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Previous: FRONTIERVISION OPERATING PARTNERS LP, 8-K, 1998-12-30 |
Next: ORCHARD SERIES FUND, 485APOS, 1998-12-30 |
ORCHARD SERIES FUND
8515 East Orchard Road
Englewood, Colorado 80111
TO THE SHAREHOLDERS OF ORCHARD SERIES FUND:
Financial markets around the globe experienced a high level of volatility over
the course of Orchard Series Fund's fiscal year ended October 31, 1998. Equity
markets in the United States and Western Europe provided double-digit percentage
returns during that period, with a roller coaster ride up and down over the
course of the fiscal year. Pacific Rim equity markets experienced double-digit
percentage declines over the same period. At the close of the fiscal year, the
yield on 30-year U.S. Treasury bonds dipped to its lowest level on record. The
economic malaise affecting much of the Asian continent appeared to remove or
significantly reduce the threat of inflation from the global landscape.
U.S. and European equity markets rebounded sharply from large summer declines as
central bankers around the world eased monetary policy within their respective
borders. This effort was intended to stimulate internal growth as well as to
shore up the ailing global economy. Most economists are forecasting a
continuation of sluggish economic growth worldwide for 1999, with not much
chance of a pick up in the level of price inflation.
While it is impossible to predict the future direction of the markets with any
degree of certainty, there are certain basic principles that can help investors
plan for their future needs. These principles include determining one's
investment objectives and tolerance for risk, adjusting for one's investment
time frame, diversifying, developing an overall strategy and sticking to it.
Are you investing for aggressive growth, long-term growth, growth and income or
current income? How much relative risk are you willing to accept in exchange for
the potential to achieve those objectives?
The longer your investment time frame, or horizon, the less likely it is that
you will be affected by short-term market volatility. For medium horizons,
short-term volatility may have more of an impact on your investments. If your
investment horizon is short, you may wish to consider primarily those investment
options which seek income and maintain a relatively stable share value.
No matter what your objectives, risk tolerance or investment horizon, it makes
sense to diversify your holdings. While investing in a diversified mutual fund
spreads your risk over several or many companies and usually over several
industries, you may wish to diversify further. By investing in funds that hold
securities of different types or in various sizes of companies, you may be able
to reduce the risk that one particular segment of the U.S. market doing poorly
could significantly harm your portfolio in the long term. You may also wish to
diversify your portfolio across multiple geographic markets, such as the U.S.,
Europe and/or the Pacific.
If you have questions, please call us at (800) 338-4015, so that we may provide
you with information that can be useful to you in making investment decisions.
Orchard Series Fund offers seven funds. A review of these funds, including their
independently audited financial statements and financial highlights for the
fiscal year, is provided with this annual report.
The investment adviser for Orchard Series Fund is GW Capital Management, LLC.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of Orchard Series Fund. This report is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
For more information on Orchard Series Fund, including charges and expenses,
please contact your registered representative to obtain a prospectus. Read it
carefully before investing.
Orchard Index 500 Fund
The S&P 500 Index went for a bit of a roller coaster ride over the 12-month
period ending October 31, 1998. Starting just above the 900 level, the index
moved up to over 1130 in June, down to 950 in August only to end up at 1100 at
the end of October 1998. The major positive influence on the market has been
expectations of a lower interest rate environment as well as continued strong
earnings reports. Looking forward, expected corporate earnings growth has fallen
from double digits to flat. Asia continues to weigh on the multi-national and
export components of the index.
ORCHARD INDEX 500 FUND
$10,0000 INVESTMENT
Inception Date: February 3, 1997
<TABLE>
<S> <C> <C> <C>
ORCHARD INDEX 500 ORCHARD INDEX S&P 500 TOTAL RETURN S&P 500 BALANCE
FUND TOTAL RETURN 500 FUND BALANCE
- --------------------------------------------------------------------------------------------------------------------
10/31/97 11,738.00 11,794.00
10/31/98 21.18% 14,224.00 21.99% 14,388.00
Return Since Inception 24.14% 21.14%
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost.
