ORCHARD SERIES FUND
8515 EAST ORCHARD ROAD
ENGLEWOOD, COLORADO 80111
Beverly A. Byrne
Secretary
(303) 689-3817
(303) 689-3827 (fax)
July 31, 1997
Securities and Exchange Commission
450 Fifth Street NW
Washington DC 20549
ATTENTION: Filing Desk
RE: Orchard Series Fund
Registration Statement on Form N-1A
(File No. 333-09217 and 811-07735)
Dear Filing Desk:
Enclosed for filing is Post-Effective Amendment No. 1 under the Securities Act
of 1933, and an amendment under the Investment Company Act of 1940, to the
above-referenced Registration Statement on Form N-1A.
The purpose of this filing is to include updated unaudited financial statements
for Orchard Series Fund and to make a few other technical non-substantive
corrections.
Please contact me at the above number or Tom Mira of Jorden Burt Berenson &
Johnson at (202) 695-8158 with any questions or comments you may have concerning
the enclosed.
Sincerely,
/s/ Beverly A. Byrne
Beverly A. Byrne
Secretary
As filed with the Securities and Exchange Commission on August
1, 1997
Registration No. 333-9217
SECURITIES AND EXCHANGE
COMMISSION
Washington, D.C.
20549
FORM N-1A
REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933
[X]
Pre-Effective Amendment No.
[ ]
Post-Effective Amendment No. 1
[X]
and/or
REGISTRATION STATEMENT UNDER THE INVESTMENT COMPANY ACT OF 1940
[X]
Amendment No. 3
[X]
ORCHARD SERIES FUND
(Exact Name of Registrant as Specified in
Charter)
8515 E. Orchard Road, Englewood, Colorado
80111
(Address of Principal Executive Offices)
(Zip Code)
Registrant's Telephone Number, including Area Code: (303)
689-3000
W.T. McCallum
President and Chief
Executive Officer
Great-West Life & Annuity
Insurance Company
8515 E. Orchard Road
Englewood, Colorado
80111
(Name and Address of Agent
for Service)
Copies of Communications
to:
James F. Jorden,
Esquire
Jorden Burt Berenson &
Johnson LLP
1025 Thomas Jefferson St. N. W.,
Suite 400 East
Washington, D. C.
20007-0805
Approximate Date of Proposed Public Offering: Upon this
Registration
Statement being declared effective.
It is proposed that this filing will become effective (check
appropriate box)
[X] immediately upon filing pursuant to paragraph (b) of
Rule 485 [ ]
on pursuant to paragraph (b) of Rule 485 [ ] 60 days
after filing
pursuant to paragraph (a)(1) of Rule 485 [ ] on pursuant
to paragraph
(a)(1) of Rule 485 [ ] 75 days after filing pursuant
to paragraph
(a)(2) of Rule 485 [ ] on pursuant to paragraph (a)(2) of Rule 485.
If appropriate, check the following box:
[ ] this post-effective amendment designates a new effective date for a
previously filed post-effective amendment.
Pursuant to the provisions of Rule 24f-2 of the Investment Company Act of 1940,
Registrant has elected to register an indefinite number of shares.
<PAGE>
ORCHARD SERIES FUND
REGISTRATION STATEMENT ON
FORM N-1A
CROSS-REFERENCE
SHEET
PROSPECTUS
(PART A)
Item Caption
1 Cover Page
2 Summary of Expenses
3 Important Information about Your Investment - How the
Funds
Report Performance
4 Investment Objectives and Policies; Common Investment
Policies, Practices and Risk Factors
5 Management of the Funds; Back Cover
6 Management of the Funds; Important Information about
Your
Investment - Dividends, Other Distributions and Taxes
7 Investing in the Funds - How to Buy Shares; Investing
in
the Funds - How to Exchange Shares; Investing in the
Funds
- Other Information; Important Information about Your
Investment - How the Funds Value Their Shares
8 Investing in the Funds - How to Buy Shares; Investing
in
the Funds - Other Information; Important Information
about
Your Investment - How the Funds Value Their Shares
9 Not Applicable
STATEMENT OF ADDITIONAL
INFORMATION
(PART B)
Item Caption
10 Cover Page
11 Table of Contents
12 Not Applicable
13 Investment Objectives; Investment Policies and
Practices;
Investment Limitations
14 Management of the Funds
15 Management of the Funds
16 Management of the Funds
17 Portfolio Transactions
18 Other Information
19 Valuation of Portfolio Securities; Additional
Purchase and
Redemption Information
20 Dividends, Distributions and Taxes
21 Not Applicable
22 Investment Performance
23 Financial Statements
<PAGE>
OTHER INFORMATION
(PART C)
Item Caption
24 Financial Statements and Exhibits
25 Persons Controlled by or under Common Control
26 Number of Holders of Securities
27 Indemnification
28 Business and Other Connections of Investment adviser
29 Principal Underwriter
30 Location of Accounts and Records
31 Management Services
32 Undertakings
<PAGE>
ORCHARD SERIES
FUNDSM
8515 East Orchard
Road
Englewood, Colorado
80111
(800) 338-4015
PROSPECTUS
The Orchard Series Fund is an open-end management investment company organized
as a Delaware business trust (the "Trust"). The Trust offers six diversified
investment portfolios, commonly known as mutual funds (the "Funds"). The Funds
are "no-load," meaning you pay no sales charges or distribution fees. GW Capital
Management, Inc. ("GW Capital Management"), a wholly-owned subsidiary of Great-
West Life & Annuity Insurance Company, serves as the Funds' investment adviser.
The Funds and a brief description of their investment objectives are listed
below.
Orchard Money Market Fund. This Fund seeks as high a level of
current income as
is consistent with the preservation of capital and liquidity by
investing in
high-quality, short-term debt securities. An investment in the
Fund is neither
insured nor guaranteed by the U.S. government. While the Fund
seeks to maintain
a stable net asset value of $1.00 per share, there is no assurance
that it will
be able to do so.
Orchard Preferred Stock Fund. This Fund seeks a high level of dividend income
qualifying for the corporate dividends received deduction under applicable
federal tax law by investing primarily in cumulative preferred stocks issued by
domestic corporations.
The Orchard Stock Index Funds. Each of the following Funds (the "Index Funds")
seeks long-term growth of capital and a modest level of income by investing in
the common stocks that comprise a specified benchmark index.
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Fund Benchmark
Orchard Index 600 Fund S&P Small
Cap 600 Stock Index
Orchard Index 500 Fund S&P 500
Composite Stock
Price
Index
Orchard Index Pacific Fund Financial
Times/S&P-
Actuaries
Large-Cap
Pacific
Index
Orchard Index European Fund Financial
Times/S&P-
Actuaries
Large-Cap
European
Index
</TABLE>
This prospectus gives you information about the Funds that you should know
before investing. You should read this prospectus carefully and retain it for
future reference. A Statement of Additional Information dated as of the date of
this Prospectus has been filed with the Securities and Exchange Commission and
is incorporated herein by reference. It provides additional information about
the Funds and is available free of charge upon request. To obtain a copy call
(303) 689-3000 or write: Orchard Series Fund, 8515 East Orchard Road, Englewood,
Colorado 80111.
<PAGE>
Shares of the Funds are not deposits or obligations of, or guaranteed by, any
depository institution. Shares are not insured by the FDIC, the federal reserve
board, or any other agency, and are subject to investment risk, including the
possible loss of principal.
LIKE ALL MUTUAL FUNDS, THESE SECURITIES HAVE NOT BEEN APPROVED OR
DISAPPROVED BY
THE SECURITIES AND EXCHANGE COMMISSION OR ANY STATE SECURITIES
COMMISSION, NOR
HAS THE SECURITIES AND EXCHANGE COMMISSION OR ANY STATE
SECURITIES COMMISSION
PASSED UPON THE ACCURACY OR ADEQUACY OF THIS PROSPECTUS. ANY
REPRESENTATION TO
THE CONTRARY IS A CRIMINAL OFFENSE.
The date of this Prospectus is
August 1 ,
1997.
<PAGE>
TABLE OF CONTENTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Page
----
SUMMARY OF
EXPENSES.........................................................
......................................1
INVESTMENT OBJECTIVES AND
POLICIES.........................................................
.......................3
MONEY MARKET
FUND.............................................................
...............................3
PREFERRED STOCK
FUND.............................................................
............................4
INDEX 600
FUND.............................................................
..............................5
INDEX 500
FUND.............................................................
..............................5
INDEX PACIFIC
FUND.............................................................
..........................5
INDEX EUROPEAN
FUND.............................................................
............................5
COMMON INVESTMENT POLICES, PRACTICES AND RISK
FACTORS..........................................................
...9
MANAGEMENT OF THE
FUNDS............................................................
..............................12
IMPORTANT INFORMATION ABOUT YOUR
INVESTMENT.......................................................
...............14
HOW THE FUNDS VALUE THEIR
SHARES...........................................................
.................14
DIVIDENDS, OTHER DISTRIBUTIONS AND
TAXES............................................................
........14
HOW THE FUNDS REPORT
PERFORMANCE......................................................
......................16
INVESTING IN THE
FUNDS............................................................
...............................17
HOW TO BUY
SHARES...........................................................
................................17
HOW TO EXCHANGE
SHARES...........................................................
...........................18
HOW TO SELL
SHARES...........................................................
...............................18
OTHER
INFORMATION......................................................
...................................19
</TABLE>
<PAGE>
SUMMARY OF EXPENSES
SHAREHOLDER TRANSACTION
EXPENSES
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Sales Load Imposed on
Purchases........................................................
........................NONE
Sales Load Imposed on Reinvested
Dividends........................................................
.............NONE
Deferred Sales
Load.............................................................
...............................NONE
Redemption
Fees.............................................................
...................................NONE
Exchange
Fees.............................................................
.....................................NONE
</TABLE>
ANNUAL FUND OPERATING
EXPENSES
(as a percentage of average
net assets)
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Money Preferred
Index Index Index Index
Market Stock
600 500 Pacific European
Fund Fund
Fund Fund Fund Fund
Management Fees 0.20% 0.90%
0.60% 0.60% 1.00% 1.00%
12b-1 Fees NONE NONE
NONE NONE NONE NONE
Other Expenses 0.26% 0.00%
0.00% 0.00% 0.20% 0.20%
Total Fund
Operating Expenses 0.46% 0.90%
0.60% 0.60% 1.20% 1.20%
(after reimbursement)
</TABLE>
"Other Expenses" are based on estimated amounts for the Funds'
fiscal year.
Subject to revision, GW Capital Management has voluntarily agreed to reimburse
the Index Pacific Fund, the Index European Fund, and the Money Market Fund to
the extent that total operating expenses exceed 1.20%, 1.20%, and 0.46%,
respectively, of average net assets. If this agreement were not in effect, it is
estimated that total operating expenses would have been 1.50%, 1.50%, and 0.52%
for the Index Pacific Fund, the Index European Fund, and the Money Market Fund,
respectively. Interest, taxes, brokerage commissions, and extraordinary expenses
are not expenses eligible for reimbursement.
Example
To illustrate the various expenses that you will bear by investing in shares of
a Fund, assume that each Fund's annual return is 5% and that its operating
expenses are exactly as just described. Then, for every $1,000 you invested, the
following shows how much you would have to pay in total expenses if you redeemed
your investment after the number of years indicated.
1
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Fund
1 Year 3 Years
- --------------------
------ -------
Money Market Fund
$ 5 $ 16
Preferred Stock Fund
$ 9 $ 31
Index 600 Fund
$ 6 $ 21
Index 500 Fund
$ 6 $ 21
Index Pacific Fund
$ 12 $ 41
Index European Fund
$ 12 $ 41
</TABLE>
THIS EXAMPLE ILLUSTRATES THE EFFECT OF EXPENSES AND SHOULD NOT BE
CONSIDERED A
REPRESENTATION OF ACTUAL OR EXPECTED EXPENSES OR RETURNS. ACTUAL
EXPENSES AND
RETURNS MAY VARY.
2
<PAGE>
FINANCIAL HIGHLIGHTS
(Unaudited) For
the period February 3, 1997 (inception)
to April 30,
1997
The following table should be read in
conjunction with the
financial statements and related notes
included in the
Statement of Additional Information
ORCHARD MONEY MARKET
FUND
- ----------------------------------------------------------
February 3, 1997
to April 30, 1997
-----------------------
-----------------------
Net Asset Value, Beginning of
Period $1.0000
Income from Investment
Operations
Net Investment Income 0.0108
Net Gains or Losses on Securities
(realized and unrealized)
Total from Investment Operations 0.0108
Less Distributions
Dividends (from net investment
income) (0.0108)
Distributions (from capital gains)
Initial Capitalization
Returns of Capital Total
Distributions (0.0108)
Net Asset Value-End of Period $1.0000
Net Assets-End of Period $3,032,484
Ratio of Expenses to Average Net
Assets 0.46%*
Ratio of Net Income to Average
Net Assets 4.57%*
Portfolio Turnover Rate
- ----------------------------------------------------------
* Annualized
<PAGE>
FINANCIAL HIGHLIGHTS
(Unaudited) For
the period February 3, 1997 (inception)
to April 30,
1997
The following table should be read in
conjunction with the
financial statements and related notes
included in the
Statement of Additional Information
ORCHARD PREFERRED STOCK
FUND
- ----------------------------------------------------------
February 3, 1997
to April 30, 1997
-----------------------
-----------------------
Net Asset Value, Beginning of
Period $10.0000
Income from Investment
Operations
Net Investment Income 0.1508
Net Gains or Losses on Securities
(realized and unrealized) (0.1718)
Total from Investment Operations (0.0210)
Less Distributions
Dividends (from net investment
income) (0.1427)
Distributions (from capital gains)
Initial Capitalization
Returns of Capital Total
Distributions (0.1427)
Net Asset Value-End of Period $9.8363
Total Return (0.84%)*
Net Assets-End of Period $3,991,637
Ratio of Expenses to Average Net
Assets 0.90%*
Ratio of Net Income to Average
Net Assets 6.33%*
Portfolio Turnover Rate 4.85%
- ----------------------------------------------------------
* Annualized
<PAGE>
FINANCIAL HIGHLIGHTS
(Unaudited) For
the period February 3, 1997 (inception)
to April 30,
1997
The following table should be read in
conjunction with the
financial statements and related notes
included in the
Statement of Additional Information
ORCHARD INDEX 500
FUND
- ----------------------------------------------------------
February 3, 1997
to April 30, 1997
-----------------------
-----------------------
Net Asset Value, Beginning of
Period $10.0000
Income from Investment
Operations
Net Investment Income 0.0360
Net Gains or Losses on Securities
(realized and unrealized) 0.1891
Total from Investment Operations 0.2251
Less Distributions
Dividends (from net investment
income) (0.0341)
Distributions (from capital gains)
Initial Capitalization
Returns of Capital Total
Distributions (0.0341)
Net Asset Value-End of Period $10.1910
Total Return 9.31%*
Net Assets-End of Period $4,601,442
Average Commission Rate Paid
Per Share Bought or Sold $0.0322
Ratio of Expenses to Average Net
Assets 0.60%*
Ratio of Net Income to Average
Net Assets 1.51%*
Portfolio Turnover Rate 0.32%
- ----------------------------------------------------------
* Annualized
<PAGE>
FINANCIAL HIGHLIGHTS
(Unaudited) For
the period February 3, 1997 (inception)
to April 30,
1997
The following table should be read in
conjunction with the
financial statements and related notes
included in the
Statement of Additional Information
ORCHARD INDEX 600
FUND
- ----------------------------------------------------------
February 3, 1997
to April 30, 1997
-----------------------
-----------------------
Net Asset Value, Beginning of
Period $10.0000
Income from Investment
Operations
Net Investment Income 0.0114
Net Gains or Losses on Securities
(realized and unrealized) (0.6185)
Total from Investment Operations (0.6071)
Less Distributions
Dividends (from net investment
income) (0.0113)
Distributions (from capital gains)
Initial Capitalization
Returns of Capital Total
Distributions (0.0113)
Net Asset Value-End of Period $9.3816
Total Return (22.15%)*
Net Assets-End of Period $4,226,857
Average Commission Rate Paid
Per Share Bought or Sold $0.0311
Ratio of Expenses to Average Net
Assets 0.60%*
Ratio of Net Income to Average
Net Assets 0.51%*
Portfolio Turnover Rate 3.96%
- ----------------------------------------------------------
*Annualized
<PAGE>
FINANCIAL HIGHLIGHTS
(Unaudited) For
the period February 3, 1997 (inception)
to April 30,
1997
The following table should be read in
conjunction with the
financial statements and related notes
included in the
Statement of Additional Information
ORCHARD INDEX EUROPEAN
FUND
- ----------------------------------------------------------
February 3, 1997
to April 30, 1997
-----------------------
-----------------------
Net Asset Value, Beginning of
Period $10.0000
Income from Investment
Operations
Net Investment Income 0.0360
Net Gains or Losses on Securities
(realized and unrealized) 0.3383
Total from Investment Operations 0.3743
Less Distributions
Dividends (from net investment
income)
Distributions (from capital gains)
Initial Capitalization
Returns of Capital Total
Distributions
Net Asset Value-End of Period $10.3743
Total Return 15.83%*
Net Assets-End of Period $4,668,413
Average Commission Rate Paid
Per Share Bought or Sold $0.0465
Ratio of Expenses to Average Net
Assets 1.20%*
Ratio of Net Income to Average
Net Assets 1.46%*
Portfolio Turnover Rate 0.68%
- ----------------------------------------------------------
* Annualized
<PAGE>
FINANCIAL HIGHLIGHTS
(Unaudited) For
the period February 3, 1997 (inception)
to April 30,
1997
The following table should be read in
conjunction with the
financial statements and related notes
included in the
Statement of Additional Information
ORCHARD INDEX PACIFIC
FUND
- ----------------------------------------------------------
February 3, 1997
to April 30, 1997
-----------------------
-----------------------
Net Asset Value, Beginning of
Period $10.0000
Income from Investment
Operations
Net Investment Income 0.0245
Net Gains or Losses on Securities
(realized and unrealized) 0.0776
Total from Investment Operations 0.1021
Less Distributions
Dividends (from net investment
income)
Distributions (from capital gains)
Initial Capitalization
Returns of Capital Total
Distributions
Net Asset Value-End of Period $10.1021
Total Return 4.15%*
Net Assets-End of Period $4,545,931
Average Commission Rate Paid
Per Share Bought or Sold $0.0122
Ratio of Expenses to Average Net
Assets 1.20%*
Ratio of Net Income to Average
Net Assets 1.02%*
Portfolio Turnover Rate 0.00%
- ----------------------------------------------------------
*Annualized
<PAGE>
INVESTMENT OBJECTIVES AND
POLICIES
Each of the Funds is a diversified investment portfolio of the Trust, an
open-end investment management company organized as a Delaware business trust on
July 23, 1996. The Funds are commonly known as mutual funds. By investing in a
mutual fund, you and other shareholders pool money together to be invested
toward a specified investment objective.
Each Fund has its own investment objective and policies. In addition, each Fund
is subject to certain fundamental investment restrictions that cannot be changed
without shareholder approval. These are set forth in the Statement of Additional
Information. All investment policies not designated in the Statement of
Additional Information as being fundamental may be changed without shareholder
approval.
The following is a description of the Funds' investment objectives and policies.
There is no assurance that the Funds will meet their investment objectives.
Additional investment policies, as well as various investment practices and
techniques in which the Funds may engage, are described under "COMMON INVESTMENT
POLICIES, PRACTICES AND RISKS FACTORS."
MONEY MARKET FUND
This Fund seeks as high a level of current income as is consistent with the
preservation of capital and liquidity by investing in high-quality, short-term
debt securities.
The Fund may invest in a variety of high-quality, short-term debt securities,
including but not limited to: (1) securities issued or guaranteed as to
principal and interest by the United States or its agencies or instrumentalities
("U.S. government securities"); (2) certificates of deposit, time deposits and
bankers' acceptances; (3) commercial paper and other short-term corporate debt
instruments; (4) repurchase agreements; and (5) from time to time, floating rate
notes and Eurodollar certificates of deposit.
The Fund generally invests in securities that when acquired are (i) rated in the
highest rating category for short-term debt obligations by at least one
nationally recognized statistical rating organization ("NRSRO"), such as Moody's
Investor Services, Inc. and Standard & Poor's Corporation; or (ii) deemed by GW
Capital Management under the direction of the Funds' Board of Trustees (the
"Board of Trustees") to be of comparable quality to such rated securities. The
Fund only enters into repurchase agreements that are entirely collateralized by
U.S. government securities or securities that, at the time the repurchase
agreement is entered into, are rated in the highest rating category for
short-term debt obligations by at least one NRSRO.
All securities purchased by the Fund are denominated in U.S.
dollars. The Fund invests in securities with remaining maturities
9
<PAGE>
not exceeding 13 months, and maintains a dollar weighted
average portfolio
maturity of 90 days or less.
PREFERRED STOCK FUND
This Fund seeks a high level of dividend income qualifying for the corporate
dividends received deduction under applicable federal tax law by investing
primarily in cumulative preferred stocks issued by domestic corporations. Under
normal circumstances, at least 65% of the Fund's total assets will be invested
in preferred stocks.
The Fund invests in preferred stocks that when acquired are rated by one or more
NRSROs in one of the four highest rating categories for such securities.
Securities having such a rating are commonly known as "investment grade
securities." The Fund is not required to sell securities whose ratings are later
downgraded below investment grade.
The Fund may also invest in unrated and non-cumulative preferred stocks. Before
investing in any unrated preferred stocks a thorough risk analysis will be
performed. This analysis must reveal that the securities would be of investment
grade quality prior to purchase by the Fund. Any unrated or non-cumulative
preferred stock purchases by the Fund will be made only after the portfolio
manager has determined that these investments represent superior expected return
potential versus comparable rated, cumulative preferred issues.
The Fund will purchase money market securities as a cash reserve and may invest
in such securities for investment purposes as warranted by market conditions. In
addition, the Fund may invest in convertible preferred stocks. The Fund will
convert its shares of preferred stock into common stock if the conversion
becomes attractive, or if forced to convert by the issuing company. This may
result in the realization of capital gains, in addition to gains and losses
realized as a result of the Fund's normal trading activities.
Most cumulative, non-participating, non-convertible preferred stocks are issued
with a fixed dividend rate, with no fixed maturity date. These features produce
an equity security with fixed rate bond-like characteristics. The price of this
<PAGE>
type of preferred stock, like the price of fixed rate bonds, tends to fluctuate
inversely with the general level of interest rates. Convertible preferred stocks
may have the support of the market value of the underlying common stock into
which the preferred is convertible. A stable or rising market value for the
underlying common stock can mitigate the effect of adverse interest rate
movements on the market price of a convertible preferred stock. However, because
of the conversion feature, a convertible preferred stock is typically issued
with a lower dividend rate per share than a non-convertible preferred stock. A
lower dividend rate per share may result in a convertible preferred stock having
greater price
10
volatility in response to a change in market interest rates than a
non-convertible preferred stock. The lower yield could result in a more dramatic
price reaction to a change in market yields. This could be expected to occur in
the case where the price of the underlying common stock languishes, so the
potential for future conversion is low.
Under section 243 of the Internal Revenue Code, corporations (but not
individuals) generally are allowed a federal income tax deduction of 70% of the
amount of the dividends they receive from other corporations. In order for a
corporation to qualify for this deduction, it generally is necessary for the
corporation to hold the underlying stock for at least 45 days. The applicable
holding period is 90 days in the case of certain preferred stock. Each corporate
shareholder in the Fund generally will be eligible for a dividends received
deduction for such shareholder's pro rata share of dividends received by the
Fund which qualify for the dividends received deduction and which are designated
by the Fund as qualifying dividends.
INDEX 600 FUND
INDEX 500 FUND
INDEX PACIFIC FUND
INDEX EUROPEAN FUND
Each Index Fund seeks investment results that track the total return of the
common stocks that comprise its benchmark index by investing in such stocks in
approximately the same proportions as the stocks are represented in the index.
The Index Funds normally invest at least 80% of their total assets in the stocks
comprising their respective benchmarks. However, initially and until such time
as an Index Fund's total assets exceed $25 million, or if total assets drop
below $25 million, the percentage of an Index Fund's assets invested in such
securities may be as low as 65%. Although they focus on common stocks, the Index
Funds may also invest in other equity securities and in other types of
instruments. The Index Funds purchase short-term debt securities for cash
management purposes and use various techniques, such as futures contracts, to
adjust their exposure to their benchmarks.
As a mutual fund, each Index Fund seeks to spread investment risk by
diversifying its holdings among the many companies and industries that are
included in the respective indices. Stock values fluctuate in response to the
activities of individual companies and general market and economic conditions.
GW Capital Management may use various investment techniques to hedge the Index
Funds' risks, but there is no guarantee that these strategies will work as
intended.
Although the Index Funds normally invest their assets according to their
investment strategy, they reserve the right to invest without
11
<PAGE>
limitation in preferred stocks and investment grade debt
instruments for
temporary, defensive purposes.
Index Investing
The Index Funds buy and sell stocks to duplicate the compositions of their
benchmark indexes. Their composition may not always be identical to that of
their benchmarks. If extraordinary circumstances warrant, an Index Fund may
exclude a stock held in the corresponding index and include a similar stock in
its place if doing so will help the Fund achieve its objective. It is, however,
intended the Index Funds will generally invest in stocks in approximately the
same proportions as the stocks are represented in their respective benchmark
indexes.
Statistical techniques are generally used to determine which stocks to buy and
sell, rather than traditional economic, financial and market analysis. This
"passive" or "indexing" investment technique tends to result in a lower
portfolio turnover rate than that experienced by many other mutual funds. Lower
portfolio turnover reduces brokerage commissions and other transaction costs
that would otherwise be borne by shareholders. It also acts to reduce
shareholders' current tax liability for capital gains by reducing the level of
realized capital gains.
While the Index Funds seek to maximize the correlation between their performance
and that of their benchmarks, certain factors not associated with the benchmarks
but which affect the Index Funds will account for differences in performance.
Such factors include the amount of the Index Fund's total assets, management
fees and expenses, brokerage commissions and other transaction costs, and
changes in the composition of the benchmark. Accordingly, there is no assurance
as to the actual degree of correlation that will be achieved by the Index Funds.
<PAGE>
Each Index Fund seeks to achieve a 95% or better long-term correlation between
its total return and that of its benchmark index. GW Capital Management monitors
the correlation between the performance of the Index Funds and their benchmarks
on a regular basis. In the unlikely event that an Index Fund cannot achieve a
long-term correlation of 95% or better, the Board of Trustees will consider
alternative arrangements. There is no assurance as to how closely an Index
Fund's performance will correspond to the performance of its respective
benchmark index. Moreover, the benchmark index may not perform favorably in
which case the respective Index Fund's performance would similarly be
unfavorable.
Each Index Fund may use futures contracts on market indexes ("index futures
contracts") and options on such index futures contracts for hedging purposes or
as a substitute for a comparable market position in the underlying securities.
An index futures contract obligates the seller to deliver, and the purchaser to
take, an amount of cash equal to a specific dollar amount times the
12
<PAGE>
difference between the value of a specific index at the close of the last
trading day and the price at which the agreement is made.
Risks associated with the use of futures contracts are: (i) imperfect
correlation between the change in value of securities included on the index and
the prices of futures contracts; and (ii) possible lack of a liquid secondary
market for a futures position when desired. The risk that an Index Fund will be
unable to close out a futures position will be minimized to the extent that such
transactions are entered into on a national exchange with an active and liquid
secondary market. In addition, because of the low margin deposits normally
required in futures trading, a high degree of leverage is typical of a futures
trading account. As a result, a relatively small price movement in a futures
contract may result in substantial losses to a Fund.
About the Benchmark Indexes
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Fund Benchmark
Index 600 Fund S&P Small
Cap 600 Stock Index
Index 500 Fund S&P 500
Composite Stock Price Index
Index Pacific Fund Financial
Times/S&P-Actuaries
Large-Cap
Pacific Index
Index European Fund Financial
Times/S&P-Actuaries
Large-Cap
European Index
</TABLE>
The S&P Small Cap 600 Stock Index (the "S&P 600") is a widely recognized,
unmanaged index of 600 stock prices. The index is market-value weighted, meaning
that each stock's influence on the index's performance is directly proportional
to that stock's "market value" (stock price multiplied by the number of
outstanding shares). The stocks which make up the S&P 600 trade on the New York
Stock Exchange, American Stock Exchange, or NASDAQ quotation system. The S&P 600
is designed to monitor the performance of publicly traded common stocks of the
small company sector of the United States equities market. The stocks of small
companies often involve more risk and volatility than those of larger companies.
The S&P 500 Composite Stock Price Index (the "S&P 500") is a widely recognized,
unmanaged, market-value weighted index of 500 stock prices. The stocks which
make up the S&P 500 trade on the New York Stock Exchange, the American Stock
Exchange, or the NASDAQ National Market System. It is generally acknowledged
that the S&P 500 broadly represents the performance of publicly traded common
stocks in the United States.
Both the S&P 600 and the S&P 500 are sponsored by the Standard & Poor's, which
is responsible for determining which stocks are represented on
the indexes.
Total returns for the S&P 600 and the
13
<PAGE>
S&P 500 assume reinvestment of dividends, but do not include the effect of
taxes, brokerage commissions or other costs you would pay if you actually
invested in those stocks.
The Financial Times/S&P-Actuaries Large-Cap Pacific Index (the "Pacific Index")
and the Financial Times/S&P-Actuaries Large-Cap European Index (the "European
Index") are unmanaged, market-value weighted indexes of equity securities traded
on the stock exchanges of the countries represented in the respective indexes.
They are designed to represent the performance of stocks in the large-cap sector
of the markets from the countries included in the European and Pacific Rim
regions of the world.
The Pacific Index and European Index are sponsored by the Financial Times-Stock
Exchange International; Standard & Poor's; Goldman, Sachs and Company; and Nat
West Securities, Ltd. Each of these entities has voting rights on a committee
that is responsible for determining the composition of the stocks comprising the
indexes.
None of the Funds is endorsed, sold or promoted by any of the sponsors of the
Benchmark Indexes (the "Sponsors"), and no Sponsor is an affiliate or a sponsor
of the Trust, the Funds, or GW Capital Management. The Sponsors are not
responsible for and do not participate in the operation or management of any
Fund, nor do they guarantee the accuracy or completeness of their respective
Benchmark Indexes or the data therein. Inclusion of a stock in a Benchmark Index
does not imply that it is a good investment.
"Financial Times/S&P Actuaries Large-Cap Pacific Index" and "Financial Times/S&P
Actuaries Large-Cap European Index" are trademarks of The Financial Times
Limited and Standard & Poor's Corporation. "S&P SmallCap 600 Stock Index," "S&P
600," "S&P 500 Composite Stock Price Index," and "S&P 500," are trademarks of
The McGraw-Hill Companies, Inc. These trademarks have been licensed for use by
the Trust.
COMMON INVESTMENT POLICES, PRACTICES AND RISK
FACTORS
The following pages contain more detailed information about certain types of
instruments in which the Funds may invest, strategies GW Capital Management may
employ in pursuit of the Funds' investment objectives, and a summary of related
risks. Any investment limitations listed supplement those discussed earlier. A
complete listing of the Funds' investment limitations and more detailed
information about their investment practices are contained in the Statement of
Additional Information. Securities that met applicable investment policies and
limitations when acquired need not be sold in the event of a later change in
circumstances.
GW Capital Management may not buy all of these securities or use all of these
techniques unless it believes that they are consistent with the Funds'
investment objectives and policies and that doing so will help the Funds achieve
their objectives.
14
<PAGE>
Money Market Instruments and Temporary Investment Strategies
In addition to the Money Market Fund, the other Funds each may hold cash or cash
equivalents and may invest in short-term, high-quality debt instruments (that is
in "money market instruments") as deemed appropriate by GW Capital Management,
or may invest any or all of their assets in money market instruments as deemed
necessary by GW Capital Management for temporary defensive purposes.
The types of money market instruments in which the Funds may invest
include, but are not limited to: (1) bankers' acceptances; (2)
obligations of U.S. and non-U.S. governments and their agencies and
instrumentalities; (3) short-term corporate obligations, including
commercial paper, notes, and bonds; (4) obligations of U.S. banks
and non-U.S. branches of such banks (Eurodollars), U.S. branches
and agencies of non-U.S. banks (Yankee dollars), and non-U.S.
branches of non-U.S. banks; (5) asset-backed securities; and (6)
repurchase agreements.
Repurchase Agreements
Each Fund may enter into repurchase agreements. In a repurchase agreement, the
Fund buys a security at one price and simultaneously agrees to sell it back at a
higher price. If the seller of the agreement defaults and the value of the
collateral declines, or if the seller enters an insolvency
proceeding,
realization of the value of the collateral by the Funds may be
delayed or
limited.
Equity Securities
Each Fund, except the Money Market Fund, invests directly or indirectly in
equity securities, such as common stocks, preferred stocks, convertible stocks,
and warrants. Although equity securities have a history of long-term growth in
value, their prices fluctuate based on changes in a company's financial
condition and on overall market and economic conditions. Equity securities of
smaller companies are especially sensitive to these factors.
Illiquid Securities
<PAGE>
Each Fund may invest up to 15% of its net assets in illiquid securities, except
the Money Market Fund which may invest up to 10% of its net assets in illiquid
securities. The term "illiquid securities" means securities that cannot be sold
in the ordinary course of business within seven days at approximately the price
used in determining a Fund's net asset value. Under the supervision of the Board
of Trustees, GW Capital Management determines the liquidity of portfolio
securities and, through reports from GW Capital Management, the Board of
Trustees monitors investments in illiquid securities. Certain types of
securities are generally considered to be illiquid. Included among these are
"restricted securities" which are securities whose public resale is subject to
15
<PAGE>
legal restrictions. However, certain types of restricted securities (commonly
known as "Rule 144A securities") that can be resold to qualified institutional
investors may be treated as liquid if they are determined to be readily
marketable pursuant to policies and guidelines of the Board of Trustees.
