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Previous: HANSBERGER INSTITUTIONAL SERIES, 497, 1997-06-27 |
Next: PIERCE LEAHY CORP, S-1/A, 1997-06-27 |
THE ORCHARD SERIES FUND
Financial Statements and Financial
Highlights for the Period February 3, 1997
(Inception) to April 30, 1997
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
THE ORCHARD SERIES FUND
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 1997
- -----------------------------------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD ORCHARD ORCHARD ORCHARD ORCHARD
INDEX 500 INDEX 600 INDEX INDEX MONEY PREFERRED
EUROPEAN PACIFIC MARKET
FUND FUND FUND FUND FUND STOCK FUND
----------------- ----------------- ------------------- ----------------- ------------------- -------------
ASSETS:
Investments at value:
Short-term investments $ 2,782,691
Common stocks $ 4,582,235 $ 4,200,578 $ 4,641,587 $ 4,229,064
Preferred stocks $ 3,924,208
-----------------
----------------- ------------------- ----------------- ------------------- -----------
Total investments (cost $4,497,024; $4,486,440; 4,582,235 4,200,578 4,641,587 4,229,064
2,782,691 3,924,208
$4,488,942; $4,194,171; $2,782,691; $3,984,942)
Cash 15,744 17,610 15,929 310,717 236,319 59,686
Dividends and
interest receivable 6,330 2,181 20,119 15,114 14,774 13,746
Receivables for
investments sold 1,600 10,769 150,000
----------------- ----------------- ------------------- ----------------- ------------------- --------------
Total assets 4,605,909 4,231,138 4,677,635 4,554,895 3,183,784 3,997,640
----------------- ----------------- ------------------- ----------------- ------------------- -------------
LIABILITIES:
Dividend payable 385
Due to GW
Capital Management 4,467 4,281 9,222 8,964 2,318 6,003
Payables for investments purchased 148,597
----------------- ----------------- ------------------- ----------------- ------------------- ------------
Total liabilities 4,467 4,281 9,222 8,964 151,300 6,003
----------------- ----------------- ------------------- ----------------- ------------------- -----------
NET ASSETS $ 4,601,442 $ 4,226,857 $ 4,668,413 $ 4,545,931 $ 3,032,484 $ 3,991,637
================= ================= =================== ================= =================== ===========
NET ASSETS REPRESENTED BY:
Capital stock,
no par value $ 4,515,329 $ 4,505,085 $ 4,500,000 $ 4,500,000 $ 3,032,484 $ 4,057,095
Net unrealized appreciation (depreciation)
on investments 85,211 (285,862) 291,146 167,974 (60,734)
Undistributed net investment
income (loss) 870 67 16,196 11,038 3,282
Accumulated net short-term realized gain
(loss) on investments 32 7,567 (428) (8,006)
Net unrealized appreciation (depreciation)
on translation of assets and liabilities demonimated
in foreign currencies (138,501) (133,081)
----------------- ----------------- ------------------- ----------------- ------------------- -----------
NET ASSETS $ 4,601,442 $ 4,226,857 $ 4,668,413 $ 4,545,931 $ 3,032,484 $ 3,991,637
================= ================= =================== ================= =================== ===========
NET ASSET VALUE
PER OUTSTANDING SHARE $ 10.1910 $ 9.3816 $ 10.3743 $ 10.1021 $ 1.0000 $ 9.8363
================= ================= =================== ================= =================== ===========
SHARES OF CAPITAL STOCK:
Outstanding 451,519 450,547 450,000 450,000 3,032,484 405,808
See notes to financial statements.
</TABLE>
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
THE ORCHARD SERIES FUND
STATEMENT OF OPERATIONS
FOR THE PERIOD FEBRUARY 3, 1997 (INCEPTION) TO APRIL 30, 1997
- ------------------------------------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD ORCHARD ORCHARD ORCHARD ORCHARD
INDEX 500 INDEX 600 INDEX INDEX PACIFIC MONEY PREFERRED
EUROPEAN MARKET
FUND FUND FUND FUND FUND STOCK FUND
---------------- --------------- -------------------- ------------------ -------------------- ----------------
INVESTMENT INCOME:
Interest $ 1,527 $ 1,511 $ 1,790 $ 4,554 $ 36,170 $ 3,721
Dividends 21,113 9,839 29,323 19,505 65,214
Less: Foreign
withholding tax (19) (6) (1,794) (159)
---------------- --------------- -------------------- ------------------ -------------------- --------------
Total income 22,621 11,344 29,319 23,900 36,170 68,935
---------------- --------------- -------------------- ------------------ -------------------- --------------
EXPENSES:
Salaries 873 873 873
Legal and SEC fees 7 7 5
Directors' fees 25 27 17
Audit fees 5,533 5,533 2,280
Investment administration 23,230 23,230 11,292
Bank and custodial fees 26,667 26,667 6,667
Other expenses 8,096 8,093 63
Management fee 6,422 6,192 10,936 10,718 1,435 8,558
---------------- --------------- -------------------- ------------------ -------------------- ----------------
Total expenses 6,422 6,192 75,367 75,148 22,632 8,558
Less amount paid by GW Capital Management 62,244 62,286 19,331
---------------- --------------- -------------------- ------------------ -------------------- --------------
Net expenses 6,422 6,192 13,123 12,862 3,301 8,558
---------------- --------------- -------------------- ------------------ -------------------- -------------
NET INVESTMENT INCOME 16,199 5,152 16,196 11,038 32,869 60,377
---------------- --------------- -------------------- ------------------ -------------------- ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net short-term realized gain (loss)
on investments 32 7,567 (428) (8,006)
Change in net unrealized appreciation (depreciation)
on investments 85,211 (285,862) 291,146 167,974 (60,734)
Change in net unrealized appreciation (depreciation)
on translation of assets and liabilities denominated
in foreign currencies (138,501) (133,081)
---------------- --------------- -------------------- ------------------ -------------------- ----------
Net change in realized and unrealized appreciation (depreciation)
on investments 85,243 (278,295) 152,217 34,893 0 (68,740)
---------------- --------------- -------------------- ------------------ -------------------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 101,442 $ (273,143) $ 168,413 $ 45,931 $ 32,869 $ (8,363)
================ =============== ==================== ================== ==================== =============
================ =============== ==================== ================== ==================== =============
See notes to financial statements
</TABLE>
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
THE ORCHARD SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD FEBRUARY 3, 1997 (INCEPTION) TO APRIL 30, 1997
- ------------------------------------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD ORCHARD ORCHARD ORCHARD ORCHARD
INDEX 500 INDEX 600 INDEX INDEX PACIFIC MONEY MARKET PREFERRED
EUROPEAN
FUND FUND FUND FUND FUND STOCK FUND
----------------- -------------------- ----------------- -------------------- ------------------- --------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment
income $ 16,199 $ 5,152 $ 16,196 $ 11,038 $ 32,869 $ 60,377
Net short-term realized gain (loss)
on investments 32 7,567 (428) (8,006)
Change in net unrealized appreciation (depreciation)
on investments 85,211 (285,862) 291,146 167,974 (60,734)
Change in net unrealized appreciation (depreciation) on
translation of assets and liabilities in
foreign currencies (138,501) (133,081)
----------------- ----------------- -------------------- ------------------- --------------------- -----------
Net increase (decrease) in net assets resulting
from operations 101,442 (273,143) 168,413 45,931 32,869 (8,363)
----------------- ----------------- -------------------- ------------------- --------------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income and net short-term
realized gain (15,329) (5,085) (32,869) (57,095)
----------------- ----------------- -------------------- ------------------- --------------------- ----------
Total distributions (15,329) (5,085) 0 0 (32,869) (57,095)
----------------- ----------------- -------------------- ------------------- --------------------- ----------
SHARE TRANSACTIONS:
Net proceeds from sales
of shares 4,500,000 4,500,000 4,500,000 4,500,000 3,000,000 4,000,000
Reinvestment of
distributions 15,329 5,085 32,484 57,095
----------------- ----------------- -------------------- ------------------- --------------------- ----------
Net increase (decrease) in net assets resulting from
share transactions 4,515,329 4,505,085 4,500,000 4,500,000 3,032,484 4,057,095
----------------- ----------------- -------------------- ------------------- --------------------- ----------
Total increase in
net assets 4,601,442 4,226,857 4,668,413 4,545,931 3,032,484 3,991,637
NET ASSETS:
Beginning of period 0 0 0 0 0 0
----------------- ----------------- -------------------- ------------------- --------------------- ------------
End of period $ 4,601,442 $ 4,226,857 $ 4,668,413 $ 4,545,931 $ 3,032,484 $ 3,991,637
================= ================= ==================== =================== ===================== ============
OTHER INFORMATION:
SHARES:
Sold 450,000 450,000 450,000 450,000 3,000,000 400,000
Issued in reinvestment
of distributions 1,519 547 32,484 5,808
----------------- ----------------- -------------------- ------------------- --------------------- -------------
Net increase 451,519 450,547 450,000 450,000 3,032,484 405,808
================= ================= ==================== =================== ===================== =============
See notes to financial statements.
</TABLE>
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
THE ORCHARD SERIES FUND
ORCHARD INDEX 500 FUND
FINANCIAL HIGHLIGHTS
- -----------------------------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the period February
3, 1997 (inception) to April 30, 1997 is as follows:
Period
Ended
April 30,
1997
--------------------
Net Asset Value, Beginning of Period $ 10.0000
Income From Investment Operations
Net investment income 0.0360
Net realized and unrealized gain (loss) 0.1891
--------------------
Total Income (Loss) From Investment 0.2251
Operations
Less Distributions
From net investment income (0.0341)
Total Distributions (0.0341)
--------------------
Net Asset Value, End of Period $ 10.1910
====================
Total Return 9.31%
Net Assets, End of Period $ 4,601,442
Average Commission Rate Paid
Per Share Bought or Sold $ 0.0322
Ratio of Expenses to Average Net Assets 0.60%
Ratio of Net Investment Income to Average 1.51%
Net Assets
Portfolio Turnover Rate 0.32%
(Continue
d)
</TABLE>
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
THE ORCHARD SERIES FUND
ORCHARD INDEX 600 FUND
FINANCIAL HIGHLIGHTS
- ------------------------------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the period February
3, 1997 (inception) to April 30, 1997 is as follows:
Period
Ended
April 30,
1997
------------------
Net Asset Value, Beginning of Period $ 10.0000
Income From Investment Operations
Net investment income 0.0114
Net realized and unrealized gain (loss) (0.6185)
------------------
Total Income (Loss) From Investment (0.6071)
Operations
Less Distributions
From net investment income (0.0113)
Total Distributions (0.0113)
------------------
Net Asset Value, End of Period $ 9.3816
==================
Total Return (22.16%)
Net Assets, End of Period $ 4,226,857
Average Commission Rate Paid
Per Share Bought or Sold $ 0.0311
Ratio of Expenses to Average Net Assets 0.60%
Ratio of Net Investment Income to Average 0.51%
Net Assets
Portfolio Turnover Rate 3.96%
(Continue
d)
</TABLE>
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
THE ORCHARD SERIES FUND
ORCHARD INDEX EUROPEAN FUND
FINANCIAL HIGHLIGHTS
- ------------------------------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the period February
3, 1997 (inception) to April 30, 1997 is as follows:
Period
Ended
April 30,
1997
-------------------
Net Asset Value, Beginning of Period $ 10.0000
Income From Investment Operations
Net investment income 0.0360
Net realized and unrealized gain (loss) 0.3383
-------------------
Total Income (Loss) From Investment 0.3743
Operations
Net Asset Value, End of Period $ 10.3743
===================
Total Return 15.83%
Net Assets, End of Period $ 4,668,413
Average Commission Rate Paid
Per Share Bought or Sold $ 0.0465
Ratio of Expenses to Average Net Assets 1.20%
Ratio of Net Investment Income to Average 1.46%
Net Assets
Portfolio Turnover Rate 0.68%
(Continue
d)
</TABLE>
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
THE ORCHARD SERIES FUND
ORCHARD INDEX PACIFIC FUND
FINANCIAL HIGHLIGHTS
- ------------------------------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the period February
3, 1997 (inception) to April 30, 1997 is as follows:
Period
Ended
April 30,
1997
-------------------
Net Asset Value, Beginning of Period $ 10.0000
Income From Investment Operations
Net investment income 0.0245
Net realized and unrealized gain (loss) 0.0776
-------------------
Total Income (Loss) From Investment 0.1021
Operations
Net Asset Value, End of Period $ 10.1021
===================
Total Return 4.15%
Net Assets, End of Period $ 4,545,931
Average Commission Rate Paid
Per Share Bought or Sold $ 0.0122
Ratio of Expenses to Average Net Assets 1.20%
Ratio of Net Investment Income to Average 1.02%
Net Assets
Portfolio Turnover Rate 0.00%
(Continued)
</TABLE>
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
THE ORCHARD SERIES FUND
ORCHARD MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the period February
3, 1997 (inception) to April 30, 1997 is as follows:
Period
Ended
April 30,
1997
-------------------
Net Asset Value, Beginning of Period $ 1.0000
Income From Investment Operations
Net investment income 0.0108
-------------------
Total Income (Loss) From Investment 0.0108
Operations
Less Distributions
From net investment income (0.0108)
-------------------
Total Distributions (0.0108)
-------------------
Net Asset Value, End of Period $ 1.0000
===================
Total Return 4.40%
Net Assets, End of Period $ 3,032,484
Ratio of Expenses to Average Net Assets 0.46%
Ratio of Net Investment Income to Average 4.57%
Net Assets
Portfolio Turnover Rate 0.00%
</TABLE>
(Continued)
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
THE ORCHARD SERIES FUND
ORCHARD PREFERRED STOCK FUND
FINANCIAL HIGHLIGHTS
- -----------------------------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the period February
3, 1997 (inception) to April 30, 1997 is as follows:
Period
Ended
April 30,
1997
-------------------
Net Asset Value, Beginning of Period $ 10.0000
Income From Investment Operations
Net investment income 0.1508
Net realized and unrealized gain (loss) (0.1718)
-------------------
Total Income (Loss) From Investment (0.0210)
Operations
Less Distributions
From net investment income (0.1427)
From net realized gains
-------------------
Total Distributions (0.1427)
-------------------
Net Asset Value, End of Period $ 9.8363
===================
Total Return (0.84%)
Net Assets, End of Period $ 3,991,637
Ratio of Expenses to Average Net Assets 0.90%
Ratio of Net Investment Income to Average 6.33%
Net Assets
Portfolio Turnover Rate 4.85%
</TABLE>
<PAGE>
(Concluded)
<PAGE>
THE ORCHARD SERIES FUND
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 1997
1. ORGANIZATION
The Orchard Series Fund is an open-end management investment company
organized as a Delaware business trust (the Trust) on July 23, 1996.