<PAGE>
Orchard Index 600 Fund
The S&P 600 Index did its best to keep up with the large cap stocks early in the
year. During the month of February, the index was up over 9%. Small Cap stocks
usually perform better relative to large caps at the end of a bull market.
However, with the continued problems in Asia, there was a flight to quality
(blue chip large caps and U.S. Treasuries) and small cap stocks fell over 19% in
August and did not recover to the degree that the S&P 500 recovered. Lower
interest rates helped to support the small cap market, while worldwide economic
uncertainty weighed on market levels.
ORCHARD INDEX 600 FUND
$10,0000 INVESTMENT
Inception date: February 3, 1997
<TABLE>
<S> <C> <C> <C> <C>
ORCHARD INDEX 600 ORCHARD INDEX 600 S&P 600 BALANCE S&P 600 TOTAL RETURN
FUND TOTAL RETURN FUND BALANCE
--------------------------------------------------------------------------------------------------------------------
10/31/97 12,146.00 12,198.00
10/31/98 -11.37% 10,766.00 10,848.00 -11.07%
Return Since Inception 4.38% 3.93%
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost.
<PAGE>
Orchard Index European Fund
Investor preference for quality was seen as well in Europe. Uncertainty in
emerging markets, first Asia and now Latin America, accelerated the flow of
funds toward large cap stocks. Also, European money managers moved money out of
small cap stocks in their own country and into large caps within the EMU
countries in a shift from country based investing to sector based investing. The
outlook for the European economy is much the same as for the U.S.--lower
interest rates and flat earnings growth.
ORCHARD INDEX EUROPEAN FUND
$10,0000 INVESTMENT
Inception date: February 3, 1997
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
ORCHARD INDEX EUROPEAN ORCHARD INDEX EUROPEAN FINANCIAL TIMES S&P FINANCIAL TIMES S&P
FUND TOTAL RETURN FUND BALANCE ACTUARIES LARGE CAP ACTUARIES LARGE CAP
- ------------------------------------------------------------------------------------------------------------------------------------
10/31/97 11,647.00 11,896.00
10/31/98 21.60% 14,163.00 14,780.00 23.74%
Return Since Inception 22.00% 24.24%
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost.
<PAGE>
Orchard Index Pacific Fund
The Asian market continues to labor under hesitant restructuring of the Japanese
banking sector. There has been a lot of talk but little action. During the
recent flight to quality, the plane departed from Asia and landed at U.S.
Treasuries. The silver lining is that the relatively cheap yen has had a
positive affect on exporters. Another positive for the market is that government
officials continue to work on solutions for the banking crisis and continue to
look for incentives for the domestic consumer to open up their considerable
savings accounts.
ORCHARD INDEX PACIFIC FUND
$10,0000 INVESTMENT
Inception date: February 3, 1997
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
ORCHARD INDEX PACIFIC ORCHARD INDEX FINANCIAL TIMES S&P FINANCIAL TIMES S&P
FUND TOTAL RETURN PACIFIC FUND BALANCE ACTUARIES LARGE CAP ACTUARIES LARGE CAP
PACIFIC INDEX BALANCE PACIFIC INDEX TOTAL RETURN
- -----------------------------------------------------------------------------------------------------------------------------------
10/31/97 9,333.00 9,169.00
10/31/98 -14.98% 7,935.00 7,914.00 -13.69%
Return Since Inception -12.38% -12.54%
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost.
<PAGE>
Orchard Preferred Stock Fund
The market for dividends received deduction (DRD) eligible preferred stock was
well bid during the first seven months of the year. The lack of new DRD-eligible
supply in the market, combined with steady demand from corporate investors
desiring to take advantage of the favorable tax treatment these securities
currently receive, resulted in strong yield spread contraction and higher share
prices during the first seven months of 1998. The overall declining level of
interest rates and the strong market for common equity prices during this time
period also lent support for DRD-eligible share prices. The chaos experienced by
U.S. financial markets in the late summer and early fall months caused yield
spreads of DRD preferred shares to widen and share prices to decline. A slow
recovery in DRD share prices commenced from the lows as the end of the year
approached, and the markets became less concerned with the likelihood of a
severe credit crunch developing in the U.S. economy. These same factors had a
direct impact on the performance of the Orchard Preferred Stock Fund during
1998. The market for DRD-eligible preferred shares is relatively small, and
individual issues with similar quality and maturity (or term to call)
characteristics tend to move in tandem with the DRD preferred shares market in
general. Therefore, the performance of the fund over the course of the year
tracked its benchmark index performance closely.