A Fund may be unable to sell illiquid securities when desirable or may be forced
to sell them at a price that is lower than the price at which they are valued or
that could be obtained if the securities were more liquid. In addition, sales of
illiquid securities may require more time and may result in higher dealer
discounts and other selling expenses than do sales of securities that are not
illiquid. Illiquid securities may also be more difficult to value due to the
unavailability of reliable market quotations for such securities.
Adjusting Investment Exposure
Each Fund, other than the Money Market Fund, can use various
techniques to
increase or decrease its exposure to changing security prices, currency exchange
rates, or other factors that affect security values. These techniques may
involve derivative transactions such as buying and selling options and futures
contracts, including futures on market indexes and options on such futures on
market indexes, and entering into currency exchange contracts.
GW Capital Management can use these practices to adjust the risk and return
characteristics of a Fund's portfolio of investments. If GW Capital Management
judges market conditions incorrectly or employs a strategy that does not
correlate well with a Fund's investments, these techniques could result in a
loss, regardless of whether the intent was to reduce risk or increase return.
These techniques may increase a Fund's volatility and may involve a small
investment relative to the magnitude of the risk assumed. In addition, these
techniques could result in a loss if the counterparty to the transaction does
not perform as promised. A Fund will not enter into futures contracts or options
if the aggregate initial margin and premium required to do so will exceed 5% of
the Fund's total assets.
Foreign Investments
Each Fund, except the Money Market Fund, may invest in foreign securities and
securities issued by U.S. entities with substantial foreign operations in a
manner consistent with its investment objective and policies. Such foreign
investments may involve additional risks and considerations. These include risks
relating to political or economic conditions in foreign countries, fluctuations
in foreign currencies, withholding or other taxes, operational risks, increased
regulatory burdens, and the potentially less stringent investor protection and
disclosure standards of foreign markets. Furthermore, the securities of some
foreign companies and foreign securities markets are less liquid
16
<PAGE>
and at times more volatile than securities of comparable U.S.
companies and U.S. securities markets. Foreign brokerage
commissions and other fees are also generally higher than those
imposed in the United States. There are also special tax
considerations that apply to securities of foreign issuers and
securities principally traded overseas.
A Fund's investments in foreign securities may include investments in countries
whose economies or securities markets are not yet highly developed. Investments
in these "emerging market securities" include additional risks to those
generally associated with foreign investing. The extent of economic development,
political stability, and market liquidity varies widely in comparison to more
developed nations. The economies of these countries may be subject to greater
social, economic, and political uncertainties or may be based only a few
industries. These factors can make emerging market securities more volatile.
The Index Pacific Fund and the Index European Fund have substantial exposure to
foreign markets since these Funds invest primarily in securities of foreign
issuers. The other Funds may have some exposure to foreign markets, but their
exposure is minimized since these Funds invest primarily in securities of
domestic issuers.
Lending
Each Fund may lend its portfolio securities to brokers or dealers and other
institutions as a means of earning interest income. The Funds may lend
securities only if (i) the loan is at all times fully collateralized by cash,
cash equivalents, U.S. government securities or other high-quality debt
securities, and (ii) the value of all loaned securities is not more than 33 1/3
percent of the Fund's total assets at the time of the loan.
Borrowing
Each Fund may borrow from banks for temporary and emergency purposes, but not in
an amount exceeding 33 1/3 percent of its total assets. If a Fund borrows money,
its share price may be subject to greater fluctuation until the borrowing is
paid off. A Fund will repay all borrowings in excess of 5 percent of its total
assets before any investments are made.
Other Risk Factors
As a mutual fund, each Fund is subject to market risk. The value of a Fund's
shares will fluctuate in response to changes in economic conditions, interest
rates, and the market's perception of a Fund's underlying portfolio securities.
No Fund should be considered to be a complete investment program by itself. You
should consider your own investment objectives as well as your other investments
when deciding whether to purchase shares of any Fund.
17
<PAGE>
MANAGEMENT OF THE
FUNDS
The Trust is governed by the Board of Trustees which is responsible for overall
management of the Funds' business affairs. The Trustees meet at least 4 times
during the year to, among other things, oversee the Funds' activities, review
contractual arrangements with companies that provide services to the Funds, and
review performance.
Investment Adviser
The Funds are managed by GW Capital Management, which selects the Funds'
portfolio investments and handles their business affairs. GW Capital Management
is a registered investment adviser under the Investment Advisers
Act of 1940.
Paul Desmarais and his associates, a group of private holding companies, have
indirect voting control over GW Capital Management.
GW Capital Management is a wholly-owned subsidiary of Great-West Life & Annuity
Insurance Company ("GWL&A"). GW Capital Management serves as the investment
adviser for: Maxim Series Fund, Inc., a registered open-end management
investment company (shares of the Maxim Series Fund are sold only in connection
with certain insurance contracts); Great-West Variable Annuity Account A, a
separate account of GWL&A, registered as a management investment company; and
certain non-registered, tax-qualified corporate pension plan separate accounts
of GWL&A.
GW Capital Management provides investment advisory services and pays all the
expenses, except extraordinary expenses, incurred for providing such services
for the Funds. As compensation for its services, GW Capital Management receives
monthly compensation at the annual rate of 0.20% for the Orchard Money Market
Fund; 0.60% for the Orchard Index 500 and Orchard Index 600 Funds; .90% for the
Orchard Preferred Stock Fund; and, 1.00% for the Orchard Index European and
Orchard Index Pacific Funds.
With respect to the Orchard Money Market, Orchard Index European and Orchard
Index Pacific Funds, GW Capital Management pays all compensation of, and
furnishes office space for, officers and employees of GW Capital Management
connected with investment management for these Funds, as well as the fees of all
directors of the Fund who are affiliated persons of the GW Capital Management or
any of its affiliates. All other expenses incurred in the operation of these
Funds, including general administrative expenses, are borne by these Funds,
respectively. Accounting services are provided for these Funds by GW Capital
Management and these Funds reimburse GW Capital Management for its costs in
connection with such services. However, GW Capital Management has agreed to pay
any expenses of the Funds which exceed the annual rate of 0.46% of the average
daily net assets of the Orchard Money Market Fund; and, 1.20% of the average
daily net assets of the Orchard Index European and Orchard Index Pacific Funds.
18
<PAGE>
Portfolio Managers
Jim Desmond, Vice President, GW Capital Management, is responsible for the
day-to-day management of the Preferred Stock Fund. He is also an Assistant Vice
President at GWL&A where he has managed GWL&A's separate account assets since
1991. From September, 1987, to December, 1991, he was an equity portfolio
manager for the Colorado Public Employees Retirement Association. Mr. Desmond
has approximately fifteen years equity analysis and portfolio management
experience.
Other Information
The Trust has authorized capital of an unlimited number of shares of beneficial
interest 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. Presently, each Fund
represents a separate series of shares. The Trust may establish additional
series or classes in the future.
The Trust is not required to hold an annual shareholders meetings, although
special meetings may be called for a specific Fund or the Trust as a whole for
purposes such as electing or removing trustees, changing fundamental investment
policies, or approving a new or amended investment advisory agreement. As a
shareholder, you receive one vote for each share of a Fund you own and a
proportionate vote for each fractional interest you own.
Shareholder inquiries can be made by telephone at (800) 338-4015, or by mail to
the Trust at 8515 East Orchard Road, Englewood, Colorado 80111.
One Orchard Equities, Inc. distributes and markets the Trust's Funds. Financial
Administrative Services Corporation ("FASCorp" or the "Transfer Agent") performs
transfer agent servicing functions for the Funds. FASCorp is a wholly owned
subsidiary and One Orchard Equities is an indirect wholly owned subsidiary of
GWL&A.
IMPORTANT INFORMATION ABOUT
YOUR INVESTMENT
HOW THE FUNDS VALUE THEIR SHARES
The price of a Fund's shares is based on the net asset value of that Fund. Each
Fund's per share net asset value is determined by dividing the value of its net
assets by the number of its outstanding shares. A Fund's net asset value per
share will normally be determined as of the close of regular trading on the New
York Stock Exchange ("NYSE") (currently 4:00 p.m. Eastern Time) Monday through
Friday, except on holidays on which the NYSE is closed.
Assets of the Funds other than the Money Market Fund are valued primarily on the
basis of market quotations. Foreign securities are valued on the basis of
quotations from the primary market in
19
<PAGE>
which they are traded, and are translated from the local currency into U.S.
Dollars using current exchange rates. If quotations are not readily available,
or if values have been materially affected by events occurring after the close
of a foreign market, assets are valued by a method that the Board of Trustees
believes accurately reflects fair value.
Assets of the Money Market Fund are valued on an amortized-costbasis. Under
this method, securities are valued at their acquisition cost as adjusted for
amortization of premium or accretion of discount rather than at their value
based on current market factors. While this method attempts to provide certainty
in valuation, the value of securities based on amortized cost value may differ
from that based on market value. Short-term investments of all Funds that will
mature in not more than 60 days are also valued at amortized cost.
DIVIDENDS, OTHER DISTRIBUTIONS AND TAXES
You are entitled to your share of the earnings of each Fund in which you are a
shareholder, which are passed along to shareholders as "distributions." Earnings
from net investment income, such as stock dividends and interest from short-term
debt instruments and other investments, are passed along as "dividend
distributions." Earnings realized when a Fund sells securities for a higher
price than it paid for them are passed along as "capital gains distributions."
Each of the Funds distribute substantially all of its net investment income and
capital gains to shareholders each year.
The Money Market Fund ordinarily declares dividends from net investment income
daily and distributes dividends monthly. The Preferred Stock Fund ordinarily
distributes dividends from net investment income quarterly. The Index 600 and
Index 500 Funds ordinarily distribute dividends semi-annually, while the Index
Pacific and Index European Funds ordinarily distribute such dividends annually.
All of the Funds generally distribute capital gains, if any, in the fiscal year
in which they were earned.
Distribution Option
Shareholders of a Fund can either receive distributions in cash or reinvest them
in additional shares of the Fund at the net asset value in effect on the
reinvestment date. Unless you elect, by writing to the Trust or Transfer Agent,
to receive your distributions in cash, they will be automatically reinvested.
You can change your election at any time by writing to the Trust
or Transfer
Agent.
Taxes
As with any investment, you should consider how your investment in a Fund will
be taxed.
20
<PAGE>
Taxes on distributions. Distributions are subject to federal income tax, and may
also be subject to state or local taxes. If you live outside the United States,
your distributions could also be taxed by the country in which you reside. Your
distributions are taxable when they are paid, whether you take them in cash or
reinvest them. However, distributions declared in December and paid in January
are taxable as if they were paid on December 31.
For federal tax purposes, a Fund's dividend distributions are taxed as dividends
and gain distributions are taxed as long-term capital gains. A portion of the
dividend distributions (but not capital gains distributions) paid by a Fund may
be eligible for the dividends received deduction for corporate shareholders to
the extent that such distributions are attributable to dividends paid by United
States corporations and are so designated by the Fund.
Every January, the Trust will send you and the IRS a statement showing the
taxable distributions paid to you in the previous year.
Taxes on transactions. Redemptions and exchanges of shares in any Fund may be
subject to federal income tax. In general, your gain or loss on any redemption,
sale, or other exchange will equal the difference between the cost of the shares
you redeem, sell or exchange, and the price you receive when you redeem, sell,
or exchange them.
You will receive a consolidated transaction statement at least quarterly. You
should keep your regular account statements, because the information they
contain will be essential in calculating the amount and character of your gains
and losses. However, it is the responsibility of you and your tax preparer to
determine whether a given transaction will result in taxable gain or loss and
the amount of tax to be paid, if any.
"Buying a dividend." If you buy shares shortly before a Fund declares a
distribution from its net asset value, you will pay the full price for the
shares and then receive a portion of the price back in the form of a taxable
distribution. Any capital loss arising from the sale or redemption of shares
held for six months or less will be disallowed to the extent of exempt-interest
dividends received on such shares, and (to the extent not disallowed) generally
will be treated as long-term capital loss to the extent of the amount of capital
gain dividends received on such shares.
Effect of foreign taxes. Dividends and interest received by the Funds on foreign
securities may give rise to withholding and other taxes imposed by foreign
governments. These taxes generally will reduce the amount of their
distributions.
There are tax requirements that all investment companies must follow in order to
avoid federal taxation. In order to comply with these requirements, the Funds
may be required to limit their investment activity in some types of
instruments.
21
<PAGE>
HOW THE FUNDS REPORT PERFORMANCE
From time to time, the Trust may include a Fund's yield and total return in
advertisements, sales literature, and shareholder reports. In addition, the
Trust may advertise the Money Market Fund's yield and effective yield. These
measures of a Fund's performance are based on past results and are not intended
to indicate future performance.
Yield
A Fund's "yield" refers to the income generated by an investment in the Fund
over a specified 30-day period (7-day period for the Money Market Fund)
expressed as an annual percentage rate. The Money Market Fund's "effective
yield" is calculated similarly, but the income earned by an investment in the
Fund, when annualized, is assumed to be reinvested. The effective yield will be
slightly higher than the yield because of the compounding effect of the assumed
reinvestment.
Total Return
A Fund's "total return" refers to the average annual rate of return of an
investment in the Fund. Total return is computed by calculating the percentage
change in the value of an investment of $1,000 to the end of a specified period,
assuming all dividends and capital gain distributions are reinvested.
Annual and Semi-Annual Shareholder Reports
The fiscal year of the Funds ends on October 31 of each year. Twice a year
shareholders of each Fund will receive a report containing a summary of the
Fund's performance and other information.
INVESTING IN THE
FUNDS
HOW TO BUY SHARES
Shares of a Fund can be purchased at the next share price calculated after your
order is received and accepted by the Transfer Agent.
Because you pay no
commissions or sales charges when you purchase shares, a Fund's share price is
equivalent to the Fund's net asset value per share.
If you do not already have an account with the Trust, you can purchase shares by
mailing a completed account application to the Transfer Agent. In addition, you
must either (i) include with your application a check or money order made
payable to the appropriate Fund in the amount that you wish to invest, or (ii)
wire (that is electronically transfer) such amount to an account designated by
the Transfer Agent.
Once you have an account with the Trust, you can purchase shares by mailing a
check or money order made payable to the appropriate Fund
22
<PAGE>
to the Transfer Agent, together with instructions specifying the name and number
of the account. You can also purchase shares by wiring the amount that you wish
to invest to your account.
If you wish to make an initial purchase of shares by wiring your investment, you
must first telephone the Transfer Agent at 1-800- 338-4015 between the hours of
8:00 a.m. and 4:00 p.m. (Eastern Time) on any day that the NYSE is open for
trading to receive an account number with the Trust. You will be asked to
provide the following information: the name in which the account will be
established, the account holder's address, tax identification number, and
dividend distribution election. If requested, the Transfer Agent will provide
the instructions that your bank will need to complete the transfer.
The Funds and Transfer Agent reserve the right to reject any order to purchase
shares, and the Funds reserve the right to cancel any purchase order for which
payment has not been received within three business days ollowing receipt of
the order. If the Transfer Agent deems it appropriate, additional documentation
or verification of authority may be required and an order will not be deemed
accepted unless and until such additional documentation or verification is
received by the Transfer Agent.
Your bank may charge a fee for its services. Presently, the
Transfer Agent does
not charge a fee for its wire transfer services, but reserves
the right to
charge for these services.
HOW TO SELL SHARES
You can withdraw money from your account by selling (that is by "redeeming")
some or all of your shares. Your shares will be sold at the next share price
calculated after your order is received and accepted by the Transfer Agent.
Because you pay no commissions or sales charges when you sell shares of the
Funds, each Fund's share price is equivalent to the Fund's net asset value per
share. You can arrange to sell shares of a Fund only by mail. Redemptions may
not be made by telephone.
By Mail
You can redeem shares by sending a "letter of instruction" by regular or express
mail to the Transfer Agent at 8515 East Orchard Road, Englewood, Colorado 80111.
The letter should include: (1) the name of the account from which shares are to
be redeemed; (2) the account number; (3) the name of the Fund; (4) the dollar
amount or number of shares to be redeemed; (5) any special payment instructions;
(6) the signatures of the person or persons authorized to effect redemptions of
shares held by the account; and (7) any special requirements or documents
requested by the Transfer Agent to assure proper authorization of such persons.
23
<PAGE>
HOW TO EXCHANGE SHARES
You can exchange shares of a Fund that you own for shares of another Fund. There
are no sales charges or distribution fees. To complete the exchange, shares of
the Fund to be exchanged will be sold, and shares of the another Fund will be
purchased, at their respective share prices next calculated after the exchange
request is received by the Transfer Agent. The minimum amount that may exchanged
is the lesser of $500 or the remaining value of the investment in the Fund to be
exchanged.
You can request an exchange in writing or by telephone. Written requests should
be submitted to the Transfer Agent by mail at 8515 East Orchard Road, Englewood,
Colorado 80111. The form must be signed by the account owner(s) and include the
following information: (1) the name of the account for which shares are to be
exchanged; (2) the account number; (3) the name of the Fund, the shares of which
are to be exchanged; (4) the dollar amount or number of shares to be exchanged;
(5) the name of the Fund(s) to be acquired in the exchange; (6) the signatures
of the person or persons authorized to effect exchanges of shares held by the
account; and (7) any special requirements or documents requested by the Transfer
Agent to assure proper authorization of such persons.
You can request an exchange by telephoning the Transfer Agent at 1-
800-338-4015.
The Funds reserve the right to refuse exchanges if, in the Board of Trustees' or
GW Capital Management's judgment, a Fund would be unable to invest the money
effectively in accordance with its investment objective and policies, or would
potentially be otherwise adversely affected.
Exchanges may be restricted or refused if a Fund receives or
anticipates simultaneous orders affecting significant portions of the
Fund's assets. In
particular, a pattern of exchanges that coincides with a
"market timing"
strategy may be disruptive to the Fund.
Although a Fund will attempt to provide prior notice whenever it is reasonably
able to do so, it may impose these restrictions at any time. Each Fund reserves
the right to terminate or modify the exchange privilege in the
future.
OTHER INFORMATION
Telephone transaction privileges for purchases or exchanges may be modified,
suspended, or terminated by a Fund at any time. If an account has more than one
owner of record, the Funds and the Transfer Agent may rely on the instructions
of any one owner. Each account owner has telephone transaction privileges unless
the Transfer Agent receives cancellation instructions from an account owner.
24
<PAGE>
The Transfer Agent will record telephone calls and has adopted other procedures
to confirm that telephone instructions are genuine. The Funds will not be liable
for losses or expenses arising from unauthorized telephone transactions,
provided they use reasonable procedures to avoid such losses or expenses. If you
are unable to reach the Transfer Agent during periods of unusual market
activity, severe weather, or other unusual, extreme, or emergency conditions,
you may not be able to complete a telephone transaction and should consider
placing your order by mail.
25
<PAGE>
INVESTMENT ADVISER
GW Capital
Management, Inc.
8515 East Orchard
Road
Englewood, Colorado
80111
- ------------------------
DISTRIBUTOR
One Orchard Equities,
Inc.
8515 East Orchard
Road
Englewood, Colorado
80111
- ------------------------
TRANSFER AGENT
Financial Administrative
Services Corporation
8515 East Orchard
Road
Englewood, Colorado
80111
- ------------------------
CUSTODIAN
Bank of New York
One Wall Street
New York, New York
10286
- ------------------------
AUDITORS
Deloitte & Touche
LLP
555 17th Street
Suite 3600
Denver, Colorado
80202
<PAGE>
ORCHARD SERIES FUND
(the "Trust")
Orchard Money Market
Fund
Orchard Preferred Stock
Fund
Orchard Index 600
Fund
Orchard Index 500
Fund
Orchard Index Pacific
Fund
Orchard Index European
Fund
(the "Funds")
STATEMENT OF ADDITIONAL
INFORMATION
The date of the Trust's current Prospectus to which this Statement of
Additional Information relates and the date of this Statement of
Additional Information is
August 1, 1997
This Statement of Additional Information is not a
prospectus but
supplements and should be read in conjunction with the
Trust's current
Prospectus. A copy of the Prospectus may be obtained
by writing the
Trust at 8515 East Orchard Road, Englewood, Colorado
80111, or by calling (303) 689-3000.
<PAGE>
TABLE OF
CONTENTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Cross-reference
to page(s) in
Page Prospectus
INVESTMENT OBJECTIVES .....................
1 9
INVESTMENT POLICIES AND PRACTICES .........
1 9
INVESTMENT LIMITATIONS ....................
15 9
MANAGEMENT OF THE FUNDS ...................
18 18
PORTFOLIO TRANSACTIONS ....................
21 18
VALUATION OF PORTFOLIO SECURITIES .........
23 19
INVESTMENT PERFORMANCE ....................
25 22
ADDITIONAL PURCHASE
AND REDEMPTION INFORMATION .............
28 22
DIVIDENDS, DISTRIBUTION AND TAXES .........
29 20
OTHER INFORMATION .........................
36 24
<PAGE>
PRICE MAKE-UP SHEETS ......................
39 --
APPENDIX ..................................
45 --
FINANCIAL STATEMENTS ......................
49 --
</TABLE>
<PAGE>
INVESTMENT
OBJECTIVES
The Orchard Series Fund is an open-end management investment company organized
as a Delaware business trust (the Trust). The Trust offers six diversified
investment portfolios, commonly known as mutual funds (the Funds). The Funds are
"no-load," meaning you pay no sales charges or distribution fees. GW Capital
Management, Inc.("GW Capital Management"), a wholly-owned subsidiary of Great-
West Life & Annuity Insurance Company ("GWL&A"), serves as the Funds' investment
adviser. The Funds and a brief description of their investment objectives are
listed below.
Orchard Money Market Fund. This Fund seeks as high a level of current income as
is consistent with the preservation of capital and liquidity by investing in
high-quality, short-term debt securities. An investment in the Fund is neither
insured nor guaranteed by the U.S. government. While the Fund seeks to maintain
a stable net asset value of $1.00 per share, there is no assurance that it will
be able to do so.
Orchard Preferred Stock Fund. This Fund seeks a high level of
dividend income
qualifying for the corporate dividends received deduction under applicable
federal tax law by investing primarily in cumulative preferred stocks issued by
domestic corporations.
The Orchard Stock Index Funds. Each of the following Funds (the "Index Funds")
seeks long-term growth of capital and a modest level of income by investing in
the common stocks that comprise a specified benchmark index.
Fund Benchmark
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Orchard Index 600 Fund S&P
Small-Cap 600 Stock Index
Orchard Index 500 Fund S&P 500
Composite Stock Price Index
Orchard Index Pacific Fund Financial
Times/S&P-Actuaries
Large-Cap
Pacific Index
Orchard Index European Fund Financial
Times/S&P-Actuaries
Large-Cap
European Index
</TABLE>
INVESTMENT POLICIES AND
PRACTICES
Except as described below and except as otherwise specifically stated in the
Prospectus or this Statement of Additional Information, the Funds' investment
policies set forth in the Prospectus and in this Statement of Additional
Information are not fundamental and may be changed without shareholder approval.
A listing of the Funds' fundamental investment limitations is contained in this
Statement of Additional Information under
<PAGE>
"INVESTMENT LIMITATIONS." These limitations are fundamental policies of each
Fund, which means that they may not be changed without shareholder approval.
Securities that met applicable investment policies and limitations when acquired
need not be sold in the event of a later change in circumstances.
The following pages contain more detailed information about types of securities
in which the Funds may invest, investment practices and techniques that GW
Capital Management may employ in pursuit of the Funds' investment objectives,
and a discussion of related risks. GW Capital Management may not buy all of
these securities or use all of these techniques to the full extent permitted
unless it believes that they are consistent with the Funds' investment
objectives and policies and that doing so will help the Funds achieve their
objectives. Unless otherwise provided, each Fund may invest in all these
securities or use all of these techniques.
Bankers' Acceptances. A bankers' acceptance is a time draft drawn on a
commercial bank by a borrower, usually in connection with international
commercial transactions (to finance the import, export, transfer or storage of
goods). The borrower is liable for payment as well as the bank, which
unconditionally guarantees to pay the draft at its face amount on the maturity
date. Most acceptances have maturities of six months or less and are traded in
secondary markets prior to maturity. The Funds generally will not invest in
acceptances with maturities exceeding 7 days where to do so would tend to create
liquidity problems.
Certificates of Deposit. A certificate of deposit generally is a short-term,
interest bearing negotiable certificate issued by a commercial bank or savings
and loan association against funds deposited in the issuing institution.
Commercial Paper. Commercial paper is a short-term promissory note
issued by a corporation primarily to finance short-term credit
<PAGE>
needs.
Eurodollar Certificates of Deposit. A Eurodollar certificate of
deposit is a short-term obligation of a foreign subsidiary of a
U.S. bank payable in U.S. dollars.
Foreign Currency Transactions. The Funds, other than the Money Market Fund, may
conduct foreign currency transactions on a spot (i.e., cash) basis or by
entering into forward contracts to purchase or sell foreign currencies at a
future date and price. The Funds will convert currency on a spot basis from time
to time, and investors should be aware of the costs of currency conversion.
Although foreign exchange dealers generally do not charge a fee for conversion,
they do realize a profit based on the difference between the prices at which
they are buying and selling various
currencies. Thus, a dealer may offer to sell a foreign currency to a Fund at one
rate, while offering a lesser rate of exchange should the Fund desire to resell
that currency to the dealer. Forward contracts are generally traded in an
interbank market conducted directly between currency traders (usually large
commercial banks) and their customers. The parties to a forward contract may
agree to offset or terminate the contract before its maturity, or may hold the
contract to maturity and complete the contemplated currency exchange.
A Fund may use currency forward contracts for any purpose consistent with its
investment objective. The following discussion summarizes the principal currency
management strategies involving forward contracts that could be used by a Fund.
A Funds may also use options and futures contracts relating to foreign
currencies for the same purposes.
<PAGE>
When a Fund agrees to buy or sell a security denominated in a
foreign currency,
it may desire to "lock in" the U.S. dollar price for the security.
By entering
into a forward contract for the purchase or sale, for a fixed
amount of U.S.
dollars, of the amount of foreign currency involved in the underlying security
transaction, the Fund will be able to protect itself against an adverse change
in foreign currency values between the date the security is purchased or sold
and the date on which payment is made or received. This technique is sometimes
referred to as a "settlement hedge" or "transaction hedge." The Funds may also
enter into forward contracts to purchase or sell a foreign currency in
anticipation of future purchases or sales of securities denominated in foreign
currency, even if the specific investments have not yet been selected by GW
Capital Management.
The Funds may also use forward contracts to hedge against a decline in the value
of existing investments denominated in foreign currency. For example, if a Fund
owned securities denominated in pounds sterling, it could enter into a forward
contract to sell pounds sterling in return for U.S. dollars to hedge against
possible declines in the pound's value. Such a hedge, sometimes referred to as a
"position hedge," would tend to offset both positive and negative currency
fluctuations, but would not offset changes in security values caused by other
factors. A Fund could also hedge the position by selling another currency
expected to perform similarly to the pound sterling, for example, by entering
into a forward contract to sell Deutsche marks or European Currency Units in
return for U.S. dollars. This type of hedge, sometimes referred to as a "proxy
hedge," could offer advantages in terms of cost, yield, or efficiency, but
generally would not hedge currency exposure as effectively as a simple hedge
into U.S. dollars. Proxy hedges may result in losses if the currency used to
hedge does not perform similarly to the currency in which the hedged securities
are denominated.
<PAGE>
Each Fund may enter into forward contracts to shift its investment exposure from
one currency into another. This may include shifting exposure from U.S. dollars
into a foreign currency, or from one foreign currency into another foreign
currency. For example, if a Fund held investments denominated in Deutschemarks,
the Fund could enter into forward contracts to sell Deutschemarks and purchase
Swiss Francs. This type of strategy, sometimes known as a "cross- hedge," will
tend to reduce or eliminate exposure to the currency that is sold, and increase
exposure to the currency that is purchased, much as if the Fund had sold a
security denominated in one currency and purchased an equivalent security
denominated in another. Cross-hedges protect against losses resulting from a
decline in the hedged currency, but will cause the Fund to assume the risk of
fluctuations in the value of the currency it purchases.
Under certain conditions, SEC guidelines require mutual funds to set aside
appropriate liquid assets in a segregated custodial account to cover currency
forward contracts. As required by SEC guidelines, the Funds will segregate
assets to cover currency forward contracts, if any, whose purpose is essentially
speculative. The Funds will not segregate assets to cover forward contracts
entered into for hedging purposes, including settlement hedges, position hedges,
and proxy hedges.
Successful use of currency management strategies will depend on GW Capital
Management's skill in analyzing and predicting currency values. Currency
management strategies may substantially change a Fund's investment exposure to
changes in currency exchange rates, and could result in losses to the Fund if
currencies do not perform as GW Capital Management anticipates. For example, if
a currency's value rose at a time when GW Capital Management had hedged a Fund
by selling that currency in exchange for dollars, the Fund would be unable to
participate in the currency's appreciation. If GW Capital Management hedges
currency exposure through proxy hedges, a Fund could realize currency losses
from the hedge and the security position at the same time if the two currencies
do not move in tandem. Similarly, if GW Capital Management increases a Fund's
exposure to a foreign currency, and that currency's value declines, the Fund
will realize a loss. There is no assurance that GW Capital Management's use of
currency management strategies will be advantageous to the Funds or that it will
hedge at an appropriate time.
Foreign Securities. Each Fund, except the Money Market Fund, may
invest in foreign securities and securities issued by U.S. entities
with substantial foreign operations in a manner consistent with its
investment objective and policies. Such foreign investments may
involve significant risks in addition to those risks normally
associated with U.S. equity investments.
<PAGE>
There may be less information publicly available about a foreign corporate or
government issuer than about a U.S. issuer, and foreign corporate issuers are
not generally subject to accounting, auditing and financial reporting standards
and practices comparable to those in the United States. The securities of some
foreign issuers are less liquid and at times more volatile than securities of
comparable U.S. issuers. Foreign brokerage commissions and securities custody
costs are often higher than those in the United States, and judgements against
foreign entities may be more difficult to obtain and enforce.
With respect to
certain foreign countries, there is a possibility of governmental expropriation
of assets, confiscatory taxation, political or financial instability and
diplomatic developments that could affect the value of investments in those
countries. The receipt of interest on foreign government securities may depend
on the availability of tax or other revenues to satisfy the issuer's
obligations.
A Fund's investments in foreign securities may include investments in countries
whose economies or securities markets are not yet highly developed. Special
considerations associated with these investments (in addition to the
considerations regarding foreign investments generally) may include, among
others, greater political uncertainties, an economy's dependence on revenues
from particular commodities or on international aid or developmental assistance,
currency transfer restrictions, illiquid markets, delays and disruptions in
securities settlement procedures.
Most foreign securities in a Fund will be denominated in foreign currencies or
traded in securities markets in which settlements are made in foreign
currencies. Similarly, any income on such securities is generally paid to a Fund
in foreign currencies. The value of these foreign currencies relative to the
U.S. dollar varies continually, causing changes in the dollar value of a Fund's
investments (even if the price of the investments is unchanged) and changes in
the dollar value of a Fund's income available for distribution to its
shareholders. The effect of changes in the dollar value of a foreign currency on
the dollar value of a Fund's assets and on the net investment income available
for distribution may be favorable or unfavorable.
A Fund may incur costs in connection with conversions between various
currencies. In addition, a Fund may be required to liquidate portfolio assets,
or may incur increased currency conversion costs, to compensate for
<PAGE>
a decline in
the dollar value of a foreign currency occurring between the time when a Fund
declares and pays a dividend, or between the time when a Fund accrues and pays
an operating expense in U.S. dollars.
American Depository Receipts ("ADRs"), as well as other "hybrid" forms of ADRs
including European depository Receipts and Global Depository Receipts, are
certificates evidencing ownership of
shares of a foreign issuer. These certificate are issued by depository banks and
generally trade on an established market in the United States or elsewhere. The
underlying shares are held in trust by a custodian bank or similar financial
institution in the issuer's home country. The depository bank may not have
physical custody of the underlying security at all times and may charge fees for
various services, including forwarding dividends and interest and corporate
actions. ADRs are an alternative to directly purchasing the underlying foreign
securities in their national markets and currencies. However, ADRs continue to
be subject to the risks associated with investing directly in foreign
securities. These risks include foreign exchange risks as well as the political
and economic risks of the underlying issuer's country.
Futures. See "Futures and Options" below.
Illiquid Securities. Each Fund may invest up to 15% of its net assets in
illiquid securities, except the Money Market Fund which may invest up to 10% of
its net assets in illiquid securities. The term "illiquid securities" means
securities that cannot be sold in the ordinary course of business within seven
days at approximately the price used in determining a Fund's net asset value.
<PAGE>
Under the supervision of the Board of Trustees, GW Capital Management determines
the liquidity of portfolio securities and, through reports from GW Capital
Management, the Board of Trustees monitors investments in
illiquid securities.
Certain types of securities are considered generally to be illiquid. Included
among these are "restricted securities" which are securities whose public resale
is subject to legal restrictions. However, certain types of restricted
securities (commonly known as "Rule 144A securities") that can be resold to
qualified institutional investors may be treated as liquid if they are
determined to be readily marketable pursuant to policies and guidelines of the
Board of Trustees.
A Fund may be unable to sell illiquid securities when desirable or may be forced
to sell them at a price that is lower than the price at which they are valued or
that could be obtained if the securities were more liquid. In addition, sales of
illiquid securities may require more time and may result in higher dealer
discounts and other selling expenses than do sales of securities that are not
illiquid. Illiquid securities may also be more difficult to value due to the
unavailability of reliable market quotations for such securities.
