LVIP SSGA Allocation Funds

Transcription

1 s Index s Conservative Index Moderate Index Aggressive Index Allocation Fund s Conservative Moderate Aggressive Allocation Fund each a series of Lincoln Variable Insurance Products Trust Annual Report December 31, 2017

2 s Index Commentary 1 Disclosure of Expenses 7 Security Type/Sector Allocations 9 Schedules of Investments 11 Statements of Assets and Liabilities 17 Statements of Operations 18 Statements of Changes in Net Assets 19 Financial Highlights 21 Notes to Financial Statements 33 Report of Independent Registered Public Accounting Firm 43 Other Fund Information 44 Officer/Trustee Information 47 The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Trust s Form N-Q is available without charge on the Commission s website at The Trust s Form N-Q may be reviewed and copied at the Commission s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling SEC You may also request a copy by calling LINCOLN ( ). For a free copy of the Funds proxy voting procedures and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, please call LINCOLN ( ) or visit the Securities and Exchange Commission s website at

3 Index s 2017 Annual Report Commentary (unaudited) Advised by: Lincoln Investments Advisors Corporation The Conservative Index returned 10.72% (Standard Class shares with distributions reinvested) for the fiscal year ended December 31, 2017, while its benchmark, the Conservative Index Allocation Composite 1 returned 11.22% and its broad-based benchmark index, the Bloomberg Barclays U.S. Aggregate Bond Index 2, returned 3.54%. The Moderate Index returned 14.55% (Standard Class shares with distributions reinvested) for the fiscal year ended December 31, 2017, while its benchmark, the Moderate Index Allocation Composite 3 returned 15.06% and its broad-based benchmark index, the S&P 500 Index 4, returned 21.83%. The Aggressive Index returned 16.97% (Standard Class shares with distributions reinvested) for the fiscal year ended December 31, 2017, while its benchmark, the Aggressive Index Allocation Composite 5 returned 17.47% and its broad-based benchmark index, the S&P 500 Index, returned 21.83%. Because of expectations related to the pro-growth agenda espoused by newly-elected President Trump and U.S. Republicans, which included tax reform and less regulation, the US equity markets began 2017 positively as a continuation of the momentum experienced after Trump s election in November Furthermore, economies outside of the U.S. largely continued accommodative monetary policies and, in many cases, expansionary fiscal policies, that were also supportive to non-u.s. equity markets from the outset of the year. As the year progressed, the International Monetary Fund (the IMF ) upwardly revised economic growth estimates for many non-u.s. economies, including the European Union, Japan and many emerging market countries, with U.S economic growth being revised upward to a lesser extent. This synchronized global economic growth was the foundation for equity markets generating strong positive returns in 2017, along with non-u.s. equity markets outperforming U.S. equity markets for the first time since 2012 because many of those economies are in the early stages of an earnings recovery cycle. It is also notable that these returns were generated while encountering historically low volatility throughout the year. As we expected, the Federal Reserve continued its path toward normalization of interest rates, with three 25-basis point interest rate increases during 2017 that brought the target Fed Funds rate to 1.25% %. Despite these increases to short-term interest rates and a forecast of continued increases in 2018 and beyond, longer term interest rates stayed stubbornly low as the U.S. 10-year Treasury yield ended 2017 seven basis points lower than the end of 2016, and actually spent most of the year even lower. This dynamic, combined with credit spreads steadily tightening throughout 2017, allowed the major fixed income indexes to register positive returns. For the full year, there was wide dispersion across investment style and size. Growth stocks outperformed value stocks across most asset classes. Additionally, largecapstocksoutperformedsmallcapstocks, withemerging market equities being the notable exception where small cap stocks outperformed large cap stocks. The Information Technology sector was the leading performer, by a wide margin, in the U.S equity markets, with Energy and Telecom being the notable laggards. An interesting dynamic that manifested itself seemed to be that one or two industries seemed to dominate positive returns within each sector. For example, refining led the energy sector by a wide margin, homebuilders and casinos led the consumer sector, etc. The performance of the Index s for 2017 was mainly driven by the Funds asset allocation and the underlying index funds. The Funds solely utilize passive investment options within the Funds asset allocation. The performance results were in line with their respective benchmarks for U.S. equity, non-u.s. equity and fixed income asset classes. From an absolute return standpoint, the non-u.s. equity allocations posted the largest returns, outperforming U.S. equity markets and fixed income. Portfolio Managers: Lincoln Investment Advisors Corporation: Maria Ma Amritansh Tewary Jay Shearon The views expressed represent the Manager s assessment of the Funds and market environment as of the most recent quarter end and should not be considered a recommendation to buy, hold, or sell any security, and should not be relied on as research or investment advice. s 1