ORCHARD PREFERRED STOCK
$10,0000 INVESTMENT
Inception date: February 3, 1997
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
ORCHARD PREFERRED STOCK ORCHARD PREFERRED MERRILL LYNCH MERRILL LYNCH
FUND TOTAL RETURN STOCK FUND BALANCE PREFERRED INDEX PREFERRED INDEX
PERPETUAL TOTAL PERPETUAL BALANCE
RETURN
- -----------------------------------------------------------------------------------------------------------------------------
10/31/97 10,604.00 10,705.00
10/31/98 4.52% 11,081.00 6.42% 11,392.00
Return Since Inception 6.18% 6.46%
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Orchard Value Fund
Orchard Value Fund's performance for the fiscal year ended October 31, 1998 has
been greatly impacted by the results of the third calendar quarter. This was the
most difficult quarter experienced by the fund's sub-advisor, CIC Asset
Management (CIC), in many years. The Fund's underperformance can be attributed
to three extraordinary variables that came together due to the severe financial
problems currently gripping the world.
Market Capitalization:
As the market reached extreme over-valuation in the spring and early summer, the
Fund sold very large caps and bought smaller large cap value stocks, where we
saw value opportunities. We eliminated most of our financial services positions
(30% of the Russell Value universe). Based on past experience and their
then-high dividend yields, the Fund bought a number of REIT stocks for defensive
purposes. Due to market fears, smaller caps ($1 billion to $10 B) significantly
underperformed larger cap stocks.
Cyclical Stocks:
Value stocks exist because of uncertainty about future earnings. If there were
perfect certainty, there would be no value opportunities. In a financial crisis
investors strive to eliminate all uncertainty. The Fund was weighted heavily
toward cyclical stocks, which were hurt badly by investors' desire to avoid
their uncertain prospects at any price.
Contrarian Style:
Orchard Value Fund uses a contrarian value approach, buying stocks that are out
of favor due to transitory factors. In extreme market circumstances such as a
financial crisis, our approach suffers, as investors seek "safety" and already
out-of-favor stocks become even more so.
ORCHARD VALUE INDEX
$10,0000 INVESTMENT
Inception date: March 3, 1998
<TABLE>
<S> <C> <C>
ORCHARD VALUE ORCHARD VALUE S&P 500 TOTAL RETURN S&P 500 BALANCE
FUND TOTAL RETURN FUND BALANCE
- ---------------------------------------------------------------------------------------------------------------------------
10/31/98 (non-annualized) -9.58% 9,042.06 10,486.00 4.86%
Inception Total Return (annual) -14.37% 7.43%
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost.
<PAGE>
INDEPENDENT AUDITORS' REPORT
To the Shareholders and Board of Directors of Orchard Series Fund:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of Orchard Series Fund (comprising, respectively
the Orchard Index 500 Fund, Orchard Index 600 Fund, Orchard Index European Fund,
Orchard Index Pacific Fund, Orchard Money Market Fund, Orchard Preferred Stock
Fund, and Orchard Value Fund) as of October 31, 1998, and the related statements
of operations for the year then ended, the statements of changes in net assets
for the two years in the period then ended, and the financial highlights for the
periods indicated. These financial statements and financial highlights are the
responsibility of the Company's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned as of October 31, 1998, by correspondence with the custodian
and brokers; where replies were not received from brokers, we performed other
auditing procedures. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective portfolios constituting the Orchard Series Fund as of October
31, 1998, the results of their operations for the year then ended, the changes
in their net assets for each of the two years in the period then ended,
and their financial highlights for the periods indicated, in conformity with
generally accepted accounting principles.