The Trust offers six separate diversified portfolios, commonly known as
mutual funds (the Funds), which are registered with the Securities and
Exchange Commission under the provisions of the Investment Company Act
of 1940 ( as amended): Orchard Index 500 Fund, Orchard Index 600 Fund,
Orchard Index European Fund, Orchard Index Pacific Fund, Orchard Money
Market Fund, and Orchard Preferred Stock Fund.
Initial capitalization of $100,000 for each Fund was received on
January 27, 1997 from Great-West Life & Annuity Insurance Company
(GWL&A). Each Fund received additional capitalization from GWL&A on
February 3, 1997 as follows: $2,900,000 for Orchard Money Market Fund,
$3,900,000 for Orchard Preferred Stock Fund, and $4,400,000 each for
Orchard Index 500 Fund, Orchard Index 600 Fund, Orchard Index European
Fund, and Orchard Index Pacific Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the
date of the financial statements and the reported amounts of revenue
and expenses during the reporting period. Actual results could differ
from those estimates.
The following is a summary of the significant accounting policies of
the Fund, which are in accordance with generally accepted accounting
principles in the investment company industry:
Security Valuation - Securities traded on national securities exchanges
are valued daily at the closing prices of the securities on these
exchanges, and securities traded on over-the-counter markets are valued
daily at the average between the quoted bid and asked prices.
Short-term and money market securities are valued at amortized cost
which approximates market value.
Federal Income Taxes - For federal income tax purposes, each Fund
qualifies as a regulated investment company under the provisions of the
Internal Revenue Code by distributing substantially all of its taxable
net income (both ordinary and capital gain) to its shareholders and
complying with other requirements for regulated investment companies.
Accordingly, no provision for federal income
<PAGE>
taxes has been made.
Dividends - Dividends from investment income of the Money Market Fund
are declared daily and reinvested monthly. Dividends from investment
income of the Preferred Stock Fund are declared and reinvested
quarterly. Dividends from investment income of the Index 500 and Index
600 Funds are declared and reinvested semi-annually while dividends
from investment income of the Index Pacific and Index European Funds
are declared and reinvested annually. All of the Funds generally
distribute capital gains, if any, in the fiscal year in which they were
earned.
Security Transactions - The Company follows industry practice and
records security transactions on the trade date plus one, except for
same day settlement transactions which are recorded on trade date.
Dividend income is recognized on the ex-dividend date and interest
income is recognized on an accrual basis. The cost of investments sold
is determined on the basis of the first-in, first-out method (FIFO).
<PAGE>
3. INVESTMENT ADVISORY AGREEMENT
GW Capital Management, Inc. ("Capital Management"), a wholly-owned
subsidiary of GWL&A, serves as investment advisor to the Funds pursuant
to an investment advisory agreement, which was approved by the Funds'
Board of Directors. Capital Management is a registered investment
adviser under the Investment Advisers Act of 1940. The investment
advisory agreement provides that Capital Management, subject to the
supervision and approval of the Funds' Board of Directors, is
responsible for the day-to-day management of each Fund which includes
selecting the Fund's investments and handling their business affairs.
As compensation for its services to the Fund, the investment adviser
receives monthly compensation at the annual rate of .20% of the average
daily net assets of the Money Market Fund, .90% of the average daily
net assets of the Preferred Stock Fund, .60% of the average daily net
assets of the Index 500 and Index 600 Funds and 1.00% of the average
daily net assets of the Index Pacific and Index European Funds.
Subject to revision, Capital Management has voluntarily agreed to
reimburse the Index Pacific Fund, the Index European Fund, and the
Money Market Fund to the extent that total operating expenses exceed
1.20%, 1.20%, and .46%, respectively, of average net assets. Interest,
taxes, brokerage commissions, and extraordinary expenses are not
expenses eligible for reimbursement.
4. OTHER RELATED PARTY TRANSACTIONS
One Orchard Equities ("OOE"), a wholly-owned subsidiary of One
Corporation ("One"), which is a wholly-owned subsidiary of GWL&A ,
distributes and markets the Trust's Funds. Financial Administrative
Services Corporation ("FASCORP"), a wholly-owned subsidiary of GWL&A,
performs transfer agent servicing functions for the Funds.
Certain officers of the Trust are also directors and/or officers of
GWL&A or its subsidiaries. No officer of the Trust receives any
compensation directly from the Funds.
5. CAPITAL STOCK
The Trust has authorized capital of an unlimited number of shares with
no stated par value. Shares may be issued in one or more series of
shares, and each series may be issued in one or more classes of shares.
Each Fund represents a separate series of shares.
6. PURCHASES AND SALES OF SECURITIES
Costs of purchases and proceeds from sales of securities, excluding
short-term securities, during the period from February 3, 1997
(inception) to April 30, 1997 were:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Cost of Proceeds from
Purchases Sales
-------------------------------- --------------------------------
Fund
Orchard Index 500 Fund $ 4,511,158 $ 14,166
Orchard Index 600 Fund 4,647,304 168,432
Orchard Index European 4,520,783 31,413
Fund
Orchard Index Pacific Fund 4,194,171
Orchard Preferred Stock 4,181,942 188,994
Fund
</TABLE>
No long-term U.S. Government obligations were purchased or sold during
the period February 3, 1997 (inception) to April 30, 1997.
<PAGE>
7. UNREALIZED APPRECIATION (DEPRECIATION)
Gross unrealized appreciation (depreciation) of securities is as
follows as of April 30, 1997:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Orchard Orchard Orchard Orchard Orchard
Index 500 Index 600 Index European Index Pacific Preferred
Fund Fund Fund Fund Stock Fund
--------------------- -------------------- -------------------- ------------------- -------------------
Gross $ 211,709 188,061 248,494 217,631 4,413
appreciation
Gross (126,498) (473,923) (95,849) (182,738) (65,147)
depreciation
--------------------- -------------------- -------------------- ------------------- -------------------
Net unrealized
appreciation $ 85,211 (285,862) 152,645 34,893 (60,734)
===================== ==================== ==================== =================== ===================
</TABLE>
<PAGE>
Orchard Series Fund
Orchard Index 500 Portfolio
COMMON STOCK
AGENCY --- 0.7%
820 Federal National Mortgage Association (nonvtg) 33,723
$33,723
AIR --- 0.3%
70 AMR Corp* 6,519
50 Delta Air Lines Inc 4,606
110 Southwest Airlines Co 3,025
40 US Air Group Inc* 1,295
$15,445
COMMUNICATIONS --- 3.2%
1,220 AT&T Corp 40,870
380 Airtouch Communications Inc* 9,690
110 Cabletron Systems Inc* 3,795
240 Comcast Corp Class A 3,780
100 Gannett Company Inc 8,725
500 Tele-Communications Inc - TCI Group Class A* 6,906
430 Time Warner Inc 19,350
360 US West Communications Group 12,645
470 US West Media Group* 8,108
260 Viacom Inc Class B* 6,955
470 Westinghouse Electric Corp 7,990
660 Worldcom Inc* 15,840
$144,654
CONSTRUCTION --- 0.0%
20 Centex Corp 720
30 Kaufman & Broad Home Corp 416
10 Pulte Corp 285
$1,421
CONSUMER SERVICES --- 8.9%
50 Allergan Inc 1,338
200 Amgen Inc 11,775
40 Bausch & Lomb Inc 1,615
200 Baxter International Inc 9,575
90 Becton Dickinson & Co 4,140
70 Beverly Enterprises Inc* 1,015
80 Biomet Inc 1,215
800 Bristol-Myers Squibb Co 52,400
40 CR Bard Inc 1,270
290 CUC International Inc* 6,126
80 CVS Corp 3,970
510 Columbia/HCA Healthcare Corp 17,850
410 Eli Lilly & Co 36,029
<PAGE>
70 H&R Block Inc 2,258
90 HFS Inc* 5,333
70 Harrah's Entertainment Inc* 1,120
240 Healthsouth Corp* 4,740
180 Hilton Hotels Corp 4,860
120 Humana Inc* 2,610
80 ITT Corp* 4,740
1,010 Johnson & Johnson 61,863
20 King World Productions Inc 730
40 Manor Care Inc 935
90 Marriott International Inc 4,973
180 Medtronic Inc 12,465
910 Merck & Company Inc 82,355
170 Service Corporation International 5,823
60 St Jude Medical Inc* 1,950
220 Tenet Healthcare Corp* 5,720
510 The Walt Disney Co 41,820
140 United Healthcare Corp 6,808
140 United States Surgical Corp 4,795
70 Whitman Corp 1,619
$405,835
CREDIT INSTITUTIONS --- 8.3%
360 American Express Co 23,715
320 Banc One Corp 13,560
110 Bank of Boston Corp* 8,003
290 Bank of New York Company Inc 11,455
270 BankAmerica Corp 31,556
