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Previous: SEPARATE ACCOUNT KGC OF FIRST ALLMERICA FIN LIFE INS CO, 497, 1997-12-30 |
Next: AMERICAN INTERNATIONAL CONSOLIDATED INC, POS AM, 1997-12-30 |
ORCHARD SERIES FUND
8515 East Orchard Road
Englewood, Colorado 80111
TO THE SHAREHOLDERS OF ORCHARD SERIES FUND:
Orchard Series Fund commenced operations on February 3, 1997. During the period
from inception to October 31, 1997, the U.S. financial markets have been
volatile. Among the factors contributing to this volatility are: global events,
particularly the economic and financial upheaval occurring in the Pacific Rim; a
decline of long-term interest rates and high stock valuation levels.
While it is impossible to predict the future direction of the markets with any
degree of certainty, there are certain basic principles that can help investors
plan for their future needs.
The longer your investment time frame, the less likely it is that you will be
affected by short-term market volatility. For intermediate investment time
frames, short-term market volatility may have more of any impact on investments
and if your time horizon is less than a year, you may wish to consider options
which seek income and maintain a relatively stable share price.
But, no matter what you time horizon or portfolio diversity, it makes good sense
to follow a regular investment plan, investing a certain amount of money in a
fund at the same time each month or quarter and periodically reviewing your
overall portfolio. While this strategy known as dollar cost averaging - won't
assure a profit or protect you from loss in a declining market, it should help
you lower the average cost of your purchases.
If you have questions, please call us so we may provide you the information you
need to make the investments that are right for you.
The investment adviser for Orchard Series Fund is GW Capital Management, LLC.
Orchard Series Fund offers six funds and a review of these funds is provided
with this annual report.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of Orchard Series Fund. This report is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
For more information on Orchard Series Fund, including charges and expenses,
please contact your registered representative to obtain a prospectus. Read it
carefully before investing.
Orchard Preferred Stock Fund
The Orchard Preferred Stock Fund commenced operations on February 3, 1997. The
Fund is invested exclusively in issues of preferred stock eligible for the
corporate dividends received deduction (DRD). Since the majority of preferred
stock issues carry a fixed dividend rate, prices of these securities move in an
inverse manner with interest rates, much like the price of other fixed income
(bond) investments. The Fund benefited on a total return basis from a declining
interest rate environment experienced over the past year. Dividends paid on
traditional DRD preferred stock are not deductible for tax purposes for the
issuing corporation. In the declining rate environment experienced over the past
decade, DRD preferred issues have become a high cost source of capital for
issuers. Corporations have responded by issuing a new type of preferred security
with dividends that are deductible before taxes, but are not eligible for the
DRD by corporate investors. At the same time, corporations are redeeming and/or
calling when possible outstanding issues of DRD-eligible preferred stock. The
result of this is a market for DRD preferred stocks that carries a stronger bid
than fundamentals would suggest. Merrill Lynch, purveyor of the Preferred Stock
Index benchmark used for the Fund, responded to this development in the market
by overhauling the index in July, 1997 to include approximately 80% issues which
are not DRD-eligible. The non-DRD-eligible sector of the preferred stock market
outperformed the DRD-eligible sector during 1997. The Orchard Preferred Stock
Fund is restricted to DRD-eligible issues, so a direct comparison of the Fund
performance to that of ht index is not completely appropriate. However, the
Merrill Lynch Preferred Stock Index is the only available benchmark for the
preferred stock market place. Therefore, the Merrill Lynch index will continue
as the benchmark for the Fund.
- ---------------------------------------------
$10,704.51
(Merrill Lynch Fixed Rate
Preferred Index)
$ 10,604.40
$10,500 (Orchard Preferred Stock)
- ---------------------------------------------
$10,000
- ---------------------------------------------
2/3/97 10/31/97
Total Return since Inception: 8.14%*
Fund Inception: February 3, 1997
*Annualized
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than original cost.
<PAGE>
Orchard Index 500 Fund
1997 was a stellar year for the S&P 500 Index. The Index ended at the 914.62
level up 25.31% YTD on a total return basis. The Dow Jones Industrial Average
hit an all time high of 8299.49 on August 7, 1997. Since then, concerns about
earnings and the Asian currency turmoil have put a damper on large cap stocks.
Alan Greenspan has been content to sit on interest rate policy to date, creating
a steady domestic operating environment.
- ---------------------------------------------
$11,795.00
(S&P 500 Index)
$11,737.90
$11,000 (Orchard 500 Index)
- ---------------------------------------------
$10,000
- ---------------------------------------------
2/3/97 10/31/97
Total Return since Inception: 23.81%*
Fund Inception: February 3, 1997
*Annualized
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than original cost.
Orchard Index 600 Fund
Small cap stocks regained some respectability in 1997. The S&P 600 Index was up
24.00% YTD on a total return basis. This was despite negative performance in the
semiconductor, instrumentation and peripheral industry groups. Airlines, retail
and consumer finance were the winning industry groups. The S&P 600 hit an all
time high on October 13, 1997 of 192.98, only to fall victim to the Asian
currency crises later in the month. The small cap category of stocks continues
to benefit from low and steady interest rates.
- ---------------------------------------------
$12,197.00
(S&P 600 Index)
$12,146.30
$12,000 (Orchard 600 Index)
- ---------------------------------------------
$10,000
- ---------------------------------------------
2/3/97 10/31/97
Total Return since Inception: 29.59%*
Fund Inception: February 3, 1997
*Annualized
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than original cost.
<PAGE>
Orchard Index European Fund
The Financial Times/S&P European Large Cap Index gave a middle of the road
performance in relation to other indices for the year. Year-to-date total return
was 19.47%. One-year volatility for European stocks rose from a level of 8 at
the beginning of the year to a level of 12 after the Asian currency crises hit.
A strengthening dollar cut down phenomenal local returns.
- ---------------------------------------------
$11,896.00
(Financial Times S&P
Actuaries World Index)
$11,647.20
$11,000 (Orchard European Index)
- ---------------------------------------------
$10,000
- ---------------------------------------------
2/3/97 10/31/97
Total Return since Inception: 22.57%*
Fund Inception: February 3, 1997
*Annualized
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than original cost.
Orchard Index Pacific Fund
The Financial Times/S&P Pacific Large Cap Index was down 19.89% YTD on a total
return basis. Asia is where the action was in 1997. The bursting of the
speculative bubble in real estate in Thailand was the spark that set off the
Asian currency crisis. The crisis spread to Indonesia, Malaysia and the
Philippines. There was even a run on the Hong Kong dollar which was successfully
defended by the Chinese. Japanese financial institutions were damaged by the
turmoil due to their heavy loan exposure to the region. This crisis is affecting
markets worldwide.
- ---------------------------------------------
$10,000
- ---------------------------------------------
$9,333.00 (Orchard Pacific Index)
$9,169.00 (Financial Times
S&P Actuaries World Index)
$9,000
- ---------------------------------------------
2/3/97 10/31/97
Total Return since Inception: %*
Fund Inception: February 3, 1997
*Annualized
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than original cost.
<PAGE>
THE ORCHARD SERIES FUND
Financial Statements and Financial Highlights for the Period
February 3, 1997 (Inception) to October 31, 1997
<PAGE>
INDEPENDENT AUDITORS' REPORT
To the Board of Directors and Stockholders of
Orchard Series Fund:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of the 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, portfolios of Orchard Series
Fund, as of October 31, 1997, the related statements of operations, and the
statements of changes in net assets and financial highlights for the period
indicated. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
October 31, 1997, by correspondence with the custodian and brokers; where
replies were not received from brokers, we performed other auditing procedures.
An audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of the 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,
portfolios of Orchard Series Fund, at October 31, 1997, and the results of their
operations, the changes in their net assets and the financial highlights for the
period indicated, in conformity with generally accepted accounting principles.
December 5, 1997
<PAGE>
<TABLE>
THE ORCHARD SERIES FUND
STATEMENTS OF ASSETS AND
LIABILITIES
OCTOBER 31, 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:
<S> <C> <C> <C> <C> <C>
Short-term investments $ 1,095,658 $ 2,556,202 $ 3,236,625 $ 3,034,517
Common stocks 491,923,17$ 5,424,843 59,131,836 44,745,833
Preferred stocks 352,427 $ 4,202,664
----------
---------- ------------- ---------- ------------ -------------
Total investments (cost
$506,710,257; $4,617,270; 493,018,829 5,424,843 62,040,465 47,982,458 3,034,517 4,202,664
$60,710,425; $59,480,978;
$3,034,517; $4,136,443)
Cash 704,375 29,492 674,288 608,129 71,105 35,168
Dividends and interest receivable 206,951 1,762 85,056 148,816 6,315 7,447
Subscriptions receivable 26 26
Receivables for investments sold 20,210
---------- ---------- ------------- ---------- ------------ -------------
Total assets 493,930,155 5,476,333 62,799,809 48,739,403 3,111,937 4,245,305
---------- ---------- ------------- ---------- ------------ -------------
LIABILITIES:
Dividend payable
Due to GW Capital Management 34,555 2,919 64,906 53,551 1,210 3,219
Redemptions payable 336,286 43,305 57,438
Payables for investments purchased 692,982 3,495 544,020 183,483
---------- ---------- ------------- ---------- ------------ -------------
Total liabilities 1,063,823 6,414 652,231 294,472 1,210 3,219
---------- ---------- ------------- ---------- ------------ -------------
NET ASSETS $ 492,866,33$ 5,469,919 $ 62,147,578 $ 48,444,931$ 3,110,727 $ 4,242,086
========== ========== ============= ========== ============ =============
NET ASSETS REPRESENTED BY:
Capital stock, no par value $ 506,558,76$ 4,515,098 $ 60,809,185 $ 59,943,452$ 3,110,727 $ 4,184,863
Net unrealized appreciation (13,691,428) 807,573 186,821 (9,136,965) 66,221
(depreciation) on investments
Accumulated net short-term (1,000) 147,248 8,353 (1) (8,998)
realized gain (loss) on investments
Net unrealized appreciation
(depreciation) on translation of
assets and liabilities 1,143,219 (2,361,555)
denominated in foreign currencies
---------- ---------- ------------- ---------- ------------ -------------
NET ASSETS $ 492,866,33$ 5,469,919 $ 62,147,578 $ 48,444,931$ 3,110,727 $ 4,242,086
========== ========== ============= ========== ============ =============
NET ASSET VALUE PER OUTSTANDING $ 11.6936$ 12.1191$ 11.6147 $ 9.3167$ 1.0000 $ 10.1372
SHARE
========== ========== ============= ========== ============ =============
SHARES OF CAPITAL STOCK OUTSTANDING: 42,148,295 451,349 5,350,769 5,199,803 3,110,727 418,466
</TABLE>
See notes to financial statements.
<PAGE>
THE ORCHARD SERIES FUND
<TABLE>
STATEMENTS OF OPERATIONS
FOR THE PERIOD FEBRUARY 3, 1997 (INCEPTION) TO OCTOBER 31, 1997
- ----------------------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD ORCHARD ORCHARD ORCHARD ORCHARD
INDEX INDEX INDEX INDEX MONEY MARKET PREFERRED
500 600 EUROPEAN PACIFIC
FUND FUND FUND FUND FUND STOCK FUND
--------- --------- ------------ ----------- ------------ -----------
INVESTMENT INCOME:
<S> <C> <C> <C> <C> <C> <C>
Interest $ 2,613 $ 2,554 $ 52,427 $ 78,232 $121,136 $ 5,953
Dividends 267,224 29,971 457,051 253,874 205,885
Less: Foreign withholding tax (292) (8) (63,195) (8,872)
--------- --------- ------------ ----------- ------------ -----------
Total income 269,545 32,517 446,283 323,234 121,136 211,838
--------- --------- ------------ ----------- ------------ -----------
EXPENSES:
Salaries 1,440 1,440 1,440
Legal and SEC fees 1,105 978 125
Directors' fees 436 386 49
Audit fees 10,248 10,252 4,219
Investment administration 90,537 90,538 22,635
Bank and custodial fees 37,780 32,811 1,613
Other expenses 24,335 24,282 457
Management fee 53,983 21,804 219,272 198,749 4,526 27,297
--------- --------- ------------ ----------- ------------ -----------
Total expenses 53,983 21,804 385,153 359,436 35,064 27,297
Less amount paid by GW Capital Management 122,027 120,937 24,655
--------- --------- ------------ ----------- ------------ -----------
Net expenses 53,983 21,804 263,126 238,499 10,409 27,297
--------- --------- ------------ ----------- ------------ -----------
NET INVESTMENT INCOME 215,562 10,713 183,157 84,735 110,727 184,541
--------- --------- ------------ ----------- ------------ -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net short-term realized gain (loss) on (1,000) 147,248 8,353 (1) (8,998)
investments
Change in net unrealized appreciation (13,691,428) 807,573 186,821 (9,136,965) 66,221
(depreciation) on investments
Change in net unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated in 1,143,219 (2,361,555)
foreign currencies
--------- --------- ------------ ----------- ------------ -----------
Net change in realized and unrealized
appreciation (depreciation) on (13,692,428) 954,821 1,338,393 (11,498,521) 57,223
investments
--------- --------- ------------ ----------- ------------ -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING
FROM OPERATIONS (13,476,866) $965,534 $ 1,521,550 $ (11,413,786) $ 110,727 $ 241,764
========= ========= ============ =========== ============ ===========
</TABLE>
See notes to financial statements
<PAGE>
THE ORCHARD SERIES FUND
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD FEBRUARY 3, 1997 (INCEPTION) TO OCTOBER 31, 1997
- ----------------------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD ORCHARD ORCHARD ORCHARD ORCHARD
INDEX 500 INDEX 600 INDEX INDEX MONEY MARKET PREFERRED
EUROPEAN PACIFIC
FUND FUND FUND FUND FUND STOCK FUND
----------- ---------- ----------- ----------- ---------- ------------
INCREASE IN NET ASSETS:
OPERATIONS:
<S> <C> <C> <C> <C> <C> <C>
Net investment income 215,562 10,713 183,157 $ 84,735 110,727 184,541
Net short-term realized gain (loss) (1,000) 147,248 8,353 (1) (8,998)
on investments
Change in net unrealized (13,691,428) 807,573 186,821 (9,136,965) 66,221
appreciation (depreciation) on
investments
Change in net unrealized
appreciation (depreciation) on 1,143,219 (2,361,555)
translation
of assets and liabilities
denominated in foreign currencies
----------- ----------- ------------ ------------ ------------- -----------
Net increase (decrease) in net (13,476,866) 965,534 1,521,550 (11,413,786) 110,727 241,764
assets resulting from operations
----------- ----------- ------------ ------------ ------------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (215,562) (10,713) (183,157) (84,735) (110,727) (184,541)
----------- ----------- ------------ ------------ ------------- -----------
Total distributions (215,562) (10,713) (183,157) (84,735) (110,727)
(184,541)
----------- ----------- ------------ ------------ ------------- -----------
SHARE TRANSACTIONS:
Net proceeds from sales of shares 506,935,891 4,504,385 61,503,150 60,643,718 3,000,000 4,000,322
Reinvestment of distributions 215,562 10,713 183,157 84,735 110,727 184,541
Cost of shares redeemed (592,693) (877,122) (785,001)
----------- ----------- ------------ ------------ ------------- -----------
Net increase in net assets
resulting from
share transactions 506,558,760 4,515,098 60,809,185 59,943,452 3,110,727 4,184,863
----------- ----------- ------------ ------------ ------------- -----------
Total increase in net assets 492,866,332 5,469,919 62,147,578 48,444,931 3,110,727 4,242,086
----------- ----------- ------------ ------------ ------------- -----------
NET ASSETS:
Beginning of period 0 0 0 0 0 0
=========== =========== ============ ============ ============= ===========
End of period 492,866,332 5,469,919 62,147,578 $ 48,444,931 3,110,727 4,242,086
=========== =========== ============ ============ ============= ===========
OTHER INFORMATION:
SHARES:
Sold 42,180,500 450,337 5,408,490 5,262,973 3,000,000 400,031
Issued in reinvestment of 18,642 1,012 15,769 9,095 110,727 18,435
distributions
Redeemed (50,847) (73,490) (72,265)
----------- ----------- ------------ ------------ ------------- -----------
Net increase 42,148,295 451,349 5,350,769 5,199,803 3,110,727 418,466
=========== =========== ============ ============ ============= ===========
</TABLE>
See notes to financial statements.