4 Index s 2017 Annual Report Commentary (unaudited) (continued) Conservative Index Growth of $10,000 invested 8/2/10 through 12/31/17 $17,000 $16,000 $15,000 $14,000 $13,000 $12,000 $11,000 $10,000 $9,000 Conservative Index - Standard Class Conservative Index - Service Class Conservative Index Allocation Composite Bloomberg Barclays U.S. Aggregate Bond Index 8/2/10 12/31/17 $15,849 $15,183 $14,905 $12,479 Thischartillustrates,hypothetically,that$10,000wasinvestedinLVIPSSGAConservative Index shares on 8/2/10 (commencement of operations). As the chart shows, by 12/31/17, the value of the investment at net asset value, with any dividends and distributions reinvested, would have increased to $15,183 for the Standard Class shares and to $14,905 for the Service Class shares. For comparison, look at how the Conservative Index Allocation Composite did from 8/2/10 through 12/31/17. The same $10,000 investment would have increased to $15,849. For additional comparison, the Bloomberg Barclays U.S. Aggregate Bond Index would have increased to $12,479. Earnings from a variable annuity investment compound tax-free until withdrawn, so no adjustments were made for income taxes. Past performance is not indicative of future performance. Remember, an investor cannot invest directly in an index. An expense waiver was in effect for the Fund during the periods shown. Performance would have been lower had the expense waiver not been in effect. The performance information does not include insurance company separate account fees and variable annuity or variable life contract charges and if these fees and charges were included, then performance would have been lower. Average annual total returns on investment Ended 12/31/17 Standard Class Shares One Year % Five Years % Inception (8/2/10) % Service Class Shares One Year % Five Years % Inception (8/2/10) % Moderate Index Growth of $10,000 invested 8/2/10 through 12/31/17 $30,000 $25,000 $20,000 $15,000 $10,000 $5,000 Moderate Index - Standard Class Moderate Index - Service Class Moderate Index Allocation Composite S&P 500 Index 8/2/10 12/31/17 $27,789 $17,760 $16,910 $16,600 This chart illustrates, hypothetically, that $10,000 was invested in Moderate Index shares on 8/2/10 (commencement of operations). As the chart shows, by 12/31/17, the value of the investment at net asset value, with any dividends and distributions reinvested, would have increased to $16,910 for the Standard Class shares and to $16,600 for the Service Class shares. For comparison, look at how the Moderate Index Allocation Composite did from 8/2/10 through 12/31/17. The same $10,000 investment would have increased to $17,760. For additional comparison, the S&P 500 Index would have increased to $27,789. Earnings from a variable annuity investment compound tax-free until withdrawn, so no adjustments were made for income taxes. Past performance is not indicative of future performance. Remember, an investor cannot invest directly in an index. An expense waiver was in effect for the Fund during the periods shown. Performance would have been lower had the expense waiver not been in effect. The performance information does not include insurance company separate account fees and variable annuity or variable life contract charges and if these fees and charges were included, then performance would have been lower. Average annual total returns on investment Ended 12/31/17 Standard Class Shares One Year % Five Years % Inception (8/2/10) % Service Class Shares One Year % Five Years % Inception (8/2/10) % s 2

5 Index s 2017 Annual Report Commentary (unaudited) (continued) Aggressive Index Allocation Fund Growth of $10,000 invested 8/2/10 through 12/31/17 $30,000 $25,000 $20,000 $15,000 $10,000 $5,000 Aggressive Index - Standard Class Aggressive Index - Service Class Aggressive Index Allocation Composite S&P 500 Index 8/2/10 12/31/17 $27,789 $18,483 $17,571 $17,248 Thischartillustrates, hypothetically, that$10,000wasinvestedinlvipssga Aggressive Index shares on 8/2/10 (commencement of operations). As the chart shows, by 12/31/17, the value of the investment at net asset value, with any dividends and distributions reinvested, would have increased to $17,571 for the Standard Class shares and to $17,248 for the Service Class shares. For comparison, look at how the Aggressive Index Allocation Composite did from 8/2/10 through 12/31/17. The same $10,000 investment would have increased to $18,483. For additional comparison, the S&P 500 Index would have increased to $27,789. Earnings from a variable annuity investment compound tax-free until withdrawn, so no adjustments were made for income taxes. Past performance is not indicative of future performance. Remember, an investor cannot invest directly in an index. An expense waiver was in effect for the Fund during the periods shown. Performance would have been lower had the expense waiver not been in effect. The performance information does not include insurance company separate account fees and variable annuity or variable life contract charges and if these fees and charges were included, then performance would have been lower. Average annual total returns on investment Ended 12/31/17 Standard Class Shares One Year % Five Years % Inception (8/2/10) % Service Class Shares One Year % Five Years % Inception (8/2/10) % The Conservative Index Allocation Composite is an unmanaged index compiled by LIAC, the Fund s adviser. The Conservative Index Allocation Composite is constructed as follows: 17% S&P 500 Index, 3% S&P MidCap 400 Index, 2% Russell 2000 Index, 14% MSCI EAFE NR Index, 4% MSCI EAFE Emerging Markets NR Index, 50% Bloomberg Barclays U.S. Aggregate Bond Index and 10% Bloomberg Barclays U.S. TIPS Index. The Bloomberg Barclays U.S. Aggregate Bond Index measures the performance ofmorethan8,500publiclyissuedinvestmentgrade(baa3/bbb- orbetter) corporate, U.S. government, mortgage- and asset-backed securities with at least one year to maturity and at least $250 million par amount outstanding. The Moderate Index Allocation Composite is an unmanaged index compiled by LIAC, the Fund s adviser. The Moderate Index Allocation Composite is constructed as follows: 24% S&P 500 Index, 6% S&P MidCap 400 Index, 4% Russell 2000 Index, 20% MSCI EAFE NR Index, 6% MSCI Emerging Markets NR Index, 30% Bloomberg Barclays U.S. Aggregate Bond Index and 10% Bloomberg Barclays U.S. TIPS Index. The S&P 500 Index is a broad based measurement of changes in stock market conditions based on average performance of 500 widely held U.S. common stocks. The Aggressive Index Allocation Composite is an unmanaged index compiled by LIAC, the Fund s adviser. The Aggressive Index Allocation Composite is constructed as follows: 26% S&P 500 Index, 7% S&P MidCap 400 Index, 5% Russell 2000 Index, 22% MSCI EAFE NR Index, 10% MSCI Emerging Markets NR Index, 25% Bloomberg Barclays U.S. Aggregate Bond Index and 5% Bloomberg Barclays U.S. TIPS Index. s 3