/s/ Deloitte & Touche LLP
Deloitte & Touche LLP
Denver, Colorado
December 2, 1998
<PAGE>
THE ORCHARD SERIES FUND
Financial Statements and Financial Highlights for
the Years Ended October 31, 1998 and 1997
<PAGE>
THE ORCHARD SERIES FUND
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 1998
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD ORCHARD ORCHARD
ORCHARD ORCHARD INDEX INDEX MONEY PREFERRED ORCHARD
INDEX 500 INDEX 600 EUROPEAN PACIFIC MARKET STOCK VALUE
FUND FUND FUND FUND FUND FUND FUND
--------- ---------- ---------- --------- --------- ---------- ---------
ASSETS:
Investments in securities, market $ 604,400,85$ 4,856,069 $ 103,352,20$ 86,045,915$ 3,225,545$ 4,302,683 $ 1,827,323
value: (1)
Cash denominated in foreign 1,539,715 244,631
currencies: (2)
Cash 269,521 31,364 6,767 12,383 48,990 413,460 10,158
Dividends and interest receivable 629,859 2,172 281,754 286,742 946 14,139 845
Subscriptions receivable 119,946 156,274 435,728
Receivables for investments sold 46,060 261,378 830,718
Variation margin on futures 43,500
contracts
--------- ---------- ---------- --------- --------- ---------- ---------
Total assets 605,509,743 4,889,605 105,598,088 87,856,117 3,275,481 4,730,282 1,838,326
--------- ---------- ---------- --------- --------- ---------- ---------
LIABILITIES:
Due to GW Capital Management 279,057 2,202 96,088 78,200 1,233 3,349 1,405
Payables for investments purchased 143,296 3,806 254,309 1,547,686 193,800
--------- ---------- ---------- --------- --------- ---------- ---------
Total liabilities 422,353 6,008 350,397 1,625,886 1,233 197,149 1,405
--------- ---------- ---------- --------- --------- ---------- ---------
NET ASSETS $ 605,087,39$ 4,883,597 $ 105,247,69$ 86,230,231$ 3,274,248$ 4,533,133 $ 1,836,921
========= ========== ========== ========= ========= ========== =========
NET ASSETS REPRESENTED BY:
Capital stock, no par value $ 520,177,36$ 4,710,858 $ 91,587,143$ 104,578,49$ 3,274,248$ 4,514,003 $ 2,036,367
Net unrealized appreciation
(depreciation) on investments and
translation of assets & 76,656,963 (208,996) 10,547,287 (15,772,294) 77,062 (220,442)
liabilities denominated in foreign
currencies
Undistributed net investment income 1,724,706 4,141 844,958 277,768 20,422 7,581
Accumulated net short-term and
long-term realized gain
(loss) on investments 6,528,357 377,594 2,268,303 (2,853,737) (78,354) 13,415
--------- ---------- ---------- --------- --------- ---------- ---------
NET ASSETS $ 605,087,39$ 4,883,597 $ 105,247,69$ 86,230,231$ 3,274,248$ 4,533,133 $ 1,836,921
========= ========== ========== ========= ========= ========== =========
NET ASSET VALUE PER OUTSTANDING SHARE $ 14.0808$ 10.4300$ 14.1074$ 7.9208$ 1.000$ 10.0569$ 9.0097
========= ========== ========== ========= ========= ========== =========
(Offering and Redemption Price)
SHARES OF CAPITAL STOCK OUTSTANDING: 42,972,562 468,225 7,460,470 10,886,517 3,274,248 450,747 203,882
(1) Cost of investments in securities: 528,305,019 5,065,065 92,775,102 101,824,398 3,225,545 4,225,621 2,047,765
(2) Cost of cash denominated in 1,569,526 238,442
foreign currencies:
</TABLE>
See notes to financial statements.