60 Bankers Trust New York Corp 4,883
140 Barnett Banks Inc 6,843
40 Beneficial Corp 2,560
400 Citicorp 45,050
80 Comerica Inc 4,680
160 Corestates Financial Corp 8,100
80 Fifth Third Bancorp 5,970
100 First Bank System Inc 7,675
240 First Chicago NBD Corp 13,500
210 First Union Corp 17,640
190 Fleet Financial Group Inc 11,590
40 Golden West Financial Corp 2,600
100 Great Western Financial Corp 4,200
80 HF Ahmanson & Co 3,050
70 Household International Inc 6,160
140 JP Morgan & Company Inc 14,263
170 Keycorp 8,861
250 MBNA Corp 8,250
90 Mellon Bank Corp 7,481
160 National City Corp 7,800
580 NationsBank Corp 35,018
280 Norwest Corp 13,965
250 PNC Bank Corp 10,281
170 Suntrust Banks Inc 8,628
110 US Bancorp 6,284
120 Wachovia Corp 7,020
<PAGE>
70 Wells Fargo & Co 18,673
$379,314
ELECTRIC --- 2.2%
140 American Electric Power Company Inc 5,670
110 Baltimore Gas & Electric Co 2,805
110 Carolina Power & Light Co 3,740
160 Central & South West Corp 3,220
120 Cinergy Corp 3,990
170 Consolidated Edison Company of New York Inc 4,718
110 DTE Energy Co 2,943
130 Dominion Resources Inc 4,469
150 Duke Power Co 6,581
320 Edison International 6,720
170 Entergy Corp 3,974
130 FPL Group Inc 5,801
90 GPU Inc 2,903
170 Houston Industries Inc 3,400
110 Niagara Mohawk Power Corp* 935
50 Northern States Power Co 2,275
110 Ohio Edison Co 2,200
120 PP&L Resources Inc 2,355
220 PacifiCorp 4,373
160 Peco Energy Co 3,160
180 Public Service Enterprise Group Inc 4,343
510 Southern Co 10,391
170 Texas Utilities Co 5,738
160 Unicom Corp 3,480
70 Union Electric Co 2,494
$102,678
ELECTRONICS - HIGH TECH --- 13.6%
160 AMP Inc 5,740
100 Advanced Micro Devices Inc* 4,250
90 Amdahl Corp* 771
60 Andrew Corp* 1,485
90 Apple Computer Inc* 1,530
130 Applied Materials Inc* 7,134
60 Black & Decker Corp 2,010
230 Boston Scientific Corp* 11,098
20 Briggs & Stratton Corp 983
490 Cisco Systems Inc* 25,358
200 Compaq Computer Corp* 17,075
80 DSC Communications Corp* 1,630
30 Data General Corp* 563
130 Dell Computer Corp* 10,879
110 Digital Equipment Corp* 3,286
250 Eastman Kodak Co 20,875
340 Emerson Electric Co 17,255
1,240 General Electric Co 137,485
100 General Instrument Corp* 2,338
30 General Signal Corp 1,178
30 Harris Corp 2,565
770 Hewlett-Packard Co 40,425
<PAGE>
90 Honeywell Inc 6,356
620 Intel Corp 94,938
30 Intergraph Corp* 191
390 International Business Machines Corp 62,693
60 Johnson Controls Inc 2,303
90 LSI Logic Corp* 3,443
70 Maytag Corp 1,601
150 Micron Technology Inc 5,288
450 Motorola Inc 25,763
100 National Semiconductor Corp* 2,500
190 Northern Telecom Ltd 13,799
260 Novell Inc* 1,966
310 PG&E Corp 7,440
30 Perkin-Elmer Corp 2,179
30 Polaroid Corp 1,455
180 Raytheon Co 7,853
50 Scientific-Atlanta Inc 800
190 Seagate Technology Inc* 8,716
130 Silicon Graphics Inc* 1,934
270 Sun Microsystems Inc* 7,779
90 Tandem Computers Inc* 1,159
20 Tektronix Inc 1,083
130 Tellabs Inc* 5,184
140 Texas Instruments Inc 12,495
110 Thermo Electron Corp* 3,795
40 Thomas & Betts Corp 1,815
130 Unisys Corp* 780
40 WW Grainger Inc 3,015
50 Whirlpool Corp 2,338
240 Xerox Corp 14,760
$621,334
ENVIRONMENTAL SERVICES --- 0.4%
160 Browning-Ferris Industries Inc 4,540
230 Laidlaw Inc Class B 3,134
40 Safety-Kleen Corp 595
360 WMX Technologies Inc 10,575
$18,844
FORESTRY --- 0.5%
30 Boise Cascade Corp 998
70 Georgia-Pacific Corp 5,460
220 International Paper Co 9,295
80 Louisiana-Pacific Corp 1,490
150 Weyerhaeuser Co 6,863
$24,106
GAS --- 0.8%
40 Columbia Gas System Inc 2,475
70 Consolidated Natural Gas Co 3,526
10 Eastern Enterprises 339
190 Enron Corp 7,149
30 Nicor Inc 1,016
20 OneOk Inc 595
<PAGE>
60 Pacific Enterprises 1,838
110 Panenergy Corp 4,868
20 Peoples Energy Corp 675
60 Sonat Inc 3,428
130 Tenneco Inc 5,184
120 Williams Companies Inc 5,265
$36,358
HIGHWAYS --- 0.0%
60 Ryder System Inc 1,868
$1,868
HOLDING & INVEST. OFFICES --- 0.9%
330 Chase Manhattan Corp 30,566
130 Cognizant Corp 4,241
40 MGIC Investment Corp 3,250
40 Republic New York Corp 3,665
$41,722
INDUSTRIAL SERVICES --- 5.0%
30 Autodesk Inc 1,065
220 Automatic Data Processing Inc 9,955
50 Ceridian Corp* 1,669
270 Computer Associates International Inc 14,040
50 Computer Sciences Corp* 3,125
60 Deluxe Corp 1,838
130 Dun & Bradstreet Corp 3,201
30 EG&G Inc 566
340 First Data Corp 11,730
60 Fluor Corp 3,300
30 Foster Wheeler Corp 1,159
60 Interpublic Group of Companies Inc 3,398
480 Lucent Technologies Inc 28,380
900 Microsoft Corp* 109,350
30 National Service Industries Inc 1,264
490 Oracle Systems Corp* 19,478
100 Parametric Technology Corp* 4,525
110 Pitney Bowes Inc 7,040
10 Shared Medical Systems Corp 421
40 Western Atlas Inc* 2,480
$227,984
INSURANCE --- 4.4%
80 AON Corp 5,320
110 Aetna Inc 10,024
330 Allstate Corp 21,615
150 American General Corp 6,544
350 American International Group Inc 44,975
130 Chubb Capital Corp 7,508
50 Cigna Corp 7,519
100 Conseco Inc 4,138
60 General Re Corp 10,035
90 ITT Hartford Group Inc* 6,705
50 Jefferson-Pilot Corp 2,888
<PAGE>
80 Lincoln National Corp 4,480
80 Loews Corp 7,350
30 MBIA Inc 2,921
50 Marsh & McLennan Companies Inc 6,025
70 Providian Corp 4,043
90 SafeCo Corp 3,600
60 St Paul Companies Inc 4,020
50 Torchmark Corp 3,106
50 TransAmerica Corp 4,238
480 Travelers Group Inc 26,580
80 USF&G Corp 1,600
20 USLife Corp 970
50 Unum Corp 3,850
$200,054
MFTG - CONSUMER PRODS. --- 11.7%
20 Adolph Coors Co Class B 458
40 Alberto-Culver Co Class B 1,165
130 American Brands Inc 6,988
50 American Greetings Corp Class A 1,600
370 Anheuser-Busch Companies Inc 15,864
410 Archer-Daniels-Midland Co 7,534
100 Avon Products Inc 6,163
50 Brown-Forman Corp Class B 2,525
70 Brunswick Corp 1,978
110 CPC International Inc 9,089
340 Campbell Soup Co 17,383
1,880 Coca-Cola Co 119,615
110 Colgate-Palmolive Co 12,210
180 ConAgra Inc 10,373
70 Dow Jones & Company Inc 2,835
50 Fruit of the Loom Inc Class A* 1,800
110 General Mills Inc 6,820
420 Gillette Co 35,700
270 HJ Heinz Co 11,205
50 Harcourt General Inc 2,313
90 Hasbro Inc 2,250
110 Hershey Foods Corp 5,968
90 Ikon Office Solutions Inc 2,419
80 International Flavors & Fragrances Inc 3,370
20 John H Harland Co 413
30 Jostens Inc 716
160 Kellogg Co 11,160
70 Knight-Ridder Inc 2,721
50 Liz Claiborne Inc 2,263
120 Masco Corp 4,530
200 Mattel Inc 5,575
70 McGraw-Hill Companies Inc 3,561
40 Meredith Corp 940
70 New York Times Co Class A 3,028
120 Newell Co 4,200
1,170 Pepsico Inc 40,804
1,830 Philip Morris Companies Inc 72,056
60 Pioneer Hi-Bred International Inc 4,238
<PAGE>
100 Quaker Oats Co 4,000
110 RR Donnelley & Sons Co 3,768
80 Ralston-Ralston Purina Group 6,590
110 Rubbermaid Inc 2,640
30 Russell Corp 833
360 Sara Lee Corp 15,120
280 Seagram Company Ltd 10,710
10 Springs Industries Inc Class A 468
30 Stride Rite Corp 413
70 The Times Mirror Co Class A 3,868
90 Tribune Co 3,949
40 Tupperware Corp 1,330
140 UST Inc 3,658
120 Unilever NV ADR 23,550
40 VF Corp 2,885
40 Willamette Industries Inc 2,550
80 Wm Wrigley Jr Co 4,660
$534,822
MFTG - INDUSTRIAL PRODS --- 11.7%
130 3Com Corp* 3,770
590 Abbott Laboratories 35,990
80 Air Products & Chemicals Inc 5,740
170 Alcan Aluminium Ltd 5,759
130 Allegheny Teledyne Inc 3,461
130 Aluminum Company of America 9,084
60 Alza Corp* 1,755
480 American Home Products Corp 31,800
80 Armco Inc* 280
30 Armstrong World Industries Inc 1,973
20 Ball Corp 538
140 Bay Networks Inc* 2,485
40 Bemis Company Inc 1,525
80 Bethlehem Steel Corp* 660
50 Case Corp 2,769
140 Caterpillar Inc 12,460
70 Champion International Corp 3,255
30 Cincinnati Milacron Inc 608
40 Clorox Co 5,095
80 Cooper Industries Inc 3,680
60 Cooper Tire & Rubber Co 1,320
170 Corning Inc 8,203
30 Crane Co 1,121
90 Crown Cork & Seal Company Inc 4,928
190 Deere & Co 8,740
80 Dover Corp 4,240
180 Dow Chemical Co 15,278
400 EI DuPont De Nemours & Co 42,450
170 EMC Corp* 6,184
50 Eastman Chemical Co 2,550
40 Ecolab Inc 1,630
110 Engelhard Corp 2,310
110 Goodyear Tire & Rubber Co 5,789
40 Great Lakes Chemical Corp 1,695
<PAGE>
50 Guidant Corp 3,413
30 Harnischfeger Industries Inc 1,249
70 Hercules Inc 2,756
90 ITT Industries Inc 2,273
90 Illinois Tool Works Inc 8,224
80 Ingersoll-Rand Co 3,930
30 Inland Steel Industries Inc 683
60 James River Corporation of Virginia 1,793
420 Kimberly-Clark Corp 21,525
50 Mallinckrodt Inc 1,819
40 Mead Corp 2,245
30 Millipore Corp 1,133
310 Minnesota Mining & Manufacturing Co 26,970
440 Monsanto Co 18,810
70 Moore Corporation Ltd 1,409
100 Morton International Inc* 4,188
30 Nacco Industries Inc Class A 1,388
50 Nalco Chemical Co 1,800
60 Nucor Corp 2,985
140 PPG Industries Inc 7,613
80 Pall Corp 1,850
50 Parker Hannifin Corp 2,488
480 Pfizer Inc 46,080
380 Pharmacia & Upjohn Inc 11,258
20 Potlatch Corp 820
110 Praxair Inc 5,679
30 Raychem Corp 1,935
140 Reynolds Metals Co 9,503
160 Rockwell International New 10,640
40 Rohm & Haas Co 3,330