6 s 2017 Annual Report Commentary (unaudited) (continued) Advised by: Lincoln Investments Advisors Corporation The Conservative returned 9.70% (Standard Class shares with distributions reinvested) for the fiscal year ended December 31, 2017, while its benchmark, the Conservative Allocation Composite 1 returned 11.22% and its broad-based benchmark index, the Bloomberg Barclays U.S. Aggregate Bond Index 2, returned 3.54%. The Moderate returned 13.15% (Standard Class shares with distributions reinvested) for the fiscal year ended December 31, 2017, while its benchmark, the Moderate Allocation Composite 3 returned 15.06% and its broad-based benchmark index, the S&P 500 Index 4, returned 21.83%. TheLVIPSSGAAggressiveAllocationFundreturned 14.89% (Standard Class shares with distributions reinvested) for the fiscal year ended December 31, 2017, while its benchmark, the Aggressive Allocation Composite 5 returned 17.47% and its broad-based benchmark index, the S&P 500 Index, returned 21.83%. Because of expectations related to the pro-growth agenda espoused by newly-elected President Trump and U.S. Republicans, which included tax reform and less regulation, the US equity markets began 2017 positively as a continuation of the momentum experienced after Trump s election in November Furthermore, economies outside of the U.S. largely continued accommodative monetary policies and, in many cases, expansionary fiscal policies, that were also supportive to non-u.s. equity markets from the outset of the year. As the year progressed, the International Monetary Fund (the IMF ) upwardly revised economic growth estimates for many non-u.s. economies, including the European Union, Japan and many emerging market countries, with U.S economic growth being revised upward to a lesser extent. This synchronized global economic growth was the foundation for equity markets generating strong positive returns in 2017, along with non-u.s. equity markets outperforming U.S. equity markets for the first time since 2012 because many of those economies are in the early stages of an earnings recovery cycle. It is also notable that these returns were generated while encountering historically low volatility throughout the year. As we expected, the Federal Reserve continued its path toward normalization of interest rates, with three 25-basis point interest rate increases during 2017 that brought the target Fed Funds rate to 1.25% %. Despite these increases to short-term interest rates and a forecast of continued increases in 2018 and beyond, longer term interest rates stayed stubbornly low as the U.S. 10-year Treasury yield ended 2017 seven basis points lower than the end of 2016, and actually spent most of the year even lower. This dynamic, combined with credit spreads steadily tightening throughout 2017, allowed the major fixed income indexes to register positive returns. For the full year, there was wide dispersion across investment style and size. Growth stocks outperformed value stocks across most asset classes. Additionally, largecapstocksoutperformedsmallcapstocks, withemerging market equities being the notable exception where small cap stocks outperformed large cap stocks. The Information Technology sector was the leading performer, by a wide margin, in the U.S equity markets, with Energy and Telecom being the notable laggards. An interesting dynamic that manifested itself seemed to be that one or two industries seemed to dominate positive returns within each sector. For example, refining led the energy sector by a wide margin, homebuilders and casinos led the consumer sector, etc. The performance of the s and their underlying sleeves were impacted by market conditions and style factors during The Funds primarily invest in structured index funds, which maintain a value bias. Allocations to the structured index funds detracted from the Funds relative returns, as value underperformed growth during the year. Conversely, allocations that favored growth or core generally contributed to the Funds relative performance. The fixed income allocations within the s delivered positive returns in PortfolioManagers: Lincoln Investment Advisors Corporation: Maria Ma Amritansh Tewary Jay Shearon The views expressed represent the Manager s assessment of the Funds and market environment as of the most recent quarter end and should not be considered a recommendation to buy, hold, or sell any security, and should not be relied on as research or investment advice. s 4

7 s 2017 Annual Report Commentary (unaudited) (continued) Conservative Allocation Fund Growth of $10,000 invested 8/2/10 through 12/31/17 $17,000 $15,844 $16,000 $15,163 $15,000 $14,887 $14,000 $13,000 $12,479 $12,000 $11,000 $10,000 $9,000 Conservative - Standard Class Conservative - Service Class Conservative Allocation Composite Bloomberg Barclays U.S. Aggregate Bond Index 8/2/10 12/31/17 Thischartillustrates,hypothetically,that$10,000wasinvestedinLVIPSSGAConservative shares on 8/2/10 (commencement of operations). As the chart shows, by 12/31/17, the value of the investment at net asset value, with any dividendsanddistributionsreinvested, wouldhaveincreasedto$15,163forthestandard Class shares and to $14,887 for the Service Class shares. For comparison, look at howtheconservativeallocationcompositedidfrom8/2/10through12/31/17. The same $10,000 investment would have increased to $15,844. For additional comparison, the Bloomberg Barclays U.S. Aggregate Bond Index would have increased to $12,479. Earnings from a variable annuity investment compound tax-free until withdrawn, so no adjustments were made for income taxes. Past performance is not indicative of future performance. Remember, an investor cannot invest directly in an index. An expense waiver was in effect for the Fund during the periods shown. Performance would have been lower had the expense waiver not been in effect. The performance information does not include insurance company separate account fees and variable annuity or variable life contract charges and if these fees and charges were included, then performance would have been lower. Average annual total returns on investment Ended 12/31/17 Standard Class Shares One Year % Five Years % Inception (8/2/10) % Service Class Shares One Year % Five Years % Inception (8/2/10) % Moderate Growth of $10,000 invested 8/2/10 through 12/31/17 $30,000 $25,000 $20,000 $15,000 $10,000 $5,000 Moderate - Standard Class Moderate - Service Class Moderate Allocation Composite S&P 500 Index 8/2/10 12/31/17 $27,789 $17,760 $16,892 $16,583 This chart illustrates, hypothetically, that $10,000 was invested in Moderate shares on 8/2/10 (commencement of operations). As the chart shows, by 12/31/17, the value of the investment at net asset value, with any dividendsanddistributionsreinvested, wouldhaveincreasedto$16,892forthestandard Class shares and to $16,583 for the Service Class shares. For comparison, look at how the Moderate Allocation Composite did from 8/2/10 through 12/31/17. The same $10,000 investment would have increased to $17,760. For additional comparison, the S&P 500 Index would have increased to $27,789. Earnings from a variable annuity investment compound tax-free until withdrawn, so no adjustments were made for income taxes. Past performance is not indicative of future performance. Remember, an investor cannot invest directly in an index. An expense waiver was in effect for the Fund during the periods shown. Performance would have been lower had the expense waiver not been in effect. The performance information does not include insurance company separate account fees and variable annuity or variable life contract charges and if these fees and charges were included, then performance would have been lower. Average annual total returns on investment Ended 12/31/17 Standard Class Shares One Year % Five Years % Inception (8/2/10) % Service Class Shares One Year % Five Years % Inception (8/2/10) % s 5