Lending of Portfolio Securities. Each Fund from time-to-time may lend its
portfolio securities to brokers, dealers and financial institutions and receive
as collateral cash, U.S. Treasury securities or other high-qualify, short-term
securities which, at all times while the loan is outstanding, will be maintained
in amounts equal to at least 100% of the current market value of the loaned
securities. Any cash collateral will be invested in short-term securities,
which will increase the current income of the
<PAGE>
Fund. Such loans
will not have terms longer than 30 days and will be terminable at any time. The
Fund will have the right to regain record ownership of loaned securities to
exercise beneficial rights such as voting rights, subscription rights and rights
to dividends, interest or other distributions. The Fund may pay reasonable fees
to persons unaffiliated with the Fund for services in arranging such loans.
Delays or losses could result if the borrower becomes bankrupt or defaults on
its obligation to return the loaned securities.
Money Market Instruments and Temporary Investment Strategies. In addition to the
Money Market Fund, the other Funds each may hold cash or cash equivalents and
may invest in short-term, high-quality debt instruments (that is in "money
market instruments") as deemed appropriate by Capital management, or may invest
any or all of their assets in money market instruments as deemed necessary by GW
Capital Management for temporary defensive purposes.
The types of money market instruments in which the Funds may invest
include, but are not limited to: (1) acceptances; (2) obligations
of U.S. and non-U.S. governments and their agencies and
instrumentalities; (3) short-term corporate obligations, including
commercial paper, notes, and bonds; (4) obligations of U.S. banks,
non-U.S. branches of such bank (Eurodollars), U.S. branches and
agencies of non-U.S. banks (Yankee dollars), and non-U.S. branches
of non-U.S. banks; (5) asset-backed securities; and (6) repurchase
agreements.
Options. See "Futures and Options" below.
Repurchase Agreements. A repurchase agreement is an instrument under which the
purchaser acquires ownership of a debt security and the seller agrees to
repurchase the obligation at a mutually agreed upon time and price. The total
amount received on repurchase is calculated to exceed the price paid by the
purchaser, reflecting an agreed upon market rate of interest for the period from
the time of purchase of the security to the settlement date (i.e., the time of
repurchase), and would not necessarily relate to the interest rate on the
underlying securities. A purchaser will only enter into repurchase agreements
with underlying securities consisting of securities of the U.S. government and
its agencies and instrumentalities, certificates of deposit, commercial paper,
bankers' acceptances, and other high-quality, short-term debt securities and
will be entered only with counterparties approved pursuant to creditworthiness
standards established by the Funds' board of trustees (the "Board of Trustees").
While investment in repurchase agreements may be made for periods up to 30 days,
it is expected that typically such periods will be for a week or less. The staff
of the Securities and Exchange Commission has taken the position that repurchase
agreements of greater than 7 days are
<PAGE>
illiquid securities; accordingly, such repurchase agreements are
subject to a
Fund's policy regarding illiquid securities.
Although repurchase transactions usually do not impose market risks on the
purchaser, the purchaser would be subject to the risk of loss if the seller
fails to repurchase the securities for any reason and the value of the
securities is less than the agreed upon repurchase price. In addition, if the
seller defaults, the purchaser may incur disposition costs in connection with
liquidating the securities. Moreover, if the seller is insolvent and bankruptcy
proceedings are commenced, under current law, the purchaser could be ordered by
a court not to liquidate the securities for an indeterminate period of time and
the amount realized by the purchaser upon liquidation of the securities may be
limited.
Reverse Repurchase Agreements. In a reverse repurchase agreement,
the Fund sells
a portfolio instrument to another party, such as a bank or
broker-dealer, in
return for cash and agrees to repurchase the instrument at a particular price
and time. While a reverse repurchase agreement is outstanding, the Fund will
maintain appropriate liquid assets in a segregated custodial account to cover
its obligation under the agreement. The Fund will enter into reverse repurchase
agreements only with parties whose credit-worthiness has been found satisfactory
by GW Capital Management. Such transactions may increase fluctuations in the
market value of the Fund's assets and may be viewed as a form of leverage. The
Funds currently do not intend to invest in reverse repurchase agreements within
the coming year.
Stripped Treasury Securities. Each Fund may invest in zero-coupon bonds. These
securities are U.S. Treasury bonds which have been stripped of their unmatured
interest coupons, the coupons themselves, and receipts or certificates
representing interests in such stripped debt obligations and coupons. Interest
is not paid in cash during the term of these securities, but is accrued and paid
at maturity. Such obligations have greater price volatility than coupon
obligations and other normal interest-paying securities, and the value of zero
coupon securities reacts more quickly to changes in interest rates than do
coupon bonds. Since dividend income is accrued throughout the term of the zero
coupon obligation, but not actually received until maturity, a Fund may have to
sell other securities to pay said accrued dividends prior to maturity of the
zero coupon obligation. Zero coupon securities are purchased at a discount from
face value, the discount reflecting the current value of the deferred interest.
The discount is taxable even though there is no cash return until maturity.
Short Sales "Against the Box." If a Fund enters into a short sale against the
box, it will be required to set aside securities
<PAGE>
equivalent in kind and amount to the securities sold short (or securities
convertible or exchangeable into such securities) and will be required to hold
such securities while the short sale is outstanding. The Fund will incur
transaction costs, including interest expenses, in connection with opening,
maintaining, and closing short sales against the box.
Time Deposits. A time deposit is a deposit in a commercial bank for a specified
period of time at a fixed interest rate for which a negotiable certificate is
not received.
U.S. Government Securities. These are securities issued or
guaranteed as to principal and interest by the U.S. government or
its agencies or instrumentalities. U.S. Treasury bills and notes
and certain agency securities, such as those issued by the
Government National Mortgage Association, are backed by the full
faith and credit of the U.S. government. Securities of other
government agencies and instrumentalities are not backed by the
full faith and credit of U.S. government. These securities have
different degrees of government support and may involve the risk of
non-payment of principal and interest. For example, some are
supported by the agency's right to borrow from the U.S. Treasury
under certain circumstances, such as those of the Federal Home Loan
Banks. Others are supported by the discretionary authority of the
U.S. government to purchase certain obligations of the agency or
instrumentality, such as those of the Federal National Mortgage
Association. Still other are supported only by the credit of the
agency that issued them, such as those of the Student Loan
Marketing Association. The U.S. government and its agencies and
instrumentalities do not guarantee the market value of their
securities, and consequently, the value of such securities may
fluctuate.
Variable Amount Master Demand Notes. A variable amount master demand note is a
note which fixes a minimum and maximum amount of credit and provides for lending
and repayment within those limits at the discretion of the lender. Before
investing in any variable amount master demand notes, the liquidity of the
issuer must be determined through periodic credit analysis based upon publicly
available information.
Variable or Floating Rate Securities. These securities have interest rates that
are adjusted periodically, or which "float" continuously according to formulas
intended to stabilize their market values. Many of them also carry demand
features that permit the Funds to sell them on short notice at par value plus
accrued interest. When determining the maturity of a variable or floating rate
instrument, the Fund may look to the date the demand feature can be exercised,
or to the date the interest rate is readjusted, rather than to the final
maturity of the instrument.
<PAGE>
When-Issued and Delayed-Delivery Transactions. When-issued or delayed-delivery
transactions arise when securities are purchased or sold with payment and
delivery taking place in the future in order to secure what is considered to be
an advantageous price and yield at the time of entering into the transaction.
While the Funds generally purchase securities on a when-issued basis with the
intention of acquiring the securities, the Funds may sell the securities before
the settlement date if GW Capital Management deems it advisable. At the time a
Fund makes the commitment to purchase securities on a when-issued basis, the
Fund will record the transaction and thereafter reflect the value, each day, of
such security in determining the net asset value of the Fund. At the time of
delivery of the securities, the value may be more or less than the purchase
price. A Fund will maintain, in a segregated account, liquid assets having a
value equal to or greater than the Fund's purchase commitments; likewise a Fund
will segregate securities sold on a delayed-delivery basis.
Futures and Options
Futures Contracts. When a Fund purchases a futures contract, it agrees to
purchase a specified underlying instrument at a specified future date. When a
Fund sells a futures contract, it agrees to sell the underlying instrument at a
specified future date. The price at which the purchase and sale will take place
is fixed when the Fund enters into the contract. Futures can be held until their
delivery dates, or can be closed out before then if a liquid secondary market is
available.
The value of a futures contract tends to increase and decrease in tandem with
the value of its underlying instrument. Therefore, purchasing futures contracts
will tend to increase a Fund's exposure to positive and negative price
fluctuations in the underlying instrument, much as if it had purchased the
underlying instrument directly. When a Fund sells a futures contract, by
contrast, the value of its futures position will tend to move in a direction
contrary to the market.
Futures Margin Payments. The purchaser or seller of a futures contract is not
required to deliver or pay for the underlying instrument unless the contract is
held until the delivery date. However, both the purchaser and seller are
required to deposit "initial margin" with a futures broker, known as a futures
commission merchant ("FCM"), when the contract is entered into. Initial margin
deposits are typically equal to a percentage of the contract's value. If the
value of either party's position declines, that party will be required to make
additional "variation margin" payments to settle the change in value on a daily
basis. The party that has a gain may be entitled to receive all or a portion of
this amount. Initial and variation margin payments do not constitute purchasing
securities on margin for purposes of a
Fund's investment limitations. In the event of a bankruptcy of an FCM that holds
margin on behalf of a Fund, the Fund may be entitled to return of margin owed to
it only in proportion to the amount received by the FCM's other customers,
potentially resulting in losses to the Fund.
Index Futures Contracts. An index futures contract obligates the seller to
deliver (and the purchaser to take) an amount of cash equal to a specific dollar
amount times the difference between the value of a specific index at the close
of the last trading day of the contract and the price at which the agreement is
made. No physical delivery of the underlying security in the index is made.
Purchasing Put and Call Options. By purchasing a put option, a Fund obtains the
right (but not the obligation) to sell the option's underlying instrument at a
fixed strike price. In return for this right, the Fund pays the current market
price for the option (known as the option premium). Options have various types
of underlying instruments, including specific securities, indices of securities
prices, and futures contracts. The Fund may terminate its position in a put
option it has purchased by allowing it to expire or by exercising the option. If
the option is allowed to expire, the Fund will lose the entire premium it paid.
If the Fund exercises the option, in completes the sale of the underlying
instrument at the strike price. A Fund may also terminate a put option position
by closing it out in the secondary market (that is by selling it to another
party) at its current price, if a liquid secondary market exists.
The buyer of a typical put option can expect to realize a gain or security
prices fall substantially. However, if the underlying instrument's price does
not fall enough to offset the cost of purchasing the option, a put buyer can
expect to suffer a loss (limited to the amount of the premium paid, plus related
transaction costs).
<PAGE>
The features of call options are essentially the same as those of put options,
except that the purchaser of a call option obtains the right to purchase, rather
than sell, the underlying instrument at the option's strike price. A call buyer
typically attempts to participate in potential price increases of the underlying
instrument with risk limited to the cost of the option if security prices fall.
At the same time, the buyer can expect to suffer a loss if security prices do
not rise sufficiently to offset the cost of the option.
Writing Put and Call Options. When a Fund writes a put option, it takes the
opposite side of the transaction from the option's purchaser. In return for
receipt of the premium, the Fund assumes the obligation to pay the strike price
for the option's underlying instrument if the other party to the option chooses
to exercise it.
When writing an option on a futures contract, the Fund will be required to make
margin payments to an FCM as described above for futures contracts. A Fund may
seek to terminate its position in a put option it writes before exercise by
closing out the option in the secondary market at is current price. If the
secondary market is not liquid for a put option the Fund has written, however,
the Fund must continue to be prepared to pay the strike price while the option
is outstanding, regardless of price changes, and must continue to set aside
assets to cover its position.
If security prices rise, a put writer would generally expect to profit, although
its gain would be limited to the amount of the premium it received. If security
prices remain the same over time, it is likely that the writer will also profit,
because it should be able to close out the option at a lower price.
<PAGE>
If security
prices fall, the put writer would expect to suffer a loss from purchasing the
underlying instrument directly, which can exceed the amount of the premium
received.
Writing a call option obligates a Fund to sell or deliver the option's
underlying instrument, in return for the strike price, upon exercise of the
option. The characteristics of writing call options are similar to those of
writing put options, except that writing calls generally is a profitable
strategy if prices remain the same or fall. Through receipt of the option
premium, a call writer can mitigate the effect of a price decline. At the same
time, because a call writer gives up some ability to participate in security
price increases.
OTC Options. Unlike exchange-traded options, which are standardized with respect
to the underlying instrument, expiration date, contract size, and strike price,
the terms of over-the-counter ("OTC") options (options not traded on exchanges)
generally are established through negotiation with the other party to the option
contract. While this type of arrangement allows the Funds greater flexibility to
tailor an option to its needs, OTC options generally involve greater credit risk
than exchange-traded options, which are guaranteed by the clearing organization
of the exchanges where they are traded.
Options and Futures Relating to Foreign Currencies. Currency futures contracts
are similar to forward currency exchange contracts, except that they are traded
on exchanges (and have margin requirements) and are standardized as to contract
size and delivery date. Most currency futures contracts call for payment or
delivery in U.S. dollars. The underlying instrument of a currency option may be
a foreign currency, which generally is purchased or delivered in exchange for
U.S. dollars, or may be a futures contract. The purchaser of a currency call
option obtains the right to purchase the underlying currency, and
the purchaser
of a currency put obtains the right to sell the underlying
currency.
<PAGE>
The uses and risks of currency options and futures are similar to options and
futures relating to securities or indices, as discussed above. The Funds may
purchase and sell currency futures and may purchase and write currency options
to increase or decrease their exposure to different foreign currencies. A Fund
may also purchase and write currency options in conjunction with each other or
with currency futures or forward contracts. Currency futures and options values
can be expected to correlate with exchange rates, but may not reflect other
factors that affect the value of a Fund's investments. A currency hedge, for
example, should protect a Yen- denominated security from a decline in the Yen,
but will not protect a Fund against a price decline resulting from deterioration
in the issuer's creditworthiness. Because the value of a Fund's
foreign-denominated investments changes in response to many factors other than
exchange rates, it may not be possible to match the amount of currency options
and futures to the value of the Fund's investments exactly over time.
Asset Coverage for Futures and Options Positions. The Funds will comply with
guidelines established by the Securities and Exchange Commission with respect to
coverage of options and futures strategies by mutual Funds, and if the
guidelines so require will set aside appropriate liquid assets in a segregated
custodial account in the amount prescribed. Securities held in a segregated
account cannot be sold while the futures or option strategy is outstanding,
unless they are replaced with other suitable assets. As a
<PAGE>
result, there is a
possibility that segregation of a large percentage of a Fund's assets could
impede portfolio management or the Fund's ability to meet redemption requests or
other current obligations.
Combined Positions. A Fund may purchase and write options in combination with
each other, or in combination with futures or forward contracts, to adjust the
risk and return characteristics of the overall position. For example, a Fund may
purchase a put option and write a call option on the same underlying instrument,
in order to construct a combined position whose risk and return characteristics
are similar to selling a futures contract. Another possible combined position
would involve writing a call option at one strike price and buying a call option
at a lower price, in order to reduce the risk of the written call option in the
event of a substantial price increase. Because combined options positions
involve multiple trades, they result in higher transaction costs and may be more
difficult to open and close out.
Correlation of Price Changes. Options and futures prices can also diverge from
the prices of their underlying instruments, even if the underlying instruments
match a Fund's investments well. Options and futures prices are affected by such
factors as current and anticipated short-term interest rates, changes in
volatility of the underlying instrument, and the time remaining until expiration
of the contract, which may not affect security prices the same way. Imperfect
correlation may also result from differing levels of demand in the options and
futures markets and the securities markets, from structural differences in how
options and futures and securities are traded, or from imposition
<PAGE>
of daily price
fluctuation limits or trading halts. A Fund may purchase or sell options and
futures contracts with a greater or lesser value than the securities it wishes
to hedge or intends to purchase in order to attempt to compensate differences in
volatility between the contract and the securities, although this may not be
successful in all cases. If price changes in a Fund's options or futures
positions are poorly correlated with its other investments, the positions may
fail to produce anticipated gains or result in losses that are not offset by
gains in other investments.
Limitations on Futures and Options Transactions. The Trust has filed a notice of
eligibility for exclusion from the definition of the term "commodity pool
operator" with the Commodity Futures Trading Commission and the National Futures
Association, which regulate trading in the futures markets. The Funds intend to
comply with Rule 4.5 under the Commodity Exchange Act, which limits the extent
to which the Funds can commit assets to initial margin deposits and option
premiums. Accordingly, to the extent that a Fund may invest in futures contracts
and options, a Fund may only enter into futures contract and option positions
for other than bona fide hedging purposes to the extent that the aggregate
initial margin and premiums required to establish such positions will not exceed
5% of the liquidation value of the Fund. This limitation on a Fund's permissible
investments in futures contracts and options is not a fundamental investment
limitation and may be changed as regulatory agencies permit.
Liquidity of Options and Futures Contracts. There is no assurance that a liquid
secondary market will exist for any particular option or futures contract at any
particular time. Options may have relatively low trading volume and liquidity if
their strike prices are not close to the underlying instrument's current price.
In addition, exchanges may establish daily price fluctuation limits for options
and futures contracts, and may halt trading if a contract's pricemoves upward
or downward more than the limit in a given day. On volatile trading days when
the price fluctuation limit is reached or a trading halt is imposed, it may be
impossible for a Fund to enter into new positions or close out existing
positions. If the secondary market for a contract is not liquid because of price
fluctuation limits or otherwise, it could prevent prompt liquidation of
unfavorable positions, and potentially could require a Fund to continue to hold
a position until delivery or expiration regardless of changes in its value. As a
result, a Fund's access to assets held to cover its options or futures positions
could also be impaired.
<PAGE>
INVESTMENT
LIMITATIONS
Below is a description of certain limitations that constitute the Funds'
fundamental policies, which means that they may not be changed with respect to
any Fund without approval by vote of a majority of the outstanding voting shares
of such Fund. For this purpose, "majority" means the lesser of (i) 67% of the
shares represented at a meeting at which more than 50% of the outstanding share
are represented or (ii) more than 50% of the outstanding shares.
Each Fund will not:
(1) Invest more than 25% of its total assets (taken at market value at the
time of each investment) in the securities of issuers primarily engaged
in the same industry; provided
that
with respect to the Money Market Fund there shall be no
limitation on the purchase of U.S. government securities
or of
certificates of deposit and bankers' acceptances;
utilities
will be divided according to their services; for example,
<PAGE>
gas,
gas transmission, electric and telephone each will be considered a
separate industry for purposes of this restriction.
(2) Purchase or sell interests in commodities, commodities contracts, oil,
gas or other mineral exploration or development programs, or real
estate, except that a Fund
may
purchase securities of issuers which invest or deal in any
of
the above; provided, however, that the Funds, except the
Money
Market Fund, may invest in futures contracts on financial indexes,
foreign currency transactions and options on permissible futures
contracts.
(3) (a) purchase any securities on margin, (b) make short
sales of
securities, or (c) maintain a short position, except that
a
Fund (i) may obtain such short-term credit as may be
necessary
for the clearance of purchases and sales of portfolio
securities, (ii) other than the Money Market Fund, may
make
margin payments in connection with transactions in futures contracts
and currency futures contracts and enter into permissible options
transactions, and (iii) may make short sales against the box.
(4) Make loans, except as provided in limitation (5)
below and except
through the purchase of obligations in private placements
(the purchase
of publicly-traded obligations are not being considered
the making of a
loan) and through repurchase agreements.
(5) Lend its portfolio securities in excess of 33 1/3% of its
total assets, taken at market value at the time of the
loan, provided that such loan shall be made in accordance with
the guidelines
set forth under "Lending of Portfolio Securities" in this
Statement of
<PAGE>
Additional Information.
(6) Borrow, except that a Fund may borrow for temporary or emergency
purposes. The Fund will not borrow unless immediately after any such
borrowing there is an asset coverage of at least 300 percent for all
borrowings of the Fund. If such asset coverage falls below 300 percent,
the
Fund
will within three days thereafter reduce the amount of its
borrowings to an extent that the asset coverage of such
borrowings will be at least 300 percent. Reverse
repurchase
agreements and other investments which are "covered" by a segregated
account or an offsetting position in accordance with applicable SEC
requirements ("covered investments")
do
not constitute borrowings for purposes of the 300% asset
coverage requirement. The Fund will repay all borrowings
in
excess of 5% of its total assets before any additional
investments are made. Covered investments will not be
considered borrowings for purposes of applying the
limitation
on making additional investments when borrowings exceed 5%
of
total assets.
(7) Mortgage, pledge, hypothecate or in any manner transfer,
as
security for indebtedness, any securities owned or held by
the
Fund except as may be necessary in connection with
borrowings
mentioned in limitation (6) above, and then such
mortgaging,
pledging or hypothecating may not exceed 10% of the Fund's total
assets, taken at market value at the time thereof.
A
Fund will not, as a matter of operating policy, mortgage,
pledge or hypothecate its portfolio securities to the
extent
that at any time the percentage of the value of pledged
securities will exceed 10% of the value of the Fund's
shares.
This limitation shall not apply to segregated accounts.
(8) Underwrite securities of other issuers except insofar as
the Fund may
be deemed an underwriter under the Securities Act of
1933 in selling
portfolio securities.
(9) Issue senior securities. The issuance of more than one
series
<PAGE>
or classes of shares of beneficial interest, obtaining of
short-term credits as may be necessary for the clearance
of
purchases and sales of portfolio securities, short sales
against the box, the purchase or sale of permissible
options
and futures transactions (and the use of initial and maintenance margin
arrangements with respect to futures contracts or related options
transactions), the purchase
or
sale of securities on a when issued or delayed delivery
basis,
permissible borrowings entered into in accordance with a
Fund's investment objectives and policies, and reverse repurchase
agreements are not deemed to be issuances of
senior
securities.
Diversified Portfolio of Securities
Each Fund will operate as a diversified investment portfolio of the Trust,
meaning that at least 75% of the value of its total assets will be represented
by cash and cash items (including receivables), U.S. government securities,
securities of other investment companies, and other securities, the value of
which with respect to any one issuer is neither more than 5% of the Fund's total
assets nor more than 10% of the outstanding voting securities of such issuer.
<PAGE>
MANAGEMENT OF THE
FUND
Investment Adviser
<PAGE>
GW Capital Management, Inc. (GW Capital Management), a Colorado corporation,
located at 8515 East Orchard Road, Englewood, Colorado 80111, serves as
investment adviser to the Trust pursuant to an Investment Advisory Agreement
dated January 27, 1997. GW Capital Management is a wholly-owned subsidiary of
GWL&A, which is a wholly-owned subsidiary of The Great-West Life Assurance
Company ("Great-West"), a Canadian stock life insurance company. Great-West is a
99.4% owned subsidiary of Great-West Lifeco Inc., which in turn is an 86.4%
owned subsidiary of Power Financial Corporation, Montreal, Quebec. Power
Corporation of Canada, a holding and management company, has voting control of
Power Financial Corporation of Canada. Mr. Paul Desmarais, and his associates, a
group of private holding companies, have voting control of Power Corporation of
Canada.
Trustees and Officers
The trustees and executive officers of the Trust, their ages, position(s) with
the Trust, and principal occupations during the past 5 years (or as otherwise
indicated) are set forth below. The business address of each trustee and officer
is 8515 East Orchard Road, Englewood, Colorado 80111 (unless otherwise
indicated). Those trustees and officers who are "interested persons" (as defined
in the Investment Company Act of 1940, as amended) by virtue of their
affiliation with either the Trust or GW Capital Management are indicated by an
asterisk (*).
Rex Jennings (72), Trustee; President Emeritus, Denver Metro
Chamber of Commerce.
Richard P. Koeppe (65), Trustee; Retired Superintendent, Denver
Public Schools.
*Douglas L. Wooden (40), Trustee; Senior Vice President, Financial
Services of GWL&A.
*James D. Motz (47), Trustee and President; Senior Vice President,
Employee Benefits, of GWL&A.
<PAGE>
Sanford Zisman (57), Trustee; Attorney, Zisman & Ingraham, P.C.
*Glen R. Derback (45), Treasurer; Vice President, Financial
Control, of GWL&A.
*Mark J. Pavlik (36), Controller, is Manager, Financial Control, of
GWL&A.
*Beverly A. Byrne (41), Secretary, is Assistant Counsel and
Assistant Secretary of GWL&A.
Compensation
The Trust pays no salaries or compensation to any of its
officers or Trustees
affiliated with GW Capital Management or its affiliates. The
chart below sets
forth the annual fees paid or expected to be paid to the
non-interested Trustees
and certain other information.
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
R.P. Koeppe
R. Jennings S. Zisman
Compensation
Received from the
Trust* $8,000
$8,000 $8,000
Pension or
Retirement
Benefits Accrued as
Fund Expense* $0
$0 $0
Total Compensation
Received from the
Trust and All
Affiliated Funds** $16,000
$16,000 $16,000
</TABLE>
<PAGE>
* Estimated for current fiscal year
** As of July 31 , 1997 there were thirty-one funds for which
the Trustees
serve as Trustees or Directors of which six are Funds of
the Trust. The
total compensation paid is comprised of the amount
estimated to be paid
during the Trust's current fiscal year by the Trust and
all affiliated
investment companies.
As of July 31, 1997, no person owns of record or beneficially 5% or more of the
shares outstanding of the Trust or any Fund except GW Capital Management and its
affiliates which owned 100% of the Funds' outstanding shares as of the date of
this Statement of Additional Information. Therefore, GWL&A would be deemed to
control each Fund as the term "control" is defined in the Investment Company Act
of 1940. As of the date of this Statement of Additional Information, the
trustees and officers of the Trust, as a group, owned of record or beneficially
less than 1% of the outstanding share of each Fund.
<PAGE>
Investment Advisory Agreement
The Investment Advisory Agreement became effective on January 27, 1997. As
approved, the Agreement will remain in effect until August 20, 1998, and will
continue in effect from year to year if approved annually by the Board of
Trustees including the vote of a majority of the trustees who are not parties to
the Agreement or interested persons of any such party, or by vote of a majority
of the outstanding shares of each Fund. Any amendment to the Agreement becomes
effective with respect to a Fund upon approval by vote of a majority of the
voting securities of the Fund. The agreement is not assignable and may be
terminated without penalty with respect to any Fund either by the Board of
Trustees or by vote of a majority of the outstanding voting securities of such
Fund or by GW Capital Management, each on 60 days notice to the other party.
The Investment Advisory Agreement provides that GW Capital Management, subject
to the direction of the Board of Trustees, is responsible for selecting the
Funds' investments and for managing their business affairs.
GW Capital
Management provides the Funds' portfolio managers who consider analyses from
various sources, make the necessary investment decisions,
and effect
transactions accordingly. GW Capital Management also performs certain
administrative and management services for the Fund and provides all the office
space, facilities, equipment and personnel necessary to perform its duties under
the Agreement.
The Investment Advisory Agreement provides that GW Capital Management shall not
be subject to any liability in connection with the performance of its services
thereunder in the absence of willful misfeasance, bad faith, gross negligence or
reckless disregard of its obligations and duties.
Managements Fees
Each Fund pays a management fee to GW Capital Management for managing its
investments and business affairs. GW Capital Management is paid monthly at an
annual rate of a Fund's average net assets according to the following schedule.
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
MANAGEMENT FEE
(as a
percentage of average net assets)
-------------------
Money Market Fund
0.20%
Preferred Stock Fund
0.90%
Index 600 Fund
0.60%
Index 500 Fund
0.60%
Index Pacific Fund
1.00%
Index European Fund
1.00%
</TABLE>
Expenses of the Funds
In addition to the management fees paid to GW Capital Management, the Trust pays
certain other costs including, but not limited to, (a) brokerage commissions;
(b) federal, state and local taxes, including issue and transfer taxes incurred
by or levied on the Funds; (c) interest charges on borrowing; (d) fees and
expenses of registering the shares of the Funds under the applicable federal
securities laws and of qualifying shares of the Fund under applicable state
securities laws including expenses attendant upon renewing and increasing such
registrations and qualifications; (e) expenses of printing and distributing the
Funds' prospectus and other reports to shareholders; (f) costs of proxy
solicitations; (g) transfer agent fees; (h) charges and expenses of the Trust's
custodian; (i) compensation and expenses of the "independent" trustees; and (j)
such nonrecurring items as may arise, including expenses incurred in connection
with litigation, proceedings and claims and the obligations of the Trust to
indemnify its trustees and officers with respect thereto.
Subject to revision, GW Capital Management has voluntarily agreed to reimburse
the Index Pacific Fund, the Index European Fund, and the Money Market Fund to
<PAGE>
the extent that total operating expenses, but excluding interest, taxes,
brokerage commissions, and extraordinary expenses, exceed 1.20%, 1.20%, and
0.46%, respectively, of average net assets.
PORTFOLIO
TRANSACTIONS
Subject to the direction of the Board of Trustees, GW Capital Management is
primarily responsible for placement of Funds' portfolio transactions. GW Capital
Management has no obligation to deal with any broker, dealer or group of brokers
or dealers in the execution of transactions in portfolio securities. In placing
orders, it is the policy of the Trust to obtain the most favorable net results,
taking into account various factors, including price, dealer spread or
commissions, if any, size of the transaction and difficulty of execution. While
GW Capital Management generally will seek reasonably competitive spreads or
commissions, the Funds will not necessarily pay the lowest spread or commission
available.
Transactions on U.S. futures and stock exchanges and other agency transactions
involve the payment of negotiated brokerage commissions. Commissions vary among
different brokers and dealers, which may charge different commissions according
to such factors as the difficulty and size of the transaction. Transactions in
foreign securities often involve the payment of fixed brokerage commissions,
which may be higher than those for negotiated transactions in the United States.
Prices for over-the-counter transactions usually include an undisclosed
commission or "mark-up" that is retained by the broker or dealer effecting the
trade. The cost of securities purchased from an underwriter or
<PAGE>
from a dealer in
connection with an underwritten offering usually includes a fixed commission
which is paid by the issuer to the underwriter or dealer.
Transactions in U.S.
government securities occur usually through issuers and underwriters of and
major dealers in such securities, acting as principals. These transactions are
normally made on a net basis and do not involve payment of brokerage
commissions.
In placing portfolio transactions, GW Capital Management may give consideration
to brokers or dealers which provide supplemental investment research, in
addition to such research obtained for a flat fee, and pay commissions to such
brokers or dealers furnishing such services which are in excess of commissions
which another broker or dealer may charge for the same transaction. Such
supplemental research ordinarily consists of assessments and analyses of the
business or prospects of a company, industry, or economic sector. Supplemental
research obtained through brokers or dealers will be in addition to and not in
lieu of the services required to be performed by GW Capital Management. The
expenses of GW Capital Management will not necessarily be reduced as a result of
the receipt of such supplemental information. GW Capital Management may use any
supplemental investment research obtained for the benefit of the Funds in
providing investment advice to its other investment advisory accounts, and may
use such information in managing its own accounts. Conversely, such supplemental
information obtained by the placement of business for GW Capital Management will
be considered by and may be useful to GW Capital Management in carrying out its
obligations to the Trust.
If in the best interests of both one or more Funds and other client
accounts of
GW Capital Management, GW Capital Management may, to the extent
permitted by
applicable law, but need not, aggregate the purchases or sales of
securities for
these accounts to obtain favorable overall execution. When this occurs, GW
Capital Management will allocate the securities purchased and sold and the
expenses incurred in a manner that it deems equitable to all accounts. In making
this determination, GW Capital Management may consider, among other things, the
investment objectives of the respective client accounts, the relative size of
portfolio holdings of the same or comparable securities, the availability of
cash for
<PAGE>
investment, the size of investment commitments generally, and the opinions of
persons responsible for managing the Funds and other client accounts. The use of
aggregated transactions may adversely affect the size of the position obtainable
for the Funds, and may itself adversely affect transaction prices to the extent
that it increases the demand for the securities being purchased or the supply of
the securities being sold.
Portfolio Turnover
The turnover rate for each Fund is calculated by dividing (a) the lesser of
purchases or sales of portfolio securities for the fiscal year by (b) the
monthly average value of portfolio securities owned by the Fund during the
fiscal year. In computing the portfolio turnover rate, certain U.S. government
securities (long-term for periods before 1986 and short-term for all periods)
and all other securities, the maturities or expiration dates of which at the
time of acquisition are one year or less, are excluded.
There are no fixed limitations regarding the portfolio turnover of the Funds.
Portfolio turnover rates are expected to fluctuate under constantly changing
economic conditions and market circumstances. Securities initially satisfying
the basic policies and objectives of each Fund may be disposed of when
appropriate in GW Capital Management's judgement.
With respect to any Fund, a higher portfolio turnover rate may involve
correspondingly greater brokerage commissions and other expenses which might be
borne by the Fund and, thus, indirectly by its shareholders. Higher portfolio
turnover may also increase a shareholder's current tax liability for capital
gains by increasing the level of capital gains realized by a Fund.
Although it is not possible to predict future portfolio turnover rates
accurately, and such rates may vary from year to year, each fee the portfolio
turnover rates of the Preferred Stock Fund, Index 600 Fund, Index 500 Fund,
Index Pacific Fund and Index European Fund are not expected to exceed 100% in
the coming year.
VALUATION OF PORTFOLIO
SECURITIES
The net asset value of each Fund is determined in the manner described in the
Prospectus. Securities held by each Fund other than the Money Market Fund will
be valued as follows: portfolio securities which are traded on stock exchanges
are valued at the last sale price on the principal exchange as of the close of
business on the day the securities are being valued, or, lacking any sales, at
the mean between the bid and asked prices. Securities traded in the
over-the-counter market and included in the National Market System are valued at
the mean between the bid and asked prices which may be based on the valuations
furnished by a pricing service or from independent securities dealers.
Otherwise,
<PAGE>
over-the-counter securities are valued at the mean between the bid and asked
prices or yield equivalent as obtained from one or more dealers that make
markets in the securities. Portfolio securities which are traded both in the
over-the-counter market and on an exchange are valued according to the broadest
and most representative market, and it is expected that for debt securities this
ordinarily will be the over-the-counter market. Securities and assets for which
market quotations are not readily available are valued at fair value as
determined in good faith by or under procedures or guidelines established by the
Board of Trustees, including valuations furnished by pricing services retained
by GW Capital Management.