<PAGE>
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 October 31, 1997 is as follows:
Net Asset Value, Beginning of Period 10.0000
Income From Investment Operations
Net investment income 0.0388
Net realized and unrealized gain 1.6936
-------------
Total Income From Investment Operations 1.7324
Less Distributions
From net investment income (0.0388)
-------------
Total Distributions (0.0388)
-------------
Net Asset Value, End of Period 11.6936
=============
Total Return 17.38%
Net Assets, End of Period 492,866,332
Average Commission Rate Paid Per Share 0.0318
Bought or Sold
Ratio of Expenses to Average Net Assets 0.60%*
Ratio of Net Investment Income to Average 1.67%*
Net Assets
Portfolio Turnover Rate 0.45%
*Annualized
(Continued)
<PAGE>
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 October 31, 1997 is as follows:
Net Asset Value, Beginning of Period 10.0000
Income From Investment Operations
Net investment income 0.0238
Net realized and unrealized gain 2.1191
-------------
Total Income From Investment Operations 2.1429
Less Distributions
From net investment income (0.0238)
-------------
Total Distributions (0.0238)
-------------
Net Asset Value, End of Period 12.1191
Total Return 21.46%
Net Assets, End of Period 5,469,919
Average Commission Rate Paid Per Share 0.0345
Bought or Sold
Ratio of Expenses to Average Net Assets 0.60%*
Ratio of Net Investment Income to Average 0.30%*
Net Assets
Portfolio Turnover Rate 21.58%
*Annualized
(Continued)
<PAGE>
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 October 31, 1997 is as follows:
Net Asset Value, Beginning of Period 10.0000
Income From Investment Operations
Net investment income 0.0343
Net realized and unrealized gain 1.6147
-------------
Total Income From Investment Operations 1.6490
Less Distributions
From net investment income (0.0343)
-------------
Total Distributions (0.0343)
-------------
Net Asset Value, End of Period 11.6147
=============
Total Return 16.47%
Net Assets, End of Period 62,147,578
Average Commission Rate Paid Per Share 0.0639
Bought or Sold
Ratio of Expenses to Average Net Assets 1.20%*
Ratio of Net Investment Income to Average 0.83%*
Net Assets
Portfolio Turnover Rate 5.69%
*Annualized
(Continued)
<PAGE>
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 October 31, 1997 is as follows:
Net Asset Value, Beginning of Period 10.0000
Income From Investment Operations
Net investment income 0.0163
Net realized and unrealized (loss) (0.6833)
--------------
Total (Loss) From Investment Operations (0.6670)
Less Distributions
From net investment income (0.0163)
--------------
Total Distributions (0.0163)
--------------
Net Asset Value, End of Period 9.3167
==============
Total Return (6.67%)
Net Assets, End of Period 48,444,931
Average Commission Rate Paid Per Share 0.0093
Ratio of Expenses to Average Net Assets 1.20%*
Ratio of Net Investment Income to Average 0.42%*
Net Assets
Portfolio Turnover Rate 0.04%
*Annualized
(Continued)
<PAGE>
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 October 31, 1997 is as follows:
Net Asset Value, Beginning of Period 1.0000
Income From Investment Operations
Net investment income 0.0363
-------------
Total Income From Investment Operations 0.0363
Less Distributions
From net investment income (0.0363)
-------------
Net Asset Value, End of Period 1.0000
=============
Net Assets, End of Period 3,110,727
Ratio of Expenses to Average Net Assets 0.46%*
Ratio of Net Investment Income to Average 4.88%*
Net Assets
*Annualized
(Continued)
<PAGE>
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 October 31, 1997 is as follows:
Net Asset Value, Beginning of Period 10.0000
Income From Investment Operations
Net investment income 0.4544
Net realized and unrealized gain 0.1372
-------------
Total Income From Investment Operations 0.5916
Less Distributions
From net investment income (0.4544)
-------------
Total Distributions (0.4544)
-------------
Net Asset Value, End of Period 10.1372
=============
Total Return 6.04%
Net Assets, End of Period 4,242,086
Ratio of Expenses to Average Net Assets 0.90%*
Ratio of Net Investment Income to Average 6.07%*
Net Assets
Portfolio Turnover Rate 10.05%
*Annualized
(Concluded)
<PAGE>
THE ORCHARD SERIES FUND
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 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).
Additional capitalization from GWL&A was received 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. At October 31, 1997, GWL&A's investment in the Portfolios
totaled $18,310,171.
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:
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.
Dividend income for the Portfolios is accrued as of the ex-dividend date
and interest income is recorded daily.
Dividends - Dividends from investment income of the Orchard Money Market
Fund are declared daily and reinvested monthly. Dividends from investment
income of the Orchard Preferred Stock Fund are declared and reinvested
quarterly. Dividends from investment income of the Orchard Index 500 and
Orchard Index 600 Funds are declared and reinvested semi-annually while
dividends from investment income of the Orchard Index Pacific and Orchard
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 - Security Transactions are accounted for on the
date investments are purchased or sold (trade date). The cost of
investments sold is determined on the basis of the first-in, first-out
method (FIFO).
Foreign Currency Translation - The accounting records of the Orchard
Index European and Orchard Index Pacific Funds are maintained in U.S.
dollars. Investment securities, and other assets and liabilities
denominated in a foreign currency are translated into U.S. dollars at the
current exchange rate. Purchases and sales of securities, income receipts
and expense payments are translated into U.S. dollars at the exchange rate
on the dates of the transactions.
The Orchard Index European and Orchard Index Pacific Funds isolate that
portion of the results of operations resulting from changes in foreign
exchange rates from the fluctuations arising from changes in market prices
of securities held.
<PAGE>
Net realized foreign exchange gains or losses arise from sales of
portfolio securities, sales and maturities of short-term securities, and
currency gains or losses realized between the amounts of dividends,
interest, and foreign withholding taxes recorded by the Orchard Index
European and Orchard Index Pacific Funds and the U.S. dollar equivalent of
the amounts actually received or paid. Net unrealized foreign exchange
gains and losses arise from changes in the value of assets and liabilities
including investments in securities at fiscal year end, resulting from
changes in the exchange rate.
Federal Income Taxes - For federal income tax purposes, each Fund intends
to qualify 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 taxes has been made.
3. INVESTMENT ADVISORY AGREEMENT
GW Capital Management, Inc. ("Capital Management"), a wholly-owned
subsidiary of GWL&A, serves as investment adviser 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 Orchard Money Market Fund, .90% of the average
daily net assets of the Orchard Preferred Stock Fund, .60% of the average
daily net assets of the Orchard Index 500 and Orchard Index 600 Funds and
1.00% of the average daily net assets of the Orchard Index Pacific and
Orchard Index European Funds.
Subject to revision, Capital Management has voluntarily agreed to
reimburse the Orchard Index Pacific Fund, the Orchard Index European Fund,
and the Orchard 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 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 for each portfolio in the Trust. 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.
<PAGE>
6. UNREALIZED APPRECIATION (DEPRECIATION)
Gross unrealized appreciation (depreciation) of securities is as follows
as of October 31, 1997:
Orchard Orchard Orchard Orchard Orchard
Index 500 Index 600 Index Index Preferred
European Pacific
Fund Fund Fund Fund Stock Fund
------------ ----------- ----------- ---------- ------------
Gross 1,711,576 1,051,808 3,516,083 208,907 81,949
Gross (15,403,004) (244,235) (2,186,043) (11,707,427) (15,728)
depreciation
------------ ----------- ----------- ---------- ------------
Net
unrealized
appreciation (13,691,428) 807,573 1,330,040 (11,498,520) 66,221
(depreciation)
============ =========== =========== ========== ============
<PAGE>
The Orchard Series Fund
Orchard Index European Fund
COMMON STOCK
AUSTRIA --- 0.5%
ELECTRIC
192 EVN-Energie Versorgung AG* 22,342
254 Oest Elektrizitaetswirtschafts-AG* 20,237
$42,579
FOREIGN BANKS
582 Bank Austria AG* 27,952
126 Bank Austria AG-Vorzug* 5,936
482 Creditanstalt - Bankierein* 31,988
12 Creditanstalt - Bankverein PC Ptg Certs* 2,084
207 Creditanstalt - Bkverein Vorzu* 11,736
$79,696
INDUSTRIAL PRODS & SVCS
252 VA Technologie AG* 44,840
$44,840
MFTG - INDUSTRIAL PRODS
554 Voest-Alpine Stahl AG* 24,038
146 Wienerberger Baust* 29,291
$53,329
OIL & GAS
454 Omv AG* 64,725
$64,725
TOTAL AUSTRIA --- 0.5% $285,169
BELGIUM --- 2.1%
CREDIT INSTITUTIONS
1,200 Societe Generale de Belgique 108,833
$108,833
ELECTRIC
950 Electrabel 213,258
1,399 Tractebel Inv International 119,197
$332,455
FINANCIAL SERVICES
754 Fortis AG 143,138
$143,138
FOREIGN BANKS
350 BQE Brux Lambert 89,018
300 Generale de Banque 122,733
214 Kredietbank NV Series A 89,810
50 Kredietbank NV Series B* 20,808
$322,369
INSURANCE
4 Fortis AG* 1
270 Royale Belge 71,485
$71,486
MFTG - INDUSTRIAL PRODS
1,500 Solvay SA 90,412
$90,412
OIL & GAS
650 Electrafina SA* 60,416
400 Petrofina SA 147,307
$207,723
TOTAL BELGIUM --- 2.1% $1,276,416
DENMARK --- 1.2%
COMMUNICATIONS
1,056 Tele Danmark A/S 62,104
$62,104
CONSUMER SERVICES
1,078 Novo-Nordisk A/S 116,916
15 Sophus Berendsen A/S Series A 2,268
335 Sophus Berendsen A/S Series B 50,661
$169,845
FINANCIAL SERVICES
784 Unidanmark 53,054
$53,054
FOREIGN BANKS
504 BG Bank AS* 32,460
900 Den Danske Bank AS 101,735
$134,195
INSURANCE
15 Codan Forsikring 2,314
$2,314
MFTG - CONSUMER PRODS.
594 Carlsberg Series A* 30,851
198 Carlsberg Series B* 10,435
1,009 Danisco A/S 57,182
$98,468
MFTG - INDUSTRIAL PRODS
2 A/S Dampskibsselskabet Svendborg* 122,205
2 D/S 1912* 87,071
$209,276
TOTAL DENMARK --- 1.2% $729,256
FINLAND --- 1.2%
COMMUNICATIONS
1,500 Nokia Oyj Series K 130,249
$130,249
ELECTRONICS - HIGH TECH
3,500 Nokia AB Series A 306,286
$306,286
FOREIGN BANKS
13,000 Merita Ltd Series A 63,677
100 Merita Ltd Series B 484
$64,161
MFTG - CONSUMER PRODS.
500 Cultor OY* 27,105
300 Huhtamaki Group Class I* 12,371
500 Orion Yhtyma Oy Class A* 18,393
400 Orion Yhtyma Oy Class B* 14,792
$72,661
MFTG - INDUSTRIAL PRODS
900 Kemira OY* 9,148
700 Metra OY Class B* 18,702
1,400 Outokumpu OY 20,871
13 Rauma OY* 244
4,900 UPM-Kymmene Corp 109,192
1,300 Valmet Corp 20,387
$178,544
TOTAL FINLAND --- 1.2% $751,901
FRANCE --- 9.9%
AGRICULTURE
50 Eridania Beghin-SA 7,196
$7,196
COMMUNICATIONS
510 Canal Plus 88,788
5,000 France Telecom SA* 189,267
$278,055
CONSUMER SERVICES
550 Accor 102,428
1,100 Havas 72,481
375 Pin-Printemps-Redo* 171,536
1,750 Sanofi SA 166,291
$512,736
CREDIT INSTITUTIONS
19 Compagnie de Suez* 49
$49
ELECTRONICS - HIGH TECH
2,700 Alcatel Alsthom (Cie Gen El) 325,854
$325,854
FOREIGN BANKS
3,500 Banque Nationale de Paris 154,760
1,550 Societe Generale 212,329
$367,089
HOLDING & INVEST. OFFICES
2,075 Cie Fin Paribas 150,723
$150,723
INSURANCE
5,600 AXA 383,562
$383,562
MFTG - CONSUMER PRODS.
700 Christian Dior 77,683
1,200 Danone 183,527
1,460 LVMH Moet Hennessy 248,101
2,000 Michelin (CGDE) 102,618
320 Promodes 104,207
800 Synthelabo* 94,191
$810,327
MFTG - INDUSTRIAL PRODS
1,225 Air Liquide 190,112
4,000 Renault (Regie NTL)* 111,323
5,500 Rhone-Poulenc SA 239,856
2,300 Schneider SA* 122,837
100 Usinor Sacilor 1,656
$665,784
OIL & GAS
4,600 Elf Aquitaine SA 569,516
4,050 Total SA 449,454
$1,018,970
RETAIL TRADE
645 Carrefour 336,648
200 Cie Gen de Eaux Warrants* 106
1,450 Compagnie de Saint Gobain 208,184
2,050 Eaux (Cie Generale) 239,232
1,130 L'oreal 400,506
1,600 Lafarge 99,990
850 Peugeot SA* 96,246
$1,380,912
UTILITIES
2,340 Lyonnaise Des Eaux 243,001
$243,001
TOTAL FRANCE --- 9.9% $6,144,258
GERMANY --- 12.2%
ELECTRIC
8,300 Veba AG 463,442
$463,442
ELECTRONICS - HIGH TECH
9,450 Siemens AG 582,561
$582,561
FOREIGN BANKS
3,950 Bayer Vereins Bank AG* 229,504
6,800 Commezbank AG 231,131
10,300 Deutsche Bank AG 681,640
9,250 Dresdner Bank AG 378,900
$1,521,175
INSURANCE
4,550 Allianz AG Holdings* 1,028,383
1,500 Munchener Ruckvers* 442,304
$1,470,687
MFTG - INDUSTRIAL PRODS
10,400 BASF AG 353,495
14,150 Bayer Ag 497,400
9,900 Hoechst AG 381,079
615 Mannesmann AG 260,136
450 Viag AG 209,299
$1,701,409
MINING
5,550 Rwe AG* 241,206
$241,206
RETAIL TRADE
3,840 Metro AG* 169,566
480 Volkswagen AG 285,306
$454,872
TELEPHONE
11,600 Deutsche Telekom AG* 217,698
$217,698
TRANSPORTATION EQUIPMENT
320 Bayerische Motoren Werke AG* 232,410
10,100 Daimler-Benz AG 677,793
$910,203
TOTAL GERMANY --- 12.2% $7,563,253
IRELAND --- 1.4%
CREDIT INSTITUTIONS
11,510 Allied Irish Banks PLC* 86,688
8,182 Bank of Ireland Series A* 92,680
14,200 Bank of Ireland Series B* 179,382
$358,750
FOREIGN BANKS
12,000 Allied Irish Banks* 101,720
$101,720
INSURANCE
5,292 Irish Life PLC* 27,789
$27,789
MFTG - CONSUMER PRODS.
8,755 Kerry Group PLC* 105,081
18,536 Smurfit (Jefferson)* 54,785
$159,866
MFTG - INDUSTRIAL PRODS
20,209 CRH PLC* 217,998
$217,998
TOTAL IRELAND --- 1.4% $866,123
ITALY --- 5.5%
COMMERCIAL/OTHER
7,000 Rolo Banca* 91,586
$91,586
COMMUNICATIONS
20,000 Mediaset SPA* 90,935
$90,935
FOREIGN BANKS
10,000 IMI SPA 89,632
14,000 Istituto Banc San Paolo di Torino 106,464
$196,096
HOLDING & INVEST. OFFICES
70,116 Telecom Italia SPA* 283,931
161,111 Telecom Italia SPA RNC* 1,011,999
$1,295,930
INSURANCE
10,000 Alleanza Assicuraz 86,228
1,000 Alleanza Assicuraz non cnv 4,926
15,000 Assic Generali SPA 336,122
67,000 Istituto Nazionale delle Assicurazioni 108,089
1,000 RAS 8,525
$543,890
MFTG - CONSUMER PRODS.