8 s 2017 Annual Report Commentary (unaudited) (continued) Aggressive Growth of $10,000 invested 8/2/10 through 12/31/17 $30,000 $25,000 $20,000 $15,000 $10,000 $5,000 Aggressive - Standard Class Aggressive - Service Class Aggressive Allocation Composite S&P 500 Index 8/2/10 12/31/17 $27,789 $18,483 $17,775 $17, TheConservativeAllocationCompositeisanunmanagedindexcompiled by LIAC, the Fund s adviser. The Conservative Allocation Composite is constructed as follows: 17% S&P 500 Index, 3% S&P MidCap 400 Index, 2% Russell 2000 Index, 14% MSCI EAFE NR Index, 4% MSCI EAFE Emerging Markets NR Index, 50% Bloomberg Barclays U.S. Aggregate Bond Index and 10% Bloomberg Barclays U.S. TIPS Index. The Bloomberg Barclays U.S. Aggregate Bond Index measures the performance ofmorethan8,500publiclyissuedinvestmentgrade(baa3/bbb- orbetter) corporate, U.S. government, mortgage- and asset-backed securities with at least one year to maturity and at least $250 million par amount outstanding. The Moderate Allocation Composite is an unmanaged index compiled by LIAC, the Fund s adviser. The Moderate Allocation Composite is constructed as follows: 24% S&P 500 Index, 6% S&P MidCap 400 Index, 4% Russell 2000 Index, 20% MSCI EAFE NR Index, 6% MSCI Emerging Markets NR Index, 30% Bloomberg Barclays U.S. Aggregate Bond Index and 10% Bloomberg Barclays U.S. TIPS Index. The S&P 500 Index is a broad based measurement of changes in stock market conditions based on average performance of 500 widely held U.S. common stocks. The Aggressive Allocation Composite is an unmanaged index compiledbyliac,thefund sadviser.theaggressiveallocation Composite is constructed as follows: 26% S&P 500 Index, 7% S&P MidCap 400 Index, 5% Russell 2000 Index, 22% MSCI EAFE NR Index, 10% MSCI Emerging Markets NR Index, 25% Bloomberg Barclays U.S. Aggregate Bond Index and 5% Bloomberg Barclays U.S. TIPS Index. Thischartillustrates, hypothetically, that$10,000wasinvestedinlvipssga AggressiveAllocationFundshareson8/2/10(commencementofoperations). As the chart shows, by 12/31/17, the value of the investment at net asset value, with any dividends and distributions reinvested, would have increased to $17,775 for the Standard Class shares and to $17,449 for the Service Class shares. For comparison, look at how the Aggressive Allocation Composite did from 8/2/10 through 12/31/17. The same $10,000 investment would have increased to $18,483. For additional comparison, the S&P 500 Index would have increased to $27,789. Earnings from a variable annuity investment compound tax-free until withdrawn, so no adjustments were made for income taxes. Past performance is not indicative of future performance. Remember, an investor cannot invest directly in an index. An expense waiver was in effect for the Fund during the periods shown. Performance would have been lower had the expense waiver not been in effect. The performance information does not include insurance company separate account fees and variable annuity or variable life contract charges and if these fees and charges were included, then performance would have been lower. Average annual total returns on investment Ended 12/31/17 Standard Class Shares One Year % Five Years % Inception (8/2/10) % Service Class Shares One Year % Five Years % Inception (8/2/10) % s 6

9 s Disclosure OF FUND EXPENSES (unaudited) For the Period July 1, 2017 to December 31, 2017 Each Fund sells its shares directly or indirectly to The Lincoln National Life Insurance Company ( Lincoln Life ) and Lincoln Life & Annuity Company of New York ( LNY ). Lincoln Life and LNY hold each Fund s shares in separate accounts that support various variable annuity contracts and variable life insurance contracts. Insurance company separate account beneficial owners incur ongoing costs such as the separate account s cost of owning shares of a Fund. The ongoing Fund costs incurred by beneficial owners are included in the Expense Analysis tables. The Expense Analysis tables do not include other costs incurred by beneficial owners, such as insurance company separate account fees and variable annuity or variable life contract charges. As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service( 12b-1 ) fees; and other Fund expenses. Shareholders of other funds may also incur transaction costs, including sales charges (loads) on purchase payments, reinvested dividends or other distributions, redemption fees, and exchange fees. These Expense Analyses are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Expense Analyses are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2017 to December 31, Actual Expenses The first section of the tables, Actual, provides information about actual account values and actual expenses. You may use the information in this section of the tables, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during the period. Hypothetical Example for Comparison Purposes The second section of the tables, Hypothetical, provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds actual return. Thehypotheticalaccountvaluesandexpensescannotbeusedtoestimate the actual ending account balance or expenses you paid for the period. You can use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight your ongoing costs only. The Funds do not charge transaction fees, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second section of each table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Funds actual expenses shown in the tables reflect fee waivers and reimbursements in effect. Conservative Index Expense Analysis of an Investment of $1,000 Beginning Account 7/1/17 Ending Account 12/31/17 Annualized Expense Ratio Expenses Paid During Period 7/1/17 to 12/31/17* Actual Standard Class Shares $1, $1, % $1.03 Service Class Shares 1, , % 2.32 Hypothetical (5% return before expenses) Standard Class Shares $1, $1, % $1.02 Service Class Shares 1, , % 2.29 Moderate Index Expense Analysis of an Investment of $1,000 Beginning Account 7/1/17 Ending Account 12/31/17 Annualized Expense Ratio Expenses Paid During Period 7/1/17 to 12/31/17* Actual Standard Class Shares $1, $1, % $1.09 Service Class Shares 1, , % 2.40 Hypothetical (5% return before expenses) Standard Class Shares $1, $1, % $1.07 Service Class Shares 1, , % 2.35 Aggressive Index Expense Analysis of an Investment of $1,000 Beginning Account 7/1/17 Ending Account 12/31/17 Annualized Expense Ratio Expenses Paid During Period 7/1/17 to 12/31/17* Actual Standard Class Shares $1, $1, % $1.15 Service Class Shares 1, , % 2.46 Hypothetical (5% return before expenses) Standard Class Shares $1, $1, % $1.12 Service Class Shares 1, , % 2.40 s 7