280 Schering-Plough Corp 22,400
120 Sherwin-Williams Co 3,630
70 Sigma Aldrich Corp 2,100
40 Snap-On Inc 1,540
70 Stone Container Corp Series E 709
40 Temple-Inland Inc 2,220
40 The BF Goodrich Co 1,595
60 The Stanley Works 2,333
20 The Timken Co 1,163
20 Trinova Corp* 808
110 Tyco International Ltd 6,710
210 USX-Marathon Group 5,801
60 USX-US Steel Group 1,755
50 Union Camp Corp 2,431
90 Union Carbide Corp 4,489
60 WR Grace & Co 3,120
200 Warner-Lambert Co 19,600
70 Westvaco Corp 1,960
60 Worthington Industries Inc 1,133
$534,411
MINING --- 0.7%
30 Asarco Inc 855
270 Barrick Gold Corp 6,041
<PAGE>
170 Battle Mountain Gold Co 978
70 Cyprus Amax Minerals Co 1,566
100 Echo Bay Mines Ltd 544
140 Freeport-McMoran Copper & Gold Inc Class B 4,078
110 Homestake Mining Co 1,458
120 Inco Ltd 3,840
70 Newmont Mining Corp 2,424
50 Phelps Dodge Corp 3,838
180 Placer Dome Inc 2,948
100 Santa Fe Pacific Gold Corp* 1,475
$30,045
OIL & GAS --- 8.9%
70 Amerada Hess Corp 3,404
370 Amoco Corp 30,941
140 Ashland Inc 6,248
120 Atlantic Richfield Co 16,335
110 Baker Hughes Inc 3,795
90 Burlington Resources Inc 3,814
490 Chevron Corp 33,565
80 Coastal Corp 3,800
130 Dresser Industries Inc 3,884
50 Enserch Corp 981
1,880 Exxon Corp 106,455
20 Giddings & Lewis Inc 405
90 Halliburton Co 6,356
10 Helmerich & Payne Inc 478
30 Kerr-McGee Corp 1,811
20 Lousiana Land & Exploration Co 1,000
40 McDermott International Inc 740
290 Mobil Corp 37,700
250 Occidental Petroleum Corp 5,531
80 Oryx Energy Co* 1,600
30 Pennzoil Co 1,478
200 Phillips Petroleum Co 7,875
60 Rowan Companies Inc* 1,080
400 Royal Dutch Petroleum Co ADR 72,100
60 Santa Fe Energy Resources Inc* 848
180 Schlumberger Ltd 19,935
50 Sun Company Inc 1,369
200 Texaco Inc 21,100
190 Union Pacific Resources Group Inc 5,154
190 UnoCal Corp 7,244
$407,026
OTHER ASSET-BACKED --- 0.1%
100 Green Tree Financial Corp 2,963
$2,963
OTHER TRANS. SERVICES --- 0.1%
30 Caliber System Inc 893
20 FMC Corp* 1,343
80 Federal Express Corp* 4,310
$6,546
<PAGE>
RAILROADS --- 0.9%
110 Burlington Northern Santa Fe Corp 8,663
160 CSX Corp 7,460
60 Conrail Inc 6,855
90 Norfolk Southern Corp 8,089
180 Union Pacific Corp 11,475
$42,542
RETAIL TRADE --- 5.0%
190 Albertson's Inc 6,270
110 American Stores Co 5,005
110 Autozone Inc* 2,695
80 Charming Shoppes Inc* 472
70 Circuit City Stores Inc 2,774
120 Darden Restaurants Inc 930
160 Dayton Hudson Corp 7,200
80 Dillard Department Stores Inc Class A 2,470
150 Federated Department Stores Inc* 5,100
210 Gap Inc 6,694
135 Genuine Parts Co 4,371
40 Giant Food Inc Class A 1,290
20 Great Atlantic & Pacific Tea Company Inc 498
360 Home Depot Inc 20,880
170 JC Penney & Company Inc 8,118
360 K Mart Corp* 4,905
180 Kroger Co* 4,950
200 Limited Inc 3,625
30 Longs Drug Stores Corp 758
130 Lowe's Companies Inc 4,940
190 May Department Stores Co 8,788
530 McDonald's Corp 28,421
20 Mercantile Stores Company Inc 985
60 Nordstrom Inc 2,355
40 Owens Corning 1,620
40 Pep Boys - Manny Moe & Jack 1,305
90 Rite Aid Corp 4,140
290 Sears Roebuck & Co 13,920
50 TJX Companies Inc 2,363
40 Tandy Corp 2,095
200 Toys R Us Inc* 5,700
1,740 Wal-Mart Stores Inc 49,155
180 Walgreen Co 8,280
90 Wendy's International Inc 1,856
110 Winn-Dixie Stores Inc 3,823
100 Woolworth Corp* 2,150
$230,901
SECURITIES & COMMODITIES --- 0.7%
240 Dean Witter Discover & Co 9,180
120 Merrill Lynch & Co Inc 11,430
110 Morgan Stanley Group Inc 6,944
80 Salomon Inc 4,000
$31,554
<PAGE>
TELEPHONE --- 4.6%
140 Alltel Corp 4,410
410 Ameritech Corp 25,061
330 Bell Atlantic Corp 22,358
750 Bellsouth Corp 33,375
120 Frontier Corp 1,905
730 GTE Corp 33,489
520 MCI Communications Corp 19,825
330 Nynex Corp 17,078
684 SBC Communications Inc 37,962
320 Sprint Corp 14,040
$209,503
TRANSPORTATION EQUIPMENT --- 3.4%
210 Allied-Signal Inc 15,173
550 Chrysler Corp 16,500
30 Cummins Engine Company Inc 1,684
70 Dana Corp 2,231
50 Eaton Corp 3,744
40 Echlin Inc 1,305
20 Fleetwood Enterprises Inc 528
900 Ford Motor Co 31,275
40 General Dynamics Corp 2,850
140 Lockheed Martin Corp 12,530
160 McDonnell Douglas Corp 9,500
50 Navistar International Corp* 563
40 Northrop Grumman Corp 3,340
30 Paccar Inc 2,096
90 TRW Inc 4,691
60 Textron Inc 6,683
270 The Boeing Co 26,629
180 United Technologies Corp 13,613
$154,935
U.S. GOVERNMENTS --- 0.4%
540 Federal Home Loan Mortgage Corp 17,213
$17,213
WHOLESALE TRADE -CONSUMER --- 2.0%
80 Avery Dennison Corp 2,940
160 Costco Companies Inc* 4,620
20 Fleming Companies Inc 325
210 Nike Inc Class B 11,813
510 Procter & Gamble Co 64,133
40 Reebok International Ltd 1,530
50 SuperValu Inc 1,531
130 Sysco Corp 4,553
$91,445
TOTAL COMMON STOCK --- 99.3% $4,549,246
(Cost $4,463,383)
PREFERRED STOCK
<PAGE>
TRANSPORTATION EQUIPMENT --- 0.7%
570 General Motors Corp 32,989
$32,989
TOTAL PREFERRED STOCK --- 0.7% $32,989
(Cost $33,641)
TOTAL ORCHARD INDEX 500 PORTFOLIO --- 100.0% $4,582,235
(Cost $4,497,024)
Orchard Series Fund
Orchard Index 600 Portfolio
COMMON STOCK
AGRICULTURE --- 1.1%
1,000 Agco Corp 25,875
300 Dekalb Genetics Corp Class B 18,900
$44,775
AIR --- 1.0%
300 Air Express International Corp 10,275
700 Comair Holdings Inc 14,788
400 Mesa Air Group Inc* 2,125
300 Offshore Logistics Inc* 5,400
300 Pittston Brink's Group 6,825
200 Skywest Inc 2,550
$41,963
COMMUNICATIONS --- 0.9%
300 ACC Corp* 4,763
400 Allen Group Inc* 6,900
200 Commnet Cellular Inc* 5,150
700 International Family Entertainment Inc Class B* 14,175
300 NTN Communications Inc* 938
500 Picturetel Corp* 4,438
300 TCSI Corp* 1,444
$37,808
CONSTRUCTION --- 1.3%
200 Acme Metals Inc* 2,775
400 Apogee Enterprises Inc 6,000
100 Continental Homes Holding Corp 1,588
400 Geon Co 8,750
400 Insituform Technologies Inc Class A* 2,200
300 MDC Holdings Inc 2,475
800 Morrison Knudsen Corp* 10,000
200 Southern Energy Homes Inc* 2,075
500 Standard Pacific Corp 4,000
200 The Ryland Group Inc 2,325
500 Toll Brothers Inc* 9,125
200 US Home Corp* 4,925
<PAGE>
$56,238
CONSUMER SERVICES --- 7.7%
100 Angelica Corp 1,575
700 Aztar Corp* 4,550
200 Carmike Cinemas Inc Class A* 6,200
500 Casino Magic Corp* 609
2,700 Cineplex Odeon Corp* 4,050
500 Coventry Corp* 6,469
500 DeVry Inc* 11,000
400 Enzo Biochem Inc* 5,600
300 G&K Services Inc Class A 8,700
100 GC Companies Inc* 4,013
500 Genesis Health Ventures Inc* 14,938
400 Grancare Inc* 3,100
600 Grand Casinos Inc* 6,600
300 Hollywood Park Inc* 3,750
200 Insurance Auto Actions Inc* 1,325
400 Integrated Health Services Inc 12,850
300 Interim Services Inc* 11,625
400 Lincare Holdings Inc* 15,700
300 Living Centers of America Inc* 10,725
400 Magellan Health Services Inc* 10,500
400 Mariner Health Group Inc* 3,500
400 National Auto Credit Inc* 3,150
500 North American Vaccine Inc* 10,438
400 OccySystems Inc* 8,250
1,200 Omnicare Inc 29,250
800 Phycor Inc* 21,300
400 Players International Inc* 1,450
600 Prime Hospitality Corp* 9,975
500 Regal Cinemas Inc* 13,625
300 Regis Corp 6,150
400 Renal Treatment Centers Inc* 8,650
700 Rollins Truck Leasing Corp 9,188
400 Sequus Pharmaceuticals Inc* 2,350
200 Showboat Inc 4,075
300 Sierra Health Services Inc* 7,725
300 The Marcus Corp 6,675
500 Universal Health Services Inc Class B* 18,938
600 Vivra Inc* 15,525
100 WHG Resorts & Casino Inc* 938
$325,031
CREDIT INSTITUTIONS --- 6.5%
300 Astoria Financial Corp 11,738
700 Charter One Financial Inc 31,150
300 Collective Bancorp Inc 12,263
300 Commercial Federal Corp 10,050
300 Cullen/Frost Bankers Inc 10,500
600 Deposit Guaranty Corp 18,375
400 First Commercial Corp 15,650
600 First Financial Corp 15,825
420 First Michigan Bank Corp 11,970
<PAGE>
200 FirstBank Puerto Rico 5,225
500 FirstMerit Corp 21,375
100 Liberty Bancorp Inc 4,950
400 Magna Group Inc 12,350
200 North American Mortgage Co 3,625
200 RCSB Financial Inc 5,950
500 Riggs National Corp 9,250
300 St Paul Bancorp Inc 8,213
500 TCF Financial Corp 20,438
200 US Trust Corp 8,800
300 Whitney Holding Corp 10,875
200 Zions Bancorp 25,300
$273,872
ELECTRIC --- 1.6%
100 Bangor Hydro Electric Co 500
300 Central Hudson Gas & Electric Corp 9,225
200 Central Vermont Public Service Corp 2,075
300 Commonwealth Energy System Cos 6,563
300 Eastern Utilities Associates 5,138
200 Energen Corp 6,325
100 Green Mountain Power Corp 2,325
100 Interstate Power Co 2,863
200 Orange & Rockland Utilities Inc 6,250
200 Pennsylvania Enterprises Inc 4,425
500 Sierra Pacific Resources 14,188
200 TNP Enterprises Inc 4,200
200 United Illuminating Co 4,950
$69,027
ELECTRONICS - HIGH TECH --- 13.2%
300 ADAC Laboratories 6,938
200 Alliant Techsystems Inc* 8,375
200 Amtech Corp* 937
700 Anixter International Inc* 9,975
700 Aspect Telecommunications Corp* 12,425
400 Auspex Systems Inc* 3,200
400 Baldor Electric Co 10,250
400 Ballard Medical Products Co 7,600
100 Benchmark Electronics Inc* 2,825
500 Boston Technology Inc* 10,000
200 Broadband Technolgies Inc* 1,875