7,000 Montedison SPA 5,694
1,000 Montedison SPA RNC 562
$6,256
MFTG - INDUSTRIAL PRODS
61,600 Fiat SPA 196,384
$196,384
OIL & GAS
75,000 ENI 422,705
$422,705
RETAIL TRADE
13,200 Fiat SPA 23,913
$23,913
TELEPHONE
26,000 Telecom Italia Mobile SPA* 53,412
131,000 Telecom Italia Mobile SPA 487,046
$540,458
TOTAL ITALY --- 5.5% $3,408,153
NETHERLANDS --- 8.6%
COMMUNICATIONS
281 Polygram NV 15,980
$15,980
CONSUMER SERVICES
6,723 Philips Electronics 526,398
$526,398
FOREIGN BANKS
28,876 ABN Amro Holding NV 581,596
$581,596
HOLDING & INVEST. OFFICES
15,942 ING Groep NV 669,280
$669,280
INSURANCE
5,605 Aegon NV 441,748
$441,748
MFTG - CONSUMER PRODS.
12,384 Unilever NV 658,337
$658,337
OIL & GAS
39,778 Royal Dutch Petroleum 2,104,363
$2,104,363
TELEPHONE
9,183 Kon Ptt Nederland 350,991
$350,991
TOTAL NETHERLANDS --- 8.6% $5,348,693
NORWAY --- 0.8%
CONSUMER SERVICES
1,000 Nycomed ASA Class A 26,301
700 Nycomed ASA Class B* 17,410
$43,711
ELECTRIC
300 Hafslund ASA 1,822
$1,822
FOREIGN BANKS
4,600 Christiania Bank og Kreditdasse* 18,411
5,300 Den Danske Bank 24,015
$42,426
INSURANCE
4,600 Storebrand ASA* 34,191
$34,191
MFTG - CONSUMER PRODS.
200 Orkla ASA* 16,495
1,200 Schibsted AS* 22,470
$38,965
MFTG - INDUSTRIAL PRODS
600 Kvaerner AS Series A 30,918
100 Kvaerner AS Series B* 4,824
1,900 Norske Hydro AS 104,697
700 Orkla AS 64,338
$204,777
OIL & GAS
1,700 Saga Petroleum Series A 33,291
600 Saga Petroleum Series B* 10,635
200 Transocean 10,578
$54,504
RETAIL TRADE
1,000 Aker Rgi ASA* 18,439
$18,439
TRANSPORTATION EQUIPMENT
900 Bergesen dy ASA Series A* 26,244
400 Bergesen dy ASA Series B* 11,778
$38,022
TOTAL NORWAY --- 0.8% $476,857
SPAIN --- 3.6%
ELECTRIC
17,500 Empresa Nacional de Electridad SA 329,871
15,315 Iberdrola SA 183,325
$513,196
FOREIGN BANKS
2,125 Argentaria Corp BC 118,121
11,340 BCO Bilbao Vizcaya 303,471
5,512 BCO Central Hispan 103,141
9,900 BCO ESP de Credito* 91,604
2,000 Banco Popular Espanol SA 118,189
8,568 Banco Santander SA 240,194
$974,720
OIL & GAS
5,050 Repsol SA 211,922
$211,922
OTHER UTILITIES
2,500 Gas Natural SDG 115,919
$115,919
TELEPHONE
15,800 Telefonica de Espana 431,522
$431,522
TOTAL SPAIN --- 3.6% $2,247,279
SWEDEN --- 4.3%
COMMUNICATIONS
1,400 Ericsson Tel Series A* 64,459
14,700 Ericsson Tel Series B 649,276
$713,735
CONSTRUCTION
2,000 Skanska AB Class B* 77,362
$77,362
CONSUMER SERVICES
22,400 Astra AB Series A* 362,770
5,133 Astra AB Series B* 79,694
$442,464
ELECTRIC
11,200 ABB AB Series A 131,167
4,500 ABB AB Series B 52,099
$183,266
FOREIGN BANKS
3,100 Nordbanken AB 97,505
8,400 Skand Enskilda BKN 91,067
4,700 Sparbanken Sverige AB, Swedbank* 106,941
3,600 Svenska Handelsbanken 114,195
100 Svenska Handelsbanken* 2,985
$412,693
HOLDING & INVEST. OFFICES
1,300 Investor AB Series A 60,203
1,900 Investor AB Series B 88,752
$148,955
MFTG - INDUSTRIAL PRODS
60 Granges AB* 984
3,500 Sandvik AB Series A 106,339
1,200 Sandvik AB Series B* 36,620
1,700 Scania AB Series A* 41,184
1,700 Scania AB Series B* 41,980
500 Stora Kopparbergs Bergslags Aktiebolag Series A 6,926
$234,033
RETAIL TRADE
3,100 Hennes & Mauritz AB* 127,172
2,400 Volvo Series A 62,478
$189,650
TRANSPORTATION
5,400 Volvo Series B 141,660
$141,660
WHOLESALE TRADE -CONSUMER
1,194 Electrolux AB 99,082
$99,082
TOTAL SWEDEN --- 4.3% $2,642,900
SWITZERLAND --- 10.9%
CONSUMER SERVICES
110 Novartis* 173,672
1,210 Novartis (registered) 1,897,412
$2,071,084
FOREIGN BANKS
1,525 Schweizerischer Bankverein* 410,556
400 Union Bank of Switzerland Bearer 461,065
450 Union Bank of Switzerland Registered* 103,933
$975,554
HOLDING & INVEST. OFFICES
3,800 CS Holding 535,967
770 Nestle SA 1,086,314
$1,622,281
INSURANCE
285 SCHW Ruckversicher 429,793
$429,793
MFTG - INDUSTRIAL PRODS
136 Roche Holding AG 1,196,625
31 Roche Holdings AG* 461,065
$1,657,690
TOTAL SWITZERLAND --- 10.9% $6,756,402
UNITED KINGDOM --- 33.3%
AIR
18,000 BAA PLC 166,132
4,000 British Airways PLC* 39,066
$205,198
COMMERCIAL/OTHER
42,000 Halifax* 475,741
$475,741
COMMUNICATIONS
29,000 British Sky Broadcasting Group PLC 205,853
38,000 Cable and Wireless 303,535
14,000 Granada Group 193,116
28,000 Reuters Holdings PLC 304,005
51,000 Vodafone Group 278,145
$1,284,654
CONSTRUCTION
1,068 Hanson PLC 5,493
$5,493
CONSUMER SERVICES
8,128 BOC Group 136,805
14,532 EMI Group PLC 117,663
31,719 Guinness 283,703
47,559 Marks and Spencer 482,843
10,223 Peninsular & Oriental Steam Navigation Co 118,371
14,000 Rank Group PLC 78,233
92,000 Smithkline Beecham PLC 872,276
$2,089,894
ELECTRIC
855 Energy Group PLC 8,716
3,000 National Grid Group PLC 14,146
11,000 Powergen 122,384
20,000 Scot Power 149,687
$294,933
ELECTRONICS - HIGH TECH
46,636 General Electric Co PLC 297,974
20,000 National Power 166,803
$464,777
ENVIRONMENTAL SERVICES
48,000 Rentokil Initial PLC 193,317
$193,317
FINANCIAL SERVICES
21,000 Legal & General Group PLC* 174,438
$174,438
FOREIGN BANKS
20,000 Bank of Scotland* 165,125
25,442 Barclays PLC 637,425
45,000 HSBC Holdings PLC 1,078,599
89,940 Lloyds TSB Group 1,124,416
29,000 National Westminster Bank PLC 417,058
32,000 Prudential Corp 341,527
13,700 Royal BK Scot Group 145,297
$3,909,447
HOLDING & INVEST. OFFICES
67,603 BTR PLC 228,307
17,000 Standard Chartered 184,574
20,000 Tomkins PLC 102,700
$515,581
INDUSTRIAL PRODS & SVCS
5,914 GKN PLC 132,688
8,000 Siebe PLC 153,714
$286,402
INSURANCE
11,000 Commercial Union 155,056
8,000 General Accident PLC 136,195
26,000 Royal & Sun Alliance Insurance Group PLC* 249,349
$540,600
MFTG - CONSUMER PRODS.
51,000 ASDA Group 132,654
15,000 Associated British Foods 120,823
52,046 BAT Industries 455,470
34,000 British Steel 90,148
16,873 Cadbury Schweppes PLC 169,887
9,590 Pearson PLC 125,525
18,864 Reed International PLC 186,610
18,000 Safeway 117,274
6,000 Vendome Luxury Group PLC 36,549
$1,434,940
MFTG - INDUSTRIAL PRODS
2,000 British Aerospace PLC* 53,095
60,000 Glaxo Wellcome PLC 1,286,767
12,000 Imperial Chemical Industry 177,207
5,000 Rolls-Royce PLC* 17,956
54,656 Unilever PLC* 407,229
16,000 Zeneca Group 505,041
$2,447,295
MINING
17,959 RTZ Corp 231,452
$231,452
OIL & GAS
81,000 British Gas PLC 356,126
95,294 British Petroleum Company PLC 1,400,837
7,000 Centrica PLC* 9,838
136,000 Shell Transport & Trading 964,807
$2,731,608
REAL ESTATE
8,665 Land Securities 145,407
$145,407
RETAIL TRADE
17,420 Allied Domecq 142,216
14,847 Bass PLC 206,294
15,188 Boots Co 217,659
35,000 Grand Metropolitan 315,986
17,000 Great Universal Stores PLC 201,548
30,866 J Sainsbury PLC 257,686
11,000 Kingfisher 158,379
10,000 Scot & Newcastle 113,188
36,469 Tesco 292,070
8,000 Whitbread 106,996
$2,012,022
TELEPHONE
106,577 British Telecommunications PLC 810,176
$810,176
WHOLESALE TRADE -CONSUMER
24,000 Abbey National 381,801
$381,801
TOTAL UNITED KINGDOM --- 33.3% $20,635,176
TOTAL COMMON STOCK --- 95.3% $59,131,836
(Cost $57,785,975)
PREFERRED STOCK
GERMANY --- 0.5%
OIL & GAS
3,350 RWE AG* 123,501
$123,501
RETAIL TRADE
360 Metro AG* 12,759
300 Volkswagen AG* 136,308
$149,067
TRANSPORTATION EQUIPMENT
100 Bayerische Motoren Werke* 50,840
$50,840
TOTAL GERMANY --- 0.5% $323,408
ITALY --- 0.0%
MFTG - INDUSTRIAL PRODS
17,600 Fiat SPA 29,019
$29,019
TOTAL ITALY --- 0.0% $29,019
TOTAL PREFERRED STOCK --- 0.6% $352,427
(Cost $368,248)
SHORT-TERM INVESTMENTS
UNITED STATES --- 4.1%
CREDIT INSTITUTIONS
2,557,000 Prudential Funding Corp 2,556,202
$2,556,202
TOTAL UNITED STATES --- 4.1% $2,556,202
TOTAL SHORT-TERM INVESTMENTS --- 4.1% $2,556,202
(Cost $2,556,202)
TOTAL ORCHARD INDEX EUROPEAN FUND --- 100.0% $62,040,465
(Cost $60,710,425)
The Orchard Series Fund
Orchard Index Pacific Fund
COMMON STOCK
AUSTRALIA --- 6.3%
CONSUMER SERVICES
1,800 Publishing & Broadcasting Ltd* 10,443
$10,443
CREDIT INSTITUTIONS
6,450 Commonwealth Instalment Receipt Trustee Ltd 47,669
$47,669
FOREIGN BANKS
31,400 Australia & New Zealand Banking Group Ltd* 218,973
9,750 Commonwealth Bank of Australia 112,098
31,000 National Australia Bank 423,994
37,300 Westpac Banking Corporation Ltd* 217,179
$972,244
INSURANCE
5,250 Lend Lease Corp Ltd 107,505
36,100 National Mutual Holdings Ltd 62,194
$169,699
MFTG - CONSUMER PRODS.
19,850 Coca-Cola Amatil Ltd 149,356
41,100 Foster's Brewing Group Ltd 78,034
16,400 News Corp Ltd 78,536
21,400 Pacific Dunlop Ltd 45,702
$351,628
MFTG - INDUSTRIAL PRODS
13,300 Amcor Ltd 62,736
23,900 Boral Ltd 62,856
21,200 CSR Ltd 73,659
6,200 ICI Australia Ltd 46,650
3,400 M.I.M. Holdings Ltd 2,988
18,600 Pioneer International Ltd 49,179
$298,068
MINING
47,200 Broken Hill Proprietary Company Ltd 467,993
13,500 CRA Ltd 164,232
11,800 Comalco Ltd 48,292
$680,517
OIL & GAS
23,700 WMC Ltd 84,162
13,950 Woodside Petroleum Ltd 117,814
$201,976
OTHER TRANS. SERVICES
4,700 Brambles Industries Ltd 90,359
$90,359
RETAIL TRADE
24,000 Coles Myer Ltd 115,437
23,500 Woolworths Ltd 75,851
$191,288
TOTAL AUSTRALIA --- 6.3% $3,013,891
BERMUDA --- 0.0%
HOLDING & INVEST. OFFICES
1,000 Jardine Matheson Holdings Ltd* 6,400
$6,400
TOTAL BERMUDA --- 0.0% $6,400
HONG KONG --- 8.5%
AIR
73,000 Cathay Pacific Air 76,966
$76,966
COMMUNICATIONS
272,800 Hong Kong Telecommunications Ltd 522,307
$522,307
CONSUMER SERVICES
51,000 Sun Hung Kai Properties 376,002
20,500 Swire Pacific Ltd Series A 109,528
65,000 Swire Pacific Ltd Series B 68,952
$554,482
ELECTRIC
52,500 China Light & Power Company Ltd 276,423
$276,423
ELECTRONICS - HIGH TECH
43,000 Hongkong Electric Holdings Ltd 145,743
$145,743
FOREIGN BANKS
28,000 Bank of East Asia 62,664
41,000 Hang Seng Bank Ltd 356,695
$419,359
GAS
76,200 Hong Kong and China Gas Company Ltd 143,922
$143,922
HOLDING & INVEST. OFFICES
45,000 Citic Pacific Ltd 215,394
36,000 Henderson Land Development Company Ltd 199,327
91,000 Hutchison Whampoa Ltd 629,818
15,000 Jardine Matheson Holdings Ltd 96,000
38,000 New World Development Company Ltd 133,713
$1,274,252
REAL ESTATE
54,000 Cheung Kong Holdings Ltd 375,420
57,000 Hongkong Land Holdings Ltd 129,960
20,000 Tsim Sha Tsui Properties Ltd* 24,450
48,000 Wharf Holdings Ltd 98,111
43,000 Wheelock & Company Ltd 48,952
$676,893
TOTAL HONG KONG --- 8.5% $4,090,347
INDONESIA --- 0.3%
CONSTRUCTION
6,500 PT Semen Gresik 6,302
$6,302
CONSUMER SERVICES
11,700 Indocement Tunggal Prakarsa 6,319
11,500 PT Astra International 8,521
$14,840
CREDIT INSTITUTIONS
32,000 PT Bank Internasional Indonesia 6,869
$6,869
MFTG - INDUSTRIAL PRODS
21,500 PT Gudang Garam 60,747
2,500 PT HM Sampoerna 4,345
$65,092
TELEPHONE
48,500 PT Telekomunikasi 45,007
10,500 Pt Indosat* 23,632
$68,639
TOTAL INDONESIA --- 0.3% $161,742
JAPAN --- 75.2%
AIR
13,000 Japan Airlines* 47,115
$47,115
COMMUNICATIONS
16 DDI Corp* 53,466
3 Japan Telecom Co* 41,895
300 KDD 15,261
1,000 Oki Electric Industry Co 2,718
84,000 Toshiba Corp 380,549
$493,889
CONSTRUCTION
11,000 Daiwa House Industry Company Ltd 106,068
21,000 Komatsu Ltd 112,244
17,000 Shimizu Corporation* 77,581
22,000 Taisei Corp* 77,174
$373,067
CONSUMER SERVICES
6,000 Eisai Company Ltd* 94,264
13,000 Kao Corp 181,546
2,000 Oriental Land Co Ltd* 103,907
10,000 Sankyo Co Ltd 330,008
300 Sony Music Entertainment Inc 10,549
7,000 Taisho Pharmaceutical Co 179,219
22,000 Takeda Chemical Industry 599,834
7,000 Yamanouchi Pharmaceutical Co Ltd 172,236
$1,671,563
ELECTRIC
16,400 Chubu Electric Power Company Inc 278,104
8,200 Chugoku Electric Power Company Ltd 133,599
500 Hokkaido Electric Power 8,187
25,100 Kansai Electric Power Company Inc 444,413
6,300 Shikoku Electric Power 102,643
11,000 Tohoku Electric Power 179,219
36,700 Tokyo Electric Power 701,663
$1,847,828
ELECTRONICS - HIGH TECH
20,000 Canon Inc 485,453
23,000 Denso Corp* 497,026
5,300 Fanuc 214,110
74,000 Hitachi Ltd* 568,994
4,000 Hoya Corp* 138,985
10,400 Kyushu Electric Power 172,901
49,000 Matsushita Electric Industrial Company Ltd 822,711
47,000 Mitsubishi Electric Corp 156,666
35,000 NEC Corp 384,040
3,200 Nintendo Corp Ltd 276,642
6,000 Omron Corp 101,746
3,000 Rohm Company* 296,758
43,000 Sanyo Electric Co 142,976
4,000 Secom* 258,622
24,000 Sharp Corp 186,534
9,500 Sony Corp 788,903
17,000 Sumitomo Electric Industries 224,688
$5,717,755
FINANCIAL SERVICES
1,000 Nichiei Company Ltd* 109,726
$109,726
FOREIGN BANKS
51,000 Asahi Bank 264,538
1,000 Bank of Fukuoka Ltd 4,247
109,000 Bank of Tokyo-Mitsubishi 1,422,462
26,000 Bank of Yokohama 107,847
18,000 Chiba Bank Ltd 89,476
68,000 Dai-Ichi Kangyo Bank Ltd 576,493
34,000 Daiwa Bank Ltd 126,616
63,000 Fuji Bank Ltd* 544,573
11,000 Gunma Bank 89,975
12,000 Hachijuni Bank 118,703
56,000 Industrial Bank of Japan 553,948
19,000 Joyo Bank* 87,182
52,000 Long-Term Credit Bank of Japan 175,926
37,000 Mitsubishi Trust & Banking 455,195
27,000 Mitsui Trust & Banking 93,815
33,000 Nikko Securities Company Ltd 119,327
37,000 Nippon Credit Bank 47,057
76,000 Sakura Bank Ltd 310,191
63,000 Sanwa Bank Ltd 633,601
17,000 Shizuoka Bank* 172,402
70,000 Sumitomo Bank 744,805
28,000 Sumitomo Trust & Banking 213,433
45,000 Tokai Bank* 262,594
17,000 Toyo Trust & Banking 127,041
2,000 Yasuda Trust & Banking 5,337
$7,346,784
GAS
55,000 Osaka Gas Co 121,613
61,000 Tokyo Gas Co 139,950
$261,563
INDUSTRIAL SERVICES
24,000 Sumitomo Corp 171,571
$171,571
INSURANCE
2,000 Mitsui Marine and Fire Insurance Company Ltd 11,771
16,000 Sumitomo Marine & Fire 106,602
36,000 Tokio Marine & Fire Insurance Co 359,102
19,000 Yasuda Fire & Marine Insurance 105,345
$582,820
LEASING
3,000 Acom Company Ltd* 164,588
21,000 Mitsubishi Motor Credit 92,169
$256,757
MFTG - CONSUMER PRODS.