10 s Disclosure OF FUND EXPENSES (unaudited) (continued) Conservative Expense Analysis of an Investment of $1,000 Beginning Account 7/1/17 Ending Account 12/31/17 Annualized Expense Ratio Expenses Paid During Period 7/1/17 to 12/31/17* Actual Standard Class Shares $1, $1, % $1.13 Service Class Shares 1, , % 2.42 Hypothetical (5% return before expenses) Standard Class Shares $1, $1, % $1.12 Service Class Shares 1, , % 2.40 Moderate Expense Analysis of an Investment of $1,000 Beginning Account 7/1/17 Ending Account 12/31/17 Annualized Expense Ratio Expenses Paid During Period 7/1/17 to 12/31/17* Actual Standard Class Shares $1, $1, % $1.09 Service Class Shares 1, , % 2.39 Hypothetical (5% return before expenses) Standard Class Shares $1, $1, % $1.07 Service Class Shares 1, , % 2.35 Aggressive Expense Analysis of an Investment of $1,000 Beginning Account 7/1/17 Ending Account 12/31/17 Annualized Expense Ratio Expenses Paid During Period 7/1/17 to 12/31/17* Actual Standard Class Shares $1, $1, % $1.09 Service Class Shares 1, , % 2.39 Hypothetical (5% return before expenses) Standard Class Shares $1, $1, % $1.07 Service Class Shares 1, , % 2.35 * Expenses Paid During Period are equal to each Fund s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Each Fund operates under a fund of funds structure. Each Fund invests substantially all of its assets in other investment companies, including exchange-tradedfunds(collectively, the UnderlyingFunds ). Inaddition to the Funds expenses reflected above, the Funds also indirectly bear their portion of the fees and expenses of the applicable Underlying Funds. The Expense Analysis of an investment in each table above does not reflect the expenses of the Underlying Funds. Financial statements for the Underlying Funds can be found at s 8

11 Index s Security Type/Sector Allocations (unaudited) As of December 31, 2017 Conservative Index Percentage Security Type/Sector of Net Assets Affiliated Investments 85.76% Investment Companies 85.76% Equity Funds 22.13% Fixed Income Fund 49.52% International Equity Fund 14.11% Unaffiliated Investments 13.96% Investment Companies 13.96% Fixed Income Fund 9.85% International Equity Fund 4.06% Money Market Fund 0.05% Total of Securities 99.72% Receivables and Other Assets Net of Liabilities 0.28% Total Net Assets % Moderate Index Percentage Security Type/Sector of Net Assets Affiliated Investments 84.11% Investment Companies 84.11% Equity Funds 34.20% Fixed Income Fund 29.73% International Equity Fund 20.18% Unaffiliated Investments 16.08% Investment Companies 16.08% Fixed Income Fund 9.86% International Equity Fund 6.09% Money Market Fund 0.13% Total of Securities % Liabilities Net of Receivables and Other Assets (0.19%) Total Net Assets % Aggressive Index Percentage Security Type/Sector of Net Assets Affiliated Investments 84.99% Investment Companies 84.99% Equity Funds 38.14% Fixed Income Fund 24.71% International Equity Fund 22.14% Unaffiliated Investments 15.16% Investment Companies 15.16% Fixed Income Fund 4.92% International Equity Fund 10.13% Money Market Fund 0.11% Total of Securities % Liabilities Net of Receivables and Other Assets (0.15%) Total Net Assets % s 9

12 s Security Type/Sector Allocations (unaudited) (continued) As of December 31, 2017 Conservative Percentage Security Type/Sector of Net Assets Affiliated Investments 90.16% Investment Companies 90.16% Equity Funds 22.20% Fixed Income Fund 49.72% International Equity Funds 18.24% Unaffiliated Investments 9.89% Investment Company 9.89% Fixed Income Fund 9.89% Total of Securities % Liabilities Net of Receivables and Other Assets (0.05%) Total Net Assets % Aggressive Percentage Security Type/Sector of Net Assets Affiliated Investments 95.06% Investment Companies 95.06% Equity Funds 38.09% Fixed Income Fund 24.71% International Equity Funds 32.26% Unaffiliated Investment 4.92% Investment Company 4.92% Fixed Income Fund 4.92% Total of Securities 99.98% Receivables and Other Assets Net of Liabilities 0.02% Total Net Assets % Moderate Percentage Security Type/Sector of Net Assets Affiliated Investments % Investment Companies % Equity Funds 34.20% Fixed Income Funds 39.61% International Equity Funds 26.28% Unaffiliated Investment 0.06% Investment Company 0.06% Money Market Fund 0.06% Total of Securities % Liabilities Net of Receivables and Other Assets (0.15%) Total Net Assets % s 10

13 Conservative Index Schedule of Investments December 31, 2017 Number of Shares (U.S. $) AFFILIATED INVESTMENTS 85.76% INVESTMENT COMPANIES 85.76% Equity Funds 22.13% *Lincoln Variable Insurance Products Trust Mid-Cap Index Fund ,350 $ 3,255,264 S&P 500 Index Fund... 1,008,803 18,546,850 Small-Cap Index Fund... 68,437 2,171,703 23,973,817 Fixed Income Fund 49.52% *Lincoln Variable Insurance Products Trust Bond Index Fund... 4,776,502 53,644,893 53,644,893 International Equity Fund 14.11% *Lincoln Variable Insurance Products Trust International Index Fund. 1,543,651 15,291,408 15,291,408 Total Affiliated Investments (Cost $78,790,422) ,910,118 Number of Shares UNAFFILIATED INVESTMENTS 13.96% INVESTMENT COMPANIES 13.96% Fixed Income Fund 9.85% SPDR Bloomberg Barclays TIPS ETF (U.S. $) 189,768 $ 10,674,450 10,674,450 International Equity Fund 4.06% ishares Core MSCI Emerging Markets ETF... 77,209 4,393,192 4,393,192 Money Market Fund 0.05% Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares (seven-day effective yield 1.15%)... 56,049 56,049 56,049 Total Unaffiliated Investments (Cost $13,957,098) ,123,691 TOTAL VALUE OF SECURITIES 99.72% (Cost $92,747,520) ,033,809 RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES 0.28% ,022 NET ASSETS APPLICABLE TO 8,278,530 SHARES OUTSTANDING %.... $ 108,341,831 * Standard Class shares. Summary of Abbreviations: ETF Exchange-Traded Fund MSCI Morgan Stanley Capital International S&P Standard & Poor s SPDR Standard & Poor s Depositary Receipt TIPS Treasury Inflation-Protected Securities See accompanying notes, which are an integral part of the financial statements. s 11

