Fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to maintain a net asset value of $1.00 per share, it is possible to lose money by investing in the Fund. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Money Fund Report Averages: First Tier Taxable is published by iMoneyNet, Inc., an independent firm that tracks 2a-7 regulated money market funds on a yield, shareholder, asset size and portfolio allocation basis. The Lipper Money Market Funds Average is the average investment performance of funds within the money market category. Performance numbers are net of all fund operating expenses, but do not include insurance charges. If performance information included the effect of these additional charges, it would have been lower. Investment Sub-Adviser Opus Investment Management, Inc. About the Fund Seeks to maximize current income for investors while preserving capital and liquidity. Portfolio Composition As of June 30, 2003, the sector allocation of net assets was: [CHART] Corporate Notes 46% Commercial Paper 28% U.S. Government & Agency Obligations 15% Investment Company 8% Certificates of Deposit 3% - -------------------------------------------------------------------------------- 2 Financials Money Market Fund PORTFOLIO OF INVESTMENTS . June 30, 2003 (Unaudited) - ------------------------------------------------------------------------------- Value Par Value (Note 2) - ------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS - 15.3% Fannie Mae - 6.2% $ 5,000,000 1.18%, 07/27/04 $ 5,000,000 14,850,000 1.19%, 03/05/04 (a) 14,728,774 12,681,000 1.23%, 07/01/03 (a) 12,681,000 ------------ 32,409,774 ------------ Federal Home Loan Bank - 8.1% 25,000,000 1.16%, 03/15/04 (b) 25,000,000 7,500,000 1.35%, 03/30/04 7,500,000 10,000,000 1.40%, 06/04/04 10,000,000 ------------ 42,500,000 ------------ Freddie Mac - 1.0% 5,000,000 0.89%, 09/30/03 (a) 4,988,752 ------------ Total U.S. Government Agency Obligations 79,898,526 ------------ (Cost $79,898,526) CORPORATE NOTES - 46.5% Banking - 8.6% 25,000,000 Bayerische Landesbank NY (b) 1.26%, 02/23/04 25,000,000 20,000,000 Marshall & Isley Bank (b) 1.17%, 12/19/03 20,000,000 ------------ 45,000,000 ------------ Financial Services - 22.3% 7,864,000 Caterpillar Financial Services Corp. (b) 1.37%, 07/09/03 7,864,157 10,000,000 Caterpillar Financial Services Corp. (b) 1.43%, 04/02/04 10,013,992 3,050,000 Citigroup, Inc. 5.70%, 02/06/04 3,128,827 23,000,000 Countrywide Home Loans, Inc. (b) 1.68%, 11/21/03 23,018,861 12,000,000 J.P. Morgan Chase & Co. 5.75%, 02/25/04 12,338,641 15,000,000 Money Market Trust LLC (b) (c) 1.37%, 12/03/03 15,000,000 30,000,000 Money Market Trust Series 2003A (b) (c) 1.19%, 08/19/03 29,998,977 5,000,000 Sigma Finance, Inc. (b) (c) 1.14%, 05/18/04 4,999,750 10,000,000 Sigma Finance, Inc. 1.64%, 12/03/03 10,000,000 ------------ 116,363,205 ------------ Oil & GAS - 3.9% 20,000,000 Deer Park Refining, LP (c) 1.15%, 07/18/03 20,000,000 ------------ Securities Broker - 11.7% $10,000,000 Bear Stearns Cos., Inc. (b) 1.50%, 12/12/03 $ 10,006,767 10,000,000 Goldman Sachs Group, Inc. (b) 1.28%, 12/08/03 10,000,000 4,000,000 Goldman Sachs Group, Inc. (b) 1.28%, 01/23/04 4,000,000 6,885,000 Lehman Brothers Holdings, Inc. 7.36%, 12/15/03 7,070,625 10,000,000 Morgan Stanley Dean Witter & Co. (b) 1.28%, 11/14/03 10,000,000 13,000,000 Morgan Stanley Dean Witter & Co. 5.63%, 01/20/04 13,293,530 6,488,000 Travelers Group, Inc. 6.75%, 08/15/03 6,531,904 ------------ 60,902,826 ------------ Total Corporate Notes 242,266,031 ------------ (Cost $242,266,031) ASSET BACKED SECURITIES - 0.2% 1,077,195 Whole Auto Loan Trust, Series 2002-1, Class A1 1.42%, 12/15/03 1,077,195 ------------ Total Asset Backed Securities 1,077,195 ------------ (Cost $1,077,195) COMMERCIAL PAPER (a) - 28.0% Banking - 5.9% 5,000,000 Societe Generale North America, Inc. 1.07%, 08/01/03 4,995,393 7,500,000 UBS Finance (DE) LLC 1.04%, 07/08/03 7,498,483 18,300,000 UBS Finance (DE) LLC 1.31%, 07/01/03 18,300,000 ------------ 30,793,876 ------------ Financial Services - 16.3% 15,000,000 Amstel Funding Corp. (c) 1.22%, 07/02/03 14,999,491 15,000,000 Blue Ridge Asset Funding (c) 1.17%, 08/05/03 14,982,938 15,000,000 Clipper Receivables Corp. 1.02%, 07/22/03 14,991,075 10,000,000 High Peak Funding LLC (c) 0.97%, 09/12/03 9,980,331 10,000,000 High Peak Funding LLC (c) 1.12%, 08/06/03 9,988,800 10,000,000 Ivory Funding Corp. (c) 1.23%, 08/12/03 9,985,650 5,000,000 Newbury Funding (c) 1.12%, 10/24/03 4,982,111 5,000,000 Sheffield Receivables Corp. (c) 1.20%, 07/08/03 4,998,834 ------------ 84,909,230 ------------ See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-1 Money Market Fund PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited) - ------------------------------------------------------------------------------- Value