The net asset value per share of the Money Market Fund is determined by using
the amortized cost method of valuing its portfolio instruments. Under the
amortized cost method of valuation, an instrument is valued at cost and the
interest payable at maturity upon the instrument is accrued daily as income over
the remaining life of the instrument. Neither the amount of daily income nor the
net asset value is affected by unrealized appreciation or depreciation of the
Fund's investments assuming the instrument's obligation is paid in full on
maturity. In periods of declining interest rates, the indicated daily yield on
shares of the portfolio computed using amortized cost may tend to be higher than
a similar computation made using a method of valuation based upon market prices
and estimates. In periods of rising interest rates, the indicated daily yield on
shares of the portfolio computed using amortized costs may tend to be lower than
a similar computation made using a method of valuation based upon market prices
and estimates. For all Funds, securities with remaining maturities of not more
than 60 days are valued at amortized cost, which approximates market value.
The amortized cost method of valuation permits the Money Market
Fund to maintain
a stable $1.00 net asset value per share. The Board of Trustees
<PAGE>
periodically
reviews the extent of any deviation from the $1.00 per share value that would
occur if a method of valuation based on market prices and estimates were used.
In the event such a deviation would exceed one-half of one percent, the Board of
Trustees will promptly consider any action that reasonably should be initiated
to eliminate or reduce material dilution or other unfair
results to
shareholders. Such action may include selling portfolio securities prior to
maturity, not declaring earned income dividends, valuing portfolio securities on
the basis of current market prices, if available, or if not available, at fair
market value as determined in good faith by the Board of Trustees, and in kind
redemption of portfolio securities (considered highly unlikely by management of
the Trust).
INVESTMENT
PERFORMANCE
<PAGE>
The Funds may quote measure of investment performance in various ways. All
performance information supplied by the Funds in advertising is historical and
is not intended to indicated future returns.
Money Market Fund
In accordance with regulations prescribed by the SEC, the Trust is required to
compute the Money Market Fund's current annualized yield for a seven-day period
in a manner which does not take into consideration any realized or unrealized
gains or losses on its portfolio securities. This current annualized yield is
computed by determining the net change (exclusive of realized gains and losses
on the sale of securities and unrealized appreciation and depreciation) in the
value of a hypothetical account having a balance of one share of the Money
Market Fund at the beginning of such seven-day period, dividing such net change
in account value by the value of the account at the beginning of the period to
determine the base period return and annualizing this quotient on a 365-day
basis.
The SEC also permits the Trust to disclose the effective yield of the Money
Market Fund for the same seven-day period, determined on a compounded basis. The
effective yield is calculated by compounding the annualized base period return
by adding one to the base period return, raising the sum to a power equal to 365
divided by 7, and subtracting one from the result.
The yield on amounts held in the Money Market Fund normally will fluctuate on a
daily basis. Therefore, the disclosed yield for any given past period is not an
indication or representation of future yields or rates of return. The Fund's
actual yield is affected by changes in interest rates on money market
securities, average portfolio maturity of the Fund, the types and quality of
portfolio securities held by the Fund, and its operating expenses.
<PAGE>
Other Funds
Standardized Average Annual Total Return Quotations. Average annual total return
quotations for shares of a Fund are computed by finding the average annual
compounded rates of return that would cause a hypothetical investment made on
the first day of a designated period to equal the ending redeemable value of
such hypothetical investment on the last day of the designated period in
accordance with the following formula:
P(I+T)n = ERV
Where: P = a hypothetical initial payment
of $1,000
T = average annual total return
n = number of years
ERV = ending redeemable value of the
hypothetical $
1,000 initial payment made at
the beginning of
the designated period (or
fractional portion
thereof)
The computation above assumes that all dividends and distributions made by a
Fund are reinvested at net asset value during the designated period. The average
annual total return quotation is determined to the nearest 1/100 of
1%.
One of the primary methods used to measure performance is "total return." Total
return will normally represent the percentage change in value of a Fund, or of a
hypothetical investment in a Fund, over any period up to the lifetime of the
Fund. Unless otherwise indicated, total return calculations will usually assume
the reinvestment of all dividends and capital gains distributions and will be
expressed as a percentage increase or decrease from an initial value, for the
entire period or for one or more specified periods within the entire period.
Total return percentages for periods longer than one year will usually be
accompanied by total return percentages for each year within the period and/or
by the average annual compounded total return for the period. The income and
capital components of a given return may be separated and portrayed in a variety
of ways in order to illustrate their relative significance. Performance may also
be portrayed in terms of cash or investment values, without percentages. Past
performance cannot guarantee any particular result. In determining the average
annual total return (calculated as provided above), recurring fees, if any, that
are charged to all shareholder accounts are taken into
consideration.
<PAGE>
Each Fund's average annual total return quotations and yield quotations as they
may appear in the Prospectus, this Statement of Additional Information or in
advertising are calculated by standard methods prescribed by the
SEC.
Each Fund may also publish its distribution rate and/or its effective
distribution rate. A Fund's distribution rate is computed by dividing the most
recent monthly distribution per share annualized, by the current net asset value
per share. A Fund's effective distribution rate is computed by dividing the
distribution rate by the ratio used to annualize the most recent monthly
distribution and reinvesting the resulting amount for a full year on the basis
of such ratio. The effective distribution rate will be higher than the
distribution rate because of the compounding effect of the assumed reinvestment.
A Fund's yield is calculated using a standardized formula, the income component
of which is computed from the yields to maturity of all debt obligations held by
the Fund based on prescribed methods (with all purchases and sales of securities
during such period included in the income calculation on a settlement date
basis), whereas the distribution rate is based on a Fund's last monthly
distribution. A Fund's monthly distribution tends to be relatively stable and
may be more or less than the amount of net investment income and short-term
capital gain actually earned by the Fund during the month.
Other data that may be advertised or published about each Fund include the
average portfolio quality, the average portfolio maturity and the average
portfolio duration.
Standardized Yield Quotations. The yield of a Fund is computed by dividing the
Fund's net investment income per share during a base period of 30 days, or one
month, by the maximum offering price per share on the last day of such base
period in accordance with the following formula:
2[( a - b + 1 )6 - 1 ]
(cd)
Where: a = net investment income earned during the
period
b = net expenses accrued for the period
c = the average daily number of shares
outstanding
during the period that were entitled to
receive
dividends
d = the maximum offering price per share
Net investment income will be determined in accordance with rules established by
the SEC.
<PAGE>
Performance Comparisons
Performance information contained in reports to shareholders, advertisement, and
other promotional materials may be compared to that of various unmanaged
indexes. These indexes may assume the reinvestment of dividends, but generally
do not reflect deductions for operating expenses.
Advertisements quoting performance rankings of a Fund as measured by financial
publications or by independent organizations such as Lipper Analytical Services,
Inc. and Morning Star, Inc., and advertisements presenting a Fund's the
historical performance, may form time to time be sent to investors or placed in
newspapers and magazines such as The New York Times, The Wall Street Journal,
Barons, Investor's Daily, Money Magazine, Changing Times, Business Week and
Forbes or any other media on behalf of the Funds.
ADDITIONAL PURCHASE AND
REDEMPTION INFORMATION
Each Fund is open for business and its net asset value per share is calculated
each day that the New York Stock Exchange ("NYSE") is open for trading. The
Funds anticipates that the NYSE will be closed for trading on:
New Year's Day,
Presidents' Day, Good Friday, Memorial Day, Independence Day, Labor Day,
Thanksgiving Day, and Christmas Day. Though it is expected that the same holiday
schedule will be observed in the future, the NYSE may modify its holiday
schedule at any time. In addition, the Funds will not process wire purchase and
redemptions on days when the Federal Reserve Wire System is closed, and may be
unable to do so during periods of severe weather or other emergency conditions.
Payment to shareholders for shares redeemed, that is sold back to a Fund, will
be made within seven days after receipt by the Transfer Agent of a request for
redemption in proper form, except that a Fund may suspend the right of
redemption or postpone the date of payment for more than seven days (a) for any
period (i) during which the New York Stock Exchange ("NYSE") is closed other
than customary week-end and holiday closings or (ii) during which trading on the
NYSE is restricted; (b) for any period during which an emergency exists as a
result of which (i) disposal by the Fund of securities owned by it is not
reasonably practicable or (ii) it is not reasonably practicable for the Fund
fairly to determine the value of its net assets; or (c) for such other period as
the SEC may permit for the protection of a Fund's shareholders.
If a Fund is requested to redeem shares for which it has not yet
received good payment, the Fund may delay the payment of redemption proceeds
until such time as it has received good funds for the purchase of the shares
being redeemed.
The value of shares redeemed may be more or less than the shareholder's cost,
depending upon the market value of the portfolio securities at the time of
redemption.
DIVIDENDS, DISTRIBUTIONS
AND TAXES
The following is only a summary of certain tax considerations generally
affecting the Funds and their shareholders that are not described in the
Prospectus. No attempt is made to present a detailed explanation of the tax
treatment of any Fund or its shareholders, and this discussion is not intended
as a substitute for careful tax planning.
Qualification as a Regulated Investment Company
The Internal Revenue Code of 1986, as amended (the "Code"), provides that each
investment portfolio of a series investment company is to be treated as a
separate corporation. Accordingly, each of the Funds will seek to be taxed as a
regulated investment company under Subchapter M of the Code. As a regulated
investment company, each Fund will not be subject federal income tax on the
portion of its net investment income (i.e., its taxable interest, dividends and
other taxable ordinary income, net of expenses) and net realized capital gain
(i.e., the excess of capital gains over capital losses) that it distributes to
shareholders, provided that it distributes at least 90% of its investment
company taxable income (i.e., net investment income and the
<PAGE>
excess of net
short-term capital gain over net long-term capital loss) and at least 90% of its
tax-exempt income (net of expenses allocable thereto) for the taxable year (the
"Distribution Requirement"), and satisfies certain other requirements of the
Code that are described below. Each Fund will be subject to tax at regular
corporate rates on any income or gains that it does not
distribute.
Distributions by a Fund made during the taxable year or, under specified
circumstances, within one month after the close of the taxable year, will be
considered distributions of income and gains of the taxable year and can
therefore satisfy the Distribution Requirement.
In addition to satisfying the Distribution Requirement, each Fund must (i)
derive at least 90% of its gross income from dividends, interest, certain
payments with respect to securities loans, gains from the sale or other
disposition of stock or securities or foreign currencies (to the extent such
currency gains are ancillary to the Fund's principal business of investing in
stock and securities) and other income (including but not limited to gains from
options, futures or forward contracts) derived with respect to its business of
investing in such stock, securities, currencies (the "Income Requirement"); and
(ii) derive less than 30% of its gross income (exclusive of certain gains on
designated hedging transactions that are offset by realized or unrealized losses
on
offsetting positions) from the sale or other disposition of stock, securities or
foreign currencies (or options, futures or forward contracts thereon) held for
less than three months (the "Short- Short Gain Test"). However, foreign currency
gains, including those derived from options, futures and forwards, will not be
characterized as Short-Short Gain if they are directly related to the Fund's
investment in stock or securities (or options or futures thereon). Because of
the Short-Short Gain Test, a Fund may have to limit the sale of appreciated
securities it has held for less than three months. However, the Short-Short Gain
Test will not prevent a Fund from disposing of investments at a loss, since the
recognition of a loss before the expiration of the three-month holding period is
disregarded. Interest (including original issue discount) received by a Fund at
maturity or upon the disposition of a security held for less than three months
will not be treated as gross income derived from the sale or other disposition
of such security within the meaning of the Short-Short Gain Test. However,
income that is attributable to realized market appreciation will be treated as
gross income from the sale or other disposition of securities for this purpose.
In general, for purposes of determining whether capital gain or loss recognized
by a Fund on the disposition of an asset is long-term or short-term, the holding
period of the asset may be affected if (i) the asset is used to close a "short
sale" (which includes for certain purposes the acquisition of a put option) or
is substantially identical to another asset so used, (ii) the asset is otherwise
held by a Fund as part of a "straddle," or (iii) the asset is stock and a Fund
grants certain call options with respect thereto. However, for purposes of the
Short-Short Gain Text, the holding period of the asset disposed of may be
reduced only in the case of clause (i), above.
Certain debt securities purchased by a Fund (such as zero-coupon bonds) may be
treated for federal income tax purposes as having original issue discount.
Original issue discount, generally defined as the excess of the stated
redemption price at maturity over the issue price, is treated as interest for
Federal income tax purposes. Whether or not a Fund actually
<PAGE>
receives cash, it is
deemed to have earned original issue discount income that is subject to the
distribution requirements of the Code. Generally, the amount of original issue
discount included in the income of a Fund each year is determined on the basis
of a constant yield to maturity that takes into account the compounding of
accrued interest.
In addition, a Fund may purchase debt securities at a discount that exceeds any
original issue discount that remained on the securities at the time the Fund
purchased the securities. This additional discount represents market discount
for income tax purposes. Treatment of market discount varies depending upon the
maturity of the debt security and the date on which it was issued. For a
debt securityissued after July 18, 1984 having a fixed maturity date or more
than six months
from the date of issue and having market discount, the gain realized on
disposition will be treated as interest to the extent it does not exceed the
accrued market discount on the security (unless a Fund elects for all its debt
securities having a fixed maturity date or more than one year from the date of
issue to include market discount in income in taxable years to which it is
attributable). Generally, market discount accrues on a daily basis. For any debt
security issued on or before July 18, 1984 (unless a Fund makes the election to
include market discount in income currently), or any debt security having a
fixed maturity date of not more than six months from the date of issue, the gain
realized on disposition will be characterized as long-term or short-term capital
gain depending on the period a Fund held the security. A Fund may be required to
capitalize, rather than deduct currently, part of all of any net direct interest
expense on indebtedness incurred or continued to purchase or carry any debt
security having market discount (unless such Fund makes the election to include
market discount in income currently).
At the close of each quarter of its taxable year, at least 50% of the value of a
Fund's assets must consist of cash or cash items, U.S. Government securities,
securities of other regulated investment companies and securities of other
issuers (as to which the Fund has not invested more than 5% of the value of its
total assets in securities of such issuer and the Fund does not hold more than
10% of the outstanding voting securities of such issuer), and no more than 25%
of the value of its total assets may be invested in the securities of any one
issuer (other than U.S. Government securities and securities of other regulated
investment companies), or in two or more issuers which the Fund controls and
which are engaged in the same or similar trades or businesses (the "Asset
Diversification Test").
If for any taxable year a Fund does not qualify as a regulated investment
company, all of its taxable income (including its net capital gain) will be
subject to tax at regular corporate rates without any deduction for
distributions to shareholders, and such distributions will be taxable as
ordinary dividends to the extent of the current and accumulated earnings and
profits of the Fund. In such event, such distributions generally will be
eligible for the dividends-received deductions in the case of corporate
shareholders.
If a Fund were to fail to qualify as a RIC for one or more taxable years, the
Fund could then qualify (or requalify) as a RIC for subsequent taxable year only
if the Fund had distributed to the Fund's shareholders a taxable dividend equal
to the full amount of any earnings or profits (less the interest charge
mentioned below, if applicable) attributable to such period. The
Fund might also be
required to pay to the U.S. Internal Revenue Service interest on 50% of such
accumulated earnings and profits. In addition, pursuant to the Code and an
interpretative notice issued by the IRS, if the Fund should fail to qualify as a
RIC and should thereafter seek to requalify as a RIC, the Fund may be subject to
tax on the excess (if any) of the fair market of the Fund's assets over the
Fund's basis in such assets, as of the day immediately before the first taxable
year for which the Fund seeks to requalify as a RIC.
If a Fund determines that the Fund will not qualify as a RIC under Subchapter M
of the Code, the Fund will establish procedures to reflect the anticipated tax
liability in the Fund's net asset value.
Excise Tax on Regulated Investment Companies
A 4% non-deductible excise tax is imposed on regulated investment companies that
fail to distribute in each calendar year an amount equal to 98% of ordinary
taxable income for the calendar year and 98% of capital gain net income for the
one-year period ended on October 31 of such calendar year. The balance of such
income must be distributed during the next calendar year. For the foregoing
purposes, a regulated investment company is treated as having distributed any
amount on which it is subject to income tax for any taxable year ending in such
calendar year.
U.S. Treasury regulations may permit a regulated investment
company, in
determining its investment company taxable income and
undistributed net capital
for any taxable year, to treat any capital loss incurred after
October 31 as if
it had been incurred in the succeeding year. For purposes of the excise tax, a
regulated investment company may: (I) reduce its capital gain net income by the
amount of any net ordinary loss for any calendar year; and (ii) exclude foreign
currency gains and losses incurred after October 31 of any year in determining
the amount of ordinary taxable income for the current calendar year (and,
instead, include such gains and losses in determining ordinary taxable income
for the succeeding calendar year).
Each Fund intends to make sufficient distributions or deemed distributions of
its ordinary taxable income and capital gain net income prior to the end of each
calendar year to avoid liability for the excise tax. However, investors should
note that a Fund may in certain circumstances be required to liquidate portfolio
investments to make sufficient distributions to avoid excise tax liability.
Distributions
<PAGE>
Each Fund anticipates distributing substantially all of its investment company
taxable income for each taxable year. Such distributions will be taxable to
shareholders as ordinary income and treated as dividends for federal income tax
purposes, but they will generally not qualify for the 70% dividends-received
deduction for corporations.
A Fund may either retain or distribute to shareholders the Fund's net capital
gain (i.e., the excess of net long-term capital gain over net short-term capital
loss) for each taxable year. Each Fund currently intends to distribute any such
amounts. If net capital gain is distributed and designated as a capital gain
dividend, it will be taxable to shareholders as long-term capital gain,
regardless of the length of time the shareholder has held his or her shares or
whether such gain was recognized by the Fund prior to the date on which the
shareholder acquired his or her shares. Conversely, if a Fund elects to retain
net capital gain, it will be taxed thereon (except to the extent of any
available capital loss carryovers) at the then current applicable corporate tax
rate. If a Fund elects to retain its net capital gain, it is expected the Fund
will also elect to have shareholders treated as having received a distribution
of such gain, with the result that the shareholders will be required to report
their respective shares of such gain on their returns as long-term capital gain,
will receive a refundable tax credit for their allocable share of tax paid by
the Fund on the gain, and will increase the tax basis for their shares by an
amount equal to the deemed distribution less the tax credit.
Investors should be careful to consider the tax implications of purchasing
shares just prior to the next dividend date of any ordinary income dividend or
capital gain dividend. Those purchasing just prior to an ordinary income
dividend or capital gain dividend will be taxed on the entire amount of the
dividend received, even though the net asset value per share on the date of such
purchase reflected the amount of such dividend.
Distributions by a Fund that do not constitute ordinary income dividends or
capital gain dividends will be treated as a return of capital to the extent of
(and will reduce) the shareholder's tax basis in his or her shares; any excess
will be treated as gain from the sale of his or her shares, as discussed below.
Distributions by a Fund will be treated in the manner described above regardless
of whether such distributions are paid in cash or reinvested in additional
shares of the Fund. Shareholders receiving a distribution in the form of
additional shares will be treated as receiving a distribution in an
<PAGE>
amount equal
to the fair market value of the shares received,
determined as of the
reinvestment date. Ordinarily, shareholders are required to take
distributions
by a Fund into account in the year in which the
distributions are made. However, distributions declared in October, November or
December of any year and payable to shareholders of record on a specified date
in such month will be deemed to have been received by the shareholders (and made
by the Fund) on December 31, of such calendar year if such distributions are
actually made in January of the following year. Shareholders will be advised
annually as to the U.S. federal income tax consequences of distributions made
(or deemed made) during the year.
Sale or Redemption of Fund Shares
A shareholder will recognize gain or loss on the sale or redemption of shares in
an amount equal to the difference between the proceeds of the sale or redemption
and the shareholder's adjusted tax basis in the shares. In general, any gain or
loss arising from (or treated as arising from) the sale or redemption of shares
of a Fund will be considered capital gain or loss and will be long-term capital
gain or loss if the shares were held for longer than one year. However, any
capital loss arising from the sale or redemption of shares held for six months
or less will be disallowed to the extent of the amount of exempt-interest
dividends received on such shares and (to the extent not disallowed) will be
treated as long-term capital loss to the extent of the amount of capital gain
dividends received on such shares. For this purpose, special holding period
rules provided in Code Section 246(c)(3) and (4) generally will apply in
determining the holding period of shares. For shareholders who are individuals,
capital gains are currently taxed at the same rate as ordinary income, up to a
maximum rate of 28 percent and the deduction of capital losses is subject to
limitation.
<PAGE>
Backup Withholding
Each Fund will be required in certain cases to withhold and remit to the U.S.
Treasury 31% of ordinary income dividends and capital gain dividends, and the
proceeds of redemption of shares, paid to any shareholder (i) who has provided
either an incorrect tax identification number or no number at all, (ii) who is
subject to backup withholding by the Internal Revenue Service for failure to
report the receipt of interest or dividend income properly, or (iii) who has
failed to certify to the Fund that it is not subject to backup withholding or
that it is a corporation or other "exempt recipient." Each Fund also reserves
the right to close accounts that fail to provide a certified tax identification
number, by redeeming such accounts in full at the current net asset value.
Foreign Shareholders
The U.S. federal income taxation of a shareholder who, as to the United States,
is a nonresident alien individual, foreign trust or estate, foreign corporation,
or foreign partnership ("foreign shareholder") depends on whether the income for
a Fund is "effectively connected" with a U.S. trade or business carried on by
such shareholder.
If the income from a Fund is not effectively connected with a
U.S. trade or
business carried on by the foreign shareholder, ordinary income dividends will
be subject to U.S. withholding tax at the rate of 30% (or lower treaty rate, if
applicable) upon the gross amount of the dividend. Such foreign shareholders
generally would be exempt from U.S. federal income tax on gains realized on the
sale of shares of the Fund and on capital gain dividends and amounts retained by
the Fund that are designated as undistributed capital gains.
If the income from a Fund is effectively connected with a U.S. trade or business
carried on by the foreign shareholder, then ordinary income dividends, capital
gain dividends, and any gains realized upon the sale of shares of the Fund will
be subject to U.S. federal income tax at the rates applicable to U.S. citizens
and residents or domestic corporations.
In the case of foreign non-corporate shareholders, a Fund may be required to
withhold U.S. federal income tax at a rate of 20% on distributions that are
otherwise exempt from withholding tax (or taxable at a reduced treaty rate)
unless such shareholders furnish the Fund with proper notification of their
foreign status.
The tax consequences to a foreign shareholder entitled to claim the benefits of
an applicable tax treaty may differ from those described herein. Foreign
shareholders are urged to consult their own tax advisers with respect to the
particular tax consequences tothem of an investment in the Funds, including the
applicability of foreign taxes.
Effect of Future Legislation; Local Tax Considerations
The foregoing general discussion of U.S. federal income tax
consequences is
<PAGE>
based on the Code and the regulations issued thereunder as in
effect on the date
of this Statement of Additional Information. Future
legislative or
administrative changes or court decisions may significantly
change the
conclusions expressed herein, and any such changes or decisions may have a
retroactive effect with respect to the transactions contemplated herein.
Rules of state and local taxation of ordinary income dividends and capital gain
dividends from regulated investment companies often differ from the rules for
U.S. federal income taxation described above. Shareholders are urged to consult
their tax advisers as to the consequences of these and other state and local tax
rules affecting investments in the Funds.
OTHER INFORMATION
Organization of the Trust
The Trust is an open-end management investment company organized as a Delaware
business trust on July 23, 1996. The Trust has authorized capital of an
unlimited number of shares of beneficial interest 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. Presently, each Fund represents a separate series of
shares. The Trust may establish additional series or classes in the future.
The assets of the Trust received for the sale of shares of a Fund and all
income, earnings, profits, and proceeds thereof, subject only to the rights of
creditors, are allocated to such Fund, and constitute the underlying assets of
such Fund. The underlying assets of a Fund are accounted for separately on the
books of the Trust, and are to be charged with the liabilities with respect to
such Fund and with a share of the general expenses of the Trust. Expenses with
respect to the Trust are to be allocated between the Funds in a manner deemed to
be fair and equitable by the Board of Trustees. In the event of dissolution or
liquidation of a Fund, the Board of Trustees will distribute the remaining
proceeds or assets of the Fund ratably among its shareholders.
Shareholder and Trustee Liability
Shareholders of a business trust such as the Trust may, under certain
circumstance, be held personally liable for the obligations of the trust. The
Declaration of Trust provides that the Trust shall not have any claim against
shareholders except for the payment of the purchase price of shares and requires
that every note, bond, contract or other undertaking entered into or executed by
the Trust or the trustees shall include a provision limiting the obligations
created thereby to the Trust and its assets. The Declaration of Trust provides
for indemnification out of each Fund's assets of any shareholders held
personally liable for the obligations of the Fund. The Declaration of Trust also
provides that each Fund shall, upon request, assume the defense of any claim
made against any shareholder for any act or obligation of the Fund and satisfy
any judgement thereon. In addition, under Delaware law, shareholders of the
Funds are entitled to the same limitation of personal liability extended to
stockholders of Delaware corporations. Thus, the risk of a shareholder incurring
financial loss on account of shareholder liability is limited to circumstances
in which the Fund itself would be unable to meet its obligations. In view of the
above, the risk of personal liability to shareholders is remote.
The Declaration of Trust further provides that the trustees will not be liable
for any neglect or wrongdoing, but nothing in the Declaration of Trust protects
the trustees against any liability to which they would otherwise
<PAGE>
be subject by
reason of willful misfeasance, bad faith, gross negligence, or reckless
disregard of the duties involved in the conduct of their office.
Voting Rights
The shares of the Funds have no preemptive or conversion rights. Voting and
dividends rights, the right or redemption, and exchange privileges are described
in the Prospectus. Shares are fully paid and nonassessable, except as set forth
under "Shareholder and Trustee Liability" above. Shareholders representing 10%
or more of the Trust or any Fund may, as set forth in the Declaration of Trust,
call meetings of the Trust or a Fund for any purpose related to the Trust or
Fund, as the case may be, including in the case of a meeting of the entire
Trust, the purpose of voting on removal of one or more trustees. The Trust or
any Fund may be terminated upon the sale of its assets to another investment
company (as defined in the Investment Company Act of 1940, as amended), or upon
liquidation and distribution of its assets, if approved by vote of the holders
of a majority of the outstanding shares of the Trust or the Fund. If not so
terminated, the Trust or the Fund will continue indefinitely.
Custodian
The Bank of New York, One Wall Street, New York, New York 10286, is custodian of
the Funds' assets. The custodian is responsible for the safekeeping of a Fund's
assets and the appointment of the subcustodian banks and clearing agencies. The
custodian takes no part in determining the investment policies of a Fund or in
deciding which securities are purchased or sold by a Fund. However, a Fund may
invest in obligations of the custodian and may purchase securities from or sell
securities to the custodian.
Independent Public Accountant
Deloitte & Touche LLP, 555 17th Street, Suite 3600, Denver,
Colorado 80202,
serves as the Funds' independent public accountant. Deloitte
& Touche LLP
examines financial statements for the Funds and provides other
audit, tax, and
related services.
FINANCIAL STATEMENTS
The Trust's and each Fund's audited financial statements as of January 27,1997,
together with the notes thereto and the report of Deloitte & Touche LLP and the
Trust's and each of the Fund's unaudited financial statements as of April 30,
1997, together with the notes thereto are attached to this Statement of
Additional Information.
<PAGE>
Price Make-up Sheet
Orchard Money Market
Fund
Period
Ended
Per Share Amount
4/30/97
Undistributed Net Investment Income -
Beginning of Year $
0
Dividend Income
0
Ordinary Income
36,170
Operational Expenses
(3301)
Net Investment Income
32,869
Dividend Distribution - End of Year
(32,869)
Undistributed Net Investment Income -
0
End of Year
Net Short-Term Realized Gain (Loss) on
Investments - Beginning of Year
0
Net Short-Term Realized Gain (Loss) on
Investments - End of Year
0
Distribution from Net Short-Term Gain
Accumulated Undistributed Net Short-Term
0
Realized Gain (Loss) on Investment
Net Long-Term Realized Gain (Loss) on
0
Investments - Beginning of Year
Net Long-Term Realized Gain (Loss) on
0
Investments - End of Year
Distribution from Net Long-Term Realized Gain
0
Accumulated Undistributed Net Long-Term
Realized Gain (Loss) on Investment
0
Net Unrealized Appreciation (Depreciation) on
0
Investments
Capital Stock at Par
0
Additional Paid-in Capital
3,032,484 1.0000
Net Assets
3,032,484 1.0000
<PAGE>
Shares Outstanding
3,032,484
Price Make-up Sheet
Orchard Preferred Stock
Fund
Period
Ended
Per Share Amount
4/30/97
Undistributed Net Investment Income -
Beginning of Year $
0
Dividend Income
65,214
Ordinary Income
3,721
Operational Expenses
(8,558)
Net Investment Income
60,377
Dividend Distribution - End of Year
(57,095)
Undistributed Net Investment Income -
3,282 0.0081
End of Year
Net Short-Term Realized Gain (Loss) on
0
Investments - Beginning of Year
Net Short-Term Realized Gain (Loss) on
(8,006)
Investments - End of Year
Distribution from Net Short-Term Gain
<PAGE>
0
Accumulated Undistributed Net Short-Term
(8,006) (0.0197)
Realized Gain (Loss) on Investment
Net Long-Term Realized Gain (Loss) on
0
Investments - Beginning of Year
Net Long-Term Realized Gain (Loss) on
0
Investments - End of Year
Distribution from Net Long-Term Realized Gain
0
Accumulated Undistributed Net Long-Term
0
Realized Gain (Loss) on Investment
Net Unrealized Appreciation (Depreciation) on
(60,734) (0.1497)
Investments
Capital Stock at Par
0
Additional Paid-in Capital
4,057,095 9.9976
Net Assets
3,991,637
Shares Outstanding
<PAGE>
Price Make-up Sheet
Orchard Index 500
Fund
Period
Ended
Per Share Amount
4/30/97
<PAGE>
Undistributed Net Investment Income -
Beginning of Year $
0
Dividend Income
21,094
Ordinary Income
1,527
Operational Expenses
(6,422)
Net Investment Income
16,199
Dividend Distribution - End of Year
(15,329)
Undistributed Net Investment Income -
End of Year
870 0.0019
Net Short-Term Realized Gain (Loss) on
Investments - Beginning of Year
0
Net Short-Term Realized Gain (Loss) on
Investments - End of Year
32
Distribution from Net Short-Term Gain
0
Accumulated Undistributed Net Short-Term
Realized Gain (Loss) on Investment
32 0.0001
Net Long-Term Realized Gain (Loss) on
Investments - Beginning of Year
0
Net Long-Term Realized Gain (Loss) on
Investments - End of Year
0
Distribution from Net Long-Term Realized Gain
0
Accumulated Undistributed Net Long-Term
Realized Gain (Loss) on Investment
0
<PAGE>
Net Unrealized Appreciation (Depreciation) on
85,211 0.1887
Investments
Capital Stock at Par
Additional Paid-in Capital
4,515,329 10.0003
Net Assets
4,601,442 10.1910
Shares Outstanding
451,519
<PAGE>
Price Make-up Sheet
Orchard Index 600
Fund
Period
Ended
Per Share Amount
4/30/97
Undistributed Net Investment Income -
Beginning of Year $
0
Dividend Income
9,833
Ordinary Income
1,511
Operational Expenses
(6,192)
Net Investment Income
5,152
Dividend Distribution - End of Year
(5,085)
Undistributed Net Investment Income -
End of Year
67 0.0002
Net Short-Term Realized Gain (Loss) on
Investments - Beginning of Year
0
Net Short-Term Realized Gain (Loss) on
Investments - End of Year
7,567
Distribution from Net Short-Term Gain
0
Accumulated Undistributed Net Short-Term
Realized Gain (Loss) on Investment
7,567 0.0168
Net Long-Term Realized Gain (Loss) on
Investments - Beginning of Year
0
Net Long-Term Realized Gain (Loss) on
Investments - End of Year
0
Distribution from Net Long-Term Realized Gain
0
Accumulated Undistributed Net Long-Term
Realized Gain (Loss) on Investment
0
Net Unrealized Appreciation (Depreciation) on
(285,862) (0.6345)
Investments
Capital Stock at Par
Additional Paid-in Capital
4,505,085 9.9991
Net Assets
4,226,857 9.3816
Shares Outstanding
450,547
<PAGE>
Price Make-up Sheet
Orchard Index European
Fund
Period
Ended
Per Share Amount
4/30/97
Undistributed Net Investment Income -
Beginning of Year $
0
Dividend Income
27,529
Ordinary Income
1,790
Operational Expenses
(13,123)
Net Investment Income
16,196
Dividend Distribution - End of Year
0
Undistributed Net Investment Income -
End of Year
16,196 0.0360
Net Short-Term Realized Gain (Loss) on
Investments - Beginning of Year
0
Net Short-Term Realized Gain (Loss) on
Investments - End of Year
(428)
Distribution from Net Short-Term Gain
0
Accumulated Undistributed Net Short-Term
Realized Gain (Loss) on Investment
(428) 0.0001
<PAGE>
Net Long-Term Realized Gain (Loss) on
Investments - Beginning of Year
0
Net Long-Term Realized Gain (Loss) on
Investments - End of Year
0
Distribution from Net Long-Term Realized Gain
0
Accumulated Undistributed Net Long-Term
Realized Gain (Loss) on Investment
0
Net Unrealized Appreciation (Depreciation) on
152,645 0.3392
Investments
Capital Stock at Par
Additional Paid-in Capital
4,500,000 10.0000
Net Assets
4,668,413 10.3743
Shares Outstanding
450,000
<PAGE>
Price Make-up Sheet
Orchard Index Pacific
Fund
Period
Ended
Per Share Amount
4/30/97
Undistributed Net Investment Income -
Beginning of Year $
0
Dividend Income
19,346
Ordinary Income
4,554
Operational Expenses
(12,862)
Net Investment Income
11,038
Dividend Distribution - End of Year
0
Undistributed Net Investment Income -
End of Year
11,038 0.0245
Net Short-Term Realized Gain (Loss) on
Investments - Beginning of Year
0
Net Short-Term Realized Gain (Loss) on
Investments - End of Year
0
Distribution from Net Short-Term Gain
0
Accumulated Undistributed Net Short-Term
Realized Gain (Loss) on Investment
0 0.0001
Net Long-Term Realized Gain (Loss) on
Investments - Beginning of Year
0
Net Long-Term Realized Gain (Loss) on
Investments - End of Year
0
Distribution from Net Long-Term Realized Gain
0
Accumulated Undistributed Net Long-Term
Realized Gain (Loss) on Investment
0
Net Unrealized Appreciation (Depreciation) on
34,893 0.0776
Investments
<PAGE>
Capital Stock at Par
Additional Paid-in Capital
4,500,000 10.0000
Net Assets
4,545,931 10.1021
Shares Outstanding
450,000
<PAGE>
APPENDIX
Corporate Bond Ratings by Moody's Investors Service, Inc.