14 Moderate Index Schedule of Investments December 31, 2017 Number of Shares (U.S. $) AFFILIATED INVESTMENTS 84.11% INVESTMENT COMPANIES 84.11% Equity Funds 34.20% *Lincoln Variable Insurance Products Trust Mid-Cap Index Fund.... 1,742,201 $ 22,744,435 S&P 500 Index Fund... 4,975,035 91,466,013 Small-Cap Index Fund ,176 15,173, ,384,401 Fixed Income Fund 29.73% *Lincoln Variable Insurance Products Trust LVIPSSGABondIndexFund... 10,011, ,442, ,442,283 International Equity Fund 20.18% *Lincoln Variable Insurance Products Trust International Index Fund. 7,703,856 76,314,402 76,314,402 Total Affiliated Investments (Cost $254,756,050) ,141,086 Number of Shares (U.S. $) UNAFFILIATED INVESTMENTS 16.08% INVESTMENT COMPANIES 16.08% Fixed Income Fund 9.86% SPDR Bloomberg Barclays TIPS ETF. 663,225 $ 37,306,406 37,306,406 International Equity Fund 6.09% ishares Core MSCI Emerging Markets ETF ,727 23,028,966 23,028,966 Money Market Fund 0.13% Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares (seven-day effective yield 1.15%) , , ,772 Total Unaffiliated Investments (Cost $56,310,786) ,838,144 TOTAL VALUE OF SECURITIES % (Cost $311,066,836) ,979,230 LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS (0.19%)... (706,614) NET ASSETS APPLICABLE TO 25,811,551 SHARES OUTSTANDING %.... $378,272,616 * Standard Class shares. Summary of Abbreviations: ETF Exchange-Traded Fund MSCI Morgan Stanley Capital International S&P Standard & Poor s SPDR Standard & Poor s Depositary Receipt TIPS Treasury Inflation-Protected Securities See accompanying notes, which are an integral part of the financial statements. s 12

15 Aggressive Index Schedule of Investments December 31, 2017 Number of Shares (U.S. $) AFFILIATED INVESTMENTS 84.99% INVESTMENT COMPANIES 84.99% Equity Funds 38.14% *Lincoln Variable Insurance Products Trust Mid-Cap Index Fund.... 1,856,078 $ 24,231,097 S&P 500 Index Fund... 4,921,486 90,481,518 Small-Cap Index Fund ,817 17,320, ,033,023 Fixed Income Fund 24.71% *Lincoln Variable Insurance Products Trust LVIPSSGABondIndexFund... 7,618,852 85,567,321 85,567,321 International Equity Fund 22.14% *Lincoln Variable Insurance Products Trust International Index Fund. 7,738,338 76,655,975 76,655,975 Total Affiliated Investments (Cost $229,945,776) ,256,319 Number of Shares (U.S. $) UNAFFILIATED INVESTMENTS 15.16% INVESTMENT COMPANIES 15.16% Fixed Income Fund 4.92% SPDR Bloomberg Barclays TIPS ETF. 302,777 $ 17,031,206 17,031,206 International Equity Fund 10.13% ishares Core MSCI Emerging Markets ETF ,946 35,047,328 35,047,328 Money Market Fund 0.11% Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares (seven-day effective yield 1.15%) , , ,717 Total Unaffiliated Investments (Cost $45,772,021) ,468,251 TOTAL VALUE OF SECURITIES % (Cost $275,717,797) ,724,570 LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS (0.15%)... (511,679) NET ASSETS APPLICABLE TO 22,814,761 SHARES OUTSTANDING %.... $346,212,891 * Standard Class shares. Summary of Abbreviations: ETF Exchange-Traded Fund MSCI Morgan Stanley Capital International S&P Standard & Poor s SPDR Standard & Poor s Depositary Receipt TIPS Treasury Inflation-Protected Securities See accompanying notes, which are an integral part of the financial statements. s 13

16 Conservative Schedule of Investments December 31, 2017 Number of Shares (U.S. $) AFFILIATED INVESTMENTS 90.16% INVESTMENT COMPANIES 90.16% Equity Funds 22.20% *Lincoln Variable Insurance Products Trust Large Cap 100 Fund... 1,254,308 $ 17,453,702 Mid-Cap Index Fund ,175 4,349,596 S&P 500 Index Fund ,528 17,493,843 Small-Cap Index Fund ,172 4,352,882 Small-Mid Cap 200 Fund. 322,909 4,346,682 Number of Shares (U.S. $) UNAFFILIATED INVESTMENT 9.89% INVESTMENT COMPANY 9.89% Fixed Income Fund 9.89% SPDR Bloomberg Barclays TIPS ETF. 380,263 $ 21,389,794 Total Unaffiliated Investment (Cost $20,947,665) ,389,794 47,996,705 Fixed Income Fund 49.72% *Lincoln Variable Insurance Products Trust Bond Index Fund... 9,572, ,504, ,504,572 International Equity Funds 18.24% *Lincoln Variable Insurance Products Trust Developed International 150Fund... 1,628,951 15,299,104 Emerging Markets 100 Fund ,907 8,830,546 International Index Fund. 1,546,939 15,323,977 39,453,627 Total Affiliated Investments (Cost $169,879,730) ,954,904 TOTAL VALUE OF SECURITIES % (Cost $190,827,395) ,344,698 LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS (0.05%)... (114,414) NET ASSETS APPLICABLE TO 17,942,897 SHARES OUTSTANDING %.... $216,230,284 * Standard Class shares. Summary of Abbreviations: ETF Exchange-Traded Fund S&P Standard & Poor s SPDR Standard & Poor s Depositary Receipt TIPS Treasury Inflation-Protected Securities See accompanying notes, which are an integral part of the financial statements. s 14