100 C COR Electronics Inc* 963
200 California Microwave Inc* 2,600
200 Cellpro Inc* 1,000
100 Centigram Communications Corp* 988
300 Chips & Technologies Inc* 2,456
200 Circon Corp* 2,575
600 Cognex Corp* 14,775
200 Coherent Inc* 8,300
100 Collagen Corp 1,700
300 Comverse Technology Inc* 11,775
200 Core Industries Inc 2,950
300 Cyrix Corp* 6,225
<PAGE>
400 Dallas Semiconductor Corp 14,600
300 Daniel Industries Inc 3,825
200 Digi International Inc* 1,325
200 Digital Microwave Corp* 5,150
200 Dionex Corp* 9,775
200 Envoy Corp* 4,175
300 Etec Systems Inc* 8,738
100 Fluke Corp 4,513
900 Geotek Communications Inc* 3,375
100 Harmon Industries Inc 1,750
300 IMO Industries Inc* 975
700 Input/Output Inc* 9,800
200 Integrated Circuit Systems Inc* 2,750
800 International Rectifier Corp* 9,200
200 Intervoice Inc* 1,900
400 Invacare Corp 7,950
300 Juno Lighting Inc 4,650
600 Kemet Corp* 11,700
800 Komag Inc* 22,600
200 Kuhlman Corp 5,050
300 Lattice Semiconductor Corp* 16,763
300 Marshall Industries* 9,788
400 Mentor Corp 9,250
500 Methode Electronics Inc Class A 7,063
200 National Computer Systems Inc 5,025
300 Network Equipment Technologies Inc* 4,275
300 Oak Industries Inc* 5,625
200 Pacific Scientific Co 2,525
200 Park Electrochemical Corp 4,400
100 Plexus Corp* 2,625
700 Read-Rite Corp* 18,113
300 Resound Corp* 1,200
300 Respironics Inc* 5,588
100 Rival Co 1,363
400 Royal Appliance Manufacturing Co* 2,750
500 SCI Systems Inc* 30,875
400 Safeskin Corp* 8,950
300 Sanmina Corp* 15,000
200 Spacelabs Inc* 4,200
200 Standard Microsystems Corp* 1,712
500 Steris Corp* 16,375
500 Summit Technology Inc* 3,094
300 Sunrise Medical Inc* 3,263
200 Symmetricom Inc* 2,700
300 Tecnol Medical Products Inc* 5,288
500 Tencor Instruments* 22,188
200 Thomas Industries Inc 4,700
100 Three Five Systems Inc* 1,288
300 Trimble Navigation Ltd* 3,488
700 VLSI Technology Inc* 13,913
300 Valence Technology Inc* 1,800
600 Vicor Corp* 9,525
200 Visx Inc* 4,500
200 Vital Signs Inc 3,800
<PAGE>
450 Vitesse Semiconductor Corp* 14,175
100 Watkins Johnson Co 2,750
300 X-Rite Inc 4,950
400 Zebra Technologies Corp Class A* 9,200
300 Zilog Inc* 5,550
100 Zoll Medical Corp* 800
$554,945
ENVIRONMENTAL SERVICES --- 0.3%
500 Air & Water Technologies Corp* 2,063
400 OHM Corp* 2,950
900 Rollins Environmental Services Inc* 2,588
200 Tetra Technologies Inc* 4,650
$12,251
GAS --- 2.8%
200 Atmos Energy Corp 4,525
200 Cascade Natural Gas Corp 3,275
100 Connecticut Energy Corp 2,175
200 KCS Energy Inc 6,500
500 KN Energy Inc 18,625
300 New Jersey Resources Corp 8,663
300 Northwest Natural Gas Co 7,275
400 Piedmont Natural Gas Company Inc 9,400
500 Pogo Producing Co 18,313
400 Pride Petroleum Services Inc* 6,900
300 Public Service Company of North Carolina Inc 5,213
400 Southwest Gas Corp 6,650
400 Southwestern Energy Co 5,050
200 United Cities Gas Corp 4,300
300 Wicor Inc 10,538
$117,402
HOLDING & INVEST. OFFICES --- 3.1%
400 Centura Banks Inc 15,650
200 Cilcorp Inc 7,725
300 Coast Savings Financial Inc* 12,075
100 Eaton Vance Corp 4,425
100 JSB Financial Inc 4,250
600 Keystone Financial Inc 15,300
200 Onbancorp Inc 9,775
400 Pioneer Group Inc 10,500
600 Provident Bancorp Inc 23,400
700 Roosevelt Financial Group Inc 16,275
840 Sovereign Bancorp Inc 10,290
400 WHX Corp* 2,300
$131,965
INDUSTRIAL SERVICES --- 8.5%
300 ABM Industries Inc 5,625
800 Acxiom Corp* 10,500
600 Advanced Tissue Sciences Inc* 6,375
400 Advo Inc* 4,850
600 Allwaste Inc* 5,325
<PAGE>
600 American Management Systems Inc* 14,850
300 BBN Corp* 6,975
300 Banyan Systems Inc* 365
400 Bisys Group Inc* 12,800
300 Boole & Babbage Inc* 6,375
300 Broderbund Software Inc* 5,625
300 CDI Corp* 11,363
500 Cerner Corp* 8,063
400 Ciber Inc* 14,300
200 Control Data Systems Inc* 2,650
1,300 Corrections Corporation of America* 42,413
300 Dames & Moore Inc 3,825
300 Dialogic Corp* 5,925
200 Fair Isaac & Co Inc 6,325
300 Figgie International Inc Class A* 3,563
200 Filenet Corp* 2,225
300 Hyperion Software Corp* 4,875
300 ImmuLogic Pharmaceutical Corp* 1,088
200 Itron Inc* 4,200
300 Jack Henry & Associates Inc 5,700
500 Keane Inc* 23,188
200 Logicon Inc 7,950
200 Mail Boxes Etc* 3,700
200 Microcom Inc* 3,212
200 NFO Research Inc* 3,650
400 National Data Corp 15,000
700 Network General Corp* 9,625
400 Norrell Corp 10,550
300 Perseptive Biosystems Inc* 1,500
300 Platinum Software Corp* 2,250
900 Platinum Technology Inc* 10,800
400 Primark Corp* 7,300
200 Progress Software Corp* 3,300
700 S3 Inc* 6,693
300 SEI Investments Companies 6,300
600 Sterling Software Inc* 18,300
200 Stone & Webster Inc 7,650
600 System Software Associates Inc* 3,225
400 True North Communications Inc 7,650
300 United States Bioscience Inc* 2,644
300 Viewlogic Systems Inc* 4,200
100 Wall Data Inc* 2,094
$356,961
INSURANCE --- 4.3%
300 Allied Group Inc 11,100
300 American Bankers Insurance Group Inc 15,863
200 Arthur J Gallagher & Co 6,250
300 CMAC Investment Corp 11,400
200 Capital RE Corp 7,925
200 Compdent Corp* 3,225
300 Enhance Financial Services Group Inc 11,550
200 Fidelity National Financial Inc 2,475
200 First American Financial Corp 6,375
<PAGE>
400 Fremont General Corp 11,250
200 Frontier Insurance Group Inc 10,300
200 Hilb Rogal & Hamilton Co 2,775
200 Integon Corp 2,025
200 Life Re Corp 7,725
300 Mutual Risk Management Ltd 11,025
200 Orion Capital Corp 12,525
500 Protective Life Corp 22,125
200 Selective Insurance Group Inc 8,050
150 Trenwick Group Inc 4,894
200 Washington National Corp 5,700
300 Zenith National Insurance Corp 7,650
$182,207
MFTG - CONSUMER PRODS. --- 9.0%
200 Ashworth Inc* 1,512
300 Authentic Fitness Corp 4,350
200 Bassett Furniture Industries Inc 4,525
300 Bowne & Company Inc 7,950
300 Brown Group Inc 4,988
1,000 Calgene Inc* 7,968
300 Catalina Marketing Corp* 9,450
700 Champion Enterprises Inc* 10,675
800 Chiquita Brands International Inc 11,500
100 Coca-Cola Bottling Co 3,875
1,400 CompUSA Inc* 26,950
400 Cone Mills Corp* 2,950
200 Cyrk Inc* 2,100
400 Delta Woodside Industries Inc* 2,300
200 Designs Inc* 975
600 Dimon Inc 11,850
200 Dixie Yarns Inc* 1,325
200 Earthgrains Co 11,450
200 Ethan Allen Interiors Inc 8,850
100 Fibreboard Corp* 3,675
100 Fieldcrest Cannon Inc* 1,800
300 Franklin Quest Co* 6,338
200 Galey & Lord Inc* 3,150
300 Galoob (Lewis) Toys Inc* 5,063
100 GoodMark Foods Inc 1,288
200 Guilford Mills Inc 5,650
100 Haggar Corp 1,275
500 Hartmarx Corp* 4,000
300 Interface Inc Class A 6,713
100 J&J Snack Foods Corp* 1,275
200 Johnston Industries Inc 1,500
400 Justin Industries Inc 4,450
100 K-Swiss Inc 1,313
300 K2 Inc 7,838
300 Kellwood Co 7,125
300 La-Z-Boy Chair Co 9,788
500 Levitz Furniture Inc* 1,250
300 Lydall Inc* 6,075
100 Merrill Corp 2,325
<PAGE>
500 Mohawk Industries Inc* 11,188
300 Nature's Sunshine Products Inc 4,088
200 New England Business Service Inc 5,275
700 Oakwood Homes Corp 14,175
200 Oshkosh B'Gosh Inc Class A 3,400
100 Oxford Industries Inc 2,425
100 Penwest Ltd 1,825
200 Pharmaceutical Marketing Services Inc* 2,025
400 Phillips Van-Heusen Corp 5,250
200 Pillowtex Corp 3,550
100 Plenum Publishing Corp 3,600
200 Ply-Gem Industries Inc 2,550
1,000 Premark International Inc 24,500
800 RDM Sports Group Inc* 1,000
300 Smithfield Foods Inc* 13,838
400 Sola International Inc* 10,000
100 Swiss Army Brands Incorporated* 1,200
200 The Timberland Co Class A* 9,725
400 Tultex Corp* 2,600
200 USA Detergents Inc* 2,275
300 Universal Forest Products Inc 3,825
600 Valassis Communications Inc* 14,700
400 Wolverine World Wide Inc 16,100
$376,548
MFTG - INDUSTRIAL PRODS --- 14.2%
300 AT Cross Co Class A 2,963
500 Alliance Pharmaceutical Corp* 3,813
300 Alpharma Inc Class A 4,350
100 Amcast Industrial Corp 2,275
300 Aptargroup Inc 12,000
200 Astec Industries Inc* 2,100
400 BMC Industries Inc 11,600
400 BWIP Holding Inc 6,500
300 Banctec Inc* 6,863
400 Belden Inc 12,300
200 Bell Sports Corp* 1,050
400 Birmingham Steel Corp 5,850
100 Butler Manufacturing Co 3,325
300 COR Therapeutics Inc* 2,288
200 Cambrex Corp 6,775
400 Camco International Inc 17,750
400 Caraustar Industries Inc 10,100
400 Cephalon Inc* 6,700
100 Chemed Corp 3,375
300 Chemfirst Inc 6,938
200 Clarcor Inc 4,425
200 Commonwealth Aluminum Corp* 3,450
300 Cygnus Inc* 4,013
300 Dynatech Corp* 10,425
600 Fedders Corp 3,525
200 Flow International Corp* 1,775
400 Gerber Scientific Inc 6,600
300 Global Industries Technologies Inc* 5,475
<PAGE>
200 Greenfield Industries Inc 4,075
400 Griffon Corp* 4,850
200 Handy & Harman 2,750
200 Hauser Inc* 1,275
600 IDEXX Laboratories Inc* 7,800
200 IMCO Recycling Inc 3,000
300 Immune Response Corp* 2,025
100 Insteel Industries Inc 763
200 Intermagnetics General Corp* 1,750
400 Intermet Corp 4,950
200 Ionics Inc* 9,200
100 Kronos Inc* 2,150
200 LSB Industries Inc 975
300 Lilly Industries Inc Class A 5,213
150 Lindsay Manufacturing Co 4,275