Aaa - Bonds which are rated Aaa are judged to be of the best quality. They carry
the smallest degree of investment risk and are generally referred to as "gilt
edge". Interest payments are protected by a large or by an exceptionally stable
margin and principal is secure. While the various protective elements are likely
to change, such changes as can be visualized are most unlikely to impair the
fundamentally strong position of such issues.
Aa - Bonds which are rated Aa are judged to be of high quality by all standards.
Together with the Aaa group they comprise what are generally known as high-grade
bonds. They are rated lower than the best bonds because margins of protection
may not be as large as in Aaa securities or fluctuation of protective elements
may be of greater amplitude or there may be other elements present which make
the long-term risks appear somewhat larger than in Aaa securities.
A - Bonds which are rated A possess many favorable investment attributes and are
to be considered as upper medium-grade obligations. Factors giving security to
<PAGE>
principal and interest are considered adequate but elements may be present which
suggest a susceptibility to impairment sometime in the future.
Baa - Bonds which are rated Baa are considered as medium grade obligations,
i.e., they are neither highly protected nor poorly secured. Interest payments
and principal security appear adequate for the present but certain protective
elements may be lacking or may be characteristically unreliable over any great
length of time. Such bonds lack outstanding investment characteristics and in
fact have speculative characteristics as well.
Ba - Bonds which are rated Ba are judged to have speculative elements; their
future cannot be considered as well-assured. Often the protection of interest
and principal payments may be very moderate, and thereby not well safeguarded
during both good and bad times over the future. Uncertainty of position
characterizes bonds in this class. B - Bonds where are rated B generally lack
characteristics of the desirable investment. Assurance of interest and principal
payments or of maintenance of other terms of the contract over any long period
of time may be small.
<PAGE>
Caa - Bonds which are rated Caa are of poor standing. Such issues may be in
default or there may be present elements of danger with respect to principal or
interest.
Ca - Bonds which are rated Ca represent obligations which are speculative in a
high degree. Such issues are often in default or have other marked shortcomings.
C - Bonds which are rated C are the lowest rated class of bonds, and issues so
rated can be regarded as having extremely poor prospects of ever
<PAGE>
attaining any
real investment standing.
Corporate Bond Ratings by Standard & Poor's
Corporation
AAA - This is the highest rating assigned by Standard & Poor's to a debt
obligation and indicates an extremely strong capacity to pay principal and
interest.
AA - Bonds rated AA also qualify as high-quality debt obligations. Capacity to
pay principal and interest is very strong, and in the majority of instances they
differ from AAA issues only in a small degree.
A - Bonds rated A have a strong capacity to pay principal and interest, although
they are somewhat more susceptible to the adverse effects of changes in
circumstances and economic conditions.
BBB - Bonds rated BBB are regarded as having an adequate capacity to pay
principal and interest. Whereas they normally exhibit protection parameters,
adverse economic conditions or changing circumstances are more likely to lead to
a weakened capacity for bonds rated BBB than for bonds in the A category.
BB, B, CCC, and CC - Standard & Poor's describes the BB, B, CCC and CC rated
issues together with issues rated CCC and CC. Debt in these categories is
regarded on balance as predominantly speculative with respect to capacity to pay
interest and repay principal in accordance with the terms of the obligation. BB
indicates the lowest degree of speculation and CC the highest degree of
speculation. While such debt will likely have some quality and protective
characteristics, these are outweighed by large uncertainties or major risk
exposures to adverse conditions.
C - The rating C is reserved for income bonds on which no interest is being
paid.
<PAGE>
D - Bonds rated D are in default, and payment of interest and/or repayment of
principal is in arrears.
Plus (+) or Minus (-): The ratings from "AA" to "B" may be modified by the
addition of a plus or minus sign to show relative standing within the major
rating categories.
Commercial Paper Ratings by Moody's Investors Service, Inc.
Prime-1 - Commercial Paper issuers rated Prime-1 are judged to be of the best
quality. Their short-term debt obligations carry the smallest degree of
investment risk. Margins of support for current indebtedness are large or stable
with cash flow and asset protection well assured. Current liquidity provides
ample coverage of near-term liabilities and unused alternative financing
arrangements are generally available. While protective elements may change over
the intermediate or longer term, such changes are most unlikely to impair the
fundamentally strong position of short-term obligations.
Prime-2 - Issuers in the Commercial Paper market rated Prime-2 are high quality.
Protection for short-term holders is assured with liquidity and value of current
assets as well as cash generation in sound relationship to current indebtedness.
They are rated lower than the best commercial paper issuers because margins of
protection may not be as large or because fluctuations of protective elements
over the near or immediate term may be of greater amplitude. Temporary increases
in relative short and overall debt load may occur. Alternative means of
financing remain assured.
Prime-3 - Issuers in the Commercial Paper market rated Prime-3 have an
acceptable capacity for repayment of short-term promissory
<PAGE>
obligations. The
effect of industry characteristics and market composition may be more
pronounced. Variability in earning and profitability may result in changes in
the level of debt protection measurements and the requirement for relatively
high financial leverage. Adequate alternate liquidity is maintained.
Commercial Paper Ratings by Standard & Poor's Corporation
A - Issuers assigned this highest rating are regarded as having the greatest
capacity for timely payment. Issuers in this category are further refined with
the designation 1, 2 and 3 to indicate the relative degree of safety.
A-1 - This designation indicates that the degree of safety regarding timely
payment is very strong.
A-2 - Capacity for timely payment for issuers with this designation is strong.
However, the relative degree of safety is not as overwhelming as for issues
designated "A-1".
A-3 - Issuers carrying this designation have a satisfactory capacity for timely
payment. They are, however, somewhat more vulnerable to the adverse effects of
changes in circumstances than obligations carrying the higher designation.
<PAGE>
ORCHARD SERIES FUND
Statement of Assets and
Liabilities
as of January 27, 1997 and
Independent Auditors' Report
<PAGE>
INDEPENDENT AUDITORS' REPORT
To the Board of Trustees and Shareholder of
Orchard Series Fund
We have audited the accompanying statement of assets and liabilities of Orchard
Money Market Fund, Orchard Preferred Stock Fund, Orchard Index 600 Fund, Orchard
Index 500 Fund, Orchard Index Pacific Fund, and Orchard Index European Fund, of
Orchard Series Fund as of January 27, 1997. This financial statement is the
responsibility of the Fund's management. Our responsibility is to express an
opinion on this financial statement based on our audit.
We conducted our audit 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 statement is free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statement. 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 audit provides a reasonable basis for our opinion.
In our opinion, such statement of assets and liabilities presents fairly, in all
material respects, the financial position of Orchard Money Market Fund, Orchard
Preferred Stock Fund, Orchard Index 600 Fund, Orchard Index 500 Fund, Orchard
Index Pacific Fund, and Orchard Index European Fund, of Orchard Series Fund as
of January 27, 1997 in conformity with generally accepted accounting principles.
/s/ Deloitte & Touche LLP
DELOITTE & TOUCHE LLP
Denver, Colorado
July 28, 1997
<PAGE>
THE ORCHARD SERIES FUND
Financial Statements and
Financial
Highlights for the Period
February 3, 1997
(Inception) to April 30, 1997
<PAGE>
THE ORCHARD SERIES FUND
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 1997
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------
- -----------------------------------------------------------------
ORCHARD ORCHARD
ORCHARD ORCHARD ORCHARD ORCHARD
INDEX 500 INDEX 600
INDEX INDEX MONEY PREFERRED
EUROPEAN PACIFIC MARKET
FUND FUND
FUND FUND FUND STOCK FUND
----------------- -----------------
- ------------------- ----------------- -------------------
- -----------
ASSETS:
Investments at value:
Short-term investments
$ 2,782,691
Common stocks $ 4,582,235 $ 4,200,578 $
4,641,587 $ 4,229,064
Preferred stocks
$ 3,924,208
----------------- -----------------
- ------------------- ----------------- -------------------
- ---------
Total investments
(cost $4,497,024;
$4,486,440; 4,582,235 4,200,578
4,641,587 4,229,064 2,782,691
3,924,208
$4,488,942; $4,194,171;
<PAGE>
$2,782,691; $3,984,942)
Cash 15,744 17,610
15,929 310,717 236,319 59,686
Dividends and interest
receivable 6,330 2,181
20,119 15,114 14,774 13,746
Receivables for
investments sold 1,600 10,769
150,000
----------------- -----------------
- ------------------- ----------------- -------------------
- --------
Total assets 4,605,909 4,231,138
4,677,635 4,554,895 3,183,784 3,997,640
----------------- -----------------
- ------------------- ----------------- -------------------
- ---------
LIABILITIES:
Dividend payable
385
Due to GW Capital
Management 4,467 4,281
9,222 8,964 2,318 6,003
Payables for investments purchased
148,597
----------------- -----------------
- ------------------- ----------------- ------------------- ------
Total liabilities 4,467 4,281
9,222 8,964 151,300 6,003
----------------- -----------------
- ------------------- ----------------- -------------------
- --------
NET ASSETS $ 4,601,442 $ 4,226,857 $
4,668,413 $ 4,545,931 $ 3,032,484 $3,991,637
================= =================
=================== ================= =================
============
NET ASSETS REPRESENTED BY:
Capital stock, no par value $ 4,515,329 $ 4,505,085 $
4,500,000 $ 4,500,000 $ 3,032,484 $4,057,095
Net unrealized appreciation
(depreciation) on investmen 85,211 (285,862)
291,146 167,974 (60,734)
Undistributed net investment
income (loss) 870 67
16,196 11,038 3,282
Accumulated net short-term
realized gain (loss) on 32 7,567
<PAGE>
(428) (8,006)
investments
Net unrealized appreciation
depreciation) on translation of
assets and liabilities denominated
in foreign currencies
(138,501) (133,081)
----------------- -----------------
- ------------------- ----------------- ------------------- -------
NET ASSETS $ 4,601,442 $ 4,226,857 $
4,668,413 $ 4,545,931 $ 3,032,484 $3,991,637
================= =================
=================== ================= ===================
=========
NET ASSET VALUE
PER OUTSTANDING SHARE $ 10.1910 $ 9.3816
$ 10.3743 $ 10.1021 $ 1.0000 $9.8363
================= =================
=================== ================= ===================
========
SHARES OF CAPITAL STOCK:
Outstanding 451,519 450,547
450,000 450,000 3,032,484 405,808
See notes to financial statements.
</TABLE>
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
THE ORCHARD SERIES FUND
STATEMENT OF OPERATIONS
FOR THE PERIOD FEBRUARY 3, 1997 (INCEPTION) TO APRIL 30, 1997
- -----------------------------------------------------------------
- -----------------------------------------------------------------
ORCHARD ORCHARD
ORCHARD ORCHARD ORCHARD
ORCHARD
INDEX 500 INDEX 600 INDEX
INDEX PACIFIC MONEY PREFERRED
EUROPEAN MARKET
FUND FUND FUND
FUND FUND STOCK FUND
---------------- ---------------
- -------------------- ------------------ --------------------
- --------------
INVESTMENT INCOME:
Interest $ 1,527 $ 1,511 $ 1,790
$ 4,554 $ 36,170 $ 3,721
Dividends 21,113 9,839 29,323
19,505 65,214
Less: Foreign
withholding tax (19) (6) (1,794)
(159)
---------------- ---------------
- -------------------- ------------------ --------------------
- --------------
Total income 22,621 11,344 29,319
23,900 36,170 68,935
---------------- ---------------
- -------------------- ------------------ --------------------
- ----------------
EXPENSES:
Salaries 873
873 873
Legal and SEC fees 7
7 5
Directors' fees 25
27 17
Audit fees 5,533
5,533 2,280
Investment administ 23,230
23,230 11,292
Bank and custodial 26,667
26,667 6,667
Other expenses 8,096
8,093 63
Management fee 6,422 6,192 10,936
10,718 1,435 8,558
--------------- ---------------
- -------------------- ------------------ --------------------
- -----------------
Total expenses 6,422 6,192 75,367
75,148 22,632 8,558
Less amount paid by
GW Capital Management 62,244
62,286 19,331
-------------- ---------------
- -------------------- ------------------ --------------------
- -----------------
Net expenses 6,422 6,192 13,123
<PAGE>
12,862 3,301 8,558
---------------- ---------------
- -------------------- ------------------ --------------------
- -----------------
NET INVESTMENT
INCOME 16,199 5,152 16,196
11,038 32,869 60,377
---------------- ---------------
- -------------------- ------------------ --------------------
- -----------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net short-term realized
gain (loss) on investments 32 7,567 (428)
(8,006)
Change in net unrealized
preciation (depreciation)
on investment 85,211 (285,862) 291,146
167,974 (60,734)
Change in net unrealized
appreciation (depreciation)
on translation of assets and
liabilities denominated in
foreign currencies (138,501)
(133,081)
---------------- ---------------
- -------------------- ------------------ --------------------
- -----------------
Net change in realized and
unrealized appreciation
(depreciation) on 85,243 (278,295) 152,217
34,893 0 (68,740)
investments ---------------- ---------------
- -------------------- ------------------ --------------------
- ---------------
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING
FROM OPERATIONS $ 101,442 $ (273,143) $ 168,413
$ 45,931 $ 32,869 $ (8,363)
================ ===============
==================== ================== ====================
================
See notes to financial statements
</TABLE>
<PAGE>
THE ORCHARD SERIES FUND
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD FEBRUARY 3, 1997 (INCEPTION) TO APRIL 30, 1997
- -----------------------------------------------------------------
- ----------------------------------------------------------------
ORCHARD ORCHARD ORCHARD
ORCHARD ORCHARD ORCHARD
INDEX 500 INDEX 600 INDEX
INDEX PACIFIC MONEY MARKET PREFERRED
EUROPEAN
FUND FUND FUND
FUND FUND STOCK FUND
-------------- -------------------
- ------------------- -------------- ------------------
- -------------
INCREASE (DECREASE)
IN NET ASSETS:
OPERATIONS:
Net investment
income $ 16,199 $ 5,152 $
16,196 $ 11,038 $ 32,869 $
60,377
Net short-term
realized gain (loss)
on investments 32 7,567
(428)
(8,006)
Change in net
unrealized appreciation
(depreciation) on 85,211 (285,862)
291,146 167,974
(60,734)
investments
Change in net
unrealized appreciation
(depreciation) on
translation of
assets and liabilities
in foreign currencies
(138,501) (133,081)
----------------- -----------------
- -------------------- ------------------- ---------------------
- ----------
Net increase (decrease)
in net assets resulting
<PAGE>
from operations 101,442 (273,143)
168,413 45,931 32,869
(8,363)
----------------- -----------------
- -------------------- ------------------- ---------------------
- ----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment
income and net
short-term realized
gain (15,329) (5,085)
(32,869) (57,095)
----------------- -----------------
- -------------------- ------------------- ---------------------
- ------------
Total distributions (15,329) (5,085) 0
0 (32,869) (57,095)
----------------- -----------------
- -------------------- ------------------- ---------------------
- ------------
SHARE TRANSACTIONS:
Net proceeds from
sales of shares 4,500,000 4,500,000
4,500,000 4,500,000 3,000,000
4,000,000
Reinvestment of
distributions 15,329 5,085
32,484 57,095
----------------- -----------------
- -------------------- ------------------- ---------------------
- -------------
Net increase (decrease)
in net assets
resulting from
share transactions 4,515,329 4,505,085
4,500,000 4,500,000 3,032,484
4,057,095
----------------- -----------------
- -------------------- ------------------- ---------------------
- ---------------
Total increase
in net assets 4,601,442 4,226,857 4,668,413
4,545,931 3,032,484 3,991,637
NET ASSETS:
Beginning of period 0 0 0
0 0 0
----------------- -----------------
- -------------------- ------------------- ---------------------
- -----------------
<PAGE>
End of period $ 4,601,442 $ 4,226,857 $ 4,668,413
$ 4,545,931 $ 3,032,484 $ 3,991,637
================= =================
==================== =================== =====================
================
OTHER INFORMATION:
SHARES:
Sold 450,000 450,000 450,000
450,000 3,000,000 400,000
Issued in
reinvestment
of distributions 1,519 547
32,484 5,808
----------------- -----------------
- -------------------- ------------------- ---------------------
- ----------------
Net increase 451,519 450,547 450,000
450,000 3,032,484 405,808
================ =================
==================== =================== =====================
=================
See notes to financial statements.
</TABLE>
<PAGE>
THE ORCHARD SERIES FUND
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
ORCHARD INDEX 500 FUND
FINANCIAL HIGHLIGHTS
- -----------------------------------------------------------------
- ------------------------------------------------------------
Selected data for a share of capital stock of the fund for the period February
3, 1997 (inception) to April 30, 1997 is as follows:
Period
Ended
<PAGE>
April 30, 1997
- --------------------
Net Asset Value, Beginning of Period $
10.0000
Income From Investment Operations
Net investment income
0.0360
Net realized and unrealized gain (loss)
0.1891
- --------------------
Total Income (Loss) From Investment Operations
0.2251
Less Distributions
From net investment income
(0.0341)
Total Distributions
(0.0341)
- --------------------
Net Asset Value, End of Period $
10.1910
====================
Total Return
9.31%*
Net Assets, End of Period $
4,601,442
Average Commission Rate Paid
Per Share Bought or Sold $
0.0322
Ratio of Expenses to Average Net Assets
0.60%*
Ratio of Net Investment Income to Average Net Assets
1.51%*
Portfolio Turnover Rate
0.32%
<PAGE>
*Annualized
</TABLE>
(Continued)
<PAGE>
THE ORCHARD SERIES FUND
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
ORCHARD INDEX 600 FUND
FINANCIAL HIGHLIGHTS
- -----------------------------------------------------------------
- -------------------------------------------------------------
Selected data for a share of capital stock of the fund for the period February
3, 1997 (inception) to April 30, 1997 is as follows:
Period
Ended
April 30, 1997
- -------------------
Net Asset Value, Beginning of Period $
10.0000
Income From Investment Operations
Net investment income
0.0114
Net realized and unrealized gain (loss)
(0.6185)
- -------------------
Total Income (Loss) From Investment Operations
(0.6071)
Less Distributions
From net investment income
(0.0113)
Total Distributions
(0.0113)
- -------------------
Net Asset Value, End of Period $
9.3816
===================
Total Return
(22.16%)*
Net Assets, End of Period $
4,226,857
Average Commission Rate Paid
Per Share Bought or Sold $
0.0311
Ratio of Expenses to Average Net Assets
0.60%*
Ratio of Net Investment Income to Average Net Assets
0.51%*
Portfolio Turnover Rate
3.96%
*Annualized
</TABLE>
(Continued)
<PAGE>
THE ORCHARD SERIES FUND
ORCHARD INDEX EUROPEAN FUND
<PAGE>
FINANCIAL HIGHLIGHTS
- -----------------------------------------------------------------
- -------------------------------------------------------------
Selected data for a share of capital stock of the fund for the period February
3, 1997 (inception) to April 30, 1997 is as follows:
Period
Ended
April 30, 1997
- -------------------
Net Asset Value, Beginning of Period $
10.0000
Income From Investment Operations
Net investment income
0.0360
Net realized and unrealized gain (loss)
0.3383
- -------------------
Total Income (Loss) From Investment Operations
0.3743
Net Asset Value, End of Period $
10.3743
===================
Total Return
15.83%*
Net Assets, End of Period $
4,668,413
Average Commission Rate Paid
Per Share Bought or Sold $
0.0465
Ratio of Expenses to Average Net Assets
1.20%*
Ratio of Net Investment Income to Average Net Assets
1.46%*
<PAGE>
Portfolio Turnover Rate
0.68%
*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 April 30, 1997 is as follows:
Period
Ended
April 30, 1997
- -------------------
Net Asset Value, Beginning of Period $
10.0000
Income From Investment Operations
Net investment income
0.0245
Net realized and unrealized gain (loss)
0.0776
- -------------------
Total Income (Loss) From Investment Operations
0.1021
<PAGE>
Net Asset Value, End of Period $
10.1021
===================
Total Return
4.15%*
Net Assets, End of Period $
4,545,931
Average Commission Rate Paid
Per Share Bought or Sold $
0.0122
Ratio of Expenses to Average Net Assets
1.20%*
Ratio of Net Investment Income to Average Net Assets
1.02%*
Portfolio Turnover Rate
0.00%
*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 April 30, 1997 is as follows:
Period
Ended
<PAGE>
April 30, 1997
- -------------------
Net Asset Value, Beginning of Period $
1.0000
Income From Investment Operations
Net investment income
0.0108
- -------------------
Total Income (Loss) From Investment Operations
0.0108
Less Distributions
From net investment income
(0.0108)
- -------------------
Total Distributions
(0.0108)
- -------------------
Net Asset Value, End of Period $
1.0000
===================
Total Return
4.40%*
Net Assets, End of Period $
3,032,484
Ratio of Expenses to Average Net Assets
0.46%*
Ratio of Net Investment Income to Average Net Assets
4.57%*
Portfolio Turnover Rate
0.00%
*Annualized
<PAGE>
(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 April 30, 1997 is as follows:
Period
Ended
April 30, 1997
- -------------------
Net Asset Value, Beginning of Period $
10.0000
Income From Investment Operations
Net investment income
0.1508
Net realized and unrealized gain (loss)
(0.1718)
- -------------------
Total Income (Loss) From Investment Operations
(0.0210)
Less Distributions
From net investment income
(0.1427)
<PAGE>
From net realized gains
- -------------------
Total Distributions
(0.1427)
- -------------------
Net Asset Value, End of Period $
9.8363
===================
Total Return
(0.84%)*
Net Assets, End of Period $
3,991,637
Ratio of Expenses to Average Net Assets
0.90%*
Ratio of Net Investment Income to Average Net Assets
6.33%*
Portfolio Turnover Rate
4.85%
*Annualized
(Concluded)
<PAGE>
THE ORCHARD SERIES FUND
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 1997
1. ORGANIZATION
The Orchard Series Fund is an open-end management
investment company
organized as a Delaware business trust (the Trust) on
July 23, 1996.
The Trust offers six separate diversified portfolios,
commonly known as
mutual funds (the Funds), which are registered with the
Securities and
Exchange Commission under the provisions of the
Investment Company Act
of 1940 ( as amended): Orchard Index 500 Fund, Orchard
Index 600 Fund,
Orchard Index European Fund, Orchard Index Pacific Fund,
Orchard Money
Market Fund, and Orchard Preferred Stock Fund.
Initial capitalization of $100,000 for each Fund was
received on
January 27, 1997 from Great- West Life & Annuity
Insurance Company
(GWL&A). Each Fund received additional capitalization
from GWL&A on
February 3, 1997 as follows: $2,900,000 for Orchard Money
Market Fund,
$3,900,000 for Orchard Preferred Stock Fund, and
$4,400,000 each for
Orchard Index 500 Fund, Orchard Index 600 Fund, Orchard
Index European
Fund, and Orchard Index Pacific Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity
with generally
accepted accounting principles requires management to
make estimates
and assumptions that affect the reported amounts of
assets and
liabilities and disclosure of contingent assets and
liabilities at the
date of the financial statements and the reported
amounts of revenue
and expenses during the reporting period. Actual results
could differ
from those estimates.
The following is a summary of the significant accounting
policies of
the Fund, which are in accordance with generally
accepted accounting
principles in the investment company industry:
Security Valuation - Securities traded on national
securities exchanges
are valued daily at the closing prices of the
securities on these
<PAGE>
exchanges, and securities traded on over-the-counter
markets are valued
daily at the average between the quoted bid and
asked prices.
Short-term and money market securities are valued at
amortized cost
which approximates market value.
Federal Income Taxes - For federal income tax
purposes, each Fund
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.
Dividends - Dividends from investment income of the
Money Market Fund
are declared daily and reinvested monthly. Dividends
from investment
income of the Preferred Stock Fund are declared
and reinvested
quarterly. Dividends from investment income of the Index
500 and Index
600 Funds are declared and reinvested semi-annually
while dividends
from investment income of the Index Pacific and Index
European Funds
are declared and reinvested annually. All of the
Funds generally
distribute capital gains, if any, in the fiscal year in
which they were
earned.
<PAGE>
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).
3. INVESTMENT ADVISORY AGREEMENT
GW Capital Management, Inc. ("Capital Management"),
a wholly-owned
subsidiary of GWL&A, serves as investment advisor to the
Funds pursuant
to an investment advisory agreement, which was approved
by the Funds'
Board of Directors. Capital Management is a
registered investment
adviser under the Investment Advisers Act of 1940.
The investment
advisory agreement provides that Capital Management,
subject to the
supervision and approval of the Funds' Board of
Directors, is
responsible for the day-to-day management of each Fund
which includes
selecting the Fund's investments and handling their
business affairs.
As compensation for its services to the Fund, the
investment adviser
receives monthly compensation at the annual rate of .20%
of the average
daily net assets of the Money Market Fund, .90% of the
average daily
net assets of the Preferred Stock Fund, .60% of the
average daily net
assets of the Index 500 and Index 600 Funds and 1.00% of
the average
daily net assets of the Index Pacific and Index European
Funds.
Subject to revision, Capital Management has
voluntarily agreed to
reimburse the Index Pacific Fund, the Index European
Fund, and the
Money Market Fund to the extent that total operating
expenses exceed
1.20%, 1.20%, and .46%, respectively, of average net
assets. Interest,
taxes, brokerage commissions, and extraordinary
expenses are not
expenses eligible for reimbursement.
4. OTHER RELATED PARTY TRANSACTIONS
One Orchard Equities ("OOE"), a wholly-owned
subsidiary of One
Corporation ("One"), which is a wholly-owned
subsidiary of GWL&A ,
distributes and markets the Trust's Funds. Financial
Administrative
<PAGE>
Services Corporation ("FASCORP"), a wholly-owned
subsidiary of GWL&A,
performs transfer agent servicing functions for the Funds.
Certain officers of the Trust are also directors and/or
officers of
GWL&A or its subsidiaries. No officer of the Trust
receives any
compensation directly from the Funds.
5. CAPITAL STOCK
The Trust has authorized capital of an unlimited number
of shares with
no stated par value. Shares may be issued in one or
more series of
shares, and each series may be issued in one or more
classes of shares.
Each Fund represents a separate series of shares.
6. PURCHASES AND SALES OF SECURITIES
Costs of purchases and proceeds from sales of
securities, excluding
short-term securities, during the period from
February 3, 1997
(inception) to April 30, 1997 were:
Cost
of Proceeds from
Purchases Sales
- --------------------------------
- --------------------------------
Fund
Orchard Index 500 Fund $ 4,511,158
$ 14,166
Orchard Index 600 Fund 4,647,304
168,432
Orchard Index European Fund 4,520,783
31,413
Orchard Index Pacific Fund 4,194,171
Orchard Preferred Stock Fund 4,181,942
188,994
<PAGE>
No long-term U.S. Government obligations were purchased
or sold during
the period February 3, 1997 (inception) to April 30, 1997.