17 Moderate Schedule of Investments December 31, 2017 Number of Shares (U.S. $) AFFILIATED INVESTMENTS % INVESTMENT COMPANIES % Equity Funds 34.20% *Lincoln Variable Insurance Products Trust Large Cap 100 Fund... 8,276,257 $ 115,164,122 Mid-Cap Index Fund.... 2,931,296 38,268,075 S&P 500 Index Fund... 6,278, ,425,510 Small-Cap Index Fund ,136 28,722,690 Small-Mid Cap 200 Fund. 2,130,765 28,682, ,262,622 Fixed Income Funds 39.61% *Lincoln Variable Insurance Products Trust LVIPSSGABondIndexFund... 25,264, ,747,261 SPDR Bloomberg Barclays TIPS ETF. 1,673,256 94,120,650 Number of Shares (U.S. $) UNAFFILIATED INVESTMENT 0.06% INVESTMENT COMPANY 0.06% Money Market Fund 0.06% Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares (seven-day effective yield 1.15%) ,193 $ 563,193 Total Unaffiliated Investment (Cost $563,193) , ,867,911 International Equity Funds 26.28% *Lincoln Variable Insurance Products Trust Developed International 150 Fund... 10,236,840 96,144,405 Emerging Markets 100 Fund... 5,872,412 58,271,949 International Index Fund. 9,721,327 96,299, ,715,821 Total Affiliated Investments (Cost $808,982,521) ,846,354 TOTAL VALUE OF SECURITIES % (Cost $809,545,714) ,409,547 LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS (0.15%)... (1,404,837) NET ASSETS APPLICABLE TO 72,521,801 SHARES OUTSTANDING %.... $954,004,710 * Standard Class shares. Summary of Abbreviations: ETF Exchange-Traded Fund S&P Standard & Poor s SPDR Standard & Poor s Depositary Receipt TIPS Treasury Inflation-Protected Securities See accompanying notes, which are an integral part of the financial statements. s 15

18 Aggressive Schedule of Investments December 31, 2017 Number of Shares (U.S. $) AFFILIATED INVESTMENTS 95.06% INVESTMENT COMPANIES 95.06% Equity Funds 38.09% *Lincoln Variable Insurance Products Trust Large Cap 100 Fund... 5,304,190 $ 73,807,803 Mid-Cap Index Fund.... 1,734,179 22,639,702 S&P 500 Index Fund... 4,023,615 73,974,160 Small-Cap Index Fund ,964 22,656,206 Small-Mid Cap 200 Fund. 1,680,753 22,624,619 Number of Shares (U.S. $) UNAFFILIATED INVESTMENT 4.92% INVESTMENT COMPANY 4.92% Fixed Income Fund 4.92% SPDR Bloomberg Barclays TIPS ETF. 494,979 $ 27,842,569 Total Unaffiliated Investment (Cost $27,443,639) ,842, ,702,490 Fixed Income Fund 24.71% *Lincoln Variable Insurance Products Trust Bond Index Fund... 12,456, ,899, ,899,379 International Equity Funds 32.26% *Lincoln Variable Insurance Products Trust Developed International 150Fund... 6,662,004 62,569,539 Emerging Markets 100 Fund... 5,790,562 57,459,745 International Index Fund. 6,326,433 62,669, ,698,928 Total Affiliated Investments (Cost $440,243,671) ,300,797 TOTAL VALUE OF SECURITIES 99.98% (Cost $467,687,310) ,143,366 RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES 0.02% ,129 NET ASSETS APPLICABLE TO 41,521,437 SHARES OUTSTANDING %.... $566,257,495 * Standard Class shares. Summary of Abbreviations: ETF Exchange-Traded Fund S&P Standard & Poor s SPDR Standard & Poor s Depositary Receipt TIPS Treasury Inflation-Protected Securities See accompanying notes, which are an integral part of the financial statements. s 16

19 s Statements of Assets and Liabilities December 31, 2017 Conservative Index Moderate Index Aggressive Index Conservative Moderate Aggressive ASSETS: Affiliated investments, at value... $ 92,910,118 $318,141,086 $294,256,319 $194,954,904 $954,846,354 $538,300,797 Unaffiliated investments, at value ,123,691 60,838,144 52,468,251 21,389, ,193 27,842,569 Receivable for fund shares sold , ,551 42,300 21,899 32, ,460 Cash... 12,132 26,546 42,282 67,752 Expense reimbursement receivable from Lincoln Investment Advisors Corporation ,195 Dividends receivable from investments Receivable for investments sold ,668 TOTAL ASSETS ,511, ,133, ,767, ,408, ,510, ,613,639 LIABILITIES: Payable for investments purchased... 68, , ,665 42, ,890 3,256 Payable for fund shares redeemed... 49, ,654 48,562 40, ,752 83,571 Due to manager and affiliates... 32, ,370 94,648 74, , ,473 Accrued expenses payable... 19,542 21,746 21,265 20,748 26,913 23,265 Duetocustodian... 58,579 TOTALLIABILITIES , , , ,615 1,505, ,144 TOTAL NET ASSETS... $108,341,831 $378,272,616 $346,212,891 $216,230,284 $954,004,710 $566,257,495 Affiliated investments, at cost... $ 78,790,422 $254,756,050 $229,945,776 $169,879,730 $808,982,521 $440,243,671 Unaffiliated investments, at cost... 13,957,098 56,310,786 45,772,021 20,947, ,193 27,443,639 Standard Class: Net Assets... $ 29,017,816 $122,826,698 $141,716,060 $ 17,372,632 $ 93,339,867 $ 76,978,777 Shares Outstanding... 2,216,833 8,378,818 9,329,119 1,441,197 7,091,630 5,641,069 Net Asset Per Share.... $ $ $ $ $ $ Service Class: Net Assets... $ 79,324,015 $255,445,918 $204,496,831 $198,857,652 $860,664,843 $489,278,718 Shares Outstanding... 6,061,697 17,432,733 13,485,642 16,501,700 65,430,171 35,880,368 Net Asset Per Share.... $ $ $ $ $ $ COMPONENTS OF NET ASSETS AT DECEMBER 31, 2017: Shares of beneficial interest (unlimited authorization no par)... $ 94,687,687 $314,156,278 $279,126,353 $194,777,940 $819,625,008 $483,943,149 Undistributed net investment income Accumulated net realized loss on investments... (1,632,202) (3,796,056) (3,920,235) (4,064,959) (11,484,131) (16,141,710) Net unrealized appreciation of investments... 15,286,289 67,912,394 71,006,773 25,517, ,863,833 98,456,056 TOTAL NET ASSETS... $108,341,831 $378,272,616 $346,212,891 $216,230,284 $954,004,710 $566,257,495 See accompanying notes, which are an integral part of the financial statements. s 17