14,000 Ajinomoto Co 126,849
18,000 Dai Nippon Printing Co Ltd 359,102
24,000 Kirin Brewery Company Ltd 201,496
8,000 Nikkon Corporation* 89,111
20,000 Nippon Paper Industries Co 109,393
9,000 Shiseido Company Ltd* 122,693
3,000 TDK Corp* 248,878
15,000 Toppan Printing Company Ltd 188,279
$1,445,801
MFTG - INDUSTRIAL PRODS
43,000 Asahi Chemical Industry Company Ltd 195,811
25,000 Asahi Glass Company Ltd 168,329
41,000 Fujitsu* 449,875
29,000 Ishikawajima-Harima Heavy Industries Co Ltd 65,810
32,000 Itochu Corp 109,858
22,000 Kajima Corp 98,570
92,000 Kawasaki Steel Corp 161,363
62,000 Kobe Steel Ltd* 74,729
30,000 Kubota Corp 116,708
4,000 Kyocera Corp* 229,093
48,000 Mitsubishi Chemical Corp 108,129
89,000 Mitsubishi Heavy Industries Ltd 437,231
6,000 Murata Mfg Co Ltd 243,391
78,000 NKK Corp 108,279
22,000 New Oji Paper Co 111,554
151,000 Nippon Steel Co 311,288
65,000 Nissan Motor Company Ltd 346,277
14,000 Ricoh Corp Ltd 180,382
2,000 SMC* 172,901
12,000 Sekisui Chemical Co 94,464
9,000 Shin-Etsu Chemical Co 219,950
36,000 Sumitomo Chemical Co 128,379
70,000 Sumitomo Metal Industries 140,233
5,000 Tokyo Electron Ltd* 249,377
30,000 Toray Industries Inc 167,082
5,000 Tostem Corp* 69,410
5,000 Toyo Seikan Kaisha* 78,554
8,000 Toyoda Automatic Loom Works Ltd* 156,941
$4,993,968
MINING
33,000 Marubeni Corp 103,142
24,000 Mitsubishi Materials Corp 67,830
$170,972
OIL & GAS
13,000 Tonen Corp 96,717
$96,717
OTHER TRANS. SERVICES
10,000 All Nippon Airways Company Ltd 49,875
38,000 Kawasaki Heavy Industries 88,445
25,000 Nippon Yusen Kabushiki Kaisha 91,230
$229,550
RAILROADS
89 East Japan Railway Co 432,793
18,000 Hankyu Corp 90,374
36,000 Kinki Nippon Railway 204,389
2,000 Odakyu Electric Railway 9,759
10,000 Seibu Railway 408,146
18,000 Tobu Railway Co* 68,828
25,000 Tokyu Corp 103,907
$1,318,196
REAL ESTATE
29,000 Mitsubishi Estate Company Ltd 366,417
19,000 Mitsui Fudosan 214,796
16,000 Obayashi Corp 84,190
15,000 Sekisui House Ltd 128,429
$793,832
RETAIL TRADE
15,000 Daiei Inc 69,326
10,000 Ito-Yokado Co Ltd 497,090
7,000 JUSCO Co 156,525
8,000 Marui Co* 134,995
16,000 Matsushita Electric Works 144,970
26,000 Nippon Oil Co 106,550
10,000 Seven - Eleven Japan 748,130
11,000 Suzuki Motor Company Ltd 117,041
$1,974,627
SECURITIES & COMMODITIES
30,000 Daiwa Securities Co Ltd 181,546
43,000 Nomura Securities Co Ltd 500,416
25,000 Yamaichi Securities Company Ltd 47,382
$729,344
TELEPHONE
80 Nippon Telegraph & Telephone Corp 678,239
$678,239
TRANSPORTATION EQUIPMENT
23,000 Honda Motor Company Ltd 774,314
23,000 Nippon Express Co Ltd 123,890
89,000 Toyota Motor Corp 2,478,387
$3,376,591
WHOLESALE TRADE - INDL
2,000 Hitachi Zosen Corp 4,405
35,000 Mitsubishi Corp 299,602
35,000 Mitsui & Co 265,627
$569,634
WHOLESALE TRADE -CONSUMER
19,000 Bridgestone Corp 410,640
12,000 Fuji Photo Film 434,912
$845,552
TOTAL JAPAN --- 75.2% $36,103,461
MALAYSIA --- 0.1%
AGRICULTURE
1,000 Kuala Lumpur Kepong Bhd 2,409
$2,409
COMMUNICATIONS
1,500 Telekom Malaysia Bhd 3,908
$3,908
CONSUMER SERVICES
3,000 Renong Bhd* 2,765
2,000 Resorts World Bhd 3,584
$6,349
CREDIT INSTITUTIONS
1,000 Technology Resources Industries Bhd 976
$976
ELECTRIC
1,000 Tenaga Nasional Bhd 2,169
$2,169
FOREIGN BANKS
2,000 Malayan Banking Bhd 7,771
2,000 Malayan United Industries Bhd 879
800 Malayan United Industries Rights* 0
1,000 Public Bank Bhd 630
$9,280
FORESTRY
1,000 Lingui Developments Bhd* 716
$716
HIGHWAYS
1,000 UTD Engineers Bhd 2,380
$2,380
HOLDING & INVEST. OFFICES
800 AMMB Holdings Bhd 1,313
1,000 Affin Holdings Bhd 768
1,000 Berjaya Sports Toto Bhd 2,740
6,000 Faber Group Bhd* 1,753
3,000 Magnum Corporation Bhd 2,358
1,000 Malaysian Helicopter Services Bhd 331
1,000 Multi-Purpose Holdings Bhd 527
1,500 YTL Corporation Bhd* 1,671
$11,461
MFTG - INDUSTRIAL PRODS
1,000 Land & General Holdings Bhd 436
1,000 Perusahaan Otomobil Nasional Bhd 2,410
$2,846
OIL & GAS
1,000 Petronas Gas Bhd 2,711
$2,711
REAL ESTATE
1,333 Malaysian Resources Corporation Bhd 794
$794
RETAIL TRADE
4,000 Sime Darby Bhd 5,783
$5,783
TOTAL MALAYSIA --- 0.1% $51,782
NEW ZEALAND --- 1.5%
COMMUNICATIONS
77,200 Telecom Corporation of New Zealand Ltd 373,763
$373,763
HOLDING & INVEST. OFFICES
115,000 Brierley Investments Ltd 88,739
$88,739
MFTG - CONSUMER PRODS.
24,800 Lion Nathan Ltd* 59,880
$59,880
MFTG - INDUSTRIAL PRODS
74,000 Carter Holt Harvey Ltd 128,940
56 Fletcher Challenge Ltd* 54
27,800 Fletcher Challenge Paper 45,671
$174,665
TOTAL NEW ZEALAND --- 1.5% $697,047
PHILIPPINES --- 0.2%
CONSUMER SERVICES
83,900 SM Prime Holdings 14,841
13,620 San Miguel Corp 15,349
$30,190
ELECTRIC
6,980 Manila Electric Co 21,507
$21,507
FOREIGN BANKS
1,443 Metropolitan Bank & Trust Co* 10,086
900 Philippine Commercial International Bank* 3,415
$13,501
REAL ESTATE
56,000 Ayala Corp Class B 20,770
16,925 Ayala Land Inc Class B 6,639
35,200 C & P Homes Inc 2,661
$30,070
TELEPHONE
900 Philippine Long Distance 22,468
$22,468
TOTAL PHILIPPINES --- 0.2% $117,736
SINGAPORE --- 0.9%
AIR
7,000 Singapore Airlines Ltd 52,478
$52,478
COMMUNICATIONS
36,000 Singapore Telecommunications Ltd 57,179
$57,179
CONSUMER SERVICES
3,000 Singapore Press* 41,360
$41,360
FOREIGN BANKS
6,000 Development Bank of Singapore Ltd 56,035
10,200 Oversea-Chinese Banking Corporation Ltd 56,703
4,000 Overseas Union Bank Ltd 13,342
8,000 United Overseas Bank Ltd 44,219
$170,299
MFTG - INDUSTRIAL PRODS
14,250 Keppel Corporation Ltd 45,085
$45,085
REAL ESTATE
17,000 City Developments Ltd 71,283
$71,283
TOTAL SINGAPORE --- 0.9% $437,684
THAILAND --- 0.1%
COMMUNICATIONS
2,000 Advanced Info Service Public Co Ltd 10,679
$10,679
CREDIT INSTITUTIONS
2,000 Bank of Ayudhra Ltd 1,582
$1,582
ELECTRONICS - HIGH TECH
1,000 Shinawatra Computer Co 3,956
$3,956
FINANCIAL SERVICES
5,700 Industrial Finance Corporation of Thailand* 4,509
$4,509
FOREIGN BANKS
5,300 Bangkok Bank Public Company Ltd 18,343
7,800 Krung Thai Bank Public Company Ltd 2,699
2,000 Siam Commercial Bank Public Company Ltd 3,881
4,200 Thai Farmers Bank Public Company Ltd 11,422
100 Thai Military Bank Public Company Ltd 40
$36,385
MFTG - INDUSTRIAL PRODS
700 Siam Cement Public Company Ltd 5,918
$5,918
TELEPHONE
6,100 TelecomAsia Corporation Public Company Ltd* 2,714
$2,714
TOTAL THAILAND --- 0.1% $65,743
TOTAL COMMON STOCK --- 93.3% $44,745,833
(Cost $56,244,353)
SHORT-TERM INVESTMENTS
UNITED STATES --- 6.7%
CREDIT INSTITUTIONS
2,438,000 Prudential Funding Corp 2,437,239
$2,437,239
ELECTRONICS - HIGH TECH
800,000 General Electric Co 799,386
$799,386
TOTAL UNITED STATES --- 6.7% $3,236,625
TOTAL SHORT-TERM INVESTMENTS --- 6.7% $3,236,625
(Cost $3,236,625)
TOTAL ORCHARD INDEX PACIFIC FUND --- 100.0% $47,982,458
(Cost $59,480,978)
The Orchard Series Fund
Orchard Index 500 Fund
COMMON STOCK
AGENCY --- 0.7%
73,520 Federal National Mortgage Association (nonvtg) 3,561,088
$3,561,088
AIR --- 0.4%
6,470 AMR Corp* 753,347
5,050 Delta Air Lines Inc 508,788
10,310 Southwest Airlines Co 336,364
6,140 US Air Group Inc* 287,813
$1,886,312
COMMUNICATIONS --- 3.8%
112,620 AT&T Corp 5,511,285
34,880 Airtouch Communications Inc* 1,347,240
10,910 Cabletron Systems Inc* 316,390
6,900 Clear Channel Communications Inc* 455,400
24,340 Comcast Corp Class A 669,350
19,700 Gannett Company Inc 1,035,471
35,300 Tele-Communications Inc - TCI Group Class A 809,676
38,830 Time Warner Inc 2,239,986
33,360 US West Communications Group 1,328,128
42,170 US West Media Group* 1,064,793
24,660 Viacom Inc Class B* 745,965
48,970 Westinghouse Electric Corp 1,294,620
62,560 Worldcom Inc* 2,103,580
$18,921,884
CONSTRUCTION --- 0.0%
2,120 Centex Corp 124,020
330 Kaufman & Broad Home Corp 7,033
210 Pulte Corp 7,849
$138,902
CONSUMER SERVICES --- 8.52%
4,650 Allergan Inc 153,157
18,500 Amgen Inc 911,125
3,940 Bausch & Lomb Inc 154,645
19,400 Baxter International Inc 897,250
8,590 Becton Dickinson & Co 395,672
7,670 Beverly Enterprises Inc* 114,567
7,780 Biomet Inc 194,010
69,200 Bristol-Myers Squibb Co 6,072,300
4,040 CR Bard Inc 112,110
28,390 CUC International Inc* 837,505
11,980 CVS Corp 734,518
45,410 Columbia/HCA Healthcare Corp 1,282,832
77,120 Eli Lilly & Co 5,157,400
7,270 H&R Block Inc 268,990
11,090 HFS Inc* 781,845
6,970 Harrah's Entertainment Inc* 137,218
23,940 Healthsouth Corp* 611,954
17,380 Hilton Hotels Corp 535,513
11,420 Humana Inc* 239,820
8,280 ITT Corp* 618,408
9,290 Ikon Office Solutions, Inc. 263,018
92,310 Johnson & Johnson 5,296,286
2,620 King World Productions Inc 123,795
4,540 Manor Care Inc 155,776
8,890 Marriott International Inc 620,078
32,460 Medtronic Inc 1,412,010
83,810 Merck & Company Inc 7,480,043
12,500 Mirage Resorts Inc* 312,500
17,570 Service Corporation International 534,778
6,460 St Jude Medical Inc* 195,816
21,120 Tenet Healthcare Corp* 645,469
46,810 The Walt Disney Co 3,850,123
13,140 United Healthcare Corp 608,540
5,140 United States Surgical Corp 138,456
7,070 Whitman Corp 185,588
$42,033,115
CREDIT INSTITUTIONS --- 9.42%
32,560 American Express Co 2,539,680
40,420 Banc One Corp 2,106,892
26,290 Bank of New York Company Inc 1,237,260
48,340 BankAmerica Corp 3,456,310
10,210 BankBoston Corp 827,643
6,960 Bankers Trust New York Corp 821,280
13,840 Barnett Banks Inc 954,960
3,740 Beneficial Corp 286,809
29,330 Chase Manhattan Corp 3,383,949
31,800 Citicorp 3,976,972
7,380 Comerica Inc 583,477
14,160 Corestates Financial Corp 1,030,140
7,500 Countrywide Credit Industries Inc 257,340
10,720 Fifth Third Bancorp 687,420
20,540 First Chicago NBD Corp 1,494,285
39,020 First Union Corp 1,914,399
17,290 Fleet Financial Group Inc 1,111,954
3,840 Golden West Financial Corp 333,120
6,880 HF Ahmanson & Co 405,920
7,470 Household International Inc 845,978
13,300 Huntington Bancshares Inc 429,750
12,440 JP Morgan & Company Inc 1,365,290
15,070 Keycorp 922,088
34,775 MBNA Corp 915,000
17,480 Mellon Bank Corp 901,304
14,960 National City Corp 893,860
49,380 NationsBank Corp 2,956,628
51,960 Norwest Corp 1,665,942
21,350 PNC Bank Corp 1,014,125
11,100 State Street Boston Corp 618,825
14,870 Suntrust Banks Inc 963,754
16,983 U S Bancorp 1,726,950
11,120 Wachovia Corp 837,469
17,490 Washington Mutual Inc 1,196,963
6,070 Wells Fargo & Co 1,768,646
$46,432,382
ELECTRIC --- 2.3%
13,240 American Electric Power Company Inc 625,590
10,410 Baltimore Gas & Electric Co 285,619
10,610 Carolina Power & Light Co 379,307
14,760 Central & South West Corp 318,255
11,020 Cinergy Corp 363,660
16,470 Consolidated Edison Company of New York Inc 564,097
10,110 DTE Energy Co 310,882
12,930 Dominion Resources Inc 480,828
25,064 Duke Power Co 1,209,338
27,620 Edison International 707,763
16,970 Entergy Corp 414,696
12,730 FPL Group Inc 657,976
8,390 GPU Inc 303,609
20,044 Houston Industries Inc 435,957
10,110 Niagara Mohawk Power Corp* 97,936
5,150 Northern States Power Co 259,431
10,610 Ohio Edison Co 262,598
11,520 PP&L Resources Inc 249,120
20,620 PacifiCorp 447,186
15,460 Peco Energy Co 350,741
16,180 Public Service Enterprise Group Inc 419,661
47,610 Southern Co 1,092,031
16,781 Texas Utilities Co 602,018
15,160 Unicom Corp 424,480
7,070 Union Electric Co 266,447
$11,529,226
ELECTRONICS - HIGH TECH --- 13.6%
15,360 AMP Inc 691,200
5,100 Adobe Systems Inc 243,525
9,800 Advanced Micro Devices Inc* 225,400
2,020 Aeroquip-Vickers Inc 105,165
6,460 Andrew Corp* 149,788
8,890 Apple Computer Inc* 151,405
25,160 Applied Materials Inc* 839,715
6,660 Black & Decker Corp 253,493
13,430 Boston Scientific Corp* 611,065
1,820 Briggs & Stratton Corp 90,545
46,390 Cisco Systems Inc* 3,805,418
52,547 Compaq Computer Corp* 3,349,871
8,280 DSC Communications Corp* 201,825
430 Data General Corp* 8,278
22,960 Dell Computer Corp* 1,839,670
10,710 Digital Equipment Corp* 536,164