600 Liposome Company Inc* 13,312
200 Lone Star Industries Inc 7,900
200 Material Sciences Corp* 2,975
200 McWhorter Technologies Inc* 4,400
300 Medimmune Inc* 3,900
200 Medusa Corp 7,575
800 Microchip Technology Inc* 25,000
400 Mississippi Chemical Corp 8,800
300 Modecular Biosystems Inc* 1,988
200 Mosinee Paper Corp 8,100
300 Mueller Industries Inc* 11,250
500 Mycogen Corp* 9,063
300 Myers Industries Inc 5,250
300 NBTY Inc* 5,700
100 Nashua Corp* 1,138
400 Northwestern Steel and Wire Co* 975
200 Novellus Systems Inc* 11,550
300 Noven Pharmaceuticals Inc* 2,250
200 O'Sullivan Corp 1,662
300 Outboard Marine Corp 3,900
200 Paragon Trade Brands Inc* 3,200
400 Paxar Corp* 7,700
300 Pharmaceutical Resources Inc* 788
200 Photronics Inc* 6,925
200 Pope & Talbot Inc 2,975
200 Protein Design Labs Inc* 5,025
100 Quaker Chemical Corp 1,638
200 Quanex Corp 5,050
100 RailTex Inc* 1,625
300 Regal-Beloit Corp 7,125
400 Regeneron Pharmaceuticals Inc* 2,600
220 Republic Group Inc 3,575
300 Roberts Pharmaceutical Corp* 3,300
200 Roper Industries Inc 8,175
300 Russ Berrie & Company Inc 5,775
100 SPS Technologies Inc* 6,750
300 SciClone Pharmaceuticals Inc* 1,875
300 Scotts Co Class A* 7,688
300 Shorewood Packaging Corp* 5,700
<PAGE>
200 Standex International Corp 5,000
200 Steel Technologies Inc 2,050
400 Sturm Ruger Company Inc 6,150
200 Telxon Corp 3,175
400 Texas Industries Inc 9,200
200 The Manitowoc Company Inc 8,100
300 TheraTech Inc* 2,775
300 Thomas Nelson Inc 2,738
400 Titan Wheel International Inc 5,800
200 Toro Co 7,000
200 Tredegar Industries Inc 9,225
300 Tseng Labs Inc* 881
400 Ultratech Stepper Inc* 7,175
1,000 United States Filter Co* 30,375
200 Valmont Industries Inc 7,975
300 Vertex Pharmaceuticals Inc* 9,525
100 WD-40 Co 5,775
100 Walbro Corp 1,650
200 Whittaker Corp* 1,975
400 Williams Industries Inc* 7,150
200 Wolverine Tube Inc* 5,200
200 Wynn's International Inc 4,825
300 Xircom Inc* 2,775
200 Zero Corp 3,900
$598,225
MINING --- 1.0%
300 AMCOL International Corp 5,100
300 Coeur D'Alene Mines Co* 4,125
200 Dravo Corp* 1,925
400 Getchell Gold Corp* 15,350
500 Glamis Gold Ltd 3,250
800 Helca Mining Co* 4,300
300 Stillwater Mining Co* 6,038
$40,088
OIL & GAS --- 3.8%
400 Benton Oil & Gas Co* 5,850
300 Box Energy Corp* 2,063
300 Cabot Oil & Gas Corp 5,025
300 Cross Timbers Oil Co 4,650
500 Devon Energy Corp 16,500
300 HS Resources Inc* 3,413
1,000 Mesa Inc 5,125
500 Newfield Exploration Co* 9,563
1,800 Noble Drilling Corp* 31,275
400 Oceaneering International Inc* 5,800
300 Plains Resources Inc* 3,863
300 Pool Energy Services Co* 3,900
200 Production Operators Corp 11,500
200 Seitel Inc* 6,700
500 Snyder Oil Corp 7,938
100 St Mary Land & Exploration Co 2,600
600 Tuboscope Vetco International Corp* 8,400
<PAGE>
500 United Meridian Corp* 14,188
400 Vintage Petroleum Inc 11,300
100 Wiser Oil Co 1,663
$161,316
OTHER TRANS. SERVICES --- 1.5%
500 American Freightways Corp* 7,063
300 Arkansas Best Corp* 1,575
400 Expeditors International of Washington Inc 10,000
500 Fritz Companies Inc* 4,281
300 Frozen Food Express Industries Inc 2,663
500 Heartland Express Inc* 10,813
200 Landstar System Inc* 5,125
200 MS Carriers Inc* 3,950
300 USFreightways Corp 8,100
600 Werner Enterprises Inc 11,475
$65,045
REAL ESTATE --- 0.5%
400 Amresco Inc* 5,825
200 CCB Financial Corp 13,575
$19,400
RETAIL TRADE --- 7.6%
500 Applebees International Inc 11,688
600 Arbor Drugs Inc 11,025
200 Au Bon Pain Inc* 1,275
200 BMC West Corp* 2,150
100 Bertuccis Inc* 550
600 Bombay Company Inc* 2,175
300 Books-A-Million Inc* 1,500
500 CKE Restaurants Inc 9,813
200 Carson Pirie Scott & Co* 5,950
400 Caseys General Stores Inc 7,550
400 Cash America International Inc 3,550
400 Cato Corp Class A 1,850
200 Cheesecake Factory Inc* 3,650
100 Danmark International Inc* 925
300 Discount Auto Parts Inc* 4,875
400 Eagle Hardware & Garden Inc* 7,500
300 Express Scripts Inc* 11,025
300 Fabri-Centers of America Inc Class A* 6,038
300 Filenes Basement Corp* 1,763
600 Foodmaker Inc* 6,525
200 Gottschalks Inc* 1,100
600 Hechinger Co Class A* 975
100 IHOP Corp* 2,625
200 J Baker Inc 1,575
400 Jan Bell Marketing Inc* 900
300 Jumbosports Inc* 1,388
500 Landrys Seafood Restaurant Co* 7,023
300 Lechters Corp* 975
100 Lillian Vernon Corp 1,375
400 Luby's Cafeterias Inc 7,300
<PAGE>
400 Michaels Stores Inc* 7,700
200 O'Reilly Automotive Inc* 7,000
600 Payless Cashways Inc* 1,050
700 Pier 1 Imports Inc 13,825
400 Proffitts Inc* 14,950
800 Ross Stores Inc 22,500
300 Ruby Tuesday Inc* 5,925
800 Ryan's Family Steak Houses Inc* 7,100
200 SPX Corp 10,925
700 Shoney's Inc* 3,238
500 Shopko Stores Inc 10,000
300 Showbiz Pizza Time Inc* 5,775
200 Smiths Food & Drug Centers Inc* 6,700
200 Sonic Corp* 2,650
300 St John Knits Inc 11,513
300 Stein Mart Inc* 8,700
400 TCBY Enterprises Inc 2,300
300 TJ International Inc 6,675
200 Taco Cabana Inc* 950
300 The Dress Barn Inc* 4,163
500 The Sports Authority Inc* 8,875
500 Triarc Companies Inc Class A* 9,313
300 Venture Stores Inc* 675
300 Whole Foods Market Inc* 6,900
400 Williams-Sonoma Inc* 12,400
$318,415
SECURITIES & COMMODITIES --- 2.0%
400 Alex Brown Inc 25,750
400 Downey Financial Corp 7,750
200 Interra Financial Inc 7,325
300 Legg Mason Inc 14,250
300 Piper Jaffray Companies Inc 4,838
600 Quick & Reilly Group Inc 13,275
450 Raymond James Financial Inc 10,519
$83,707
TELEPHONE --- 0.3%
1,000 Tel-Save Holdings Inc* 14,000
$14,000
TRANSPORTATION EQUIPMENT --- 2.1%
300 AO Smith Corp 10,425
400 Arctic Cat Inc 4,000
300 BE Aerospace Inc* 7,388
500 Breed Technologies Inc 9,063
500 Gentex Corp* 9,000
200 Huffy Corp 2,575
500 Orbital Sciences Corp* 7,375
300 Simpson Industries Inc 2,775
200 Skyline Corp 4,225
200 Spartan Motors Inc 1,350
200 Standard Motor Products Inc 2,750
300 Standard Products Co 6,563
<PAGE>
100 Thor Industries Inc 2,163
300 UNC Inc* 4,163
300 Wabash National Corp 5,363
400 Winnebago Industries Inc 2,500
400 Yellow Corp* 7,700
$89,378
WATER --- 0.8%
100 Aquarion Co 2,488
100 Consumers Water Co 1,613
300 Halter Marine Group Inc* 5,888
400 Kirby Corp* 7,300
300 Philadelphia Suburban Corp 6,000
100 Southern California Water Co 2,163
600 United Water Resources Inc 9,825
$35,277
WHOLESALE TRADE - INDL --- 2.2%
200 AM Castle & Co 3,450
500 Barrett Resources Corp* 16,375
100 Bell Industries Inc* 1,600
200 MicroAge Inc* 2,525
600 Nautica Enterprises Inc* 13,275
300 OM Group Inc 8,363
300 Patterson Dental Co* 10,050
300 Pioneer Standard Electronics Inc 3,675
700 Sybron International Corp* 23,275
400 TBC Corp* 3,000
200 Wyle Electronics 6,775
$92,363
WHOLESALE TRADE -CONSUMER --- 2.3%
200 Commercial Metals Co 5,550
100 Custom Chrome Inc* 1,175
300 Fisher Scientific International Inc 12,713
200 Hughes Supply Inc 6,625
300 Kaman Corp Class A 3,863
400 Kent Electronics Corp* 10,000
200 Nash Finch Co 3,525
500 Owens & Minor Inc 6,500
400 Rexel Inc* 7,050
700 Richfood Holdings Inc 14,263
400 Rykoff-Sexton Inc 7,250
100 Syncor International Corp* 813
700 Tech Data Corp* 17,094
$96,421
TOTAL COMMON STOCK --- 99.9% $4,194,628
(Cost $4,481,232)
PREFERRED STOCK
TRANSPORTATION EQUIPMENT --- 0.1%
200 AAR Corp 5,950
<PAGE>
$5,950
TOTAL PREFERRED STOCK --- 0.1% $5,950
(Cost $5,208)
TOTAL ORCHARD INDEX 600 PORTFOLIO --- 100.0% $4,200,578
(Cost $4,486,440)
Orchard Series Fund
Orchard Index European Portfolio
COMMON STOCK
AGRICULTURE --- 0.2%
50 Eridania Beghin-SA 7,579
$7,579
AIR --- 0.4%
2,000 BAA PLC 16,526
$16,526
COMMUNICATIONS --- 6.2%
3,000 British Sky Broadcasting Group PLC 27,705
4,000 Cable and Wireless 30,792
40 Canal Plus 7,221
200 Ericsson Tel Series A 6,425
1,500 Ericsson Tel Series B 47,425
1,000 Granada Group 14,436
200 Nokia AB Oy 12,447
281 Polygram NV 13,769
3,000 Reuters Holdings PLC 30,913
6,000 Stet Societa' Finanziaria Telefonica SPA 28,354
2,000 Stet Societa' Finanziaria Telefonica SPA RNC 7,414
108 Tele Danmark A/S 5,193
11,000 Telecom Italia SPA 28,929
3,000 Telecom Italia SPA RNC 6,462
5,000 Vodafone Group 22,359
$289,844
CONSTRUCTION --- 0.2%
1,068 Hanson Plc 5,182
100 Kvaerner AS 4,971
$10,153
CONSUMER SERVICES --- 10.7%
50 Accor 7,168
900 Astra AB 36,831
792 BOC Group 12,123
708 EMI Group PLC 14,052
3,000 Grand Metropolitan 25,032
3,170 Guinness 26,194
100 Havas 7,485
<PAGE>
4,629 Marks and Spencer 36,675
110 Novartis (registered) 144,955
110 Novartis Ciba Special Rights* 7,725
112 Novo-Nordisk A/S 11,077
996 Peninsular & Orintal Steam Navigation Co. 9,731
532 Philips Electronics 27,760
50 Pin-Printemps-Redo 21,025
1,000 Rank Group PLC 6,886
150 Sanofi SA 14,002
5,000 Smithkline Beecham PLC 80,321
15 Sophus Berendsen A/S A 1,843
35 Sophus Berendsen A/S B 4,247
$495,132
CREDIT INSTITUTIONS --- 0.2%
100 Societe Generale de Belgique 8,900
$8,900
ELECTRIC --- 4.1%
1,000 ABB AB Series A 12,175
1,000 ABB AB Series B 12,111
100 Electrabel 22,726