20 s Statements of Operations Year Ended December 31, 2017 Conservative Index Moderate Index Aggressive Index Conservative Moderate Aggressive INVESTMENT INCOME: Dividends from affiliated investments... $ 2,060,708 $ 6,620,768 $ 5,981,772 $ 4,840,260 $ 24,034,025 $13,223,796 Dividends from unaffiliated investments ,135 1,588,326 1,293, , ,777 2,473,843 8,209,094 7,275,707 5,474,956 24,034,779 14,023,573 EXPENSES: Management fees , , , ,876 2,304,612 1,317,319 Distribution expenses-service Class , , , ,284 2,099,674 1,155,210 Accounting and administration expenses... 37,017 52,621 50,436 44,280 92,092 65,245 Professional fees... 21,035 25,276 24,698 22,852 35,154 28,411 Shareholder servicing fees ,140 68,764 61,960 41, , ,335 Reports and statements to shareholders.... 8,181 16,128 14,188 11,405 54,690 19,772 Custodianfees... 3,360 6,804 5,994 6,271 16,791 10,425 Trustees fees and expenses... 2,872 9,252 8,349 5,839 25,400 14,447 Consulting fees... 2,099 2,931 2,814 2,448 4,787 3,524 Pricing fees Other ,189 2,139 1,929 8,473 4, ,823 1,633,107 1,412,904 1,155,542 4,822,767 2,723,291 Less: Management fees waived (101,546) (341,374) (308,013) (211,551) (921,845) (526,927) Expenses reimbursed.... (44,828) Expenses paid indirectly... (7) (24) (6) (12) Total operating expenses ,442 1,291,709 1,104, ,991 3,900,922 2,196,352 NET INVESTMENT INCOME.. 2,079,401 6,917,385 6,170,822 4,530,965 20,133,857 11,827,221 NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) from: Distributions from affiliated investments ,765 1,398,398 1,418,107 2,830,125 18,640,483 12,225,039 Sale of affiliated investments.. 281,722 19,242 7,735 1,853,796 7,342,472 1,145,856 Sale of unaffiliated investments... (5,385) (133,556) (126,117) (24,834) (42,161) Net realized gain ,102 1,284,084 1,299,725 4,659,087 25,982,955 13,328,734 Net change in unrealized appreciation (depreciation) of: Affiliated investments... 6,273,187 31,126,333 30,865,565 9,849,389 65,444,701 46,544,726 Unaffiliated investments... 1,210,798 6,107,119 9,083,034 46,776 57,748 Net change in unrealized appreciation (depreciation)... 7,483,985 37,233,452 39,948,599 9,896,165 65,444,701 46,602,474 NET REALIZED AND UNREALIZED GAIN.... 8,020,087 38,517,536 41,248,324 14,555,252 91,427,656 59,931,208 NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..... $10,099,488 $45,434,921 $47,419,146 $19,086,217 $111,561,513 $71,758,429 See accompanying notes, which are an integral part of the financial statements. s 18

21 s Statements of Changes in Net Assets Conservative Index Moderate Index Aggressive Index Year Ended Year Ended Year Ended 12/31/17 12/31/16 12/31/17 12/31/16 12/31/17 12/31/16 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Netinvestmentincome... $ 2,079,401 $ 1,812,469 $ 6,917,385 $ 5,546,280 $ 6,170,822 $ 5,155,288 Net realized gain (loss) ,102 (96,550) 1,284,084 36,059 1,299,725 (86,238) Net change in unrealized appreciation (depreciation).... 7,483,985 2,893,430 37,233,452 11,632,949 39,948,599 12,689,494 Net increase in net assets resulting from operations... 10,099,488 4,609,349 45,434,921 17,215,288 47,419,146 17,758,544 DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income: Standard Class... (615,144) (427,317) (2,558,280) (1,644,457) (2,860,330) (2,018,785) Service Class... (1,521,621) (1,419,848) (4,747,203) (3,981,407) (3,673,122) (3,275,794) Net realized gain: Standard Class... (75,639) (142,582) (435,850) (788,337) (553,221) (1,162,670) Service Class... (217,530) (572,904) (929,058) (2,537,160) (824,554) (2,374,310) (2,429,934) (2,562,651) (8,670,391) (8,951,361) (7,911,227) (8,831,559) CAPITAL SHARE TRANSACTIONS: Proceeds from shares sold: Standard Class... 8,285,970 7,105,831 37,723,422 29,853,228 32,050,335 28,585,645 Service Class... 10,834,892 22,350,409 40,624,759 35,276,634 24,858,011 21,448,194 Reinvestment of dividends and distributions: Standard Class , ,899 2,994,130 2,432,794 3,413,551 3,181,455 Service Class... 1,739,151 1,992,752 5,676,261 6,518,567 4,497,676 5,650,104 21,550,796 32,018,891 87,018,572 74,081,223 64,819,573 58,865,398 Cost of shares redeemed: Standard Class... (1,940,099) (1,411,387) (9,800,077) (4,656,637) (5,872,897) (4,004,243) Service Class... (14,833,703) (20,008,638) (38,657,642) (34,130,536) (26,437,636) (25,146,351) (16,773,802) (21,420,025) (48,457,719) (38,787,173) (32,310,533) (29,150,594) Increase in net assets derived from capital share transactions... 4,776,994 10,598,866 38,560,853 35,294,050 32,509,040 29,714,804 NET INCREASE IN NET ASSETS... 12,446,548 12,645,564 75,325,383 43,557,977 72,016,959 38,641,789 NET ASSETS: Beginning of year ,895,283 83,249, ,947, ,389, ,195, ,554,143 Endofyear... $108,341,831 $ 95,895,283 $378,272,616 $302,947,233 $346,212,891 $274,195,932 Undistributed net investment income... $ 57 $ $ $ 41,163 $ $ See accompanying notes, which are an integral part of the financial statements. s 19