22,550 Eastman Kodak Co 1,350,181
30,740 Emerson Electric Co 1,611,913
227,080 General Electric Co 14,660,739
3,630 General Signal Corp 145,654
5,660 Harris Corp 246,918
72,070 Hewlett-Packard Co 4,445,782
8,890 Honeywell Inc 605,071
113,240 Intel Corp 8,719,480
30 Intergraph Corp* 323
68,180 International Business Machines Corp 6,685,867
5,960 Johnson Controls Inc 267,455
5,900 KLA-Tencor Corp* 259,228
9,890 LSI Logic Corp* 215,721
6,970 Maytag Corp 232,624
14,750 Micron Technology Inc* 395,477
41,250 Motorola Inc 2,547,188
10,200 National Semiconductor Corp* 367,200
10,300 NextLevel Systems, Inc.* 139,050
18,290 Northern Telecom Ltd 1,640,375
24,360 Novell Inc* 205,525
30,610 PG&E Corp 782,453
3,130 Perkin-Elmer Corp 195,625
3,130 Polaroid Corp 140,653
16,380 Raytheon Co 888,615
5,550 Scientific-Atlanta Inc 103,019
16,990 Seagate Technology Inc* 460,854
12,430 Silicon Graphics Inc* 182,559
25,570 Sun Microsystems Inc* 875,773
2,320 Tektronix Inc 137,170
12,630 Tellabs Inc* 682,020
13,340 Texas Instruments Inc 1,423,205
10,610 Thermo Electron Corp* 395,880
3,840 Thomas & Betts Corp 191,040
12,230 Unisys Corp* 162,806
3,540 WW Grainger Inc 309,527
5,150 Whirlpool Corp 312,219
22,640 Xerox Corp 1,795,624
$66,883,340
ENVIRONMENTAL SERVICES --- 0.3%
13,560 Browning-Ferris Industries Inc 440,700
22,930 Laidlaw Inc Class B 323,886
4,040 Safety-Kleen Corp 89,385
31,460 Waste Management Inc 735,378
$1,589,349
FINANCIAL SERVICES --- 0.2%
9,500 Green Tree Financial Corp 400,188
3,840 Republic New York Corp 406,318
$806,506
FORESTRY --- 0.5%
3,930 Boise Cascade Corp 136,076
6,370 Georgia-Pacific Corp 540,252
21,020 International Paper Co 945,900
7,680 Louisiana-Pacific Corp 161,280
13,850 Weyerhaeuser Co 661,338
$2,444,846
GAS --- 0.7%
3,940 Columbia Gas System Inc 284,665
6,770 Consolidated Natural Gas Co 366,000
210 Eastern Enterprises 8,229
21,190 Enron Corp 805,220
3,530 Nicor Inc 136,124
220 OneOk Inc 7,549
5,860 Pacific Enterprises 191,546
2,520 Peoples Energy Corp 90,090
6,060 Sonat Inc 278,378
11,730 Tenneco Inc 527,111
11,020 Williams Companies Inc 561,326
$3,256,238
HIGHWAYS --- 0.0%
5,460 Ryder System Inc 191,100
$191,100
HOLDING & INVEST. OFFICES --- 0.19%
11,530 Cognizant Corp 451,826
7,980 MGIC Investment Corp 481,290
$933,116
INDUSTRIAL SERVICES --- 5.2%
3,430 Autodesk Inc 126,910
20,220 Automatic Data Processing Inc 1,033,747
5,750 Ceridian Corp* 224,606
25,170 Computer Associates International Inc 1,876,725
5,450 Computer Sciences Corp* 386,607
5,760 Deluxe Corp 188,640
11,930 Dun & Bradstreet Corp 340,745
330 EG&G Inc 6,827
10,600 Equifax Inc 329,257
30,840 First Data Corp 896,272
5,960 Fluor Corp 245,105
2,930 Foster Wheeler Corp 96,139
13,800 HBO & Co 600,300
8,690 Interpublic Group of Companies Inc 412,775
44,480 Lucent Technologies Inc 3,666,798
83,100 Microsoft Corp* 10,803,000
3,230 National Service Industries Inc 142,928
68,035 Oracle Systems Corp* 2,434,360
8,900 Parametric Technology Corp* 392,713
10,010 Pitney Bowes Inc 793,913
1,810 Shared Medical Systems Corp 99,098
3,740 Western Atlas Inc* 322,339
$25,419,804
INSURANCE --- 4.7%
11,720 AON Corp 632,142
10,410 Aetna Inc 739,755
30,130 Allstate Corp 2,498,892
17,172 American General Corp 875,772
48,625 American International Group Inc 4,962,765
11,930 Chubb Capital Corp 790,362
5,150 Cigna Corp 799,537
13,100 Conseco Inc 571,487
5,560 General Re Corp 1,096,360
8,290 Hartford Financial Services Group Inc 671,490
4,950 Jefferson-Pilot Corp 382,694
6,980 Lincoln National Corp 479,875
7,980 Loews Corp 891,262
6,260 MBIA Inc 374,035
11,700 Marsh & McLennan Companies Inc 830,700
5,000 Progressive Corp 521,250
6,570 Providian Financial Corp 243,090
9,690 SafeCo Corp 461,486
5,860 St Paul Companies Inc 468,431
13,650 SunAmerica Inc 490,540
9,600 Torchmark Corp 382,800
4,550 TransAmerica Corp 459,263
44,480 Travelers Group Inc 3,113,600
7,780 USF&G Corp 157,545
9,800 Unum Corp 477,750
$23,372,883
MFTG - CONSUMER PRODS. --- 10.26%
2,720 Adolph Coors Co Class B 96,049
3,940 Alberto-Culver Co Class B 118,937
5,350 American Greetings Corp Class A 185,576
34,170 Anheuser-Busch Companies Inc 1,364,647
38,830 Archer-Daniels-Midland Co 863,967
9,300 Avon Products Inc 609,150
4,850 Brown-Forman Corp Class B 238,557
6,970 Brunswick Corp 235,237
10,010 CPC International Inc 990,990
31,840 Campbell Soup Co 1,641,734
172,080 Coca-Cola Co 9,722,520
20,520 Colgate-Palmolive Co 1,328,670
32,860 ConAgra Inc 989,907
6,770 Dow Jones & Company Inc 314,805
5,150 Fruit of the Loom Inc Class A* 134,219
11,110 General Mills Inc 733,260
38,820 Gillette Co 3,457,387
25,770 HJ Heinz Co 1,196,681
4,950 Harcourt General Inc 247,807
8,790 Hasbro Inc 254,910
9,810 Hershey Foods Corp 542,003
7,680 International Flavors & Fragrances Inc 371,520
220 John H Harland Co 4,936
330 Jostens Inc 7,693
28,620 Kellogg Co 1,232,434
6,070 Knight-Ridder Inc 317,158
4,950 Liz Claiborne Inc 250,901
11,520 Masco Corp 505,440
20,100 Mattel Inc 781,388
6,870 McGraw-Hill Companies Inc 449,126
3,740 Meredith Corp 127,392
6,770 New York Times Co Class A 370,658
11,120 Newell Co 426,730
106,170 Pepsico Inc 3,908,330
168,030 Philip Morris Companies Inc 6,658,189
7,360 Pioneer Hi-Bred International Inc 674,360
9,600 Quaker Oats Co 459,600
10,310 RR Donnelley & Sons Co 336,364
7,480 Ralston-Ralston Purina Group 671,330
10,510 Rubbermaid Inc 252,892
330 Russell Corp 9,694
33,360 Sara Lee Corp 1,705,530
25,880 Seagram Company Ltd 871,820
210 Springs Industries Inc Class A 9,739
6,670 The Times Mirror Co Class A 361,014
8,690 Tribune Co 479,036
4,240 Tupperware Corp 106,263
12,840 UST Inc 384,391
44,080 Unilever NV ADR 2,352,770
4,440 VF Corp 396,825
7,780 Willamette Industries Inc 257,222
8,080 Wm Wrigley Jr Co 584,790
$50,592,548
MFTG - INDUSTRIAL PRODS --- 11.8%
23,930 3Com Corp* 991,587
53,290 Abbott Laboratories 3,267,316
7,680 Air Products & Chemicals Inc 583,680
15,770 Alcan Aluminium Ltd 450,423
12,330 Allegheny Teledyne Inc 324,427
12,130 Aluminum Company of America 885,490
5,860 Alza Corp 152,723
44,980 American Home Products Corp 3,334,142
880 Armco Inc* 5,060
2,930 Armstrong World Industries Inc 195,027
220 Ball Corp 7,700
14,540 Bay Networks Inc* 459,827
3,740 Bemis Company Inc 142,587
880 Bethlehem Steel Corp* 8,800
5,150 Case Corp 308,032
26,080 Caterpillar Inc 1,336,600
6,670 Champion International Corp 368,097
330 Cincinnati Milacron Inc 9,157
7,180 Clorox Co 502,600
8,580 Cooper Industries Inc 447,232
5,560 Cooper Tire & Rubber Co 117,800
16,170 Corning Inc 729,671
3,230 Crane Co 134,245
8,890 Crown Cork & Seal Company Inc 400,601
17,490 Deere & Co 920,411
7,780 Dover Corp 525,150
15,780 Dow Chemical Co 1,432,035
78,400 EI DuPont De Nemours & Co 4,459,000
17,170 EMC Corp* 961,520
5,550 Eastman Chemical Co 330,919
4,640 Ecolab Inc 220,688
10,010 Engelhard Corp 173,924
13,060 Fort James Corp 518,312
10,810 Goodyear Tire & Rubber Co 676,976
4,140 Great Lakes Chemical Corp 194,580
10,300 Guidant Corp 592,250
3,530 Harnischfeger Industries Inc 138,994
6,870 Hercules Inc 315,161
8,390 ITT Industries Inc 264,805
17,380 Illinois Tool Works Inc 854,870
11,620 Ingersoll-Rand Co 452,448
430 Inland Steel Industries Inc 8,439
38,620 Kimberly-Clark Corp 2,005,807
5,150 Mallinckrodt Inc 193,125
3,740 Mead Corp 226,270
53 Meritor Automotive Inc* 1,183
3,030 Millipore Corp 118,549
28,910 Minnesota Mining & Manufacturing Co 2,645,265
40,940 Monsanto Co 1,750,185
6,170 Moore Corporation Ltd 99,874
9,800 Morton International Inc 323,400
30 Nacco Industries Inc Class A 3,090
4,750 Nalco Chemical Co 190,000
6,160 Nucor Corp 321,860
9,800 Owens-Illinois Inc* 338,100
12,440 PPG Industries Inc 704,415
8,880 Pall Corp 183,701
7,875 Parker Hannifin Corp 329,270
89,760 Pfizer Inc 6,350,520
35,180 Pharmacia & Upjohn Inc 1,116,965
2,020 Potlatch Corp 100,748
11,110 Praxair Inc 483,974
3,030 Raychem Corp 274,403
5,140 Reynolds Metals Co 313,216
14,460 Rockwell International New 708,540
4,340 Rohm & Haas Co 361,574
50,860 Schering-Plough Corp 2,851,313
12,120 Sherwin-Williams Co 336,330
6,970 Sigma Aldrich Corp 244,821
4,240 Snap-On Inc 182,320
6,970 Stone Container Corp Series E 84,072
3,940 Temple-Inland Inc 226,058
3,840 The BF Goodrich Co 171,118
6,260 The Stanley Works 264,485
4,540 The Timken Co 152,090
36,920 Tyco International Ltd 1,393,730
20,110 USX-Marathon Group 718,933
6,060 USX-US Steel Group 206,040
4,850 Union Camp Corp 262,807
8,590 Union Carbide Corp 392,451
5,060 WR Grace & Co 344,080
18,900 Warner-Lambert Co 2,706,234
7,170 Westvaco Corp 235,262
6,760 Worthington Industries Inc 139,844
$58,259,328
MINING --- 0.5%
3,030 Asarco Inc 82,946
25,970 Barrick Gold Corp 533,995
16,170 Battle Mountain Gold Co 99,041
6,570 Cyprus Amax Minerals Co 137,556
1,100 Echo Bay Mines Ltd 4,468
13,740 Freeport-McMoran Copper & Gold Inc Class B 328,894
10,310 Homestake Mining Co 127,586
11,720 Inco Ltd 241,725
10,913 Newmont Mining Corp 381,955
4,150 Phelps Dodge Corp 308,656
16,680 Placer Dome Inc 258,540
$2,505,362
OIL & GAS --- 9.0%
6,370 Amerada Hess Corp 391,354
34,070 Amoco Corp 3,123,776
4,300 Anadarko Petroleum Corp 314,975
6,300 Apache Corp 264,600
5,240 Ashland Inc 249,880
22,240 Atlantic Richfield Co 1,830,619
11,810 Baker Hughes Inc 542,516
12,220 Burlington Resources Inc 598,010
45,390 Chevron Corp 3,764,510
7,380 Coastal Corp 443,722
12,130 Dresser Industries Inc 510,976
171,680 Exxon Corp 10,547,504
17,580 Halliburton Co 1,048,208
1,810 Helmerich & Payne Inc 146,043
3,430 Kerr-McGee Corp 231,738
3,940 McDermott International Inc 143,069
54,580 Mobil Corp 3,974,079
23,150 Occidental Petroleum Corp 645,306
7,380 Oryx Energy Co* 203,408
3,330 Pennzoil Co 246,420
18,200 Phillips Petroleum Co 880,425
6,060 Rowan Companies Inc* 235,583
148,700 Royal Dutch Petroleum Co ADR 7,825,338
60 Santa Fe Energy Resources Inc 784
34,360 Schlumberger Ltd 3,006,500
5,050 Sun Company Inc 202,313
36,600 Texaco Inc 2,083,894
17,690 Union Pacific Resources Group Inc 435,616
17,190 UnoCal Corp 709,088
$44,600,254
OTHER TRANS. SERVICES --- 0.2%
2,730 Caliber System Inc 142,301
2,620 FMC Corp* 211,727
7,980 Federal Express Corp* 532,665
$886,693
RAILROADS --- 0.8%
10,810 Burlington Northern Santa Fe Corp 1,026,950
15,160 CSX Corp 829,055
26,170 Norfolk Southern Corp 840,711
17,180 Union Pacific Corp 1,052,275
$3,748,991
RETAIL TRADE --- 5.2%
17,190 Albertson's Inc 633,881
19,020 American Stores Co 488,567
10,610 Autozone Inc* 313,653
880 Charming Shoppes Inc* 4,564
6,870 Circuit City Stores Inc 273,941
10,720 Darden Restaurants Inc 121,940
15,160 Dayton Hudson Corp 952,230
7,780 Dillards Inc Class A 298,558
14,550 Federated Department Stores Inc* 640,200
11,930 Fortune Brands, Inc 394,430
18,610 Gap Inc 989,810
12,635 Genuine Parts Co 395,627
4,140 Giant Food Inc Class A 126,788
320 Great Atlantic & Pacific Tea Company Inc 9,820
50,640 Home Depot Inc 2,816,850
17,270 JC Penney & Company Inc 1,013,524
33,960 K Mart Corp* 447,831
17,680 Kroger Co* 576,810
19,000 Limited Inc 447,678
330 Longs Drug Stores Corp 8,270
12,230 Lowe's Companies Inc 509,074
16,290 May Department Stores Co 877,624
47,830 McDonald's Corp 2,143,358
2,620 Mercantile Stores Company Inc 154,415
5,460 Nordstrom Inc 334,425
3,840 Owens Corning 131,520
4,440 Pep Boys - Manny Moe & Jack 111,830
8,590 Rite Aid Corp 510,031
27,090 Sears Roebuck & Co 1,134,394
11,400 TJX Companies Inc 337,725
7,480 Tandy Corp 257,125
20,000 Toys R Us Inc* 681,240
10,617 Tricon Global Restaurants* 321,823
157,040 Wal-Mart Stores Inc 5,516,030
34,160 Walgreen Co 960,750
9,290 Wendy's International Inc 195,090
10,510 Winn-Dixie Stores Inc 390,184
9,500 Woolworth Corp* 180,500
$25,702,110