425 Empresa Nacional de Electridad SA 29,738
855 Energy Group PLC* 6,788
300 Hafslund ASA 1,896
1,483 IBERDROLA SA 16,753
3,000 National Grid Group PLC 10,791
1,000 Powergen 10,466
2,000 Scot Power 12,119
25 Tractebel Inv International 10,705
850 Veba AG 43,776
$190,044
ELECTRONICS - HIGH TECH --- 3.1%
250 Alcatel Alsthom (Cie Gen El) 27,791
4,536 General Electric Co PLC 26,922
2,000 National Power 17,239
300 Nokia AB 18,723
950 Siemens AG 51,449
$142,124
ENVIRONMENTAL SERVICES --- 0.3%
2,000 Rentokil Initial 13,091
$13,091
FINANCIAL SERVICES --- 0.3%
54 Fortis AG 9,642
91 Unidanmark 4,500
$14,142
FOREIGN BANKS --- 0.2%
494 ABN Amro Holdings NV 33,939
494 ABN Amro Holdings NV 33,939
2,000 Abbey National 27,867
<PAGE>
2,000 Abbey National 27,867
200 Argentaria Corp BC 8,928
200 Argentaria Corp BC 8,928
361 BCO Bilbao Vizcaya 24,320
361 BCO Bilbao Vizcaya 24,320
66 BCO Central Hispan 2,011
66 BCO Central Hispan 2,011
1,000 BCO ESP de Credito* 8,866
1,000 BCO ESP de Credito* 8,866
50 BQE Brux Lambert 12,497
50 BQE Brux Lambert 12,497
50 Banco Popular Espanol SA 10,612
50 Banco Popular Espanol SA 10,612
256 Banco Santander SA 19,280
256 Banco Santander SA 19,280
300 Banque Nationale de Paris 12,795
300 Banque Nationale de Paris 12,795
2,603 Barclays PLC 48,373
2,603 Barclays PLC 48,373
700 Commezbank AG 18,773
700 Commezbank AG 18,773
250 Compagnie de Suez 12,127
250 Compagnie de Suez 12,127
100 Den Danske Bank 361
100 Den Danske Bank 361
100 Den Danske Bank AS 8,646
100 Den Danske Bank AS 8,646
850 Deutsche Bank AG 44,856
850 Deutsche Bank AG 44,856
750 Dresdner Bank AG 23,990
750 Dresdner Bank AG 23,990
50 Generale de Banque 20,746
50 Generale de Banque 20,746
3,000 HSBC Holdings 75,534
3,000 HSBC Holdings 75,534
1,000 HSBC Holdings ORD 26,231
1,000 HSBC Holdings ORD 26,231
1,000 IMI SPA 8,514
1,000 IMI SPA 8,514
1,000 Istituto Banc San Paolo di Torino 6,655
1,000 Istituto Banc San Paolo di Torino 6,655
22 Kredietbank NV 8,574
22 Kredietbank NV 8,574
9,516 Lloyds TSB Group 86,802
9,516 Lloyds TSB Group 86,802
100 Merita Ltd 337
100 Merita Ltd 337
1,000 Merita Ltd Series A 3,251
1,000 Merita Ltd Series A 3,251
3,000 National Westminster Bank PLC 35,482
3,000 National Westminster Bank PLC 35,482
400 Nordbanken AB 12,290
400 Nordbanken AB 12,290
3,000 Prudential Corp 29,115
<PAGE>
3,000 Prudential Corp 29,115
1,300 Royal BK Scot Group 12,258
1,300 Royal BK Scot Group 12,258
40 Schwerizerische Rueckversicherungs-Gesallschaft (Swiss R 37,864
40 Schwerizerische Rueckversicherungs-Gesallschaft (Swiss R 37,864
900 Skandinaviska Enskilda Banken 9,179
900 Skandinaviska Enskilda Banken 9,179
150 Societe Generale 16,803
150 Societe Generale 16,803
400 Svenska Handelsbanken 11,015
400 Svenska Handelsbanken 11,015
$710,245
GAS --- 0.4%
7,000 British Gas PLC* 20,188
$20,188
HOLDING & INVEST. OFFICES --- 5.7%
6,391 BTR PLC 26,094
350 CS Holding 39,425
200 Cie Fin Paribas 12,610
1,147 ING Groep NV 45,021
200 Investor AB Series A 8,771
200 Investor AB Series B 8,746
70 Nestle SA 85,024
2,000 Standard Chartered 30,136
2,000 Tomkins PLC 8,619
$264,446
INDUSTRIAL PRODS & SVCS --- 0.3%
1,000 Siebe 14,792
$14,792
INSURANCE --- 7.6%
300 AXA 18,452
422 Aegon NV 29,880
1,000 Alleanza Assicuraz 6,783
400 Allianz AG Holdings 77,367
1,000 Assic Generali SPA 16,725
15 Codan Forsikring 1,980
1,000 Commercial Union 11,017
1,000 General Accident PLC 14,201
7,000 Istituto Nazionale delle Assicurazione 9,378
50 Munchener Ruckvers 121,103
1,000 RAS 8,164
4 Royale Belge 1,030
20 Scgweuzeruscge Rueckversicherungs-Gesellschaft (Swiss Re 23,153
400 Storebrand ASA* 2,458
500 Union Assur de Paris 12,367
$354,058
MFTG - CONSUMER PRODS. --- 6.5%
5,000 ASDA Group 9,316
1,000 Associated British Foods 8,624
<PAGE>
5,092 BAT INDUSTRIES 42,818
1,000 British Steel 2,301
1,635 Cadbury Schweppes PLC 13,563
66 Carlsberg Series A 4,075
55 Carlsberg Series B 3,387
50 Christian Dior 7,408
96 Danisco A/S 5,563
100 Danone 14,559
140 LVMH Moet Hennessy 34,171
190 Michelin (CGDE) 10,613
1,000 Montedison SPA* 656
7,000 Montedison SPA* 4,581
916 Pearson PLC 10,522
30 Promodes 10,118
932 Reed International PLC* 17,169
400 Renault (Regie NTL) 9,469
2,000 Safeway 11,082
1,340 Unilever 35,193
251 Unilever non-voting 48,796
$303,984
MFTG - INDUSTRIAL PRODS --- 14.9%
125 Air Liquide (L)' 18,820
200 Astra AB 7,942
1,050 BASF AG 40,497
1,200 Bayer AG* 47,737
900 Daimler-Benz AG* 66,824
2,000 Fiat SPA 3,468
5,000 Fiat SPA 16,492
6,000 Glaxo Wellcome PLC 117,918
1,000 Hoechst AG 39,232
1,000 Imperial Chemical Industry 11,358
75 Mannesmann AG 29,489
200 Norske Hydro AS 9,746
100 Orkla AS 8,384
200 Outokumpu OY 3,809
500 Rhone-Poulenc SA 16,811
12 Roche Holding AG 101,377
3 Roche Holdings AG 35,828
400 Sandvik AB 9,867
200 Schneider SA 11,270
25 Solvay SA 14,973
500 Stora Kopparbergs Bergslags Aktiebolag Series A 6,916
500 UPM-Kymmene Corp* 11,447
100 Usinor Sacilor 1,511
100 Valmet Corp 1,691
2,000 Zeneca Group 60,401
$693,808
MINING --- 1.1%
1,759 RTZ Corp 27,929
550 Rwe AG 22,864
$50,793
<PAGE>
OIL & GAS --- 10.3%
9,193 British Petroleum Company PLC 105,453
7,000 Centrica PCL* 6,408
2,000 ENI 10,146
400 Elf Aquitaine SA 38,778
40 Petrofina SA 14,246
475 Repsol SA 19,935
841 Royal Dutch Petrol 150,249
200 Saga Petroleum 3,497
5,000 Shell Transport & Trading 88,382
400 Total 33,160
100 Transocean* 6,024
$476,278
OTHER UTILITIES --- 0.3%
75 Gas Natural SDG 15,944
$15,944
REAL ESTATE --- 0.2%
839 Land Securities 10,895
$10,895
RETAIL TRADE --- 6.9%
1,704 Allied Domecq 12,010
1,450 Bass PLC 18,700
1,568 Boots Co 17,631
65 Carrefour 40,570
140 Compagnie de Saint Gobain 18,752
200 Eaux (Cie Generale) 27,851
1,000 Fiat SPA 1,821
2,000 Great Univ Stores 20,739
3,014 J Sainsbury PLC 16,164
1,000 Kingfisher 10,823
110 L'oreal 39,020
150 Lafarge 9,835
75 Peugeot SA 7,464
1,000 Scot & Newcastle 10,823
3,543 Tesco 20,551
40 Volkswagen AG 25,358
300 Volvo Series A 7,554
1,000 Whitbread 12,476
$318,142
TELEPHONE --- 3.9%
10,344 British Telecommunications PLC 75,752
741 Kon Ptt Nederland 26,309
3,000 Telecom Italia Mobile SPA 5,543
11,000 Telecom Italia Mobile SPA 34,580
1,506 Telefonica de Espana 38,614
$180,798
TRANSPORTATION --- 0.3%
600 Volvo Series B 15,107
$15,107
<PAGE>
UTILITIES --- 0.2%
100 Lyonnaise Des Eaux 9,044
$9,044
WHOLESALE TRADE -CONSUMER --- 0.1%
120 Electrolux AB 6,884
$6,884
TOTAL COMMON STOCK --- 115.5% $5,360,478
(Cost $4,806,608)
TOTAL ORCHARD INDEX EUROPEAN PORTFOLIO --- 100.0% $4,641,587
(Cost $4,806,608)
Orchard Series Fund
Orchard Index Pacific Portfolio
COMMON STOCK
AGRICULTURE --- 0.1%
1,000 Kuala Lumpur Kepong Bhd 2,593
$2,593
AIR --- 0.3%
1,000 Japan Airlines* 3,971
1,000 Singapore Airlines Ltd 8,847
$12,818
COMMUNICATIONS --- 3.0%
200 Advanced Info Service Public Co Ltd 1,332
24,000 Hong Kong Telecommunications Ltd 41,222
100 KDD 5,247
1,000 Oki Electric Industry Co 4,909
4,000 Singapore Telecommunications Ltd 6,746
4,400 Telecom Corporation of New Zealand Ltd 19,728
1,000 Telekom Malaysia Bhd 7,020
7,000 Toshiba Corp 39,269
$125,473
CONSTRUCTION --- 0.6%
1,000 Daiwa House Industry Company Ltd 11,188
2,000 Komatsu Ltd 14,623
500 PT Semen Gresik 1,218
$27,029
CONSUMER SERVICES --- 5.7%
1,000 Kao Corp 11,661
1,500 PT Astra International 5,489
3,000 Renong Bhd 4,116
2,000 Resorts World Bhd 7,379
8,300 SM Prime Holdings 2,172
1,200 San Miguel Corp 3,460
<PAGE>
1,000 Sankyo Co Ltd 26,789
300 Sony Music Entertainment Inc 10,306
5,000 Sun Hung Kai Properties 54,239
2,000 Swire Pacific Ltd A 15,432
5,000 Swire Pacific Ltd B 6,651
1,000 Taisho Pharmaceutical Co 24,740
2,000 Takeda Chemical Industry 46,171
1,000 Yamanouchi Pharmaceutical Co Ltd 21,352
$239,957
CREDIT INSTITUTIONS --- 0.0%
1,000 Technology Resources Industries Bhd* 1,835
$1,835
ELECTRIC --- 4.5%
4,500 China Light & Power Company Ltd 20,282
1,600 Chubu Electric Power Company Inc 26,095
800 Chugoku Electric Power Company Ltd 12,795
500 Hokkaido Electric Power 7,800
2,100 Kansai Electric Power Company Inc 36,732
600 Manila Electric Co 3,733
600 Shikoku Electric Power 9,077
1,000 Tenaga Nasional BHD 4,627
1,100 Tohoku Electric Power 16,900
2,900 Tokyo Electric Power 51,410
$189,451
ELECTRONICS - HIGH TECH --- 10.8%
2,000 Canon Inc 47,431
500 Fanuc 17,058
7,000 Hitachi Ltd 63,426
4,500 Hongkong Electric Holdings Ltd 15,923
1,000 Kyushu Electric Power 16,388
4,000 Matsushita Electric Industrial Company Ltd 63,977
5,000 Mitsubishi Electric Corp 27,379
3,000 NEC Corp 36,637
300 Nintendo Corp Ltd 21,935
1,000 Omron Corp 18,910
4,000 Sanyo Electric Co 15,411
2,000 Sharp Corp 26,001
100 Shinawatra Computer Co 681
800 Sony Corp 58,241
2,000 Sumitomo Electric Industries 27,104
$456,502
FINANCIAL SERVICES --- 0.3%
2,000 Mitsubishi Motor Credit 13,867
$13,867
FOREIGN BANKS --- 21.4%
5,000 Asahi Bank 30,610
3,100 Australia & New Zealand Banking Group Ltd 19,793