Par Value (Note 2) - ------------------------------------------------------------------------------- Securities Broker - 5.8% $20,000,000 Barton Capital Corp. (c) 1.25%, 07/07/03 $ 19,995,833 10,000,000 Goldman Sachs Promissory Note 1.35%, 07/25/03 10,000,000 ------------ 29,995,833 ------------ Total Commercial Paper 145,698,939 ------------ (Cost $145,698,939) CERTIFICATES OF DEPOSIT - 2.9% 15,000,000 Associated Bank Green Bay 1.34%, 07/16/03 15,000,000 ------------ Total Certificates of Deposit 15,000,000 ------------ (Cost $15,000,000) Shares INVESTMENT COMPANIES - 7.6% 19,201,475 Bear Stearns Prime Money Market Portfolio 19,201,475 110,405 Dreyfus Cash Management Plus Money Market Fund 110,405 20,240,143 One Group Institutional Prime Money Market Fund 20,240,143 ------------ Total Investment Companies 39,552,023 ------------ (Cost $39,552,023) Total Investments - 100.5% 523,492,714 ------------ (Cost $523,492,714) Net Other Assets and Liabilities - (0.5)% (2,366,543) ------------ Total Net Assets - 100.0% $521,126,171 ============ - ---------- (a) Effective yield at time of purchase. (b) Variable rate security. The rate shown reflects rate in effect at period end. (c) Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, to qualified institutional buyers. At June 30, 2003, these securities amounted to $159,912,715 or 30.7% of net assets. These securities have been deemed to be liquid in accordance with procedures established by the Board of Trustees. FEDERAL INCOME TAX INFORMATION (SEE NOTE 2) At June 30, 2003, the aggregate cost of investment securities for tax purposes was $523,492,714. See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-2 Allmerica Investment Trust STATEMENT OF ASSETS AND LIABILITIES . June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Money Market Fund - -------------------------------------------------------------------------------- ASSETS: Total investments at value ................................... $523,492,714 Cash ......................................................... 26,118 Receivable for shares sold ................................... 1,341,932 Interest receivable .......................................... 1,473,199 Miscellaneous receivable ..................................... 1,737 ------------ Total Assets .............................................. 526,335,700 ------------ LIABILITIES: Payable for investments purchased ............................ 5,000,000 Management fee payable ....................................... 132,792 Distribution fee payable ..................................... 64,799 Trustees' fees and expenses payable .......................... 1,049 Accrued expenses and other payables .......................... 10,889 ------------ Total Liabilities ......................................... 5,209,529 ------------ NET ASSETS ...................................................... $521,126,171 ============ NET ASSETS consist of: Paid-in capital .............................................. $521,008,388 Accumulated net realized gain on investments sold ...................................................... 117,783 ------------ TOTAL NET ASSETS ................................................ $521,126,171 ============ Shares of beneficial interest outstanding (unlimited authorization, no par value) ......................... 521,010,014 NET ASSET VALUE, Offering and redemption price per share (Net Assets/Shares Outstanding) ................................... $ 1.000 ============ See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-3 Allmerica Investment Trust STATEMENT OF OPERATIONS . For the Six Months Ended June 30, 2003 (Unaudited) - -------------------------------------------------------------------------------- Money Market Fund - -------------------------------------------------------------------------------- INVESTMENT INCOME Interest ..................................................... $4,413,129 ---------- EXPENSES Management fees .............................................. 899,934 Distribution fees ............................................ 450,701 Custodian and Fund accounting fees ........................... 90,661 Legal fees ................................................... 26,747 Audit fees ................................................... 23,210 Trustees' fees and expenses .................................. 25,061 Reports to shareholders ...................................... 15,722 Miscellaneous ................................................ 3,195 ---------- Total expenses ............................................ 1,535,231 ---------- NET INVESTMENT INCOME ........................................... 2,877,898 ---------- NET REALIZED GAIN ON INVESTMENTS ................................ 80,778 ---------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ................................................... $2,958,676 ========== See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-4 Allmerica Investment Trust STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