SECURITIES & COMMODITIES --- 1.0%
18,550 Charles Schwab & Company Inc 633,019
23,040 Merrill Lynch & Co Inc 1,558,080
40,721 Morgan Stanley Group 1,995,329
7,480 Salomon Inc 581,099
$4,767,527
TELEPHONE --- 4.2%
13,040 Alltel Corp 461,290
38,110 Ameritech Corp 2,477,150
53,783 Bell Atlantic Corp 4,295,917
68,850 Bellsouth Corp 3,257,431
11,520 Frontier Corp 249,120
66,330 GTE Corp 2,814,846
48,020 MCI Communications Corp 1,704,710
63,384 SBC Communications Inc 4,032,807
29,820 Sprint Corp 1,550,640
$20,843,911
TRANSPORTATION EQUIPMENT --- 3.9%
39,220 Allied-Signal Inc 1,411,920
46,750 Chrysler Corp 1,647,937
2,730 Cummins Engine Company Inc 166,358
7,370 Dana Corp 345,004
5,450 Eaton Corp 526,606
4,440 Echlin Inc 145,410
320 Fleetwood Enterprises Inc 9,700
82,800 Ford Motor Co 3,617,284
4,440 General Dynamics Corp 360,470
50,570 General Motors Corp Ser D 3,245,937
13,440 Lockheed Martin Corp 1,277,633
5,150 Navistar International Corp* 119,413
4,640 Northrop Grumman Corp 506,920
5,560 Paccar Inc 250,545
8,590 TRW Inc 491,778
11,520 Textron Inc 665,994
69,448 The Boeing Co 3,324,823
16,280 United Technologies Corp 1,139,600
$19,253,332
U.S. GOVERNMENTS --- 0.4%
48,240 Federal Home Loan Mortgage Corp 1,827,090
$1,827,090
WHOLESALE TRADE -CONSUMER --- 1.9%
7,180 Avery Dennison Corp 285,850
7,600 Cardinal Health Inc 564,300
14,860 Costco Companies Inc* 572,110
320 Fleming Companies Inc 5,400
20,110 Nike Inc Class B 945,170
93,720 Procter & Gamble Co 6,372,960
3,940 Reebok International Ltd* 145,288
4,250 SuperValu Inc 155,656
12,230 Sysco Corp 489,200
$9,535,934
TOTAL COMMON STOCK --- 99.8% $491,923,171
(Cost $505,614,599)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 0.2%
1,096,000 Prudential Funding Corp 1,095,658
$1,095,658
TOTAL SHORT-TERM INVESTMENTS --- 0.2% $1,095,658
(Cost $1,095,658)
TOTAL ORCHARD INDEX 500 FUND --- 100.0% $493,018,829
(Cost $506,710,257)
The Orchard Series Fund
Orchard Index 600 Fund
COMMON STOCK
AGRICULTURE --- 0.7%
600 Dekalb Genetics Corp Class B 21,525
500 Delta & Pine Land Co 18,625
$40,150
AIR --- 1.1%
450 Air Express International Corp 13,781
700 Comair Holdings Inc 25,725
400 Mesa Air Group Inc* 2,150
300 Offshore Logistics Inc* 6,300
300 Pittston Brink's Group 8,156
200 Skywest Inc 4,850
$60,962
COMMUNICATIONS --- 1.0%
300 ACC Corp* 11,887
400 Allen Group Inc* 7,575
200 Commnet Cellular Inc* 6,925
600 General Communication Inc Class A* 4,500
300 HA-LO Industries Inc* 8,400
300 Metro Networks Inc* 9,300
300 NTN Communications Inc* 581
500 Picturetel Corp* 4,625
300 TCSI Corp* 2,063
$55,856
CONSTRUCTION --- 1.3%
200 Acme Metals Inc* 2,662
400 Apogee Enterprises Inc 9,550
100 Continental Homes Holding Corp 3,012
400 Geon Co 8,675
400 Insituform Technologies Inc Class A* 3,800
300 MDC Holdings Inc 3,338
800 Morrison Knudsen Corp* 9,400
200 Southern Energy Homes Inc* 1,837
500 Standard Pacific Corp 5,438
200 The Ryland Group Inc 3,575
500 Toll Brothers Inc* 11,063
200 US Home Corp* 7,100
$69,450
CONSUMER SERVICES --- 7.4%
100 Angelica Corp 1,950
700 Aztar Corp* 4,987
200 CPI Corp 5,200
200 Carmike Cinemas Inc Class A* 6,500
300 Central Parking Corp 16,387
2,700 Cineplex Odeon Corp* 3,712
500 Coventry Corp* 6,968
500 DeVry Inc* 13,187
400 Enzo Biochem Inc* 6,800
300 Franklin Covey Co* 6,731
300 G&K Services Inc Class A 10,800
100 GC Companies Inc* 4,300
500 Genesis Health Ventures Inc* 12,250
100 Global Motorsport Group Inc* 1,525
400 Grancare Inc* 4,500
600 Grand Casinos Inc* 8,062
300 Hollywood Park Inc* 5,625
200 Insurance Auto Actions Inc* 2,350
632 Integrated Health Services Inc 20,066
600 Interim Services Inc* 15,712
400 Lincare Holdings Inc* 21,450
300 Living Centers of America Inc* 12,094
400 Magellan Health Services Inc* 11,525
400 Mariner Health Group Inc* 5,875
400 National Auto Credit Inc* 2,975
500 North American Vaccine Inc* 12,563
700 Orthodontic Centers of America Inc* 12,118
800 Phycor Inc* 18,450
400 Players International Inc* 1,400
500 Primadonna Resorts Inc* 8,750
600 Prime Hospitality Corp* 12,225
500 Regal Cinemas Inc* 11,500
300 Regis Corp 7,200
500 Renal Care Group Inc* 16,750
400 Renal Treatment Centers Inc* 13,275
700 Rollins Truck Leasing Corp 11,638
400 Sequus Pharmaceuticals Inc* 3,600
200 Showboat Inc 3,975
300 Sierra Health Services Inc* 11,081
300 The Marcus Corp 8,400
500 Universal Health Services Inc Class B* 22,031
500 Westwood One Inc* 15,344
$401,831
CREDIT INSTITUTIONS --- 5.31%
400 Astoria Financial Corp 20,900
300 Commercial Federal Corp 14,550
300 Cullen/Frost Bankers Inc 15,150
600 Deposit Guaranty Corp 22,125
400 First Commercial Corp 19,800
200 FirstBank Puerto Rico 6,725
1,000 FirstMerit Corp 25,500
400 Magna Group Inc 15,800
600 Provident Financial Group Inc 27,600
500 Riggs National Corp 11,500
450 St Paul Bancorp Inc 10,800
700 TCF Financial Corp 39,813
200 US Trust Corp 11,700
300 Whitney Holding Corp 14,850
800 Zions Bancorp 31,100
$287,913
ELECTRIC --- 1.5%
100 Bangor Hydro Electric Co 606
300 Central Hudson Gas & Electric Corp 10,631
200 Central Vermont Public Service Corp 2,675
300 Commonwealth Energy System Co 8,587
300 Eastern Utilities Associates 6,337
200 Energen Corp 7,237
100 Green Mountain Power Corp 1,794
100 Interstate Power Co 3,163
200 Orange & Rockland Utilities Inc 7,162
200 Pennsylvania Enterprises Inc 5,300
500 Sierra Pacific Resources 15,219
200 TNP Enterprises Inc 5,075
200 United Illuminating Co 7,800
$81,586
ELECTRONICS - HIGH TECH --- 14.2%
300 ADAC Laboratories* 5,850
200 Alliant Techsystems Inc* 11,900
200 Amtech Corp* 800
700 Anixter International Inc* 13,212
400 Applied Magnetics Corp* 9,200
700 Aspect Telecommunications Corp* 16,800
400 Auspex Systems Inc* 4,650
400 Baldor Electric Co 11,700
400 Ballard Medical Products Co 9,025
200 Benchmark Electronics Inc* 4,987
500 Boston Technology Inc* 13,562
200 Broadband Technolgies Inc* 1,231
100 C COR Electronics Inc* 1,600
600 C-Cube Microsystems Inc* 14,250
200 California Microwave Inc* 3,212
100 Centigram Communications Corp* 1,662
600 Checkpoint Systems Inc 9,600
300 Chips & Technologies Inc* 4,762
200 Circon Corp* 3,150
600 Cognex Corp* 16,050
200 Coherent Inc* 7,800
100 Collagen Corp 1,975
300 Comverse Technology Inc* 12,375
300 Cyrix Corp* 8,850
400 Dallas Semiconductor Corp 19,550
300 Daniel Industries Inc 6,037
200 Digi International Inc* 3,025
200 Digital Microwave Corp* 7,200
200 Dionex Corp* 9,975
200 Electro Scientific Industries Inc* 9,700
300 Electroglas Inc* 5,700
200 Envoy Corp* 5,600
300 Etec Systems Inc* 13,387
200 Fluke Corp 4,812
900 Geotek Communications Inc* 3,262
300 Gulf South Medical Supply Inc* 9,900
200 Hadco Corp* 11,075
100 Harmon Industries Inc 2,712
200 Hologic Inc* 5,125
700 Input/Output Inc* 18,768
200 Integrated Circuit Systems Inc* 6,850
800 International Rectifier Corp* 10,950
200 Intervoice Inc* 1,875
400 Invacare Corp 9,200
300 Juno Lighting Inc 5,400
600 Kemet Corp* 13,050
800 Komag Inc* 13,850
200 Kuhlman Corp 6,975
300 Lattice Semiconductor Corp* 15,019
300 Marshall Industries* 10,519
400 Mentor Corp 14,575
500 Methode Electronics Inc Class A 9,875
200 National Computer Systems Inc 7,600
300 Network Equipment Technologies Inc* 5,100
300 Oak Industries Inc* 8,606
800 P-Com Inc* 16,100
200 Pacific Scientific Co 2,925
200 Park Electrochemical Corp 5,675
200 Plexus Corp* 5,950
700 Read-Rite Corp* 13,913
300 Resound Corp* 1,650
300 Respironics Inc* 8,438
100 Rival Co 1,550
400 Royal Appliance Manufacturing Co* 3,150
400 Safeskin Corp* 18,150
300 Sanmina Corp* 22,425
200 Spacelabs Inc* 4,425
200 Speedfam International Inc* 7,425
200 Standard Microsystems Corp* 2,312
500 Steris Corp* 19,875
500 Summit Technology Inc* 4,156
300 Sunrise Medical Inc* 4,631
200 Symmetricom Inc* 3,062
300 Tecnol Medical Products Inc* 6,450
200 Thomas Industries Inc 6,000
100 Three Five Systems Inc* 2,075
400 Tracor Inc* 10,700
300 Trimble Navigation Ltd* 6,075
800 Unitrode Corp* 21,450
700 VLSI Technology Inc* 20,738
300 Valence Technology Inc* 2,438
700 Vanstar Corp* 9,143
600 Vicor Corp* 19,350
200 Visx Inc* 4,575
200 Vital Signs Inc 3,875
450 Vitesse Semiconductor Corp* 19,519
100 Watkins Johnson Co 3,100
300 X-Rite Inc 5,813
400 Zebra Technologies Corp Class A* 12,500
300 Zilog Inc* 5,719
100 Zoll Medical Corp* 625
$769,432
ENVIRONMENTAL SERVICES --- 0.1%
400 OHM Corp* 3,450
200 Tetra Technologies Inc* 4,612
$8,062
GAS --- 2.3%
400 Atmos Energy Corp 10,100
200 Cascade Natural Gas Corp 3,337
100 Connecticut Energy Corp 2,419
400 KCS Energy Inc 10,525
500 KN Energy Inc 21,750
300 New Jersey Resources Corp 9,713
300 Northwest Natural Gas Co 7,388
400 Piedmont Natural Gas Company Inc 11,200
500 Pogo Producing Co 18,094
300 Public Service Company of North Carolina Inc 6,056
400 Southwest Gas Corp 7,525
400 Southwestern Energy Co 4,850
300 Wicor Inc 12,938
$125,895
HOLDING & INVEST. OFFICES --- 2.25%
400 Centura Banks Inc 23,150
200 Cilcorp Inc 8,175
300 Coast Savings Financial Inc* 17,606
200 Eaton Vance Corp 7,225
100 JSB Financial Inc 4,819
600 Keystone Financial Inc 20,625
200 Onbancorp Inc 12,987
400 Pioneer Group Inc 12,000
1,340 Sovereign Bancorp Inc 23,785
$122,197
INDUSTRIAL SERVICES --- 7.8%
300 ABM Industries Inc 8,137
800 Acxiom Corp* 13,150
600 Advanced Tissue Sciences Inc* 8,362
400 Advo Inc* 8,975
600 American Management Systems Inc* 12,975
300 Analysts International Corp 13,537
300 Billing Information Concepts* 11,775
400 Bisys Group Inc* 12,450
300 Boole & Babbage Inc* 8,700
300 Broderbund Software Inc* 8,700
300 CDI Corp* 11,775
500 Cerner Corp* 12,125
400 Ciber Inc* 17,700
300 Dames & Moore Inc 3,731
300 Dialogic Corp* 12,375
200 Fair Isaac & Co Inc 8,687
300 Figgie International Inc Class A* 4,012
200 Filenet Corp* 4,500
300 Hyperion Software Corp* 11,437
300 ImmuLogic Pharmaceutical Corp* 863
200 Itron Inc* 4,100
300 Jack Henry & Associates Inc 7,725
1,000 Keane Inc* 29,625
200 Mail Boxes Etc* 5,525
300 NFO Research Inc* 5,400
400 National Data Corp 14,775
700 Network General Corp* 14,175
400 Norrell Corp 11,650
300 Perseptive Biosystems Inc* 3,300
300 Platinum Software Corp* 3,113
900 Platinum Technology Inc* 21,825
400 Primark Corp* 12,000
200 Progress Software Corp* 4,275
700 S3 Inc* 6,213
300 SEI Investments Companies 12,769
600 Sterling Software Inc* 20,475
200 Stone & Webster Inc 9,275
600 System Software Associates Inc* 7,050
400 True North Communications Inc 9,100
300 United States Bioscience Inc* 3,056
500 Vantive Corp* 12,625
300 Viewlogic Systems Inc* 7,275
100 Wall Data Inc* 1,638
$420,930
INSURANCE --- 4.8%
300 Allied Group Inc 14,175
600 American Bankers Insurance Group Inc 22,425
200 Arthur J Gallagher & Co 7,000
300 CMAC Investment Corp 16,406
200 Capital RE Corp 11,787
200 Compdent Corp* 4,137
300 Enhance Financial Services Group Inc 15,844
200 Executive Risk Inc 13,175
200 Fidelity National Financial Inc 4,350
200 First American Financial Corp 12,050
400 Fremont General Corp 18,650
400 Frontier Insurance Group Inc 13,475
200 Hilb Rogal & Hamilton Co 3,625
200 Life Re Corp 11,025
600 Mutual Risk Management Ltd 15,562
400 Orion Capital Corp 18,000
500 Protective Life Corp 26,438
200 Selective Insurance Group Inc 10,825
150 Trenwick Group Inc 5,231
200 Washington National Corp 6,512
300 Zenith National Insurance Corp 8,400
$259,092
MFTG - CONSUMER PRODS. --- 9.1%
200 Ashworth Inc* 1,987
300 Authentic Fitness Corp 5,250
200 Bassett Furniture Industries Inc 5,600
300 Bowne & Company Inc 10,462
300 Brown Group Inc 4,537
300 Buckeye Cellulose Corp* 12,450
500 Canandaigua Wine Company Inc Class B* 24,812
300 Catalina Marketing Corp* 13,706
700 Champion Enterprises Inc* 12,293
800 Chiquita Brands International Inc 13,450
100 Coca-Cola Bottling Co 5,950