7. UNREALIZED APPRECIATION (DEPRECIATION)
Gross unrealized appreciation (depreciation) of
securities is as
follows as of April 30, 1997:
Orchard Orchard
Orchard Orchard Orchard
Index 500 Index 600
Index European Index Pacific Preferred
Fund Fund
Fund Fund Stock Fund
--------------------- --------------------
-------------------- ------------------- ---------------------
Gross $ 211,709 188,061
248,494 217,631 4,413
appreciation
Gross (126,498) (473,923)
(95,849) (182,738) (65,147)
depreciation
--------------------- --------------------
-------------------- ------------------- ---------------------
Net unrealized
appreciation $ 85,211 (285,862)
152,645 34,893 (60,734)
===================== ====================
==================== =================== =====================
<PAGE>
ORCHARD SERIES FUND
STATEMENT OF ASSETS AND LIABILITIES
JANUARY 27, 1996
- -----------------------------------------------------------------
- -----------------------------------------------------------------
- -------------------------------
Orchard
Orchard Orchard
Orchard
Money
Preferred Orchard Orchard Index
Index
Market
Stock Index 600 Index 500 Pacific
European
Fund
Fund Fund Fund Fund
Fund Total
-----------------
- ---------------- ----------------- -----------------
- ----------------- ----------------- -----------------
ASSETS:
Cash $ 100,000 $
100,000 $ 100,000 $ 100,000 $100,000
$ 100,000 $600,000
LIABILITIES
Payable to affiliates
-----------------
- ---------------- ----------------- -----------------
- ----------------- ----------------- -----------------
NET ASSETS $ 100,000 $
100,000 $ 100,000 $ 100,000 $100,000
$ 100,000 $600,000
=================
================ ================= =================
================= ================= =================
NET ASSETS REPRESENTED BY:
Capital Stock $ 100,000 $
100,000 $ 100,000 $ 100,000 $100,000
$ 100,000 $600,000
Outstanding Shares 100,000
10,000 10,000 10,000 10,000
10,000 150,000
Net Asset Value per Share 1.00 10.00
10.00 10.00 10.00
10.00
<PAGE>
Orchard Series Fund
Orchard Index 500 Portfolio
COMMON STOCK
AGENCY --- 0.7%
820 Federal National Mortgage Association (nonvtg)
33,723
$33,723
AIR --- 0.3%
70 AMR Corp*
6,519
50 Delta Air Lines Inc
4,606
110 Southwest Airlines Co
3,025
40 US Air Group Inc*
1,295
$15,445
COMMUNICATIONS --- 3.2%
1,220 AT&T Corp
40,870
380 Airtouch Communications Inc*
9,690
110 Cabletron Systems Inc*
3,795
240 Comcast Corp Class A
3,780
100 Gannett Company Inc
8,725
500 Tele-Communications Inc - TCI Group Class A*
6,906
430 Time Warner Inc
19,350
360 US West Communications Group
12,645
470 US West Media Group*
8,108
260 Viacom Inc Class B*
6,955
470 Westinghouse Electric Corp
7,990
660 Worldcom Inc*
15,840
$144,654
CONSTRUCTION --- 0.0%
<PAGE>
20 Centex Corp
720
30 Kaufman & Broad Home Corp
416
10 Pulte Corp
285
$1,421
CONSUMER SERVICES --- 8.9%
50 Allergan Inc
1,338
200 Amgen Inc
11,775
40 Bausch & Lomb Inc
1,615
200 Baxter International Inc
9,575
90 Becton Dickinson & Co
4,140
70 Beverly Enterprises Inc*
1,015
80 Biomet Inc
1,215
800 Bristol-Myers Squibb Co
52,400
40 CR Bard Inc
1,270
290 CUC International Inc*
6,126
80 CVS Corp
3,970
510 Columbia/HCA Healthcare Corp
17,850
410 Eli Lilly & Co
36,029
<PAGE>
70 H&R Block Inc
2,258
90 HFS Inc*
5,333
70 Harrah's Entertainment Inc*
1,120
240 Healthsouth Corp*
4,740
180 Hilton Hotels Corp
4,860
120 Humana Inc*
2,610
80 ITT Corp*
4,740
1,010 Johnson & Johnson
61,863
20 King World Productions Inc
730
40 Manor Care Inc
935
90 Marriott International Inc
4,973
180 Medtronic Inc
12,465
910 Merck & Company Inc
82,355
170 Service Corporation International
5,823
60 St Jude Medical Inc*
1,950
220 Tenet Healthcare Corp*
5,720
510 The Walt Disney Co
41,820
140 United Healthcare Corp
6,808
140 United States Surgical Corp
4,795
70 Whitman Corp
1,619
$405,835
CREDIT INSTITUTIONS --- 8.3%
360 American Express Co
23,715
320 Banc One Corp
13,560
110 Bank of Boston Corp*
8,003
290 Bank of New York Company Inc
11,455
270 BankAmerica Corp
31,556
60 Bankers Trust New York Corp
4,883
140 Barnett Banks Inc
6,843
40 Beneficial Corp
2,560
400 Citicorp
45,050
80 Comerica Inc
4,680
160 Corestates Financial Corp
8,100
<PAGE>
80 Fifth Third Bancorp
5,970
100 First Bank System Inc
7,675
240 First Chicago NBD Corp
13,500
210 First Union Corp
17,640
190 Fleet Financial Group Inc
11,590
40 Golden West Financial Corp
2,600
100 Great Western Financial Corp
4,200
80 HF Ahmanson & Co
3,050
70 Household International Inc
6,160
140 JP Morgan & Company Inc
14,263
170 Keycorp
8,861
250 MBNA Corp
8,250
90 Mellon Bank Corp
7,481
160 National City Corp
7,800
580 NationsBank Corp
35,018
280 Norwest Corp
13,965
250 PNC Bank Corp
10,281
170 Suntrust Banks Inc
8,628
110 US Bancorp
6,284
120 Wachovia Corp
7,020
<PAGE>
70 Wells Fargo & Co
18,673
$379,314
ELECTRIC --- 2.2%
140 American Electric Power Company Inc
5,670
110 Baltimore Gas & Electric Co
2,805
110 Carolina Power & Light Co
3,740
160 Central & South West Corp
3,220
120 Cinergy Corp
3,990
170 Consolidated Edison Company of New York Inc
4,718
110 DTE Energy Co
2,943
130 Dominion Resources Inc
4,469
150 Duke Power Co
6,581
320 Edison International
6,720
170 Entergy Corp
3,974
130 FPL Group Inc
5,801
90 GPU Inc
2,903
170 Houston Industries Inc
3,400
110 Niagara Mohawk Power Corp*
935
50 Northern States Power Co
2,275
110 Ohio Edison Co
2,200
120 PP&L Resources Inc
2,355
220 PacifiCorp
4,373
160 Peco Energy Co
3,160
180 Public Service Enterprise Group Inc
4,343
510 Southern Co
10,391
170 Texas Utilities Co
5,738
160 Unicom Corp
3,480
70 Union Electric Co
2,494
$102,678
ELECTRONICS - HIGH TECH --- 13.6%
160 AMP Inc
5,740
<PAGE>
100 Advanced Micro Devices Inc*
4,250
90 Amdahl Corp*
771
60 Andrew Corp*
1,485
90 Apple Computer Inc*
1,530
130 Applied Materials Inc*
7,134
60 Black & Decker Corp
2,010
230 Boston Scientific Corp*
11,098
20 Briggs & Stratton Corp
983
490 Cisco Systems Inc*
25,358
200 Compaq Computer Corp*
17,075
80 DSC Communications Corp*
1,630
30 Data General Corp*
563
130 Dell Computer Corp*
10,879
110 Digital Equipment Corp*
3,286
250 Eastman Kodak Co
20,875
340 Emerson Electric Co
17,255
1,240 General Electric Co
137,485
100 General Instrument Corp*
2,338
30 General Signal Corp
1,178
30 Harris Corp
2,565
770 Hewlett-Packard Co
40,425
<PAGE>
90 Honeywell Inc
6,356
620 Intel Corp
94,938
30 Intergraph Corp*
191
390 International Business Machines Corp
62,693
60 Johnson Controls Inc
2,303
90 LSI Logic Corp*
3,443
70 Maytag Corp
1,601
150 Micron Technology Inc
5,288
450 Motorola Inc
25,763
100 National Semiconductor Corp*
2,500
190 Northern Telecom Ltd
13,799
260 Novell Inc*
1,966
310 PG&E Corp
7,440
30 Perkin-Elmer Corp
2,179
30 Polaroid Corp
1,455
180 Raytheon Co
7,853
50 Scientific-Atlanta Inc
800
190 Seagate Technology Inc*
8,716
130 Silicon Graphics Inc*
1,934
270 Sun Microsystems Inc*
7,779
90 Tandem Computers Inc*
1,159
20 Tektronix Inc
1,083
130 Tellabs Inc*
5,184
140 Texas Instruments Inc
12,495
110 Thermo Electron Corp*
3,795
40 Thomas & Betts Corp
1,815
130 Unisys Corp*
780
40 WW Grainger Inc
3,015
50 Whirlpool Corp
2,338
240 Xerox Corp
14,760
<PAGE>
$621,334
ENVIRONMENTAL SERVICES --- 0.4%
160 Browning-Ferris Industries Inc
4,540
230 Laidlaw Inc Class B
3,134
40 Safety-Kleen Corp
595
360 WMX Technologies Inc
10,575
$18,844
FORESTRY --- 0.5%
30 Boise Cascade Corp
998
70 Georgia-Pacific Corp
5,460
220 International Paper Co
9,295
80 Louisiana-Pacific Corp
1,490
150 Weyerhaeuser Co
6,863
$24,106
GAS --- 0.8%
40 Columbia Gas System Inc
2,475
70 Consolidated Natural Gas Co
3,526
10 Eastern Enterprises
339
190 Enron Corp
7,149
30 Nicor Inc
1,016
20 OneOk Inc
595
<PAGE>
60 Pacific Enterprises
1,838
110 Panenergy Corp
4,868
20 Peoples Energy Corp
675
60 Sonat Inc
3,428
130 Tenneco Inc
5,184
120 Williams Companies Inc
5,265
$36,358
HIGHWAYS --- 0.0%
60 Ryder System Inc
1,868
$1,868
HOLDING & INVEST. OFFICES --- 0.9%
330 Chase Manhattan Corp
30,566
130 Cognizant Corp
4,241
40 MGIC Investment Corp
3,250
40 Republic New York Corp
3,665
$41,722
INDUSTRIAL SERVICES --- 5.0%
30 Autodesk Inc
1,065
220 Automatic Data Processing Inc
9,955
50 Ceridian Corp*
1,669
270 Computer Associates International Inc
14,040
50 Computer Sciences Corp*
3,125
60 Deluxe Corp
1,838
130 Dun & Bradstreet Corp
3,201
30 EG&G Inc
566
340 First Data Corp
11,730
60 Fluor Corp
3,300
30 Foster Wheeler Corp
1,159
60 Interpublic Group of Companies Inc
3,398
480 Lucent Technologies Inc
28,380
<PAGE>
900 Microsoft Corp*
109,350
30 National Service Industries Inc
1,264
490 Oracle Systems Corp*
19,478
100 Parametric Technology Corp*
4,525
110 Pitney Bowes Inc
7,040
10 Shared Medical Systems Corp
421
40 Western Atlas Inc*
2,480
$227,984
INSURANCE --- 4.4%
80 AON Corp
5,320
110 Aetna Inc
10,024
330 Allstate Corp
21,615
150 American General Corp
6,544
350 American International Group Inc
44,975
130 Chubb Capital Corp
7,508
50 Cigna Corp
7,519
100 Conseco Inc
4,138
60 General Re Corp
10,035
90 ITT Hartford Group Inc*
6,705
50 Jefferson-Pilot Corp
2,888
<PAGE>
80 Lincoln National Corp
4,480
80 Loews Corp
7,350
30 MBIA Inc
2,921
50 Marsh & McLennan Companies Inc
6,025
70 Providian Corp
4,043
90 SafeCo Corp
3,600
60 St Paul Companies Inc
4,020
50 Torchmark Corp
3,106
50 TransAmerica Corp
4,238
480 Travelers Group Inc
26,580
80 USF&G Corp
1,600
20 USLife Corp
970
50 Unum Corp
3,850
$200,054
MFTG - CONSUMER PRODS. --- 11.7%
20 Adolph Coors Co Class B
458
40 Alberto-Culver Co Class B
1,165
130 American Brands Inc
6,988
50 American Greetings Corp Class A
1,600
370 Anheuser-Busch Companies Inc
15,864
410 Archer-Daniels-Midland Co
7,534
100 Avon Products Inc
6,163
50 Brown-Forman Corp Class B
2,525
70 Brunswick Corp
1,978
110 CPC International Inc
9,089
340 Campbell Soup Co
17,383
1,880 Coca-Cola Co
119,615
110 Colgate-Palmolive Co
12,210
180 ConAgra Inc
10,373
70 Dow Jones & Company Inc
2,835
50 Fruit of the Loom Inc Class A*
1,800
<PAGE>
110 General Mills Inc
6,820
420 Gillette Co
35,700
270 HJ Heinz Co
11,205
50 Harcourt General Inc
2,313
90 Hasbro Inc
2,250
110 Hershey Foods Corp
5,968
90 Ikon Office Solutions Inc
2,419
80 International Flavors & Fragrances Inc
3,370
20 John H Harland Co
413
30 Jostens Inc
716
160 Kellogg Co
11,160
70 Knight-Ridder Inc
2,721
50 Liz Claiborne Inc
2,263
120 Masco Corp
4,530
200 Mattel Inc
5,575
70 McGraw-Hill Companies Inc
3,561
40 Meredith Corp
940
70 New York Times Co Class A
3,028
120 Newell Co
4,200
1,170 Pepsico Inc
40,804
1,830 Philip Morris Companies Inc
72,056
60 Pioneer Hi-Bred International Inc
4,238
<PAGE>
100 Quaker Oats Co
4,000
110 RR Donnelley & Sons Co
3,768
80 Ralston-Ralston Purina Group
6,590
110 Rubbermaid Inc
2,640
30 Russell Corp
833
360 Sara Lee Corp
15,120
280 Seagram Company Ltd
10,710
10 Springs Industries Inc Class A
468
30 Stride Rite Corp
413
70 The Times Mirror Co Class A
3,868
90 Tribune Co
3,949
40 Tupperware Corp
1,330
140 UST Inc
3,658
120 Unilever NV ADR
23,550
40 VF Corp
2,885
40 Willamette Industries Inc
2,550
80 Wm Wrigley Jr Co
4,660
$534,822
MFTG - INDUSTRIAL PRODS --- 11.7%
130 3Com Corp*
3,770
590 Abbott Laboratories
35,990
80 Air Products & Chemicals Inc
5,740
170 Alcan Aluminium Ltd
5,759
130 Allegheny Teledyne Inc
3,461
130 Aluminum Company of America
9,084
60 Alza Corp*
1,755
480 American Home Products Corp
31,800
80 Armco Inc*
280
30 Armstrong World Industries Inc
1,973
<PAGE>
20 Ball Corp
538
140 Bay Networks Inc*
2,485
40 Bemis Company Inc
1,525
80 Bethlehem Steel Corp*
660
50 Case Corp
2,769
140 Caterpillar Inc
12,460
70 Champion International Corp
3,255
30 Cincinnati Milacron Inc
608
40 Clorox Co
5,095
80 Cooper Industries Inc
3,680
60 Cooper Tire & Rubber Co
1,320
170 Corning Inc
8,203
30 Crane Co
1,121
90 Crown Cork & Seal Company Inc
4,928
190 Deere & Co
8,740
80 Dover Corp
4,240
180 Dow Chemical Co
15,278
400 EI DuPont De Nemours & Co
42,450
170 EMC Corp*
6,184
50 Eastman Chemical Co
2,550
40 Ecolab Inc
1,630
110 Engelhard Corp
2,310
110 Goodyear Tire & Rubber Co
5,789
40 Great Lakes Chemical Corp
1,695
<PAGE>
50 Guidant Corp
3,413
30 Harnischfeger Industries Inc
1,249
70 Hercules Inc
2,756
90 ITT Industries Inc
2,273
90 Illinois Tool Works Inc
8,224
80 Ingersoll-Rand Co
3,930
30 Inland Steel Industries Inc
683
60 James River Corporation of Virginia
1,793
420 Kimberly-Clark Corp
21,525
50 Mallinckrodt Inc
1,819
40 Mead Corp
2,245
30 Millipore Corp
1,133
310 Minnesota Mining & Manufacturing Co
26,970
440 Monsanto Co
18,810
70 Moore Corporation Ltd
1,409
100 Morton International Inc*
4,188
30 Nacco Industries Inc Class A
1,388
50 Nalco Chemical Co
1,800
60 Nucor Corp
2,985
140 PPG Industries Inc
7,613
80 Pall Corp
1,850
50 Parker Hannifin Corp
2,488
480 Pfizer Inc
46,080
380 Pharmacia & Upjohn Inc
11,258
20 Potlatch Corp
820
110 Praxair Inc
5,679
30 Raychem Corp
1,935
<PAGE>
140 Reynolds Metals Co
9,503
160 Rockwell International New
10,640
40 Rohm & Haas Co
3,330
280 Schering-Plough Corp
22,400
120 Sherwin-Williams Co
3,630
70 Sigma Aldrich Corp
2,100
40 Snap-On Inc
1,540
70 Stone Container Corp Series E
709
40 Temple-Inland Inc
2,220
40 The BF Goodrich Co
1,595
60 The Stanley Works
2,333
20 The Timken Co
1,163
20 Trinova Corp*
808
110 Tyco International Ltd
6,710
210 USX-Marathon Group
5,801
60 USX-US Steel Group
1,755
50 Union Camp Corp
2,431
90 Union Carbide Corp
4,489
60 WR Grace & Co
3,120
200 Warner-Lambert Co
19,600
70 Westvaco Corp
1,960
60 Worthington Industries Inc
1,133
$534,411
MINING --- 0.7%
30 Asarco Inc
855
270 Barrick Gold Corp
6,041
<PAGE>
170 Battle Mountain Gold Co
978
70 Cyprus Amax Minerals Co
1,566
100 Echo Bay Mines Ltd
544
140 Freeport-McMoran Copper & Gold Inc Class B
4,078
110 Homestake Mining Co
1,458
120 Inco Ltd
3,840
70 Newmont Mining Corp
2,424
50 Phelps Dodge Corp
3,838
180 Placer Dome Inc
2,948
100 Santa Fe Pacific Gold Corp*
1,475
$30,045
OIL & GAS --- 8.9%
70 Amerada Hess Corp
3,404
370 Amoco Corp
30,941
140 Ashland Inc
6,248
120 Atlantic Richfield Co
16,335
110 Baker Hughes Inc
3,795
90 Burlington Resources Inc
3,814
490 Chevron Corp
33,565
80 Coastal Corp
3,800
130 Dresser Industries Inc
3,884
50 Enserch Corp
981
1,880 Exxon Corp
106,455
20 Giddings & Lewis Inc
405
90 Halliburton Co
6,356
<PAGE>
10 Helmerich & Payne Inc
478
30 Kerr-McGee Corp
1,811
20 Lousiana Land & Exploration Co
1,000
40 McDermott International Inc
740
290 Mobil Corp
37,700
250 Occidental Petroleum Corp
5,531
80 Oryx Energy Co*
1,600
30 Pennzoil Co
1,478
200 Phillips Petroleum Co
7,875
60 Rowan Companies Inc*
1,080
400 Royal Dutch Petroleum Co ADR
72,100
60 Santa Fe Energy Resources Inc*
848
180 Schlumberger Ltd
19,935
50 Sun Company Inc
1,369
200 Texaco Inc
21,100
190 Union Pacific Resources Group Inc
5,154
190 UnoCal Corp
7,244
$407,026
OTHER ASSET-BACKED --- 0.1%
100 Green Tree Financial Corp
2,963
$2,963
OTHER TRANS. SERVICES --- 0.1%
30 Caliber System Inc
893
20 FMC Corp*
1,343
80 Federal Express Corp*
4,310
$6,546
<PAGE>
RAILROADS --- 0.9%
110 Burlington Northern Santa Fe Corp
8,663
160 CSX Corp
7,460
60 Conrail Inc
6,855
90 Norfolk Southern Corp
8,089
180 Union Pacific Corp
11,475
$42,542
RETAIL TRADE --- 5.0%
190 Albertson's Inc
6,270
110 American Stores Co
5,005
110 Autozone Inc*
2,695
80 Charming Shoppes Inc*
472
70 Circuit City Stores Inc
2,774
120 Darden Restaurants Inc
930
160 Dayton Hudson Corp
7,200
80 Dillard Department Stores Inc Class A
2,470
150 Federated Department Stores Inc*
5,100
210 Gap Inc
6,694
135 Genuine Parts Co
4,371
40 Giant Food Inc Class A
1,290
20 Great Atlantic & Pacific Tea Company Inc
498
360 Home Depot Inc
20,880
170 JC Penney & Company Inc
8,118
360 K Mart Corp*
4,905
180 Kroger Co*
4,950
<PAGE>
200 Limited Inc
3,625
30 Longs Drug Stores Corp
758
130 Lowe's Companies Inc
4,940
190 May Department Stores Co
8,788
530 McDonald's Corp
28,421
20 Mercantile Stores Company Inc
985
60 Nordstrom Inc
2,355
40 Owens Corning
1,620
40 Pep Boys - Manny Moe & Jack
1,305
90 Rite Aid Corp
4,140
290 Sears Roebuck & Co
13,920
50 TJX Companies Inc
2,363
40 Tandy Corp
2,095
200 Toys R Us Inc*
5,700
1,740 Wal-Mart Stores Inc
49,155
180 Walgreen Co
8,280
90 Wendy's International Inc
1,856
110 Winn-Dixie Stores Inc
3,823
100 Woolworth Corp*
2,150
$230,901
SECURITIES & COMMODITIES --- 0.7%
240 Dean Witter Discover & Co
9,180
120 Merrill Lynch & Co Inc
11,430
110 Morgan Stanley Group Inc
6,944
80 Salomon Inc
4,000
$31,554
<PAGE>
TELEPHONE --- 4.6%
140 Alltel Corp
4,410
410 Ameritech Corp
25,061
330 Bell Atlantic Corp
22,358
750 Bellsouth Corp
33,375
120 Frontier Corp
1,905
730 GTE Corp
33,489
520 MCI Communications Corp
19,825
330 Nynex Corp
17,078
684 SBC Communications Inc
37,962
320 Sprint Corp
14,040
$209,503
TRANSPORTATION EQUIPMENT --- 3.4%
210 Allied-Signal Inc
15,173
550 Chrysler Corp
16,500
30 Cummins Engine Company Inc
1,684
70 Dana Corp
2,231
50 Eaton Corp
3,744
40 Echlin Inc
1,305
20 Fleetwood Enterprises Inc
528
900 Ford Motor Co
31,275
40 General Dynamics Corp
2,850
140 Lockheed Martin Corp
12,530
160 McDonnell Douglas Corp
9,500
50 Navistar International Corp*
563
40 Northrop Grumman Corp
<PAGE>
3,340
30 Paccar Inc
2,096
90 TRW Inc
4,691
60 Textron Inc
6,683
270 The Boeing Co
26,629
180 United Technologies Corp
13,613
$154,935
U.S. GOVERNMENTS --- 0.4%
540 Federal Home Loan Mortgage Corp
17,213
$17,213
WHOLESALE TRADE -CONSUMER --- 2.0%
80 Avery Dennison Corp
2,940
160 Costco Companies Inc*
4,620
20 Fleming Companies Inc
325
210 Nike Inc Class B
11,813
510 Procter & Gamble Co
64,133
40 Reebok International Ltd
1,530
50 SuperValu Inc
1,531
130 Sysco Corp
4,553
$91,445
TOTAL COMMON STOCK --- 99.3%
$4,549,246
(Cost $4,463,383)
PREFERRED STOCK
<PAGE>
TRANSPORTATION EQUIPMENT --- 0.7%
570 General Motors Corp
32,989
$32,989
TOTAL PREFERRED STOCK --- 0.7%
$32,989
(Cost $33,641)
TOTAL ORCHARD INDEX 500 PORTFOLIO --- 100.0%
$4,582,235
(Cost $4,497,024)
Orchard Series Fund
Orchard Index 600 Portfolio
COMMON STOCK
AGRICULTURE --- 1.1%
1,000 Agco Corp
25,875
300 Dekalb Genetics Corp Class B
18,900
$44,775
AIR --- 1.0%
300 Air Express International Corp
10,275
700 Comair Holdings Inc
14,788
400 Mesa Air Group Inc*
2,125
300 Offshore Logistics Inc*
5,400
300 Pittston Brink's Group
6,825
200 Skywest Inc
2,550
$41,963
COMMUNICATIONS --- 0.9%
300 ACC Corp*
4,763
400 Allen Group Inc*
6,900
200 Commnet Cellular Inc*
5,150
700 International Family Entertainment Inc Class B*
14,175
300 NTN Communications Inc*
938
<PAGE>
500 Picturetel Corp*
4,438
300 TCSI Corp*
1,444
$37,808
CONSTRUCTION --- 1.3% 200 Acme Metals Inc* 2,775 400 Apogee Enterprises Inc
6,000 100 Continental Homes Holding Corp 1,588 400 Geon Co 8,750 400
Insituform Technologies Inc Class A* 2,200 300 MDC Holdings Inc 2,475
800 Morrison Knudsen Corp*
10,000
200 Southern Energy Homes Inc*
2,075
500 Standard Pacific Corp
4,000
200 The Ryland Group Inc
2,325
500 Toll Brothers Inc*
9,125
200 US Home Corp*
4,925
<PAGE>
$56,238
CONSUMER SERVICES --- 7.7%
100 Angelica Corp
1,575
700 Aztar Corp*
4,550
200 Carmike Cinemas Inc Class A*
6,200
500 Casino Magic Corp*
609
2,700 Cineplex Odeon Corp*
4,050
500 Coventry Corp*
6,469
500 DeVry Inc*
11,000
400 Enzo Biochem Inc*
5,600
300 G&K Services Inc Class A
8,700
100 GC Companies Inc*
4,013
500 Genesis Health Ventures Inc*
14,938
400 Grancare Inc*
3,100
600 Grand Casinos Inc*
6,600
300 Hollywood Park Inc*
3,750
200 Insurance Auto Actions Inc*
1,325
400 Integrated Health Services Inc
12,850
300 Interim Services Inc*
11,625
400 Lincare Holdings Inc*
15,700
300 Living Centers of America Inc*
10,725
400 Magellan Health Services Inc*
10,500
400 Mariner Health Group Inc*
3,500
400 National Auto Credit Inc*
3,150
500 North American Vaccine Inc*
10,438
400 OccySystems Inc*
8,250
1,200 Omnicare Inc
29,250
800 Phycor Inc*
21,300
400 Players International Inc*
1,450
600 Prime Hospitality Corp*
9,975
500 Regal Cinemas Inc*
13,625
300 Regis Corp
6,150
400 Renal Treatment Centers Inc*
8,650
700 Rollins Truck Leasing Corp
9,188
400 Sequus Pharmaceuticals Inc*
2,350
<PAGE>
200 Showboat Inc
4,075
300 Sierra Health Services Inc*
7,725
300 The Marcus Corp
6,675
500 Universal Health Services Inc Class B*
18,938
600 Vivra Inc*
15,525
100 WHG Resorts & Casino Inc*
938
$325,031
CREDIT INSTITUTIONS --- 6.5%
300 Astoria Financial Corp
11,738
700 Charter One Financial Inc
31,150
300 Collective Bancorp Inc
12,263
300 Commercial Federal Corp
10,050
300 Cullen/Frost Bankers Inc
10,500
600 Deposit Guaranty Corp
18,375
400 First Commercial Corp
15,650
600 First Financial Corp
15,825
420 First Michigan Bank Corp
11,970
<PAGE>
200 FirstBank Puerto Rico
5,225
500 FirstMerit Corp
21,375
100 Liberty Bancorp Inc
4,950
400 Magna Group Inc
12,350
200 North American Mortgage Co
3,625
200 RCSB Financial Inc
5,950
500 Riggs National Corp
9,250
300 St Paul Bancorp Inc
8,213
500 TCF Financial Corp
20,438
200 US Trust Corp
8,800
300 Whitney Holding Corp
10,875
200 Zions Bancorp
25,300
$273,872
ELECTRIC --- 1.6%
100 Bangor Hydro Electric Co
500
300 Central Hudson Gas & Electric Corp
9,225
200 Central Vermont Public Service Corp
2,075
300 Commonwealth Energy System Cos
6,563
300 Eastern Utilities Associates
5,138
200 Energen Corp
6,325
100 Green Mountain Power Corp
2,325
100 Interstate Power Co
2,863
200 Orange & Rockland Utilities Inc
6,250
200 Pennsylvania Enterprises Inc
4,425
500 Sierra Pacific Resources
14,188
200 TNP Enterprises Inc
4,200
200 United Illuminating Co
4,950
$69,027
ELECTRONICS - HIGH TECH --- 13.2%
300 ADAC Laboratories
6,938
200 Alliant Techsystems Inc*
8,375
200 Amtech Corp*
937
700 Anixter International Inc*
9,975
700 Aspect Telecommunications Corp*
12,425
<PAGE>
400 Auspex Systems Inc*
3,200
400 Baldor Electric Co
10,250
400 Ballard Medical Products Co
7,600
100 Benchmark Electronics Inc*
2,825
500 Boston Technology Inc*
10,000
200 Broadband Technolgies Inc*
1,875
100 C COR Electronics Inc*
963
200 California Microwave Inc*
2,600
200 Cellpro Inc*
1,000
100 Centigram Communications Corp*
988
300 Chips & Technologies Inc*
2,456
200 Circon Corp*
2,575
600 Cognex Corp*
14,775
200 Coherent Inc*
8,300
100 Collagen Corp
1,700
300 Comverse Technology Inc*
11,775
200 Core Industries Inc
2,950
300 Cyrix Corp*
6,225
<PAGE>
400 Dallas Semiconductor Corp
14,600
300 Daniel Industries Inc
3,825
200 Digi International Inc*
1,325
200 Digital Microwave Corp*
5,150
200 Dionex Corp*
9,775
200 Envoy Corp*
4,175
300 Etec Systems Inc*
8,738
100 Fluke Corp
4,513
900 Geotek Communications Inc*
3,375
100 Harmon Industries Inc
1,750
300 IMO Industries Inc*
975
700 Input/Output Inc*
9,800
200 Integrated Circuit Systems Inc*
2,750
800 International Rectifier Corp*
9,200
200 Intervoice Inc*
1,900
400 Invacare Corp
7,950
300 Juno Lighting Inc
4,650
600 Kemet Corp*
11,700
800 Komag Inc*
22,600
200 Kuhlman Corp
5,050
300 Lattice Semiconductor Corp*
16,763
300 Marshall Industries*
9,788
400 Mentor Corp
9,250
500 Methode Electronics Inc Class A
7,063
200 National Computer Systems Inc
5,025
300 Network Equipment Technologies Inc*
4,275
300 Oak Industries Inc*
5,625
200 Pacific Scientific Co
2,525
200 Park Electrochemical Corp
4,400
100 Plexus Corp*
2,625
700 Read-Rite Corp*
18,113
300 Resound Corp*
1,200
300 Respironics Inc*
5,588
<PAGE>
100 Rival Co
1,363
400 Royal Appliance Manufacturing Co*
2,750
500 SCI Systems Inc*
30,875
400 Safeskin Corp*
8,950
300 Sanmina Corp*
15,000
200 Spacelabs Inc*
4,200
200 Standard Microsystems Corp*
1,712
500 Steris Corp*
16,375
500 Summit Technology Inc*
3,094
300 Sunrise Medical Inc*
3,263
200 Symmetricom Inc*
2,700
300 Tecnol Medical Products Inc*
5,288
500 Tencor Instruments*
22,188
200 Thomas Industries Inc
4,700
100 Three Five Systems Inc*
1,288
300 Trimble Navigation Ltd*
3,488
700 VLSI Technology Inc*
13,913
300 Valence Technology Inc*
1,800
600 Vicor Corp*
9,525
200 Visx Inc*
4,500
200 Vital Signs Inc
3,800
<PAGE>
450 Vitesse Semiconductor Corp*
14,175
100 Watkins Johnson Co
2,750
300 X-Rite Inc
4,950
400 Zebra Technologies Corp Class A*
9,200
300 Zilog Inc*
5,550
100 Zoll Medical Corp*
800
$554,945
ENVIRONMENTAL SERVICES --- 0.3% 500 Air & Water Technologies Corp* 2,063 400 OHM
Corp* 2,950 900 Rollins Environmental Services Inc* 2,588 200 Tetra
Technologies Inc* 4,650
$12,251
GAS --- 2.8%
200 Atmos Energy Corp
4,525
200 Cascade Natural Gas Corp
3,275
100 Connecticut Energy Corp
2,175
200 KCS Energy Inc
6,500
500 KN Energy Inc
18,625
300 New Jersey Resources Corp
8,663
300 Northwest Natural Gas Co
7,275
400 Piedmont Natural Gas Company Inc
9,400
500 Pogo Producing Co
18,313
400 Pride Petroleum Services Inc*
6,900
300 Public Service Company of North Carolina Inc
5,213
400 Southwest Gas Corp
6,650
400 Southwestern Energy Co
5,050
200 United Cities Gas Corp
4,300
300 Wicor Inc
10,538
$117,402
<PAGE>
HOLDING & INVEST. OFFICES --- 3.1%
400 Centura Banks Inc
15,650
200 Cilcorp Inc
7,725
300 Coast Savings Financial Inc*
12,075
100 Eaton Vance Corp
4,425
100 JSB Financial Inc
4,250
600 Keystone Financial Inc
15,300
200 Onbancorp Inc
9,775
400 Pioneer Group Inc
10,500
600 Provident Bancorp Inc
23,400
700 Roosevelt Financial Group Inc
16,275
840 Sovereign Bancorp Inc
10,290
400 WHX Corp*
2,300
$131,965
INDUSTRIAL SERVICES --- 8.5%
300 ABM Industries Inc
5,625
800 Acxiom Corp*
10,500
600 Advanced Tissue Sciences Inc*
6,375
400 Advo Inc*
4,850
600 Allwaste Inc*
5,325
<PAGE>
600 American Management Systems Inc*
14,850
300 BBN Corp*
6,975
300 Banyan Systems Inc*
365
400 Bisys Group Inc*
12,800
300 Boole & Babbage Inc*
6,375
300 Broderbund Software Inc*
5,625
300 CDI Corp*
11,363
500 Cerner Corp*
8,063
400 Ciber Inc*
14,300
200 Control Data Systems Inc*
2,650
1,300 Corrections Corporation of America*
42,413
300 Dames & Moore Inc
3,825
300 Dialogic Corp*
5,925
200 Fair Isaac & Co Inc
6,325
300 Figgie International Inc Class A*
3,563
200 Filenet Corp*
2,225
300 Hyperion Software Corp*
4,875
300 ImmuLogic Pharmaceutical Corp*
1,088
200 Itron Inc*
4,200
300 Jack Henry & Associates Inc
5,700
500 Keane Inc*
23,188
200 Logicon Inc
7,950
200 Mail Boxes Etc*
3,700
200 Microcom Inc*
3,212
200 NFO Research Inc*
3,650
400 National Data Corp
15,000
700 Network General Corp*
9,625
400 Norrell Corp
10,550
300 Perseptive Biosystems Inc*
1,500
300 Platinum Software Corp*
2,250
900 Platinum Technology Inc*
10,800
400 Primark Corp*
<PAGE>
7,300
200 Progress Software Corp*
3,300
700 S3 Inc*
6,693
300 SEI Investments Companies
6,300
600 Sterling Software Inc*
18,300
200 Stone & Webster Inc
7,650
600 System Software Associates Inc*
3,225
400 True North Communications Inc
7,650
300 United States Bioscience Inc*
2,644
300 Viewlogic Systems Inc*
4,200
100 Wall Data Inc*
2,094
$356,961
INSURANCE --- 4.3%
300 Allied Group Inc
11,100
300 American Bankers Insurance Group Inc
15,863
200 Arthur J Gallagher & Co
6,250
300 CMAC Investment Corp
11,400
200 Capital RE Corp
7,925
200 Compdent Corp*
3,225
300 Enhance Financial Services Group Inc
11,550
200 Fidelity National Financial Inc
2,475
200 First American Financial Corp
6,375
<PAGE>
400 Fremont General Corp
11,250
200 Frontier Insurance Group Inc
10,300
200 Hilb Rogal & Hamilton Co
2,775
200 Integon Corp
2,025
200 Life Re Corp
7,725
300 Mutual Risk Management Ltd
11,025
200 Orion Capital Corp
12,525
500 Protective Life Corp
22,125
200 Selective Insurance Group Inc
8,050
150 Trenwick Group Inc
4,894
200 Washington National Corp
5,700
300 Zenith National Insurance Corp
7,650
$182,207
MFTG - CONSUMER PRODS. --- 9.0%
200 Ashworth Inc*
1,512
300 Authentic Fitness Corp
4,350
200 Bassett Furniture Industries Inc
4,525
300 Bowne & Company Inc
7,950
300 Brown Group Inc
4,988
1,000 Calgene Inc*
7,968
300 Catalina Marketing Corp*
9,450
700 Champion Enterprises Inc*
10,675
800 Chiquita Brands International Inc
11,500
100 Coca-Cola Bottling Co
3,875
1,400 CompUSA Inc*
26,950
400 Cone Mills Corp*
2,950
200 Cyrk Inc*
2,100
400 Delta Woodside Industries Inc*
2,300
200 Designs Inc*
975
600 Dimon Inc
<PAGE>
11,850
200 Dixie Yarns Inc*
1,325
200 Earthgrains Co
11,450
200 Ethan Allen Interiors Inc
8,850
100 Fibreboard Corp*
3,675
100 Fieldcrest Cannon Inc*
1,800
300 Franklin Quest Co*
6,338
200 Galey & Lord Inc*
3,150
300 Galoob (Lewis) Toys Inc*
5,063
100 GoodMark Foods Inc
1,288
200 Guilford Mills Inc
5,650
100 Haggar Corp
1,275
500 Hartmarx Corp*
4,000
300 Interface Inc Class A
6,713
100 J&J Snack Foods Corp*
1,275
200 Johnston Industries Inc
1,500
400 Justin Industries Inc
4,450
100 K-Swiss Inc
1,313
300 K2 Inc
7,838
300 Kellwood Co
7,125
300 La-Z-Boy Chair Co
9,788
500 Levitz Furniture Inc*
1,250
300 Lydall Inc*
6,075
100 Merrill Corp
2,325
<PAGE>
500 Mohawk Industries Inc*
11,188
300 Nature's Sunshine Products Inc
4,088
200 New England Business Service Inc
5,275
700 Oakwood Homes Corp
14,175
200 Oshkosh B'Gosh Inc Class A
3,400
100 Oxford Industries Inc
2,425
100 Penwest Ltd
1,825