Money Market Fund - ------------------------------------------------------------------------------------ Six Months Ended June 30, 2003 Year Ended (Unaudited) December 31, 2002 - ------------------------------------------------------------------------------------ NET ASSETS at beginning of period .......... $ 704,804,637 $ 604,656,688 ------------- ------------- Increase (decrease) in net assets resulting from operations: Net investment income ................... 2,877,898 10,414,765 Net realized gain on investments sold ................................. 80,778 48,471 ------------- ------------- Net increase in net assets resulting from operations ...................... 2,958,676 10,463,236 ------------- ------------- Distributions to shareholders from net investment income ....................... (2,877,898) (10,414,765) ------------- ------------- Capital share transactions: Net proceeds from sales of shares ....... 121,525,921 962,438,922 Issued to shareholders in reinvestment of distributions ........ 2,877,898 10,414,765 Cost of shares repurchased .............. (308,163,063) (872,754,209) ------------- ------------- Net increase (decrease) from capital share transactions ........ (183,759,244) 100,099,478 ------------- ------------- Total increase (decrease) in net assets ............................ (183,678,466) 100,147,949 ------------- ------------- NET ASSETS at end of period ................ $ 521,126,171 $ 704,804,637 ============= ============= OTHER INFORMATION: Share transactions: Sold .................................... 121,525,921 962,438,922 Issued to shareholders in reinvestment of distributions ........ 2,877,898 10,414,765 Repurchased ............................. (308,163,063) (872,754,209) ------------- ------------- Net increase (decrease) in shares outstanding ....................... (183,759,244) 100,099,478 ============= =============
See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-5 Allmerica Investment Trust FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Ratios/supplemental Data ------------------------------------------------ Ratios to Average Net Assets ----------------------------------- Net Asset Dividends Net Asset Net Assets Value Net from Net Value End of Net Year Ended Beginning Investment Investment End of Total Period Investment Operating Management December 31, of Period Income Income Period Return (000's) Income Expenses Fee - ------------ --------- ---------- ---------- --------- ------ ---------- ---------- --------- ---------- Money Market Fund 2003/(a)/ $1.000 $0.005 $(0.005) $1.000 0.47%** $521,126 0.96%* 0.51%* 0.30%* 2002 1.000 0.016 (0.016) 1.000 1.66% 704,805 1.63% 0.45% 0.30% 2001 1.000 0.042 (0.042) 1.000 4.28% 604,657 4.11% 0.36% 0.31% 2000 1.000 0.062 (0.062) 1.000 6.40% 457,912 6.19% 0.31% 0.26% 1999 1.000 0.051 (0.051) 1.000 5.19% 513,606 5.09% 0.29% 0.24% 1998 1.000 0.054 (0.054) 1.000 5.51% 336,253 5.36% 0.32% 0.26%
- ---------- * Annualized. ** Not Annualized. /(a)/ For the six months ended June 30, 2003 (Unaudited). See Notes to Financial Statements. - -------------------------------------------------------------------------------- F-6 Allmerica Investment Trust NOTES TO FINANCIAL STATEMENTS (Unaudited) - -------------------------------------------------------------------------------- 1. ORGANIZATION Allmerica Investment Trust (the "Trust") is registered under the Investment Company Act of 1940 ("the 1940 Act"), as amended, as an open-end, diversified management investment company established as a Massachusetts business trust. The Trust is intended to serve as an investment medium for (i) variable life insurance policies and variable annuity contracts offered by insurance companies, (ii) certain qualified pension and retirement plans, as permitted by Treasury Regulations; and (iii) life insurance companies and advisers to the Portfolios and their affiliates. Allmerica Financial Corporation ("AFC") has ceased all new sales of proprietary variable annuities and life insurance products. The Trust is comprised of nine managed investment portfolios ("Portfolios"). The accompanying financial statements and financial highlights are those of the Money Market Fund (the "Portfolio"). 2. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements: Security Valuation: Securities of the Portfolio are valued utilizing the amortized cost valuation method, permitted in accordance with Rule 2a-7 under the 1940 Act. This method involves valuing a portfolio security initially at its cost and thereafter assuming a constant amortization to maturity of any discount or premium. Security Transactions and Investment Income: Security transactions are recorded as of trade date. Realized gains and losses from security transactions are determined on the basis of identified cost. Interest income, including amortization of premium and accretion of discount on securities, is accrued daily. Income distributions earned by the Portfolio from investments in certain investment companies are recorded as interest income in the accompanying financial statements. Federal Income Taxes: The Trust treats each portfolio as a separate entity for Federal income tax purposes. The Portfolio intends to continue to qualify as a "regulated investment company" under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying, the Portfolio will not be subject to Federal income taxes to the extent it distributes all of its taxable income and net realized gains, if any, for its fiscal year. In addition, by distributing during each calendar year substantially all of its net investment income, capital gains and certain other amounts, if any, the Portfolio will not be subject to Federal excise tax. Therefore, no Federal income tax provision is required. Distributions to Shareholders: Dividends from net investment income are declared and reinvested daily for the Portfolio. The Portfolio declares and distributes all net realized capital gains, if any, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Expenses: Expenses directly attributed to a portfolio are charged to the portfolio, while expenses which are attributable to more than one portfolio of the Trust are allocated based upon relative net assets among the respective Portfolios and one other affiliated investment company, Allmerica Securities Trust. Forward Commitments: The Portfolio may enter into contracts to purchase securities for a fixed price at a specified future date beyond customary settlement time ("forward commitments"). If the Portfolio does so, it will maintain cash or other liquid obligations having a value in an amount at all times sufficient to meet the purchase price. Forward commitments involve a risk of loss if the value of the security to be purchased declines prior to the settlement date. - -------------------------------------------------------------------------------- F-7 Allmerica Investment Trust NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) - -------------------------------------------------------------------------------- Although the Portfolio generally will enter into forward commitments with the intention of acquiring securities for its portfolio, it may dispose of a commitment prior to settlement if its Sub-Adviser deems it appropriate to do so. Repurchase Agreements: The Portfolio may engage in repurchase agreement transactions with institutions that the Sub-Adviser has determined are creditworthy pursuant to guidelines established by the Trust's Board of Trustees. The Portfolio requires that the securities purchased in a repurchase agreement transaction be transferred to the Trust's Custodian in a manner that is intended to enable the Portfolio to obtain those securities in the event of a counterparty default. The Sub-Adviser monitors the value of the securities, including accrued interest, daily to ensure that the value of the collateral equals or exceeds amounts due under the repurchase agreement. Repurchase agreement transactions involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Portfolio's ability to dispose of the underlying securities, and a possible decline in the value of the underlying securities during the period while the Portfolio seeks to assert its rights. 3. INVESTMENT MANAGEMENT, ADMINISTRATION, AND OTHER RELATED PARTY TRANSACTIONS Management Fees: Allmerica Financial Investment Management Services, Inc. (the "Manager"), a wholly-owned subsidiary of Allmerica Financial Life Insurance and Annuity Company ("Allmerica Financial"), serves as investment manager and administrator to the Trust. Allmerica Financial is a wholly-owned subsidiary of AFC. Under the terms of the management agreement, the Portfolio pays a management fee, calculated daily and payable monthly at annual rates of 0.35% for the first $100,000,000 in average daily net assets, 0.30% for the next $400,000,000 in average daily net assets, 0.25% for the next $250,000,000 in average daily net assets, and 0.20% for average daily net assets in excess of $750,000,000. The Manager has entered into a Sub-Adviser Agreement for the management of the investments of the Portfolio. The Manager is solely