400 Cone Mills Corp* 3,475
200 Cyrk Inc* 2,550
400 Delta Woodside Industries Inc 2,525
200 Designs Inc* 875
600 Dimon Inc 15,562
400 Earthgrains Co 16,450
400 Ethan Allen Interiors Inc 14,175
100 Fieldcrest Cannon Inc* 3,344
200 Galey & Lord Inc* 3,675
300 Galoob (Lewis) Toys Inc* 3,956
100 GoodMark Foods Inc 1,650
300 Guilford Mills Inc 7,162
500 Gymboree Corp* 12,125
100 Haggar Corp 1,537
500 Hartmarx Corp* 4,375
200 Innovex Inc 5,162
300 Interface Inc Class A 8,663
100 J&J Snack Foods Corp* 1,700
200 Johnston Industries Inc 1,162
500 Just For Feet Inc* 7,406
400 Justin Industries Inc 5,225
100 K-Swiss Inc 1,638
300 K2 Inc 7,594
300 Kellwood Co 10,369
300 La-Z-Boy Chair Co 11,213
300 Lydall Inc* 6,150
200 Merrill Corp 4,475
500 Mohawk Industries Inc* 15,375
300 Nature's Sunshine Products Inc 6,938
200 New England Business Service Inc 5,825
700 Oakwood Homes Corp 18,418
200 Oshkosh B'Gosh Inc Class A 6,100
100 Oxford Industries Inc 3,475
100 Penwest Ltd 3,750
200 Pharmaceutical Marketing Services Inc* 2,237
400 Phillips Van-Heusen Corp 5,700
200 Pillowtex Corp 5,450
100 Plenum Publishing Corp 5,125
500 Schweitzer-Mauduit International Inc 21,063
600 Smithfield Foods Inc* 17,925
400 Sola International Inc* 13,650
700 Stride Rite Corp 8,225
100 Swiss Army Brands Incorporated* 1,075
200 The Dixie Group Inc.* 2,375
200 The Timberland Co Class A* 14,425
400 Titan International Inc 8,300
400 Tultex Corp* 2,000
200 USA Detergents Inc* 2,100
300 Universal Forest Products Inc 4,500
600 Valassis Communications Inc* 17,700
600 Wolverine World Wide Inc 13,200
600 World Color Press Inc* 15,187
$494,808
MFTG - INDUSTRIAL PRODS --- 15.98%
300 AT Cross Co Class A 3,037
500 Alliance Pharmaceutical Corp* 5,000
350 Alpharma Inc Class A 7,722
100 Amcast Industrial Corp 2,537
400 Applied Power Inc Class A 24,750
300 Aptargroup Inc 16,481
200 Astec Industries Inc* 3,400
400 BMC Industries Inc 12,875
300 Banctec Inc* 6,862
400 Belden Inc 13,700
200 Bell Sports Corp* 1,850
800 Bio-Technology General Corp* 9,800
400 Birmingham Steel Corp 6,650
500 Blount International Inc Class A 26,281
100 Butler Manufacturing Co 3,387
400 COR Therapeutics Inc* 8,925
200 Cambrex Corp 9,587
660 Camco International Inc 47,685
400 Caraustar Industries Inc 13,750
400 Cephalon Inc* 4,650
100 Chemed Corp 4,050
300 Chemfirst Inc 7,575
200 Clarcor Inc 5,737
200 Commonwealth Industries Inc 3,525
300 Cygnus Inc* 6,900
300 Dynatech Corp* 10,237
600 Fedders Corp 3,600
200 Flow International Corp* 2,100
400 Gerber Scientific Inc 8,300
300 Global Industries Technologies Inc* 5,119
200 Greenfield Industries Inc 7,575
400 Griffon Corp* 6,325
200 Handy & Harman 5,087
200 Hauser Inc* 1,425
600 ICN Pharmaceuticals Inc 28,875
600 IDEXX Laboratories Inc* 9,525
200 IMCO Recycling Inc 3,637
300 Immune Response Corp* 3,206
100 Insteel Industries Inc 763
204 Intermagnetics General Corp* 1,913
400 Intermet Corp 7,700
200 Ionics Inc* 7,662
700 JLG Industries Inc 8,881
100 Kronos Inc* 2,900
500 Kulicke & Soffa Industries Inc* 12,875
200 LSB Industries Inc 887
300 Lilly Industries Inc Class A 5,681
150 Lindsay Manufacturing Co 6,506
600 Liposome Company Inc* 3,300
200 Lone Star Industries Inc 10,987
200 MacDermid Inc 14,600
200 Material Sciences Corp* 2,975
200 McWhorter Technologies Inc* 5,162
300 Medimmune Inc* 11,963
200 Medusa Corp 8,450
800 Microchip Technology Inc* 31,900
400 Mississippi Chemical Corp 7,350
300 Modecular Biosystems Inc* 3,000
300 Mosinee Paper Corp 8,475
300 Mueller Industries Inc* 13,256
500 Mycogen Corp* 10,625
330 Myers Industries Inc 5,795
300 NBTY Inc* 6,581
100 Nashua Corp* 1,363
400 Northwestern Steel and Wire Co* 1,425
400 Novellus Systems Inc* 17,800
300 Noven Pharmaceuticals Inc* 2,138
200 O'Sullivan Corp 2,100
200 Paragon Trade Brands Inc* 3,812
700 Paxar Corp* 11,900
200 Photronics Inc* 8,575
200 Pope & Talbot Inc 3,325
200 Protein Design Labs Inc* 9,975
100 Quaker Chemical Corp 1,819
200 Quanex Corp 5,525
100 RailTex Inc* 1,613
300 Regal-Beloit Corp 8,063
400 Regeneron Pharmaceuticals Inc* 4,175
220 Republic Group Inc 4,125
300 Robbins & Myers Inc 11,363
300 Roberts Pharmaceutical Corp* 3,000
400 Roper Industries Inc 10,675
300 Russ Berrie & Company Inc 8,175
200 SPS Technologies Inc* 9,250
300 SciClone Pharmaceuticals Inc* 1,481
300 Scotts Co Class A* 8,025
300 Shorewood Packaging Corp* 7,425
200 Standex International Corp 7,000
200 Steel Technologies Inc 2,300
400 Sturm Ruger Company Inc 7,525
400 TXI Corp* 18,975
200 Telxon Corp 5,150
300 The Manitowoc Company Inc 9,094
300 TheraTech Inc* 3,150
300 Thomas Nelson Inc 3,488
200 Toro Co 8,550
200 Tredegar Industries Inc 13,975
300 Tseng Labs Inc* 675
400 Ultratech Stepper Inc* 10,900
400 Valmont Industries Inc 9,150
300 Vertex Pharmaceuticals Inc* 8,850
200 WD-40 Co 5,750
400 WH Brady Co Class A 12,800
400 WHX Corp* 5,325
100 Walbro Corp 2,075
200 Whittaker Corp* 2,112
400 Williams Industries Inc 9,725
200 Wolverine Tube Inc* 6,200
200 Wynn's International Inc 6,787
300 Xircom Inc* 3,000
200 Zero Corp 5,375
$866,972
MINING --- 0.7%
300 AMCOL International Corp 6,187
300 Coeur D'Alene Mines Co* 3,112
200 Dravo Corp* 2,100
400 Getchell Gold Corp* 14,400
500 Glamis Gold Ltd 2,500
800 Helca Mining Co* 4,100
300 Stillwater Mining Co* 6,225
$38,624
OIL & GAS --- 4.4%
400 Benton Oil & Gas Co* 8,050
300 Box Energy Corp* 2,119
300 Cabot Oil & Gas Corp 7,200
300 Cross Timbers Oil Co 8,006
500 Devon Energy Corp 22,375
300 HS Resources Inc* 5,287
800 Monterey Resources Inc 15,950
500 Newfield Exploration Co* 13,563
400 Oceaneering International Inc* 9,925
300 Plains Resources Inc* 6,000
300 Pool Energy Services Co* 10,181
900 Pride International Inc* 29,700
1,500 Santa Fe Energy Resources Inc 19,593
200 Seitel Inc* 9,425
500 Snyder Oil Corp 11,063
100 St Mary Land & Exploration Co 4,075
600 Tuboscope Vetco International Corp* 19,050
500 United Meridian Corp* 16,969
800 Vintage Petroleum Inc 18,300
100 Wiser Oil Co 1,706
$238,537
OTHER TRANS. SERVICES --- 1.7%
500 American Freightways Corp* 7,750
300 Arkansas Best Corp* 3,450
400 Expeditors International of Washington Inc 14,700
500 Fritz Companies Inc* 6,906
300 Frozen Food Express Industries Inc 2,775
500 Heartland Express Inc* 13,750
200 Landstar System Inc* 5,000
200 MS Carriers Inc* 5,069
300 Rural/Metro Corp* 10,425
300 USFreightways Corp 9,713
600 Werner Enterprises Inc 14,550
$94,088
REAL ESTATE --- 0.6%
400 Amresco Inc* 12,550
200 CCB Financial Corp 18,200
$30,750
RETAIL TRADE --- 8.5%
500 Applebees International Inc 11,093
600 Arbor Drugs Inc 16,050
200 Au Bon Pain Inc* 1,900
100 Bertuccis Inc* 625
600 Bombay Company Inc* 3,637
300 Books-A-Million Inc* 1,875
200 Builders Material Holding Corp* 2,500
500 CKE Restaurants Inc 19,968
200 Carson Pirie Scott & Co* 9,637
400 Caseys General Stores Inc 9,650
400 Cash America International Inc 4,725
400 Cato Corp Class A 3,425
200 Cheesecake Factory Inc* 6,300
300 Consolidated Products Inc* 5,775
100 Danmark International Inc* 1,162
300 Discount Auto Parts Inc* 6,281
400 Eagle Hardware & Garden Inc* 6,800
300 Express Scripts Inc* 16,912
300 Fabri-Centers of America Inc Class A* 6,487
300 Filenes Basement Corp* 2,212
600 Foodmaker Inc* 9,862
500 Footstar Inc* 13,593
200 Gottschalks Inc* 1,625
500 Hancock Fabrics Inc 6,781
100 IHOP Corp* 3,375
200 J Baker Inc 1,450
400 Jan Bell Marketing Inc* 1,175
500 Landrys Seafood Restaurant Co* 14,000
300 Lechters Corp* 1,631
100 Lillian Vernon Corp 1,613
400 Luby's Cafeterias Inc 7,975
400 Michaels Stores Inc* 12,025
400 O'Reilly Automotive Inc* 9,750
1,050 Pier 1 Imports Inc 19,163
1,000 Proffitts Inc* 28,687
800 Ross Stores Inc 29,900
300 Ruby Tuesday Inc* 8,156
800 Ryan's Family Steak Houses Inc* 6,900
200 SPX Corp 13,050
700 Shoney's Inc* 3,281
500 Shopko Stores Inc* 12,531
300 Showbiz Pizza Time Inc* 6,375
200 Sonic Corp* 5,150
300 St John Knits Inc 12,056
300 Stein Mart Inc* 8,775
400 TCBY Enterprises Inc 2,500
300 TJ International Inc 6,900
200 Taco Cabana Inc* 1,000
300 The Dress Barn Inc* 7,612
500 The Men's Wearhouse Inc* 19,375
500 The Sports Authority Inc* 9,469
500 Triarc Companies Inc Class A* 11,313
300 Whole Foods Market Inc* 11,775
400 Williams-Sonoma Inc* 16,050
$461,887
SECURITIES & COMMODITIES --- 1.6%
420 Downey Financial Corp 11,025
200 Interra Financial Inc 11,025
400 Legg Mason Inc 19,625
300 Piper Jaffray Companies Inc 7,519
600 Quick & Reilly Group Inc 21,825
450 Raymond James Financial Inc 13,500
$84,519
TELEPHONE --- 0.4%
1,000 Tel-Save Holdings Inc* 21,500
$21,500
TRANSPORTATION EQUIPMENT --- 2.2%
200 AAR Corp 7,162
300 AO Smith Corp 12,431
400 Arctic Cat Inc 4,700
300 BE Aerospace Inc* 8,437
500 Breed Technologies Inc 11,031
500 Gentex Corp* 12,250
200 Huffy Corp 3,162
500 Orbital Sciences Corp* 12,188
300 Simpson Industries Inc 3,563
200 Skyline Corp 5,800
200 Spartan Motors Inc 1,387
200 Standard Motor Products Inc 4,375
300 Standard Products Co 8,063
100 Thor Industries Inc 2,894
300 Wabash National Corp 8,963
400 Winnebago Industries Inc 3,025
400 Yellow Corp* 10,975
$120,406
WATER --- 0.9%
100 Aquarion Co 2,825
100 Consumers Water Co 1,825
300 Halter Marine Group Inc* 15,694
400 Kirby Corp* 7,900
300 Philadelphia Suburban Corp 6,769
100 Southern California Water Co 2,194
600 United Water Resources Inc 9,937
$47,144
WHOLESALE TRADE - INDL --- 1.6%
200 AM Castle & Co 4,812
300 Applied Industrial Technology Inc 8,719
500 Barrett Resources Corp* 17,593
120 Bell Industries Inc* 1,927
200 MicroAge Inc* 4,400
600 Nautica Enterprises Inc* 15,975
300 OM Group Inc 11,325
300 Patterson Dental Co* 12,000
300 Pioneer Standard Electronics Inc 4,913
400 TBC Corp* 4,100
$85,764
WHOLESALE TRADE -CONSUMER --- 2.4%
200 Commercial Metals Co 6,450
300 Fisher Scientific International Inc 13,800
300 Hughes Supply Inc 10,462
300 Kaman Corp Class A 5,438
400 Kent Electronics Corp* 13,975
200 Nash Finch Co 4,025
500 Owens & Minor Inc 7,000
400 Rexel Inc* 8,950
700 Richfood Holdings Inc 16,888
400 Rykoff-Sexton Inc 8,600
100 Syncor International Corp* 1,575
700 Tech Data Corp* 31,150
$128,313
TOTAL COMMON STOCK --- 100.0% $5,424,843
(Cost $4,617,270)
TOTAL ORCHARD INDEX 600 FUND --- 100.0% $5,424,843
(Cost $4,617,270)
The Orchard Series Fund
Orchard Money Market Fund
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 60.9%
150,000 American Express Credit Corp 148,284
150,000 Ford Motor Credit Co 149,542
150,000 Prudential Funding Corp 149,929
400,000 Student Loan Marketing Association 400,267
850,000 Student Loan Marketing Association 849,481
150,000 TransAmerica Financial Corp 149,218
$1,846,721
ELECTRIC --- 4.9%
150,000 Baltimore Gas & Electric Co 148,671
$148,671
ELECTRONICS - HIGH TECH --- 9.8%
150,000 General Electric Co 148,625
150,000 Sharp Electronics Corp 149,218
$297,843
HOLDING & INVEST. OFFICES --- 4.9%
150,000 American General Finance Corp 149,634
$149,634
RETAIL TRADE --- 4.9%
150,000 Wal-Mart Stores Inc 149,791
$149,791
SECURITIES & COMMODITIES --- 9.8%
150,000 Bear Stearns Companies Inc 150,000
150,000 Merrill Lynch & Co Inc 145,914
$295,914
TELEPHONE --- 4.8%
150,000 American Telephone & Telegraph Co 145,943
$145,943
TOTAL SHORT-TERM INVESTMENTS --- 100.0% $3,034,517
(Cost $3,034,517)
TOTAL ORCHARD MONEY MARKET FUND --- 100.0% $3,034,517
(Cost $3,034,517)
The Orchard Series Fund
Orchard Preferred Stock Fund
PREFERRED STOCK
CREDIT INSTITUTIONS --- 22.9%
7,400 Bankers Trust New York Corp 200,725
6,800 Fleet Financial Group Inc 181,472
7,300 Household International Inc 208,962
3,500 JP Morgan & Company Inc 190,750
6,800 MBNA Corp 179,772
$961,681
ELECTRIC --- 25.3%
1,500 Baltimore Gas & Electric Co 163,500
1,600 Duke Power Co 163,200
1,400 Florida Power & Light Co 152,600