200 Pharmaceutical Marketing Services Inc*
2,025
400 Phillips Van-Heusen Corp
5,250
200 Pillowtex Corp
3,550
100 Plenum Publishing Corp
3,600
200 Ply-Gem Industries Inc
2,550
1,000 Premark International Inc
24,500
800 RDM Sports Group Inc*
1,000
300 Smithfield Foods Inc*
13,838
400 Sola International Inc*
10,000
100 Swiss Army Brands Incorporated*
1,200
200 The Timberland Co Class A*
9,725
400 Tultex Corp*
2,600
200 USA Detergents Inc*
2,275
300 Universal Forest Products Inc
3,825
600 Valassis Communications Inc*
14,700
400 Wolverine World Wide Inc
16,100
$376,548
MFTG - INDUSTRIAL PRODS --- 14.2% 300 AT Cross Co Class A
2,963
500 Alliance Pharmaceutical Corp*
3,813
300 Alpharma Inc Class A
<PAGE>
4,350
100 Amcast Industrial Corp
2,275
300 Aptargroup Inc
12,000
200 Astec Industries Inc*
2,100
400 BMC Industries Inc
11,600
400 BWIP Holding Inc
6,500
300 Banctec Inc*
6,863
400 Belden Inc
12,300
200 Bell Sports Corp*
1,050
400 Birmingham Steel Corp
5,850
100 Butler Manufacturing Co
3,325
300 COR Therapeutics Inc*
2,288
200 Cambrex Corp
6,775
400 Camco International Inc
17,750
400 Caraustar Industries Inc
10,100
400 Cephalon Inc*
6,700
100 Chemed Corp
3,375
300 Chemfirst Inc
6,938
200 Clarcor Inc
4,425
200 Commonwealth Aluminum Corp*
3,450
300 Cygnus Inc*
4,013
300 Dynatech Corp*
10,425
600 Fedders Corp
3,525
200 Flow International Corp*
1,775
400 Gerber Scientific Inc
6,600
300 Global Industries Technologies Inc*
5,475
<PAGE>
200 Greenfield Industries Inc
4,075
400 Griffon Corp*
4,850
200 Handy & Harman
2,750
200 Hauser Inc*
1,275
600 IDEXX Laboratories Inc*
7,800
200 IMCO Recycling Inc
3,000
300 Immune Response Corp*
2,025
100 Insteel Industries Inc
763
200 Intermagnetics General Corp*
1,750
400 Intermet Corp
4,950
200 Ionics Inc*
9,200
100 Kronos Inc*
2,150
200 LSB Industries Inc
975
300 Lilly Industries Inc Class A
5,213
150 Lindsay Manufacturing Co
4,275
600 Liposome Company Inc*
13,312
200 Lone Star Industries Inc
7,900
200 Material Sciences Corp*
2,975
200 McWhorter Technologies Inc*
4,400
300 Medimmune Inc*
3,900
200 Medusa Corp
7,575
800 Microchip Technology Inc*
25,000
400 Mississippi Chemical Corp
8,800
300 Modecular Biosystems Inc*
1,988
200 Mosinee Paper Corp
8,100
300 Mueller Industries Inc*
11,250
<PAGE>
500 Mycogen Corp*
9,063
300 Myers Industries Inc
5,250
300 NBTY Inc*
5,700
100 Nashua Corp*
1,138
400 Northwestern Steel and Wire Co*
975
200 Novellus Systems Inc*
11,550
300 Noven Pharmaceuticals Inc*
2,250
200 O'Sullivan Corp
1,662
300 Outboard Marine Corp
3,900
200 Paragon Trade Brands Inc*
3,200
400 Paxar Corp*
7,700
300 Pharmaceutical Resources Inc*
788
200 Photronics Inc*
6,925
200 Pope & Talbot Inc
2,975
200 Protein Design Labs Inc*
5,025
100 Quaker Chemical Corp
1,638
200 Quanex Corp
5,050
100 RailTex Inc*
1,625
300 Regal-Beloit Corp
7,125
400 Regeneron Pharmaceuticals Inc*
2,600
220 Republic Group Inc
3,575
300 Roberts Pharmaceutical Corp*
3,300
200 Roper Industries Inc
8,175
300 Russ Berrie & Company Inc
5,775
100 SPS Technologies Inc*
6,750
300 SciClone Pharmaceuticals Inc*
1,875
300 Scotts Co Class A*
7,688
<PAGE>
300 Shorewood Packaging Corp*
5,700
200 Standex International Corp
5,000
200 Steel Technologies Inc
2,050
400 Sturm Ruger Company Inc
6,150
200 Telxon Corp
3,175
400 Texas Industries Inc
9,200
200 The Manitowoc Company Inc
8,100
300 TheraTech Inc*
2,775
300 Thomas Nelson Inc
2,738
400 Titan Wheel International Inc
5,800
200 Toro Co
7,000
200 Tredegar Industries Inc
9,225
300 Tseng Labs Inc*
881
400 Ultratech Stepper Inc*
7,175
1,000 United States Filter Co*
30,375
200 Valmont Industries Inc
7,975
300 Vertex Pharmaceuticals Inc*
9,525
100 WD-40 Co
5,775
100 Walbro Corp
1,650
200 Whittaker Corp*
1,975
400 Williams Industries Inc*
7,150
200 Wolverine Tube Inc*
5,200
200 Wynn's International Inc
4,825
300 Xircom Inc*
2,775
<PAGE>
200 Zero Corp
3,900
$598,225
MINING --- 1.0%
300 AMCOL International Corp
5,100
300 Coeur D'Alene Mines Co*
4,125
200 Dravo Corp*
1,925
400 Getchell Gold Corp*
15,350
500 Glamis Gold Ltd
3,250
800 Helca Mining Co*
4,300
300 Stillwater Mining Co*
6,038
$40,088
OIL & GAS --- 3.8% 400 Benton Oil & Gas Co* 5,850 300 Box Energy Corp* 2,063
300 Cabot Oil & Gas Corp 5,025 300 Cross Timbers Oil Co 4,650 500 Devon
Energy Corp
16,500
300 HS Resources Inc*
3,413
1,000 Mesa Inc
5,125
500 Newfield Exploration Co*
9,563
1,800 Noble Drilling Corp*
31,275
400 Oceaneering International Inc*
5,800
300 Plains Resources Inc*
3,863
300 Pool Energy Services Co*
3,900
200 Production Operators Corp
11,500
200 Seitel Inc*
6,700
500 Snyder Oil Corp
7,938
<PAGE>
100 St Mary Land & Exploration Co
2,600
600 Tuboscope Vetco International Corp*
8,400
500 United Meridian Corp*
14,188
400 Vintage Petroleum Inc
11,300
100 Wiser Oil Co
1,663
$161,316
OTHER TRANS. SERVICES --- 1.5%
500 American Freightways Corp*
7,063
300 Arkansas Best Corp*
1,575
400 Expeditors International of Washington Inc
10,000
500 Fritz Companies Inc*
4,281
300 Frozen Food Express Industries Inc
2,663
500 Heartland Express Inc*
10,813
200 Landstar System Inc*
5,125
200 MS Carriers Inc*
3,950
300 USFreightways Corp
8,100
600 Werner Enterprises Inc
11,475
$65,045
REAL ESTATE --- 0.5%
400 Amresco Inc*
5,825
200 CCB Financial Corp
13,575
$19,400
RETAIL TRADE --- 7.6%
500 Applebees International Inc
11,688
<PAGE>
600 Arbor Drugs Inc
11,025
200 Au Bon Pain Inc*
1,275
200 BMC West Corp*
2,150
100 Bertuccis Inc*
550
600 Bombay Company Inc*
2,175
300 Books-A-Million Inc*
1,500
500 CKE Restaurants Inc
9,813
200 Carson Pirie Scott & Co*
5,950
400 Caseys General Stores Inc
7,550
400 Cash America International Inc
3,550
400 Cato Corp Class A
1,850
200 Cheesecake Factory Inc*
3,650
100 Danmark International Inc*
925
300 Discount Auto Parts Inc*
4,875
400 Eagle Hardware & Garden Inc*
7,500
300 Express Scripts Inc*
11,025
300 Fabri-Centers of America Inc Class A*
6,038
300 Filenes Basement Corp*
1,763
600 Foodmaker Inc*
6,525
200 Gottschalks Inc*
1,100
600 Hechinger Co Class A*
975
100 IHOP Corp*
2,625
200 J Baker Inc
1,575
400 Jan Bell Marketing Inc*
900
300 Jumbosports Inc*
1,388
500 Landrys Seafood Restaurant Co*
7,023
300 Lechters Corp*
975
<PAGE>
100 Lillian Vernon Corp
1,375
400 Luby's Cafeterias Inc
7,300
400 Michaels Stores Inc*
7,700
200 O'Reilly Automotive Inc*
7,000
600 Payless Cashways Inc*
1,050
700 Pier 1 Imports Inc
13,825
400 Proffitts Inc*
14,950
800 Ross Stores Inc
22,500
300 Ruby Tuesday Inc*
5,925
800 Ryan's Family Steak Houses Inc*
7,100
200 SPX Corp
10,925
700 Shoney's Inc*
3,238
500 Shopko Stores Inc
10,000
300 Showbiz Pizza Time Inc*
5,775
200 Smiths Food & Drug Centers Inc*
6,700
200 Sonic Corp*
2,650
300 St John Knits Inc
11,513
300 Stein Mart Inc*
8,700
400 TCBY Enterprises Inc
2,300
300 TJ International Inc
6,675
200 Taco Cabana Inc*
950
300 The Dress Barn Inc*
4,163
500 The Sports Authority Inc*
8,875
500 Triarc Companies Inc Class A*
9,313
<PAGE>
300 Venture Stores Inc*
675
300 Whole Foods Market Inc*
6,900
400 Williams-Sonoma Inc*
12,400
$318,415
SECURITIES & COMMODITIES --- 2.0%
400 Alex Brown Inc
25,750
400 Downey Financial Corp
7,750
200 Interra Financial Inc
7,325
300 Legg Mason Inc
14,250
300 Piper Jaffray Companies Inc
4,838
600 Quick & Reilly Group Inc
13,275
450 Raymond James Financial Inc
10,519
$83,707
TELEPHONE --- 0.3%
1,000 Tel-Save Holdings Inc*
14,000
$14,000
TRANSPORTATION EQUIPMENT --- 2.1%
300 AO Smith Corp
10,425
400 Arctic Cat Inc
4,000
300 BE Aerospace Inc*
7,388
500 Breed Technologies Inc
9,063
500 Gentex Corp*
9,000
200 Huffy Corp
2,575
500 Orbital Sciences Corp*
7,375
300 Simpson Industries Inc
2,775
200 Skyline Corp
4,225
200 Spartan Motors Inc
1,350
<PAGE>
200 Standard Motor Products Inc
2,750
300 Standard Products Co
6,563
100 Thor Industries Inc
2,163
300 UNC Inc*
4,163
300 Wabash National Corp
5,363
400 Winnebago Industries Inc
2,500
400 Yellow Corp*
7,700
$89,378
WATER --- 0.8%
100 Aquarion Co
2,488
100 Consumers Water Co
1,613
300 Halter Marine Group Inc*
5,888
400 Kirby Corp*
7,300
300 Philadelphia Suburban Corp
6,000
100 Southern California Water Co
2,163
600 United Water Resources Inc
9,825
$35,277
WHOLESALE TRADE - INDL --- 2.2%
200 AM Castle & Co
3,450
500 Barrett Resources Corp*
16,375
100 Bell Industries Inc*
1,600
200 MicroAge Inc*
2,525
600 Nautica Enterprises Inc*
13,275
300 OM Group Inc
8,363
<PAGE>
300 Patterson Dental Co*
10,050
300 Pioneer Standard Electronics Inc
3,675
700 Sybron International Corp*
23,275
400 TBC Corp*
3,000
200 Wyle Electronics
6,775
$92,363
WHOLESALE TRADE -CONSUMER --- 2.3%
200 Commercial Metals Co
5,550
100 Custom Chrome Inc*
1,175
300 Fisher Scientific International Inc
12,713
200 Hughes Supply Inc
6,625
300 Kaman Corp Class A
3,863
400 Kent Electronics Corp*
10,000
200 Nash Finch Co
3,525
500 Owens & Minor Inc
6,500
400 Rexel Inc*
7,050
700 Richfood Holdings Inc
14,263
400 Rykoff-Sexton Inc
7,250
100 Syncor International Corp*
813
700 Tech Data Corp*
17,094
$96,421
TOTAL COMMON STOCK --- 99.9%
$4,194,628
(Cost $4,481,232)
PREFERRED STOCK
TRANSPORTATION EQUIPMENT --- 0.1%
200 AAR Corp
5,950
<PAGE>
$5,950
TOTAL PREFERRED STOCK --- 0.1%
$5,950
(Cost $5,208)
TOTAL ORCHARD INDEX 600 PORTFOLIO --- 100.0%
$4,200,578
(Cost $4,486,440)
Orchard Series Fund
Orchard Index European Portfolio
COMMON STOCK
AGRICULTURE --- 0.2%
50 Eridania Beghin-SA
7,579
$7,579
AIR --- 0.4%
2,000 BAA PLC
16,526
$16,526
COMMUNICATIONS --- 6.2%
3,000 British Sky Broadcasting Group PLC
27,705
4,000 Cable and Wireless
30,792
40 Canal Plus
7,221
200 Ericsson Tel Series A
6,425
1,500 Ericsson Tel Series B
47,425
1,000 Granada Group
14,436
200 Nokia AB Oy
12,447
281 Polygram NV
13,769
3,000 Reuters Holdings PLC
30,913
6,000 Stet Societa' Finanziaria Telefonica SPA
<PAGE>
28,354
2,000 Stet Societa' Finanziaria Telefonica SPA RNC
7,414
108 Tele Danmark A/S
5,193
11,000 Telecom Italia SPA
28,929
3,000 Telecom Italia SPA RNC
6,462
5,000 Vodafone Group
22,359
$289,844
CONSTRUCTION --- 0.2%
1,068 Hanson Plc
5,182
100 Kvaerner AS
4,971
$10,153
CONSUMER SERVICES --- 10.7%
50 Accor
7,168
900 Astra AB
36,831
792 BOC Group
12,123
708 EMI Group PLC
14,052
3,000 Grand Metropolitan
25,032
3,170 Guinness
26,194
100 Havas
7,485
<PAGE>
4,629 Marks and Spencer
36,675
110 Novartis (registered)
144,955
110 Novartis Ciba Special Rights*
7,725
112 Novo-Nordisk A/S
11,077
996 Peninsular & Orintal Steam Navigation Co.
9,731
532 Philips Electronics
27,760
50 Pin-Printemps-Redo
21,025
1,000 Rank Group PLC
6,886
150 Sanofi SA
14,002
5,000 Smithkline Beecham PLC
80,321
15 Sophus Berendsen A/S A
1,843
35 Sophus Berendsen A/S B
4,247
$495,132
CREDIT INSTITUTIONS --- 0.2%
100 Societe Generale de Belgique
8,900
$8,900
ELECTRIC --- 4.1%
1,000 ABB AB Series A
12,175
1,000 ABB AB Series B
12,111
100 Electrabel
22,726
425 Empresa Nacional de Electridad SA
29,738
855 Energy Group PLC*
6,788
300 Hafslund ASA
1,896
1,483 IBERDROLA SA
16,753
3,000 National Grid Group PLC
10,791
1,000 Powergen
10,466
2,000 Scot Power
12,119
25 Tractebel Inv International
10,705
850 Veba AG
43,776
$190,044
ELECTRONICS - HIGH TECH --- 3.1% 250 Alcatel Alsthom (Cie Gen El)
27,791
4,536 General Electric Co PLC
<PAGE>
26,922
2,000 National Power
17,239
300 Nokia AB
18,723
950 Siemens AG
51,449
$142,124
ENVIRONMENTAL SERVICES --- 0.3%
2,000 Rentokil Initial
13,091
$13,091
FINANCIAL SERVICES --- 0.3%
54 Fortis AG
9,642
91 Unidanmark
4,500
$14,142
FOREIGN BANKS --- 0.2%
494 ABN Amro Holdings NV
33,939
494 ABN Amro Holdings NV
33,939
2,000 Abbey National
27,867
<PAGE>
2,000 Abbey National
27,867
200 Argentaria Corp BC
8,928
200 Argentaria Corp BC
8,928
361 BCO Bilbao Vizcaya
24,320
361 BCO Bilbao Vizcaya
24,320
66 BCO Central Hispan
2,011
66 BCO Central Hispan
2,011
1,000 BCO ESP de Credito*
8,866
1,000 BCO ESP de Credito*
8,866
50 BQE Brux Lambert
12,497
50 BQE Brux Lambert
12,497
50 Banco Popular Espanol SA
10,612
50 Banco Popular Espanol SA
10,612
256 Banco Santander SA
19,280
256 Banco Santander SA
19,280
300 Banque Nationale de Paris
12,795
300 Banque Nationale de Paris
12,795
2,603 Barclays PLC
48,373
2,603 Barclays PLC
48,373
700 Commezbank AG
18,773
700 Commezbank AG
18,773
250 Compagnie de Suez
12,127
250 Compagnie de Suez
12,127
100 Den Danske Bank
361
100 Den Danske Bank
361
100 Den Danske Bank AS
8,646
100 Den Danske Bank AS
8,646
850 Deutsche Bank AG
44,856
850 Deutsche Bank AG
44,856
750 Dresdner Bank AG
23,990
750 Dresdner Bank AG
23,990
50 Generale de Banque
20,746
50 Generale de Banque
20,746
3,000 HSBC Holdings
75,534
3,000 HSBC Holdings
75,534
1,000 HSBC Holdings ORD
<PAGE>
26,231
1,000 HSBC Holdings ORD
26,231
1,000 IMI SPA
8,514
1,000 IMI SPA
8,514
1,000 Istituto Banc San Paolo di Torino
6,655
1,000 Istituto Banc San Paolo di Torino
6,655
22 Kredietbank NV
8,574
22 Kredietbank NV
8,574
9,516 Lloyds TSB Group
86,802
9,516 Lloyds TSB Group
86,802
100 Merita Ltd
337
100 Merita Ltd
337
1,000 Merita Ltd Series A
3,251
1,000 Merita Ltd Series A
3,251
3,000 National Westminster Bank PLC
35,482
3,000 National Westminster Bank PLC
35,482
400 Nordbanken AB
12,290
400 Nordbanken AB
12,290
3,000 Prudential Corp
29,115
<PAGE>
3,000 Prudential Corp
29,115
1,300 Royal BK Scot Group
12,258
1,300 Royal BK Scot Group
12,258
40 Schwerizerische Rueckversicherungs-Gesallschaft (Swiss
R 37,864
40 Schwerizerische Rueckversicherungs-Gesallschaft (Swiss
R 37,864
900 Skandinaviska Enskilda Banken
9,179
900 Skandinaviska Enskilda Banken
9,179
150 Societe Generale
16,803
150 Societe Generale
16,803
400 Svenska Handelsbanken
11,015
400 Svenska Handelsbanken
11,015
$710,245
GAS --- 0.4%
7,000 British Gas PLC*
20,188
$20,188
HOLDING & INVEST. OFFICES --- 5.7%
6,391 BTR PLC
26,094
350 CS Holding
39,425
200 Cie Fin Paribas
12,610
1,147 ING Groep NV
45,021
200 Investor AB Series A
8,771
200 Investor AB Series B
8,746
70 Nestle SA
85,024
2,000 Standard Chartered
30,136
2,000 Tomkins PLC
8,619
$264,446
INDUSTRIAL PRODS & SVCS --- 0.3%
1,000 Siebe
14,792
$14,792
INSURANCE --- 7.6%
300 AXA
18,452
422 Aegon NV
29,880
1,000 Alleanza Assicuraz
<PAGE>
6,783
400 Allianz AG Holdings
77,367
1,000 Assic Generali SPA
16,725
15 Codan Forsikring
1,980
1,000 Commercial Union
11,017
1,000 General Accident PLC
14,201
7,000 Istituto Nazionale delle Assicurazione
9,378
50 Munchener Ruckvers
121,103
1,000 RAS
8,164
4 Royale Belge
1,030
20 Scgweuzeruscge Rueckversicherungs-Gesellschaft (Swiss
Re 23,153
400 Storebrand ASA*
2,458
500 Union Assur de Paris
12,367
$354,058
MFTG - CONSUMER PRODS. --- 6.5%
5,000 ASDA Group
9,316
1,000 Associated British Foods
8,624
<PAGE>
5,092 BAT INDUSTRIES
42,818
1,000 British Steel
2,301
1,635 Cadbury Schweppes PLC
13,563
66 Carlsberg Series A
4,075
55 Carlsberg Series B
3,387
50 Christian Dior
7,408
96 Danisco A/S
5,563
100 Danone
14,559
140 LVMH Moet Hennessy
34,171
190 Michelin (CGDE)
10,613
1,000 Montedison SPA*
656
7,000 Montedison SPA*
4,581
916 Pearson PLC
10,522
30 Promodes
10,118
932 Reed International PLC*
17,169
400 Renault (Regie NTL)
9,469
2,000 Safeway
11,082
1,340 Unilever
35,193
251 Unilever non-voting
48,796
$303,984
MFTG - INDUSTRIAL PRODS --- 14.9%
125 Air Liquide (L)'
18,820
200 Astra AB
7,942
1,050 BASF AG
40,497
1,200 Bayer AG*
47,737
900 Daimler-Benz AG*
66,824
2,000 Fiat SPA
3,468
5,000 Fiat SPA
16,492
6,000 Glaxo Wellcome PLC
117,918
1,000 Hoechst AG
39,232
1,000 Imperial Chemical Industry
11,358
75 Mannesmann AG
29,489
200 Norske Hydro AS
9,746
100 Orkla AS
8,384
200 Outokumpu OY
<PAGE>
3,809
500 Rhone-Poulenc SA
16,811
12 Roche Holding AG
101,377
3 Roche Holdings AG
35,828
400 Sandvik AB
9,867
200 Schneider SA
11,270
25 Solvay SA
14,973
500 Stora Kopparbergs Bergslags Aktiebolag Series A
6,916
500 UPM-Kymmene Corp*
11,447
100 Usinor Sacilor
1,511
100 Valmet Corp
1,691
2,000 Zeneca Group
60,401
$693,808
MINING --- 1.1%
1,759 RTZ Corp
27,929
550 Rwe AG
22,864
$50,793
<PAGE>
OIL & GAS --- 10.3%
9,193 British Petroleum Company PLC
105,453
7,000 Centrica PCL*
6,408
2,000 ENI
10,146
400 Elf Aquitaine SA
38,778
40 Petrofina SA
14,246
475 Repsol SA
19,935
841 Royal Dutch Petrol
150,249
200 Saga Petroleum
3,497
5,000 Shell Transport & Trading
88,382
400 Total
33,160
100 Transocean*
6,024
$476,278
OTHER UTILITIES --- 0.3%
75 Gas Natural SDG
15,944
$15,944
REAL ESTATE --- 0.2%
839 Land Securities
10,895
$10,895
RETAIL TRADE --- 6.9%
1,704 Allied Domecq
12,010
1,450 Bass PLC
18,700
1,568 Boots Co
17,631
65 Carrefour
40,570
140 Compagnie de Saint Gobain
18,752
200 Eaux (Cie Generale)
27,851
1,000 Fiat SPA
1,821
2,000 Great Univ Stores
20,739
3,014 J Sainsbury PLC
16,164
1,000 Kingfisher
10,823
110 L'oreal
39,020
150 Lafarge
9,835
75 Peugeot SA
7,464
1,000 Scot & Newcastle
10,823
3,543 Tesco
<PAGE>
20,551
40 Volkswagen AG
25,358
300 Volvo Series A
7,554
1,000 Whitbread
12,476
$318,142
TELEPHONE --- 3.9%
10,344 British Telecommunications PLC
75,752
741 Kon Ptt Nederland
26,309
3,000 Telecom Italia Mobile SPA
5,543
11,000 Telecom Italia Mobile SPA
34,580
1,506 Telefonica de Espana
38,614
$180,798
TRANSPORTATION --- 0.3%
600 Volvo Series B
15,107
$15,107
<PAGE>
UTILITIES --- 0.2%
100 Lyonnaise Des Eaux
9,044
$9,044
WHOLESALE TRADE -CONSUMER --- 0.1%
120 Electrolux AB
6,884
$6,884
TOTAL COMMON STOCK --- 115.5%
$5,360,478
(Cost $4,806,608)
TOTAL ORCHARD INDEX EUROPEAN PORTFOLIO --- 100.0%
$4,641,587
(Cost $4,806,608)
Orchard Series Fund
Orchard Index Pacific Portfolio
COMMON STOCK
AGRICULTURE --- 0.1%
1,000 Kuala Lumpur Kepong Bhd
2,593
$2,593
AIR --- 0.3%
1,000 Japan Airlines*
3,971
1,000 Singapore Airlines Ltd
8,847
$12,818
COMMUNICATIONS --- 3.0%
200 Advanced Info Service Public Co Ltd
1,332
24,000 Hong Kong Telecommunications Ltd
41,222
100 KDD
5,247
1,000 Oki Electric Industry Co
4,909
4,000 Singapore Telecommunications Ltd
6,746
4,400 Telecom Corporation of New Zealand Ltd
19,728
1,000 Telekom Malaysia Bhd
7,020
7,000 Toshiba Corp
39,269
$125,473
CONSTRUCTION --- 0.6%
1,000 Daiwa House Industry Company Ltd
11,188
2,000 Komatsu Ltd
14,623
500 PT Semen Gresik
1,218
$27,029
CONSUMER SERVICES --- 5.7%
<PAGE>
1,000 Kao Corp
11,661
1,500 PT Astra International
5,489
3,000 Renong Bhd
4,116
2,000 Resorts World Bhd
7,379
8,300 SM Prime Holdings
2,172
1,200 San Miguel Corp
3,460
1,000 Sankyo Co Ltd
26,789
300 Sony Music Entertainment Inc
10,306
5,000 Sun Hung Kai Properties
54,239
2,000 Swire Pacific Ltd A
15,432
5,000 Swire Pacific Ltd B
6,651
1,000 Taisho Pharmaceutical Co
24,740
2,000 Takeda Chemical Industry
46,171
1,000 Yamanouchi Pharmaceutical Co Ltd
21,352
$239,957
CREDIT INSTITUTIONS --- 0.0%
1,000 Technology Resources Industries Bhd*
1,835
$1,835
ELECTRIC --- 4.5%
4,500 China Light & Power Company Ltd
20,282
1,600 Chubu Electric Power Company Inc
26,095
800 Chugoku Electric Power Company Ltd
12,795
500 Hokkaido Electric Power
7,800
2,100 Kansai Electric Power Company Inc
36,732
<PAGE>
600 Manila Electric Co
3,733
600 Shikoku Electric Power
9,077
1,000 Tenaga Nasional BHD
4,627
1,100 Tohoku Electric Power
16,900
2,900 Tokyo Electric Power
51,410
$189,451
ELECTRONICS - HIGH TECH --- 10.8%
2,000 Canon Inc
47,431
500 Fanuc
17,058
7,000 Hitachi Ltd
63,426
4,500 Hongkong Electric Holdings Ltd
15,923
1,000 Kyushu Electric Power
16,388
4,000 Matsushita Electric Industrial Company Ltd
63,977
5,000 Mitsubishi Electric Corp
27,379
3,000 NEC Corp
36,637
300 Nintendo Corp Ltd
21,935
1,000 Omron Corp
18,910
4,000 Sanyo Electric Co
15,411
2,000 Sharp Corp
26,001
100 Shinawatra Computer Co
681
800 Sony Corp
58,241
2,000 Sumitomo Electric Industries
27,104
$456,502
FINANCIAL SERVICES --- 0.3%
2,000 Mitsubishi Motor Credit
13,867
$13,867
FOREIGN BANKS --- 21.4%
<PAGE>
5,000 Asahi Bank
30,610
3,100 Australia & New Zealand Banking Group Ltd
19,793
600 Bangkok Bank Public Company Ltd
5,559
300 Bank Of Ayudhya Public Company Ltd
770
1,000 Bank of Fukuoka Ltd
4,964
10,000 Bank of Tokyo-Mitsubishi
158,367
2,000 Bank of Yokohama
8,178
2,000 Chiba Bank Ltd
10,715
1,050 Commonwealth Bank of Australia
11,403
7,000 Dai-Ichi Kangyo Bank Ltd
76,662
3,000 Daiwa Bank Ltd
9,691
1,000 Gunma Bank
7,564
1,000 Hachijuni Bank
8,982
4,000 Hang Seng Bank Ltd
45,070
5,000 Industrial Bank of Japan
53,183
900 Krung Thai Bank Public Company Ltd
1,120
5,000 Long-Term Credit Bank of Japan
13,434
2,000 Malayan Banking Bhd
19,944
2,000 Malayan United Industries Bhd
1,476
100 Metropolitan Bank & Trust Co
2,048
3,000 Mitsubishi Trust & Banking
32,146
3,000 Mitsui Trust & Banking
17,113
3,000 National Australia Bank
41,046
3,000 Nikko Securities Company Ltd
16,735
<PAGE>
4,000 Nippon Credit Bank
7,249
1,000 Oversea-Chinese Banking Corporation Ltd
11,681
1,000 Public Bank Bhd
1,659
7,000 Sakura Bank Ltd
37,008
6,000 Sanwa Bank Ltd
64,292
200 Siam Commercial Bank Public Company Ltd
1,172
7,000 Sumitomo Bank
79,972
3,000 Sumitomo Trust & Banking
24,819
500 Thai Farmers Bank Public Company Ltd
3,025
100 Thai Military Bank Public Company Ltd
145
4,000 Tokai Bank
29,783
2,000 Toyo Trust & Banking
13,379
1,000 United Overseas Bank Ltd
9,400
4,000 Westpac Banking Corporation Ltd
21,548
2,000 Yasuda Trust & Banking
4,680
$906,385
FORESTRY --- 0.0%
1,000 Lingui Developments Bhd
1,731
$1,731
GAS --- 0.8%
6,000 Hong Kong and China Gas Company Ltd
9,531
5,000 Osaka Gas Co
11,976
6,000 Tokyo Gas Co
14,324
$35,831
HIGHWAYS --- 0.2%
1,000 UTD Engineers Bhd
7,106
$7,106
<PAGE>
HOLDING & INVEST. OFFICES --- 4.4%
800 AMMB Holdings Bhd
5,329
1,000 Affin Holdings Bhd
2,413
1,000 Berjaya Sports Toto Bhd
4,787
6,000 Brierley Investments Ltd
5,281
5,000 Citic Pacific Ltd
27,055
6,000 Faber Group Bhd
5,935
4,000 Henderson Land Development Company Ltd
33,706
8,000 Hutchison Whampoa Ltd
59,405
1,000 Jardine Matheson Holdings Ltd
5,500
3,000 Magnum Corporation Bhd
4,763
1,000 Malaysian Helicopter Services Bhd
1,061
1,000 Multi-Purpose Holdings Bhd
1,635
4,000 New World Development Company Ltd
23,090
1,000 YTL Corporation Bhd
4,069
$184,029
INDUSTRIAL SERVICES --- 0.3%
2,000 Sumitomo Corp
13,457
$13,457
INSURANCE --- 1.6%
500 Lend Lease Corp Ltd
9,566
2,000 Mitsui Marine and Fire Insurance Company Ltd
11,377
1,000 Sumitomo Marine & Fire
6,153
3,000 Tokio Marine & Fire Insurance Co
29,310
2,000 Yasuda Fire & Marine Ins
<PAGE>
9,266
$65,672
MFTG - CONSUMER PRODS. --- 3.1%
1,000 Ajinomoto Co
9,140
1,050 Coca-Cola Amatil Ltd
12,000
2,000 Dai Nippon Printing Co Ltd
36,086
4,100 Foster's Brewing Group Ltd
8,438
2,000 Kirin Brewery Company Ltd
17,334
1,600 News Corp Ltd
7,372
2,000 Nippon Paper Industries Co
9,218
2,200 Pacific Dunlop Ltd
5,934
2,000 Toppan Printing Company Ltd
25,843
$131,365
MFTG - INDUSTRIAL PRODS --- 11.6%
1,300 Amcor Ltd
8,550
3,000 Asahi Chemical Industry Company Ltd
17,491
3,000 Asahi Glass Company Ltd
27,182
2,300 Boral Ltd
6,778
2,000 CSR Ltd
7,391
4,000 Carter Holt Harvey Ltd
8,870
1,400 Fletcher Challenge Paper
3,105
600 ICI Australia Ltd
5,632
3,000 Ishikawajima-Harima Heavy Industries Co Ltd
11,180
3,000 Itochu Corp
14,206
2,000 Kajima Corp
9,108
7,000 Kawasaki Steel Corp
20,682
1,000 Keppel Corporation Ltd
4,354
6,000 Kobe Steel Ltd*
<PAGE>
10,920
3,000 Kubota Corp
13,851
1,000 Land & General Holdings Bhd
1,364
3,400 M.I.M. Holdings Ltd
4,427
5,000 Mitsubishi Chemical Corp
16,822
7,000 Mitsubishi Heavy Industries Ltd
46,218
1,000 Murata Mfg Co Ltd
36,874
7,000 NKK Corp
15,112
2,000 New Oji Paper Co
10,101
15,000 Nippon Steel Co
42,783
5,000 Nissan Motor Company Ltd
29,428
2,500 PT Gudang Garam
10,485
500 PT HM Sampoerna*
2,010
1,000 Perusahaan Otomobil Nasional Bhd
5,983
1,900 Pioneer International Ltd
6,251
1,000 Ricoh Corp Ltd
11,897
1,000 Sekisui Chemical Co
9,612
1,000 Shin-Etsu Chemical Co
20,170
100 Siam Cement Public Company Ltd
2,680
3,000 Sumitomo Chemical Co
12,409
7,000 Sumitomo Metal Industries
17,428
3,000 Toray Industries Inc
18,673
$490,027
MINING --- 2.4%
4,100 Broken Hill Proprietary Company Ltd
<PAGE>
57,790
1,300 CRA Ltd
19,378
1,200 Comalco Ltd
6,081
3,000 Marubeni Corp
11,133
2,000 Mitsubishi Materials Corp
7,469
$101,851
OIL & GAS --- 0.9%
1,000 Petronas Gas Bhd
3,470
1,000 Tonen Corp
9,376
2,300 WMC Ltd
13,627
1,400 Woodside Petroleum Ltd
11,133
$37,606
OTHER TRANS. SERVICES --- 0.9%
1,000 All Nippon Airways Company Ltd
5,893
500 Brambles Industries Ltd
9,043
3,000 Kawasaki Heavy Industries
11,842
3,000 Nippon Yesen Kabushiki Kaisha
10,873
$37,651
RAILROADS --- 3.2%
9 East Japan Railway Co
38,930
2,000 Hankyu Corp
9,486
3,000 Kinki Nippon Railway
16,640
2,000 Odakyu Electric Railway
10,290
1,000 Seibu Railway
48,062
2,000 Tokyu Corp
10,495
$133,903
REAL ESTATE --- 4.4%
<PAGE>
4,400 Ayala Corp Class B
3,088
625 Ayala Land Inc Class B
450
3,500 C & P Homes Inc
1,328
5,000 Cheung Kong Holdings Ltd
43,908
2,000 City Developments Ltd
16,174
6,000 Hongkong Land Holdings Ltd
12,480
1,000 Malaysian Resources Corporation Bhd
2,872
3,000 Mitsubishi Estate Company Ltd
37,819
2,000 Mitsui Fudosan
22,849
2,000 Obayashi Corp
10,148
2,000 Sekisui House Ltd
17,806
5,000 Wharf Holdings Ltd
18,919
$187,841
RETAIL TRADE --- 5.8%
2,300 Coles Myer Ltd
11,171
2,000 Daiei Inc
9,565
1,000 Ito-Yokado Co Ltd
47,983
1,000 JUSCO Co
30,728
1,000 Marui Co
16,467
2,000 Matsushita Electric Works
20,328
3,000 Nippon Oil Co
14,135
1,000 Seven - Eleven Japan
63,426
4,000 Sime Darby BHD
12,365
1,000 Suzuki Motor Company Ltd
10,637
2,200 Woolworths Ltd
6,483
<PAGE>
$243,288
SECURITIES & COMMODITIES --- 1.7%
3,000 Daiwa Securities Co Ltd
19,973
4,000 Nomura Securities Co Ltd
44,753
3,000 Yamaichi Securities Company Ltd
7,847
$72,573
TELEPHONE --- 1.5%
7 Nippon Telegraph & Telephone Corp
49,362
4,500 PT Telekomunikasi*
6,522
100 Philippine Long Distance
5,709
700 TelecomAsia Corporation Public Company Ltd*
1,059
$62,652
TRANSPORTATION EQUIPMENT --- 7.3%
2,000 Honda Motor Company Ltd
62,086
2,000 Nippon Express Co Ltd
13,788
8,000 Toyota Motor Corp
231,957
$307,831
WHOLESALE TRADE - INDL --- 1.4%
2,000 Hitachi Zosen Corp
6,949
3,000 Mitsubishi Corp
28,128
3,000 Mitsui & Co
22,904
$57,981
WHOLESALE TRADE -CONSUMER --- 1.9%
<PAGE>
2,000 Bridgestone Corp
42,546
1,000 Fuji Photo Film
38,213
$80,759
TOTAL COMMON STOCK --- 100.0%
$4,229,064
(Cost $4,194,171)
TOTAL ORCHARD INDEX PACIFIC PORTFOLIO --- 100.0%
$4,229,064
(Cost $4,194,171)
Orchard Series Fund
Orchard Money Market Portfolio
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 21.3%
150,000 American Express Credit Corp
148,284
150,000 Bellsouth Capital Funding Corp
149,123
150,000 Ford Motor Credit Co
148,375
150,000 TransAmerica Financial Corp
148,134
$593,916
ELECTRONICS - HIGH TECH --- 5.4%
150,000 General Electric Co
149,081
$149,081
HOLDING & INVEST. OFFICES --- 5.4%
150,000 American General Finance Corp
149,076
$149,076
INSURANCE --- 5.3%
150,000 AIG Funding Inc
148,620
$148,620
SECURITIES & COMMODITIES --- 10.6%
150,000 Merrill Lynch & Co Inc
146,210
150,000 Morgan Stanley Group Inc
<PAGE>
149,668
$295,878
TELEPHONE --- 5.3%
150,000 American Telephone & Telegraph Co
146,120
$146,120
U.S. GOVERNMENTS --- 46.7%
1,300,000 Federal Home Loan Bank
1,300,000
$1,300,000
TOTAL SHORT-TERM INVESTMENTS --- 100.0%
$2,782,691
(Cost $2,782,691)
TOTAL ORCHARD MONEY MARKET PORTFOLIO --- 100.0%
$2,782,691
(Cost $2,782,691)
Orchard Series Fund
Orchard Preferred Stock Portfolio
PREFERRED STOCK
CREDIT INSTITUTIONS --- 23.8%
7,400 Bankers Trust New York Corp
197,950
6,800 Fleet Financial Group Inc
177,650
7,300 Household International Inc
200,750
3,500 JP Morgan & Company Inc
180,250
6,800 MBNA Corp
176,800
$933,400
ELECTRIC --- 25.5%
1,500 Baltimore Gas & Electric Co
156,000
<PAGE>
1,600 Duke Power Co
158,400
1,400 Florida Power & Light Co
147,416
1,700 Montana Power Co
145,775
1,800 Pennsylvania Power & Light Co
190,978
2,000 South Carolina Electric & Gas
200,250
$998,819
ELECTRONICS - HIGH TECH --- 4.6%
6,700 International Business Machines Corp
179,225
$179,225
FINANCIAL SERVICES --- 4.6%
7,000 First Maryland Bancorp
181,125
$181,125
HOLDING & INVEST. OFFICES --- 9.6%
7,000 Chase Manhattan Corp
179,375
7,500 Republic New York Corp
195,938
$375,313
INDUSTRIAL SERVICES --- 4.6%
7,000 Comdisco Inc
180,250
$180,250
INSURANCE --- 4.7%
7,300 WR Berkley Corp
186,150
$186,150
SECURITIES & COMMODITIES --- 13.5%
7,000 Bear Stearns Companies Inc
179,375
5,300 Merrill Lynch & Co Inc
157,013
7,600 Morgan Stanley Group Inc
192,850
$529,238
<PAGE>
TRANSPORTATION EQUIPMENT --- 9.2%
6,500 Ford Motor Co
179,563
6,900 General Motors Corp
181,125
$360,688
TOTAL PREFERRED STOCK --- 100.0%
$3,924,208
(Cost $3,984,942)
TOTAL ORCHARD PREFERRED STOCK PORTFOLIO --- 100.0%
$3,924,208
(Cost $3,984,942)
<PAGE>
ORCHARD SERIES FUND
NOTES TO FINANCIAL STATEMENT
JANUARY 27, 1997
1. ORGANIZATION
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 Money Market Fund, Orchard
Preferred Stock
Fund, Orchard Index 600 Fund, Orchard Index 500 Fund,
Orchard Index
Pacific Fund, and Orchard Index European Fund.