responsible for the payment of all fees to the Sub-Adviser. The Sub-Adviser for the Portfolio is Opus Investment Management, Inc., a wholly-owned subsidiary of Allmerica Financial Corporation. Effective February 1, 2003, the name of Allmerica Asset Management, Inc. was changed to Opus Investment Management, Inc. Plan of Distribution and Service: The 12b-1 Plan permits the Portfolio to pay Allmerica Financial and First Allmerica Financial Life Insurance Company, a wholly-owned subsidiary of Allmerica Financial, for marketing and distribution expenses to support the sale and distribution of the Portfolio's shares and the provision of services to maintain and retain accounts. The 12b-1 Plan authorizes payment of a distribution and service fee at an annual rate of up to 0.25% of the Portfolio's average daily net assets. As directed by the Board of Trustees, the Portfolio pays a distribution fee at an annual rate of 0.15% of the Portfolio's average daily net assets. Custodian, Fund Accounting, and Administrative Fees: Investors Bank & Trust Company ("IBT") provides portfolio accounting and custody services to the Trust and receives fees and reimbursement of certain out-of-pocket expenses for its services from the Trust. The Manager has entered into an Administrative Services Agreement with IBT, whereby IBT performs certain administrative services for the Portfolio and is entitled to receive an administrative fee and reimbursement of certain out-of-pocket expenses. The Manager is solely responsible for the payment of the administrative fee to IBT. The Trust pays no salaries or compensation to any of its officers. Trustees who are not directors, officers or employees of the Trust or any investment adviser are reimbursed for their travel expenses in attending meetings of the Trustees, and receive quarterly meeting and retainer fees for their services. Such amounts are paid by the Trust. 4. REIMBURSEMENT OF EXPENSES AND WAIVER OF FEES In the event normal operating expenses, excluding taxes, interest, broker commissions, and extraordinary expenses, but including the management fee, exceed 0.60% of average net assets, the Manager will voluntarily reimburse fees and any expenses in excess of the expense limitation. Expense limitations may be removed or revised at any time after the Portfolio's first fiscal year of operations without prior notice to existing shareholders. - -------------------------------------------------------------------------------- F-8 Allmerica Investment Trust NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) - -------------------------------------------------------------------------------- 5. SHARES OF BENEFICIAL INTEREST The Trust's Declaration of Trust authorizes the Trustees to issue an unlimited number of shares of beneficial interest for the Portfolio, each without a par value. 6. FOREIGN SECURITIES The Portfolio may invest in only U.S. dollar denominated foreign securities. Investing in foreign securities involves special risks not typically associated with investing in securities of U.S. issuers. The risks include future adverse political and economic developments. Moreover, securities of many foreign issuers and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. issuers. - -------------------------------------------------------------------------------- F-9 Allmerica Investment Trust REGULATORY DISCLOSURES (Unaudited) - -------------------------------------------------------------------------------- The performance data quoted represents past performance and the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. An investment in the Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Portfolio seeks to preserve the value of your investment at a stable net asset value of $1.00 per share, it is possible to lose money by investing in the Portfolio. This report and the financial statements contained herein are submitted for the general information of the shareholders of the Portfolio and are not authorized for distribution to prospective investors in the flexible premium variable life insurance or annuity products of Allmerica Financial Life Insurance and Annuity Company or First Allmerica Financial Life Insurance Company unless accompanied or preceded by effective prospectuses for the flexible premium variable life insurance or annuity products of Allmerica Financial Life Insurance and Annuity Company or First Allmerica Financial Life Insurance Company and Allmerica Investment Trust which include important information related to charges and expenses. CLIENT NOTICES (Unaudited) - -------------------------------------------------------------------------------- This report includes financial statements for the Money Market Fund of Allmerica Investment