1,800 Pennsylvania Power & Light Co 189,900
2,000 South Carolina Electric & Gas 212,000
1,700 Southern California Edison Co 184,025
$1,065,225
ELECTRONICS - HIGH TECH --- 4.4%
6,700 International Business Machines Corp 185,087
$185,087
FINANCIAL SERVICES --- 13.4%
7,000 Comdisco Inc 182,434
7,000 First Maryland Bancorp 181,125
7,500 Republic New York Corp 198,750
$562,309
HOLDING & INVEST. OFFICES --- 4.3%
7,000 Chase Manhattan Corp 179,375
$179,375
INSURANCE --- 8.2%
3,100 Travelers Group Inc 155,775
7,300 WR Berkley Corp 188,428
$344,203
SECURITIES & COMMODITIES --- 12.8%
7,000 Bear Stearns Companies Inc 178,934
5,300 Merrill Lynch & Co Inc 165,291
7,600 Morgan Stanley Group 193,321
$537,546
TRANSPORTATION EQUIPMENT --- 8.7%
6,500 Ford Motor Co 185,250
6,900 General Motors Corp Ser D 181,988
$367,238
TOTAL PREFERRED STOCK --- 100.0% $4,202,664
(Cost $4,136,443)
TOTAL ORCHARD PREFERRED STOCK FUND --- 100.0% $4,202,664
(Cost $4,136,443)
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
ORCHARD SERIES FUND FINANCIAL DATA SCHEDULE FOR THE ORCHARD INDEX 500 FUND
</LEGEND>
<CIK> 0001019977
<NAME> Orchard Series Fund
<SERIES>
<NUMBER> 3
<NAME> Orchard Index 500 Fund
<MULTIPLIER> 1
<CURRENCY> U.S. Dollars
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> Oct-31-1997
<PERIOD-START> Feb-3-1997
<PERIOD-END> Oct-31-1997
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 506,710,257
<INVESTMENTS-AT-VALUE> 493,018,829
<RECEIVABLES> 206,951
<ASSETS-OTHER> 704,375
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 493,930,155
<PAYABLE-FOR-SECURITIES> 692,982
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 370,841
<TOTAL-LIABILITIES> 1,063,823
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 506,558,760
<SHARES-COMMON-STOCK> 42,148,295
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (1,000)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (13,691,428)
<NET-ASSETS> 492,866,332
<DIVIDEND-INCOME> 267,224
<INTEREST-INCOME> 2,613
<OTHER-INCOME> (292)
<EXPENSES-NET> 53,983
<NET-INVESTMENT-INCOME> 215,562
<REALIZED-GAINS-CURRENT> (1,000)
<APPREC-INCREASE-CURRENT> (13,691,428)
<NET-CHANGE-FROM-OPS> (13,476,866)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (215,562)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 42,180,500
<NUMBER-OF-SHARES-REDEEMED> 50,847
<SHARES-REINVESTED> 18,642
<NET-CHANGE-IN-ASSETS> 42,148,295
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 53,983
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 53,983
<AVERAGE-NET-ASSETS> 17,373,634
<PER-SHARE-NAV-BEGIN> 10.000
<PER-SHARE-NII> 0.039
<PER-SHARE-GAIN-APPREC> 1.694
<PER-SHARE-DIVIDEND> 0.000
<PER-SHARE-DISTRIBUTIONS> (0.039)
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 11.694
<EXPENSE-RATIO> 0.250
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
ORCHARD SERIES FUND FINANCIAL DATA SCHEDULE FOR THE ORCHARD INDEX 600 FUND
</LEGEND>
<CIK> 0001019977
<NAME> Orchard Series Fund
<SERIES>
<NUMBER> 4
<NAME> Orchard Index 600 Fund
<MULTIPLIER> 1
<CURRENCY> U.S. Dollars
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> Oct-31-1997
<PERIOD-START> Feb-3-1997
<PERIOD-END> Oct-31-1997
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 4,617,270
<INVESTMENTS-AT-VALUE> 5,424,843
<RECEIVABLES> 21,998
<ASSETS-OTHER> 29,492
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 5,476,333
<PAYABLE-FOR-SECURITIES> 3,495
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2,919
<TOTAL-LIABILITIES> 6,414
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 4,515,098
<SHARES-COMMON-STOCK> 451,349
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 147,248
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 807,573
<NET-ASSETS> 5,469,919
<DIVIDEND-INCOME> 29,971
<INTEREST-INCOME> 2,554
<OTHER-INCOME> (8)
<EXPENSES-NET> 21,804
<NET-INVESTMENT-INCOME> 10,713
<REALIZED-GAINS-CURRENT> 147,248
<APPREC-INCREASE-CURRENT> 807,573
<NET-CHANGE-FROM-OPS> 965,534
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (10,713)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 450,337
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 1,012
<NET-CHANGE-IN-ASSETS> 451,349
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 21,804
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 21,804
<AVERAGE-NET-ASSETS> 4,874,090
<PER-SHARE-NAV-BEGIN> 10.000
<PER-SHARE-NII> 0.024
<PER-SHARE-GAIN-APPREC> 2.119
<PER-SHARE-DIVIDEND> 0.000
<PER-SHARE-DISTRIBUTIONS> (0.024)
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 12.119
<EXPENSE-RATIO> 2.035
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
ORCHARD SERIES FUND FINANCIAL DATA SCHEDULE FOR THE ORCHARD INDEX EUROPEAN FUND
</LEGEND>
<CIK> 0001019977
<NAME> Orchard Series Fund
<SERIES>
<NUMBER> 6
<NAME> Orchard Index European Fund
<MULTIPLIER> 1
<CURRENCY> U.S. Dollars
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> Oct-31-1997
<PERIOD-START> Feb-3-1997
<PERIOD-END> Oct-31-1997
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 60,710,425
<INVESTMENTS-AT-VALUE> 62,040,465
<RECEIVABLES> 85,056
<ASSETS-OTHER> 674,288
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 62,799,809
<PAYABLE-FOR-SECURITIES> 544,020
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 108,211
<TOTAL-LIABILITIES> 652,231
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 60,809,185
<SHARES-COMMON-STOCK> 5,350,769
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 8,353
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 1,330,040
<NET-ASSETS> 62,147,578
<DIVIDEND-INCOME> 457,051
<INTEREST-INCOME> 52,427
<OTHER-INCOME> (63,195)
<EXPENSES-NET> 263,126
<NET-INVESTMENT-INCOME> 183,157
<REALIZED-GAINS-CURRENT> 8,353
<APPREC-INCREASE-CURRENT> 1,330,040
<NET-CHANGE-FROM-OPS> 1,521,550
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 183,157
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 5,408,490
<NUMBER-OF-SHARES-REDEEMED> 73,490
<SHARES-REINVESTED> 15,769
<NET-CHANGE-IN-ASSETS> 5,350,769
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 219,272
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 385,153
<AVERAGE-NET-ASSETS> 29,751,201
<PER-SHARE-NAV-BEGIN> 10.000
<PER-SHARE-NII> 0.034
<PER-SHARE-GAIN-APPREC> 1.615
<PER-SHARE-DIVIDEND> 0.000
<PER-SHARE-DISTRIBUTIONS> (0.034)
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 11.615
<EXPENSE-RATIO> 1.43
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
ORCHARD SERIES FUND FINANCIAL DATA SCHEDULE FOR THE
ORCHARD INDEX INDEX PACIFIC FUND
</LEGEND>
<CIK> 0001019977
<NAME> Orchard Series Fund
<SERIES>
<NUMBER> 5
<NAME> Orchard Index Pacific Fund
<MULTIPLIER> 1
<CURRENCY> U.S. Dollars
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> Oct-31-1997
<PERIOD-START> Feb-3-1997
<PERIOD-END> Oct-31-1997
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 59,480,978
<INVESTMENTS-AT-VALUE> 47,982,458
<RECEIVABLES> 148,816
<ASSETS-OTHER> 608,129
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 48,739,403
<PAYABLE-FOR-SECURITIES> 183,483
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 110,989
<TOTAL-LIABILITIES> 294,472
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 59,943,452
<SHARES-COMMON-STOCK> 5,199,803
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (1)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (11,498,520)
<NET-ASSETS> 48,444,931
<DIVIDEND-INCOME> 253,874
<INTEREST-INCOME> 78,232
<OTHER-INCOME> (8,872)
<EXPENSES-NET> 238,499
<NET-INVESTMENT-INCOME> 84,735
<REALIZED-GAINS-CURRENT> (1)
<APPREC-INCREASE-CURRENT> (11,498,520)
<NET-CHANGE-FROM-OPS> (11,413,786)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (84,735)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 5,262,973
<NUMBER-OF-SHARES-REDEEMED> 72,265
<SHARES-REINVESTED> 9,095
<NET-CHANGE-IN-ASSETS> 5,199,803
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 198,749
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 359,436
<AVERAGE-NET-ASSETS> 26,883,155
<PER-SHARE-NAV-BEGIN> 10.000
<PER-SHARE-NII> 0.016
<PER-SHARE-GAIN-APPREC> (0.683)
<PER-SHARE-DIVIDEND> 0.000
<PER-SHARE-DISTRIBUTIONS> (0.016)
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 9.317
<EXPENSE-RATIO> 2.815
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
ORCHARD SERIES FUND FINANCIAL DATA SCHEDULE FOR THE ORCHARD MONEY MARKET FUND
</LEGEND>
<CIK> 0001019977
<NAME> Orchard Series Fund
<SERIES>
<NUMBER> 1
<NAME> Orchard Money Market Fund
<MULTIPLIER> 1
<CURRENCY> U.S. Dollars
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> Oct-31-1997
<PERIOD-START> Feb-3-1997
<PERIOD-END> Oct-31-1997
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 3,034,517
<INVESTMENTS-AT-VALUE> 3,034,517
<RECEIVABLES> 6,315
<ASSETS-OTHER> 71,105
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3,111,937
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,210
<TOTAL-LIABILITIES> 1,210
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 3,110,727
<SHARES-COMMON-STOCK> 3,110,727
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 3,110,727
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 121,136
<OTHER-INCOME> 0
<EXPENSES-NET> 10,409
<NET-INVESTMENT-INCOME> 110,727
<REALIZED-GAINS-CURRENT> 0
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 110,727
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (110,727)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3,000,000
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 110,727
<NET-CHANGE-IN-ASSETS> 3,110,727
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 4,526
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 35,064
<AVERAGE-NET-ASSETS> 3,048,511
<PER-SHARE-NAV-BEGIN> 1.000
<PER-SHARE-NII> 0.036
<PER-SHARE-GAIN-APPREC> 0.000
<PER-SHARE-DIVIDEND> 0.036
<PER-SHARE-DISTRIBUTIONS> (0.036)
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 1.000
<EXPENSE-RATIO> 0.094
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
ORCHARD SERIES FUND FINANCIAL DATA SCHEDULE FOR THE ORCHARD PREFERRED STOCK FUND
</LEGEND>
<CIK> 0001019977
<NAME> Orchard Series Fund
<SERIES>
<NUMBER> 2
<NAME> Orchard Preferred Stock Fund
<MULTIPLIER> 1
<CURRENCY> U.S. Dollars
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> Oct-31-1997
<PERIOD-START> Feb-3-1997
<PERIOD-END> Oct-31-1997
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 4,136,443
<INVESTMENTS-AT-VALUE> 4,202,664
<RECEIVABLES> 7,473
<ASSETS-OTHER> 35,168
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 4,245,305
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3,219
<TOTAL-LIABILITIES> 3,219
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 4,184,863
<SHARES-COMMON-STOCK> 418,466
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (8,998)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 66,221
<NET-ASSETS> 4,242,086
<DIVIDEND-INCOME> 205,885
<INTEREST-INCOME> 5,953
<OTHER-INCOME> 0
<EXPENSES-NET> 27,297
<NET-INVESTMENT-INCOME> 184,541
<REALIZED-GAINS-CURRENT> (8,998)
<APPREC-INCREASE-CURRENT> 66,221
<NET-CHANGE-FROM-OPS> 241,764
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (184,541)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 400,031
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 18,435
<NET-CHANGE-IN-ASSETS> 418,466
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 27,297
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 27,297
<AVERAGE-NET-ASSETS> 4,087,064
<PER-SHARE-NAV-BEGIN> 10.000
<PER-SHARE-NII> 0.454
<PER-SHARE-GAIN-APPREC> 0.137
<PER-SHARE-DIVIDEND> 0.000
<PER-SHARE-DISTRIBUTIONS> (0.454)
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 10.137
<EXPENSE-RATIO> 0.148
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
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