Since the date of
incorporation, the Trust's activities have been
limited to
organizational matters with no operating activities;
the Funds are
expected to become effective and available for sale
on or about
February 1, 1997.
Initial capitalization of $100,000 for each fund was
received on
January 27, 1997 from Great- West Life & Annuity
Insurance Company
(GWL&A).
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 significant accounting
policies of the
Funds, which are in accordance with generally
accepted accounting
principles in the investment company industry:
Security Valuation - Securities traded on national
securities exchanges
are valued daily at the closing prices of the
securities on these
exchanges, and securities traded on over-the-counter
markets are valued
daily at the average between the quoted bid and
asked prices.
Short-term and money market securities are valued at
amortized cost
which approximates market value.
<PAGE>
Federal Income Taxes - For federal income tax purposes,
each Portfolio
is expected 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.
Dividends - Dividends from the investment income of the
Money Market
Fund are declared daily and reinvested monthly.
Dividends from
investment income of the Preferred Stock Fund are
declared and
reinvested quarterly. Dividends from the investment income
of the Index
600 and Index 500 Funds are declared and reinvested
semi-annually while
dividends from the investment income of the Index
Pacific and Index
European Funds are declared and reinvested annually. All
of the Funds
generally distribute capital gains, if any, in the fiscal
year in which
they were earned.
<PAGE>
ORCHARD SERIES FUND
NOTES TO FINANCIAL STATEMENT
JANUARY 27, 1997
3. INVESTMENT ADVISORY AGREEMENT
GW Capital Management, Inc. (Capital Management), a
wholly-owned
subsidiary of GWL&A, serves as investment advisor to the
Funds pursuant
to an investment advisory agreement, which was approved
by the Funds'
Board of Directors. Capital Management is a
registered investment
adviser under the Investment Advisers Act of 1940.
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
portfolio which
includes selecting the Funds' investments and handling
their business
affairs.
As compensation for its services to the Funds, the
investment advisor
receives monthly compensation at the annual rate of .20%
of the average
daily net assets of the Money Market Fund, .90% of the
average daily
net assets of the Preferred Stock Fund, .60% of the
average daily net
assets of the Index 600 Fund and Index 500 Fund, and
1.00% of the
average daily net assets of the Index Pacific and Index
European Funds.
Subject to revision, Capital Management has
voluntarily agreed to
reimburse the Index Pacific Fund, the Index European
Fund, and the
Money Market Fund to the extent that total operating
expenses exceed
1.20%, 1.20%, and .46%, respectively, of average net
assets. Interest,
taxes, brokerage commissions, and extraordinary
expenses are not
expenses eligible for reimbursement.
4. OTHER RELATED PARTY TRANSACTIONS
One Orchard Equities ("OOE"), a wholly-owned
subsidiary of One
Corporation ("ONE"), which is a wholly-owned
subsidiary of GWL&A,
distributes and markets the Trust's Funds. Financial
Administrative
Services Corporation ("FASCORP"), a wholly-owned
subsidiary of GWL&A,
performs transfer agent servicing functions for the Funds.
Certain officers of the Trust are also directors and/or
officers of
GWL&A or its subsidiaries. No officer of the Trust
receives any
compensation directly from the Funds.
<PAGE>
5. CAPITAL STOCK
The Trust has authorized capital of an unlimited number
of shares with
no stated par value. Shares may be issued in one or
more series of
shares, and each series may be issued in one or more
classes of shares.
Each Fund represents a separate series of shares.
<PAGE>
PART C
OTHER INFORMATION
<PAGE>
Item 24. Financial Statements and Exhibits.
(a) Financial Statements
(b) Exhibits
Items (b)(1)-(2) and (b)(4)-(5) are incorporated
by reference
to Registrant's Registration Statement dated July
30, 1996.
Items (b)(6), (b)(8)-(10) and (b)(13) are
incorporated by
reference to Registrant's Pre- Effective
Amendment No. 2 to
its Registration Statement dated January 28,
1997.
Items (b)(3), (b)(7), (b)(12) and
(b)(14)-(18) are not
applicable.
(11) Written Consent of Deloitte & Touche LLP,
Independent Auditors
for the Trust.
Item 25. Persons Controlled by or under Common Control with
Registrant.
See page C-2.
Item 26. Number of Holders of Securities.
Number of Record Holders
Title of Class
as of June 30, 1997
--------------
-------------------------
Orchard Money Market Fund
1
Orchard Preferred Stock Fund
1
Orchard Index 600 Fund
1
Orchard Index 500 Fund
1
Orchard Index Pacific Fund
1
Orchard Index European Fund
1
Item 27. Indemnification.
Article X of the Declaration of Trust sets forth the reasonable and
fair means for determining whether indemnification shall be provided to any past
or present trustee or officer of the Trust. It states that the Registrant shall
indemnify any present or past trustee or officer to the fullest extent permitted
by law against liability and all expenses reasonably incurred by him or her in
connection with any claim, action suit or proceeding in
C-1
<PAGE>
ORGANIZATIONAL CHART
Power Corporation of Canada
100% - Marquette Communications Corporation 100% - 171263 Canada
Inc.
68.1% - Power Financial Corporation
86.5% - Great-West Lifeco Inc.
99.5% - The Great-West
Life Assurance Company
100% -
Great-West Life & Annuity Insurance Company
100%
- - GW Capital Management, Inc.
100% - Financial Administrative Services Corporation
100%
- - One Corporation
100% - One Health Plan of Illinois, Inc.
100% - One Health Plan of Texas, Inc.
100% - One Health Plan of California, Inc.
100% - One Health Plan of Colorado, Inc.
100% - One Health Plan of Georgia, Inc.
100% - One Health Plan of North Carolina, Inc.
100% - One Health Plan of Washington, Inc.
100% - One Health Plan of Ohio, Inc.
100% - One Health Plan of Tennessee, Inc.
100% - One Health Plan of Oregon, Inc.
100% - One Orchard Equities, Inc.
100%
- - Great-West Benefit Services, Inc.
13% - Private Healthcare Systems, Inc.
100%
- - Benefits Communication Corporation
100% - BenefitsCorp Equities, Inc.
100%
- - Greenwood Property Corporation
94%
- - Maxim Series Fund, Inc.*
100%
- - GWL Properties Inc.
100% - Great-West Realty Investments, Inc.
50% - Westkin Properties Ltd.
100%
- - Confed Admin Services, Inc.
100%
- - Orchard Series Fund
<PAGE>
* 5.9% New England Life Insurance Company
0.1% The Great-West Life Assurance Company
C-2
<PAGE>
which he or she is involved by virtue of his or her service as a trustee, an
officer, or both. Additionally, amounts paid or incurred in settlement of such
matters are covered by this indemnification. Indemnification will not be
provided in certain circumstances, however. These include instances of willful
misfeasance, bad faith, gross negligence, and reckless disregard of the duties
involved in the conduct of the particular office involved.
Item 28. Business and Other Connections of Investment
Adviser.
Registrant's investment adviser, GW Capital Management, Inc. ("GW
Capital Management"), is a wholly-owned subsidiary of Great- West Life & Annuity
Insurance Company ("GWL&A"), which is a wholly-owned subsidiary of The
Great-West Life Assurance Company. GW Capital Management provides investment
advisory services to various unregistered separate accounts of GWL&A and to
Great-West Variable Annuity Account A and the Maxim Series Fund, Inc., which are
registered investment companies. The directors and officers of GW Capital
Management have held, during the past two fiscal years, the following positions
of a substantial nature.
Name Position(s)
- ---- -----------
John T. Hughes Director, Chairman of the Board
and
President, GW Capital
Management; Senior Vice
President and Chief Investment
Officer (U.S.
Operations), Great-West; Senior
Vice
President, Chief Investment
Officer, GWL&A;
Chairman of the Board, GWL
Properties Inc.
Wayne Hoffmann Director, GW Capital
Management; Vice
President, Investments,
Great-West and GWL&A.
Mark S. Hollen Director, GW Capital
Management;
Vice President, Financial
Services,
Great-West and GWL&A;
Chief Operating
Officer, Financial
Administrative Services
Corporation.
James M. Desmond Vice President, GW Capital
Management;
Assistant Vice President,
Investments, Great-
West and GWL&A.
David G. McLeod Treasurer, GW Capital
Management; Assistant
Vice President, Investment
Administration,
Great-West, GWL&A and Financial
Administrative Services
Corporation.
Beverly A. Byrne Secretary, GW Capital
Management; Assistant
Counsel, Great-West; Assistant
Counsel and
C-3
<PAGE>
Assistant Secretary,
GWL&A; Assistant
Counsel and Secretary,
Financial
Administrative Services
Corporation;
Secretary, One Orchard
Equities, Inc.,
Confed Admin Services, Inc.,
BenefitsCorp
Equities, Inc., Great-West
Variable Annuity
Account A, and Maxim Series
Fund, Inc.;
Assistant Secretary, Benefits
Communication
Corporation, One Corporation
and Great-West
Benefit Services, Inc.
Item 29. Principal Underwriter.
(a) Not applicable.
(b) The principal business
address of the
directors and officers
of One Orchard
Equities, Inc. named
below is 8515 East
Orchard Road,
Englewood, Colorado 80111.
Positions and Offices
Positions and
Officers
Name with Underwriter
with Registrant
- ------ ---------------------
--------------------
Brad Cornish Director and President
None
Stan Kenyon Director
None
Alan D. MacLennan Director
None
Glen R. Derback Treasurer
Treasurer
Beverly A. Byrne Secretary
<PAGE>
Secretary
(c) Not applicable.
Item 30.Location of Accounts and Records.
All accounts, books, and other documents required to be maintained by Section
31(a) of the Investment Company Act of 1940 and the rules promulgated thereunder
are maintained in the physical possession of: Orchard Series Fund, 8515 East
Orchard Road, Englewood, Colorado 80111; GW Capital Management, Inc., 8515 East
Orchard Road, Englewood, Colorado 80111; or Financial Administrative Services
Corporation, 8515 East Orchard Road, Englewood, Colorado 80111.
C-4
<PAGE>
C-5
<PAGE>
Item 31. Management Services.
Not applicable.
Item 32. Undertakings.
(a) Not applicable.
(b) Not applicable.
(c) Registrant undertakes to furnish each person
to whom a
prospectus is delivered with a copy of the
Registrant's latest
<PAGE>
annual report to shareholders upon request and
without charge.
(d) Registrant undertakes to comply with Section
16(c) of the
Investment Company Act of 1940 as it relates to
the assistance
to be rendered to shareholders with respect to
the calling of
a meeting to replace a trustee.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933 and the Investment
Company Act of 1940, the Registrant certifies that it meets all of the
requirements for effectiveness of this Registration Statement pursuant to Rule
485(b) under the Securities Act of 1933 and has duly caused this Post-Effective
Amendment No. 1 to its Registration Statement to be signed on its behalf by the
undersigned, thereto duly authorized in the City of Englewood in the State of
Colorado on the 30th day of July, 1997.
ORCHARD SERIES
FUND
/s/ J.D. Motz
J.D. Motz
President
Pursuant to the requirements of the Securities Act of 1933, this
Post-Effective Amendment No. 1 to the Registration Statement has
been signed by the following persons in the capacities and on the
date indicated.
Signature Title
<PAGE>
Date
/s/ J.D. Motz
President 7/30/97
J.D. Motz
/s/ J.D. Motz
Trustee 7/30/97
J.D. Motz
/s/ G.R. Derback
Treasurer 7/30/97
G.R. Derback
<PAGE>
/s/ R.P. Koeppe*
Trustee 7/30/97
R.P. Koeppe
/s/ R. Jennings*
Trustee 7/30/97
R. Jennings
Signature Title
Date
/s/ D.L. Wooden
Trustee 7/30/97
D.L. Wooden
<PAGE>
/s/ S. Zisman*
Trustee 7/30/97
S. Zisman
*By: /s B.A. Byrne
B.A. Byrne
Attorney-in-fact pursuant to Powers of Attorney filed
under
this Post-Effective Amendment No. 1 to the Registration
Statement.
<PAGE>
EXHIBIT INDEX
Exhibit Description
24 Powers of Attorney*
27 Financial Data Schedule+
99.24(b)(1) Declaration of Trust**
99.24(b)(2) Bylaws**
99.24(b)(5) Form of Investment Advisory
Agreement**
99.24(b)(6) Form of Principal Underwriting
Agreement+
99.24(b)(8) Form of Custodian Agreement+
99.24(b)(9) Form of Transfer Agency Agreement+
99.24(b)(10) Opinion of R.B. Lurie+
99.24(b)(11) Consent of Deloitte & Touche LLP*
99.24(b)(13) Form of Subscription Agreement.+
* Filed with this Post-Effective Amendment No. 1.
+ Filed with Pre-Effective Amendment No. 2 on January 27, 1997.
** Filed with the Registration Statement on July 30, 1996.
<PAGE>
EXHIBIT 11
Consent of Deloitte &
Touche LLP
<PAGE>
INDEPENDENT AUDITORS' CONSENT
We consent to the use in this Post-Effective Amendment No. 1 to Registration
Statement No. 333-9217 of Orchard Series Fund of our report dated January 27,
1997 appearing in the Statement of Additional Information, which is a part of
such Registration Statement and to reference to our firm under the headings
"Independent Public Accountant" and "Financial Statements," which also appear in
the Statement of Additional Information.
/s/ Deloitte & Touche LLP
DELOITTE & TOUCHE, LLP
Denver, Colorado
July 28, 1997
<PAGE>
EXHIBIT 24
Powers of Attorney
<PAGE>
POWER OF ATTORNEY
RE
ORCHARD SERIES FUND
Know all men by these presents, that I, R.P. Koeppe, a Member of the Board of
Trustees of Orchard Series Fund, a Delaware business trust, do hereby constitute
and appoint each of B.A. Byrne and G.R. Derback as my true and lawful attorney
and agent for me and in my name and on my behalf to do, individually and without
the concurrence of the other attorney and agent, any and all acts and things and
to execute any and all instruments which either said attorney and agent may deem
necessary or desirable to enable Orchard Series Fund, to comply with the
Securities Act of 1933 and the Investment Company Act of 1940 and any rules,
regulations, and requirements of the Securities and Exchange Commission
thereunder, in connection with the registration under said
Acts of Orchard
Series Fund, including specifically, but without limiting the generality of the
foregoing, power and authority to sign my name, in my capacity as a Member of
the Board of Trustees of Orchard Series Fund, to the Registration Statement
(Form N-1A) (Registration Nos. 333-09217 and 811-07735), and to any and all
amendments thereto, and I hereby ratify and confirm all that either said
attorney and agent shall do or cause to be done by virtue hereof.
IN WITNESS WHEREOF, I have hereunto set my hand this 2nd day of June, 1997.
/s/ R.P.
Koeppe
Member, Board
of Trustees
Orchard Series
Fund
Witness:
/s/ Douglas L. Wooden
Name: Douglas L. Wooden
<PAGE>
POWER OF ATTORNEY
RE
ORCHARD SERIES FUND
Know all men by these presents, that I, R. Jennings, a Member of the Board of
Trustees of Orchard Series Fund, a Delaware business trust, do hereby constitute
and appoint each of B.A. Byrne and G.R. Derback as my true and lawful attorney
and agent for me and in my name and on my behalf to do, individually and without
the concurrence of the other attorney and agent, any and all acts and things and
to execute any and all instruments which either said attorney and agent may deem
necessary or desirable to enable Orchard Series Fund, to comply with the
Securities Act of 1933 and the Investment Company Act of 1940 and any rules,
regulations, and requirements of the Securities and Exchange Commission
thereunder, in connection with the registration under said Acts of Orchard
Series Fund, including specifically, but without limiting the generality of the
foregoing, power and authority to sign my name, in my capacity as a Member of
the Board of Trustees of Orchard Series Fund, to the Registration Statement
(Form N-1A) (Registration Nos. 333-09217 and 811-07735), and to any and all
amendments thereto, and I hereby ratify and confirm all that either said
attorney and agent shall do or cause to be done by virtue hereof.
IN WITNESS WHEREOF, I have hereunto set my hand this 2nd day of June, 1997.
/s/ R.
Jennings
Member, Board
of Trustees
Orchard Series
Fund
Witness:
/s/ Teddy Beckman
Name: Teddy Beckman
<PAGE>
POWER OF ATTORNEY
RE
ORCHARD SERIES FUND
Know all men by these presents, that I, S. Zisman, a Member of the Board of
Trustees of Orchard Series Fund, a Delaware business trust, do hereby constitute
and appoint each of B.A. Byrne and G.R. Derback as my true and lawful attorney
and agent for me and in my name and on my behalf to do, individually and without
the concurrence of the other attorney and agent, any and all acts and things and
to execute any and all instruments which either said attorney and agent may deem
necessary or desirable to enable Orchard Series Fund, to comply with the
Securities Act of 1933 and the Investment Company Act of 1940 and any rules,
regulations, and requirements of the Securities and Exchange Commission
thereunder, in connection with the registration under said Acts of Orchard
Series Fund, including specifically, but without limiting the generality of the
foregoing, power and authority to sign my name, in my capacity as a Member of
the Board of Trustees of Orchard Series Fund, to the Registration Statement
(Form N-1A) (Registration Nos. 333-09217 and 811-07735), and to any and all
amendments thereto, and I hereby ratify and confirm all that either said
attorney and agent shall do or cause to be done by virtue hereof.
IN WITNESS WHEREOF, I have hereunto set my hand this 2nd day of June, 1997.
/s/ S. Zisman
Member, Board
of Trustees
Orchard Series
Fund
Witness:
/s/ Teddy Beckman
Name: Teddy Beckman
<PAGE>
EXHIBIT 27
Financial Data
Schedules
<PAGE>
<TABLE> <S> <C>
<ARTICLE> 6
<CIK> 0001019977
<NAME> ORCHARD SERIES FUND
<SERIES>
<NUMBER> 1
<NAME> ORCHARD MONEY MARKET FUND
<MULTIPLIER> 1
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> OCT-31-1997
<PERIOD-END> APR-30-1997
<INVESTMENTS-AT-COST> 2,782,691
<INVESTMENTS-AT-VALUE> 2,782,691
<RECEIVABLES> 164,774
<ASSETS-OTHER> 236,319
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3,183,784
<PAYABLE-FOR-SECURITIES> 148,597
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2,703
<TOTAL-LIABILITIES> 151,300
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 3,032,484
<SHARES-COMMON-STOCK> 3,032,484
<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> 3,032,484
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 36,170
<OTHER-INCOME> 0
<EXPENSES-NET> 3,301
<NET-INVESTMENT-INCOME> 32,869
<REALIZED-GAINS-CURRENT> 0
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 32,869
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 32,869
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3,000,000
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 32,484
<NET-CHANGE-IN-ASSETS> 3,032,484
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,435
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,435
<AVERAGE-NET-ASSETS> 3,020,240
<PER-SHARE-NAV-BEGIN> 1.000
<PER-SHARE-NII> 0.011
<PER-SHARE-GAIN-APPREC> 0.000
<PER-SHARE-DIVIDEND> (0.011)
<PER-SHARE-DISTRIBUTIONS> 0.000
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 1.000
<EXPENSE-RATIO> 0.460
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.000
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<NAME> ORCHARD SERIES FUND
<SERIES>
<NUMBER> 2
<MULTIPLIER> 1
<S> <C>
<PERIOD-TYPE> OTHER
<FISCAL-YEAR-END> OCT-31-1997
<PERIOD-END> APR-30-1997
<INVESTMENTS-AT-COST> 3,984,942
<INVESTMENTS-AT-VALUE> 3,984,208
<RECEIVABLES> 13,746
<ASSETS-OTHER> 59,686
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3,997,640
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 6,003
<TOTAL-LIABILITIES> 6,003
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 4,057,095
<SHARES-COMMON-STOCK> 405,808
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 3,282
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (8,006)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (60,734)
<NET-ASSETS> 3,991,637
<DIVIDEND-INCOME> 65,214
<INTEREST-INCOME> 3,721
<OTHER-INCOME> 0
<EXPENSES-NET> 8,558
<NET-INVESTMENT-INCOME> 60,377
<REALIZED-GAINS-CURRENT> (8,006)
<APPREC-INCREASE-CURRENT> (60,734)
<NET-CHANGE-FROM-OPS> (8,363)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 57,095
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 400,000
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 5,808
<NET-CHANGE-IN-ASSETS> 3,991,637
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 8,558
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 8,558
<AVERAGE-NET-ASSETS> 3,998,522
<PER-SHARE-NAV-BEGIN> 10.000
<PER-SHARE-NII> 0.151
<PER-SHARE-GAIN-APPREC> (0.172)
<PER-SHARE-DIVIDEND> (0.143)
<PER-SHARE-DISTRIBUTIONS> 0.000
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 9.836
<EXPENSE-RATIO> 0.900
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.000
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<NAME> ORCHARD SERIES FUND
<SERIES>
<NUMBER> 3
<MULTIPLIER> 1
<S> <C>
<PERIOD-TYPE> OTHER
<FISCAL-YEAR-END> OCT-31-1997
<PERIOD-END> APR-30-1997
<INVESTMENTS-AT-COST> 4,497,024
<INVESTMENTS-AT-VALUE> 4,582,235
<RECEIVABLES> 7,930
<ASSETS-OTHER> 15,744
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 4,605,909
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 4,467
<TOTAL-LIABILITIES> 4,467
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 4,515,329
<SHARES-COMMON-STOCK> 451,519
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 870
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 32
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 85,211
<NET-ASSETS> 4,601,442
<DIVIDEND-INCOME> 21,094
<INTEREST-INCOME> 1,527
<OTHER-INCOME> 0
<EXPENSES-NET> 6,422
<NET-INVESTMENT-INCOME> 16,199
<REALIZED-GAINS-CURRENT> 32
<APPREC-INCREASE-CURRENT> 85,211
<NET-CHANGE-FROM-OPS> 101,442
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 15,329
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 450,000
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 1,519
<NET-CHANGE-IN-ASSETS> 4,601,442
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 6,442
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 6,442
<AVERAGE-NET-ASSETS> 4,492,672
<PER-SHARE-NAV-BEGIN> 10.000
<PER-SHARE-NII> 0.036
<PER-SHARE-GAIN-APPREC> 0.189
<PER-SHARE-DIVIDEND> (0.034)
<PER-SHARE-DISTRIBUTIONS> 0.000
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 10.191
<EXPENSE-RATIO> 0.600
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.000
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<NAME> ORCHARD SERIES FUND
<SERIES>
<NUMBER> 4
<MULTIPLIER> 1
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> OCT-31-1997
<PERIOD-END> APR-30-1997
<INVESTMENTS-AT-COST> 4,486,440
<INVESTMENTS-AT-VALUE> 4,200,578
<RECEIVABLES> 12,950
<ASSETS-OTHER> 17,610
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 4,231,138
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 4,281
<TOTAL-LIABILITIES> 4,281
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 4,505,085
<SHARES-COMMON-STOCK> 450,547
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 67
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 7,537
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (285,862)
<NET-ASSETS> 4,226,857
<DIVIDEND-INCOME> 9,833
<INTEREST-INCOME> 1,511
<OTHER-INCOME> 0
<EXPENSES-NET> 6,192
<NET-INVESTMENT-INCOME> 5,152
<REALIZED-GAINS-CURRENT> 7,567
<APPREC-INCREASE-CURRENT> (285,862)
<NET-CHANGE-FROM-OPS> (273,143)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 5,085
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 450,000
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 547
<NET-CHANGE-IN-ASSETS> 4,226,857
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 6,192
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 6,192
<AVERAGE-NET-ASSETS> 4,267,765
<PER-SHARE-NAV-BEGIN> 10.000
<PER-SHARE-NII> 0.011
<PER-SHARE-GAIN-APPREC> (0.619)
<PER-SHARE-DIVIDEND> (0.011)
<PER-SHARE-DISTRIBUTIONS> 0.000
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 9.382
<EXPENSE-RATIO> 0.600
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.000
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<NAME> ORCHARD SERIES
FUND
<SERIES>
<NUMBER> 5
<MULTIPLIER> 1
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> OCT-31-1997
<PERIOD-END> APR-30-1997
<INVESTMENTS-AT-COST> 4,488,942
<INVESTMENTS-AT-VALUE> 4,641,587
<RECEIVABLES> 20,119
<ASSETS-OTHER> 15,929
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 4,677,635
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 9,222
<TOTAL-LIABILITIES> 9,222
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 4,500,000
<SHARES-COMMON-STOCK> 450,000
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 16,196
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (428)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 291,146
<NET-ASSETS> 4,668,413
<DIVIDEND-INCOME> 27,529
<INTEREST-INCOME> 1,790
<OTHER-INCOME> 0
<EXPENSES-NET> 13,123
<NET-INVESTMENT-INCOME> 16,196
<REALIZED-GAINS-CURRENT> (428)
<APPREC-INCREASE-CURRENT> 152,645
<NET-CHANGE-FROM-OPS> 168,413
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 450,000
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 4,668,413
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 10,936
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 10,936
<AVERAGE-NET-ASSETS> 4,656,076
<PER-SHARE-NAV-BEGIN> 10.000
<PER-SHARE-NII> 0.036
<PER-SHARE-GAIN-APPREC> 0.338
<PER-SHARE-DIVIDEND> 0.000
<PER-SHARE-DISTRIBUTIONS> 0.000
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 10.374
<EXPENSE-RATIO> 1.200
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.000
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<NAME> ORCHARD SERIES FUND
<SERIES>
<NUMBER> 6
<MULTIPLIER> 1
<S> <C>
<PERIOD-TYPE> OTHER
<FISCAL-YEAR-END> OCT-31-1997
<PERIOD-END> APR-30-1997
<INVESTMENTS-AT-COST> 4,194,171
<INVESTMENTS-AT-VALUE> 4,229,064
<RECEIVABLES> 15,114
<ASSETS-OTHER> 310,717
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 4,554,895
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 8,964
<TOTAL-LIABILITIES> 8,964
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 4,500,000
<SHARES-COMMON-STOCK> 450,000
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 11,038
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 167,974
<NET-ASSETS> 4,545,931
<DIVIDEND-INCOME> 19,346
<INTEREST-INCOME> 4,554
<OTHER-INCOME> 0
<EXPENSES-NET> 12,862
<NET-INVESTMENT-INCOME> 11,038
<REALIZED-GAINS-CURRENT> 0
<APPREC-INCREASE-CURRENT> 34,893
<NET-CHANGE-FROM-OPS> 45,931
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 450,000
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 4,545,931
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 10,718
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 10,718
<AVERAGE-NET-ASSETS> 4,535,370
<PER-SHARE-NAV-BEGIN> 10.000
<PER-SHARE-NII> 0.025
<PER-SHARE-GAIN-APPREC> 0.078
<PER-SHARE-DIVIDEND> 0.000
<PER-SHARE-DISTRIBUTIONS> 0.000
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 10.102
<EXPENSE-RATIO> 1.200
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.000
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<NAME> ORCHARD SERIES FUND
<SERIES>
<NUMBER> 1
<MULTIPLIER> 1
<S> <C>
<PERIOD-TYPE> OTHER
<FISCAL-YEAR-END> OCT-31-1997
<PERIOD-END> JAN-27-1997
<INVESTMENTS-AT-COST> 0
<INVESTMENTS-AT-VALUE> 0
<RECEIVABLES> 0
<ASSETS-OTHER> 600,000
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 600,000
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 0
<TOTAL-LIABILITIES> 0
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 0
<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> 600,000
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 0
<OTHER-INCOME> 0
<EXPENSES-NET> 0
<NET-INVESTMENT-INCOME> 0
<REALIZED-GAINS-CURRENT> 0
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 0
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 0
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 0
<PER-SHARE-NII> 0
<PER-SHARE-GAIN-APPREC> 0
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 0
<EXPENSE-RATIO> 0
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