600 Bangkok Bank Public Company Ltd 5,559
300 Bank Of Ayudhya Public Company Ltd 770
<PAGE>
1,000 Bank of Fukuoka Ltd 4,964
10,000 Bank of Tokyo-Mitsubishi 158,367
2,000 Bank of Yokohama 8,178
2,000 Chiba Bank Ltd 10,715
1,050 Commonwealth Bank of Australia 11,403
7,000 Dai-Ichi Kangyo Bank Ltd 76,662
3,000 Daiwa Bank Ltd 9,691
1,000 Gunma Bank 7,564
1,000 Hachijuni Bank 8,982
4,000 Hang Seng Bank Ltd 45,070
5,000 Industrial Bank of Japan 53,183
900 Krung Thai Bank Public Company Ltd 1,120
5,000 Long-Term Credit Bank of Japan 13,434
2,000 Malayan Banking Bhd 19,944
2,000 Malayan United Industries Bhd 1,476
100 Metropolitan Bank & Trust Co 2,048
3,000 Mitsubishi Trust & Banking 32,146
3,000 Mitsui Trust & Banking 17,113
3,000 National Australia Bank 41,046
3,000 Nikko Securities Company Ltd 16,735
4,000 Nippon Credit Bank 7,249
1,000 Oversea-Chinese Banking Corporation Ltd 11,681
1,000 Public Bank Bhd 1,659
7,000 Sakura Bank Ltd 37,008
6,000 Sanwa Bank Ltd 64,292
200 Siam Commercial Bank Public Company Ltd 1,172
7,000 Sumitomo Bank 79,972
3,000 Sumitomo Trust & Banking 24,819
500 Thai Farmers Bank Public Company Ltd 3,025
100 Thai Military Bank Public Company Ltd 145
4,000 Tokai Bank 29,783
2,000 Toyo Trust & Banking 13,379
1,000 United Overseas Bank Ltd 9,400
4,000 Westpac Banking Corporation Ltd 21,548
2,000 Yasuda Trust & Banking 4,680
$906,385
FORESTRY --- 0.0%
1,000 Lingui Developments Bhd 1,731
$1,731
GAS --- 0.8%
6,000 Hong Kong and China Gas Company Ltd 9,531
5,000 Osaka Gas Co 11,976
6,000 Tokyo Gas Co 14,324
$35,831
HIGHWAYS --- 0.2%
1,000 UTD Engineers Bhd 7,106
$7,106
HOLDING & INVEST. OFFICES --- 4.4%
800 AMMB Holdings Bhd 5,329
1,000 Affin Holdings Bhd 2,413
<PAGE>
1,000 Berjaya Sports Toto Bhd 4,787
6,000 Brierley Investments Ltd 5,281
5,000 Citic Pacific Ltd 27,055
6,000 Faber Group Bhd 5,935
4,000 Henderson Land Development Company Ltd 33,706
8,000 Hutchison Whampoa Ltd 59,405
1,000 Jardine Matheson Holdings Ltd 5,500
3,000 Magnum Corporation Bhd 4,763
1,000 Malaysian Helicopter Services Bhd 1,061
1,000 Multi-Purpose Holdings Bhd 1,635
4,000 New World Development Company Ltd 23,090
1,000 YTL Corporation Bhd 4,069
$184,029
INDUSTRIAL SERVICES --- 0.3%
2,000 Sumitomo Corp 13,457
$13,457
INSURANCE --- 1.6%
500 Lend Lease Corp Ltd 9,566
2,000 Mitsui Marine and Fire Insurance Company Ltd 11,377
1,000 Sumitomo Marine & Fire 6,153
3,000 Tokio Marine & Fire Insurance Co 29,310
2,000 Yasuda Fire & Marine Ins 9,266
$65,672
MFTG - CONSUMER PRODS. --- 3.1%
1,000 Ajinomoto Co 9,140
1,050 Coca-Cola Amatil Ltd 12,000
2,000 Dai Nippon Printing Co Ltd 36,086
4,100 Foster's Brewing Group Ltd 8,438
2,000 Kirin Brewery Company Ltd 17,334
1,600 News Corp Ltd 7,372
2,000 Nippon Paper Industries Co 9,218
2,200 Pacific Dunlop Ltd 5,934
2,000 Toppan Printing Company Ltd 25,843
$131,365
MFTG - INDUSTRIAL PRODS --- 11.6%
1,300 Amcor Ltd 8,550
3,000 Asahi Chemical Industry Company Ltd 17,491
3,000 Asahi Glass Company Ltd 27,182
2,300 Boral Ltd 6,778
2,000 CSR Ltd 7,391
4,000 Carter Holt Harvey Ltd 8,870
1,400 Fletcher Challenge Paper 3,105
600 ICI Australia Ltd 5,632
3,000 Ishikawajima-Harima Heavy Industries Co Ltd 11,180
3,000 Itochu Corp 14,206
2,000 Kajima Corp 9,108
7,000 Kawasaki Steel Corp 20,682
1,000 Keppel Corporation Ltd 4,354
6,000 Kobe Steel Ltd* 10,920
3,000 Kubota Corp 13,851
<PAGE>
1,000 Land & General Holdings Bhd 1,364
3,400 M.I.M. Holdings Ltd 4,427
5,000 Mitsubishi Chemical Corp 16,822
7,000 Mitsubishi Heavy Industries Ltd 46,218
1,000 Murata Mfg Co Ltd 36,874
7,000 NKK Corp 15,112
2,000 New Oji Paper Co 10,101
15,000 Nippon Steel Co 42,783
5,000 Nissan Motor Company Ltd 29,428
2,500 PT Gudang Garam 10,485
500 PT HM Sampoerna* 2,010
1,000 Perusahaan Otomobil Nasional Bhd 5,983
1,900 Pioneer International Ltd 6,251
1,000 Ricoh Corp Ltd 11,897
1,000 Sekisui Chemical Co 9,612
1,000 Shin-Etsu Chemical Co 20,170
100 Siam Cement Public Company Ltd 2,680
3,000 Sumitomo Chemical Co 12,409
7,000 Sumitomo Metal Industries 17,428
3,000 Toray Industries Inc 18,673
$490,027
MINING --- 2.4%
4,100 Broken Hill Proprietary Company Ltd 57,790
1,300 CRA Ltd 19,378
1,200 Comalco Ltd 6,081
3,000 Marubeni Corp 11,133
2,000 Mitsubishi Materials Corp 7,469
$101,851
OIL & GAS --- 0.9%
1,000 Petronas Gas Bhd 3,470
1,000 Tonen Corp 9,376
2,300 WMC Ltd 13,627
1,400 Woodside Petroleum Ltd 11,133
$37,606
OTHER TRANS. SERVICES --- 0.9%
1,000 All Nippon Airways Company Ltd 5,893
500 Brambles Industries Ltd 9,043
3,000 Kawasaki Heavy Industries 11,842
3,000 Nippon Yesen Kabushiki Kaisha 10,873
$37,651
RAILROADS --- 3.2%
9 East Japan Railway Co 38,930
2,000 Hankyu Corp 9,486
3,000 Kinki Nippon Railway 16,640
2,000 Odakyu Electric Railway 10,290
1,000 Seibu Railway 48,062
2,000 Tokyu Corp 10,495
$133,903
REAL ESTATE --- 4.4%
<PAGE>
4,400 Ayala Corp Class B 3,088
625 Ayala Land Inc Class B 450
3,500 C & P Homes Inc 1,328
5,000 Cheung Kong Holdings Ltd 43,908
2,000 City Developments Ltd 16,174
6,000 Hongkong Land Holdings Ltd 12,480
1,000 Malaysian Resources Corporation Bhd 2,872
3,000 Mitsubishi Estate Company Ltd 37,819
2,000 Mitsui Fudosan 22,849
2,000 Obayashi Corp 10,148
2,000 Sekisui House Ltd 17,806
5,000 Wharf Holdings Ltd 18,919
$187,841
RETAIL TRADE --- 5.8%
2,300 Coles Myer Ltd 11,171
2,000 Daiei Inc 9,565
1,000 Ito-Yokado Co Ltd 47,983
1,000 JUSCO Co 30,728
1,000 Marui Co 16,467
2,000 Matsushita Electric Works 20,328
3,000 Nippon Oil Co 14,135
1,000 Seven - Eleven Japan 63,426
4,000 Sime Darby BHD 12,365
1,000 Suzuki Motor Company Ltd 10,637
2,200 Woolworths Ltd 6,483
$243,288
SECURITIES & COMMODITIES --- 1.7%
3,000 Daiwa Securities Co Ltd 19,973
4,000 Nomura Securities Co Ltd 44,753
3,000 Yamaichi Securities Company Ltd 7,847
$72,573
TELEPHONE --- 1.5%
7 Nippon Telegraph & Telephone Corp 49,362
4,500 PT Telekomunikasi* 6,522
100 Philippine Long Distance 5,709
700 TelecomAsia Corporation Public Company Ltd* 1,059
$62,652
TRANSPORTATION EQUIPMENT --- 7.3%
2,000 Honda Motor Company Ltd 62,086
2,000 Nippon Express Co Ltd 13,788
8,000 Toyota Motor Corp 231,957
$307,831
WHOLESALE TRADE - INDL --- 1.4%
2,000 Hitachi Zosen Corp 6,949
3,000 Mitsubishi Corp 28,128
3,000 Mitsui & Co 22,904
$57,981
WHOLESALE TRADE -CONSUMER --- 1.9%
<PAGE>
2,000 Bridgestone Corp 42,546
1,000 Fuji Photo Film 38,213
$80,759
TOTAL COMMON STOCK --- 100.0% $4,229,064
(Cost $4,194,171)
TOTAL ORCHARD INDEX PACIFIC PORTFOLIO --- 100.0% $4,229,064
(Cost $4,194,171)
Orchard Series Fund
Orchard Money Market Portfolio
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 21.3%
150,000 American Express Credit Corp 148,284
150,000 Bellsouth Capital Funding Corp 149,123
150,000 Ford Motor Credit Co 148,375
150,000 TransAmerica Financial Corp 148,134
$593,916
ELECTRONICS - HIGH TECH --- 5.4%
150,000 General Electric Co 149,081
$149,081
HOLDING & INVEST. OFFICES --- 5.4%
150,000 American General Finance Corp 149,076
$149,076
INSURANCE --- 5.3%
150,000 AIG Funding Inc 148,620
$148,620
SECURITIES & COMMODITIES --- 10.6%
150,000 Merrill Lynch & Co Inc 146,210
150,000 Morgan Stanley Group Inc 149,668
$295,878
TELEPHONE --- 5.3%
150,000 American Telephone & Telegraph Co 146,120
$146,120
U.S. GOVERNMENTS --- 46.7%
1,300,000 Federal Home Loan Bank 1,300,000
$1,300,000
TOTAL SHORT-TERM INVESTMENTS --- 100.0% $2,782,691
(Cost $2,782,691)
TOTAL ORCHARD MONEY MARKET PORTFOLIO --- 100.0% $2,782,691
(Cost $2,782,691)
<PAGE>
Orchard Series Fund
Orchard Preferred Stock Portfolio
PREFERRED STOCK
CREDIT INSTITUTIONS --- 23.8%
7,400 Bankers Trust New York Corp 197,950
6,800 Fleet Financial Group Inc 177,650
7,300 Household International Inc 200,750
3,500 JP Morgan & Company Inc 180,250
6,800 MBNA Corp 176,800
$933,400
ELECTRIC --- 25.5%
1,500 Baltimore Gas & Electric Co 156,000
1,600 Duke Power Co 158,400
1,400 Florida Power & Light Co 147,416
1,700 Montana Power Co 145,775
1,800 Pennsylvania Power & Light Co 190,978
2,000 South Carolina Electric & Gas 200,250
$998,819
ELECTRONICS - HIGH TECH --- 4.6%
6,700 International Business Machines Corp 179,225
$179,225
FINANCIAL SERVICES --- 4.6%
7,000 First Maryland Bancorp 181,125
$181,125
HOLDING & INVEST. OFFICES --- 9.6%
7,000 Chase Manhattan Corp 179,375
7,500 Republic New York Corp 195,938
$375,313
INDUSTRIAL SERVICES --- 4.6%
7,000 Comdisco Inc 180,250
$180,250
INSURANCE --- 4.7%
7,300 WR Berkley Corp 186,150
$186,150
SECURITIES & COMMODITIES --- 13.5%
7,000 Bear Stearns Companies Inc 179,375
5,300 Merrill Lynch & Co Inc 157,013
7,600 Morgan Stanley Group Inc 192,850
$529,238
TRANSPORTATION EQUIPMENT --- 9.2%
6,500 Ford Motor Co 179,563
6,900 General Motors Corp 181,125
<PAGE>
$360,688
TOTAL PREFERRED STOCK --- 100.0% $3,924,208
(Cost $3,984,942)
TOTAL ORCHARD PREFERRED STOCK PORTFOLIO --- 100.0% $3,924,208
(Cost $3,984,942)
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