Trust. It does not include financial statements for the separate accounts that correspond to the insurance and/or annuity products included in this report. The SEC has modified mailing requirements for annual reports to allow a single copy of this report to be delivered to customers who share the same last name and address. This will automatically apply to all customers. If you would prefer to receive your own copy, please notify us at the phone number listed on the back cover of this report. - -------------------------------------------------------------------------------- F-10 [LOGO] ALLMERICA FINANCIAL(R) THE ALLMERICA FINANCIAL COMPANIES --------------------------------- The Hanover Insurance Company . Allmerica Financial Alliance Insurance Company . Allmerica Financial Benefit Insurance Company Citizens Insurance Company of America . Citizens Management Inc. . AMGRO, Inc. . Financial Profiles, Inc. VeraVest Investments, Inc. . VeraVest Investment Advisors, Inc. . Opus Investment Management, Inc. . Allmerica Trust Company, N.A. First Allmerica Financial Life Insurance Company .. Allmerica Financial Life Insurance and Annuity Company (all states except NY) 11129SAR (6/03) 03-1471 Item 2. Code of Ethics Not Applicable Item 3. Audit Committee Financial Expert Not Applicable Item 4. Principal Accountant Fees and Services Not Applicable Item 5. Audit Committee of Listed Registrants Not Applicable Item 6. Reserved. Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. Not Applicable Item 8. Reserved. Item 9. Controls and Procedures (a) The registrant's principal executive and principal financial officers have concluded that, based on their evaluation of the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of the date within 90 days of the filing date of this report on Form N-CSR, such disclosure controls and procedures provide reasonable assurances that material information relating to the registrant is made known to them by the appropriate persons. (b) Changes to internal control over financial reporting: Not Applicable Item 10. Exhibits (a) Not Applicable (b)(1) Separate certifications by the registrant's principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and as required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached hereto as Exhibit 99.CERT. (2) A certification by the registrant's principal executive officer and principal financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and as required by Rule 30a-2(b) under the Investment Company Act of 1940 is attached hereto as Exhibit 99.906 CERT. Signatures Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Allmerica Investment Trust By: /s/ John P. Kavanaugh -------------------------------------- John P. Kavanaugh President and Chairman Date: August 19, 2003 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ John P. Kavanaugh -------------------------------------- John P. Kavanaugh President and Chairman Date: August 19, 2003 By: /s/ Paul T. Kane -------------------------------------- Paul T. Kane Assistant Vice President and Treasurer (Principal Accounting Officer and Principal Financial Officer) Date: August 19, 2003 EX-99.CERT 3 dex99cert.txt CERTIFICATION PURSUANT TO SECTION 302 EX-99.CERT CERTIFICATIONS I, John P. Kavanaugh, certify that: 1. I have reviewed this report on Form N-CSR of Allmerica Investment Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 19, 2003 /s/ John P. Kavanaugh - ---------------------- John P. Kavanaugh President and Chairman * * * * * I, Paul T. Kane, certify that: 1. I have reviewed this report on Form N-CSR of Allmerica Investment Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 19, 2003 /s/ Paul T. Kane - -------------------------------------- Paul T. Kane Assistant Vice President and Treasurer (Principal Accounting Officer and Principal Financial Officer) EX-99.906CERT 4 dex99906cert.txt CERTIFICATION PURSUANT TO SECTION 906 EX-99.906CERT Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsection (a) and (b) of section 1350, chapter 63 of title 18, United States Code) In connection with the attached Report of Allmerica Investment Trust (the "Trust") on Form N-CSR to be filed with the Securities and Exchange Commission for the period ended June 30, 2003 (the "Report"), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer's knowledge: 1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report. Dated: August 19, 2003 /s/ John P. Kavanaugh - -------------------------------------- John P. Kavanaugh President and Chairman Dated: August 19, 2003 /s/ Paul T. Kane - -------------------------------------- Paul T. Kane Assistant Vice President and Treasurer (Principal Accounting Officer and Principal Financial Officer) -----END PRIVACY-ENHANCED MESSAGE-----