<PAGE>
THE ORCHARD SERIES FUND
STATEMENTS OF OPERATIONS
YEAR ENDED OCTOBER 31, 1998
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD ORCHARD ORCHARD
ORCHARD ORCHARD INDEX INDEX MONEY PREFERRED ORCHARD
INDEX 500 INDEX 600 EUROPEAN PACIFIC MARKET STOCK VALUE
FUND FUND FUND FUND FUND FUND FUND
---------- ---------- --------- ---------- ---------- ---------- ---------
INVESTMENT INCOME: (A)
Interest $ 253,851 $ 2,772 $ 247,502 $ 142,028 $ 178,132 $ 7,499 $ 521
Dividends 8,588,200 42,136 1,920,330 960,299 283,347 27,238
Foreign withholding tax (43,651) (12) (199,120) (110,672) (36)
---------- ---------- --------- ---------- ---------- ---------- ---------
Total income 8,798,400 44,896 1,968,712 991,655 178,132 290,846 27,723
---------- ---------- --------- ---------- ---------- ---------- ---------
EXPENSES:
Salaries 7,502 7,502 7,502
Legal and SEC fees 17,763 16,973 858
Directors' fees 935 602 21
Audit fees 10,208 10,203 4,224
Investment administration 159,273 176,408 91,401
Bank and custodial fees 60,280 54,639 2,912
Other expenses 50,677 45,670 362
Management fee 3,382,480 32,959 860,075 594,906 6,353 39,747 12,940
---------- ---------- --------- ---------- ---------- ---------- ---------
Total expenses 3,382,480 32,959 1,166,713 906,903 113,633 39,747 12,940
Less amount reimbursed by GW Capital 134,623 193,016 99,022
Management
---------- ---------- --------- ---------- ---------- ---------- ---------
Net expenses 3,382,480 32,959 1,032,090 713,887 14,611 39,747 12,940
---------- ---------- --------- ---------- ---------- ---------- ---------
NET INVESTMENT INCOME 5,415,920 11,937 936,622 277,768 163,521 251,099 14,783
---------- ---------- --------- ---------- ---------- ---------- ---------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) on investments 6,978,574 377,594 2,268,303 (2,853,736) (69,356) 13,415
Net realized loss on futures contracts (449,217)
Change in net unrealized appreciation 89,787,266 (1,016,569) 9,217,247 (4,273,774) 10,841 (220,442)
(depreciation) on investments
Change in net unrealized appreciation 561,125
on futures contracts
---------- ---------- --------- ---------- ---------- ---------- ---------
Net change in realized and
unrealized appreciation 96,877,748 (638,975) 11,485,550 (7,127,510) (58,515) (207,027)
(depreciation)
on investments
---------- ---------- --------- ---------- ---------- ---------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING
FROM OPERATIONS $ 102,293,66$ (627,038) $ 12,422,17$ (6,849,742$ 163,521 $ 192,584 $ (192,244)
========== ========== ========= ========== ========== ========== =========
</TABLE>
(A) Inception date March 2, 1998.
See notes to financial statements.
<PAGE>
THE ORCHARD SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED OCTOBER 31, 1998 AND 1997
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD ORCHARD
INDEX 500 FUND INDEX 600 FUND INDEX EUROPEAN FUND
--------------------- --------------------- -----------------------
1998 1997 1998 1997 1998 1997
---- ---- ---- ---- ---- ----
INCREASE (DECREASE) IN NET ASSETS: (A) (A) (A)
OPERATIONS:
Net investment income $ 5,415,920 $ 215,562 $ 11,937 $ 10,713 $ 936,622 $ 183,157
Net realized gain (loss) on 6,978,574 (1,000) 377,594 147,248 2,268,303 8,353
investments
Net realized (loss) on futures (449,217)
contracts
Change in net unrealized appreciation 89,787,266 (13,691,428) (1,016,569) 807,573 9,217,247 1,330,040
(depreciation) on investments
Change in unrealized appreciation on 561,125
futures contracts
--------- --------- --------- ---------- ---------- ---------
Net increase (decrease) in net assets 102,293,668 (13,476,866) (627,038) 965,534 12,422,172 1,521,550
resulting from operations
--------- --------- --------- ---------- ---------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (3,691,214) (215,562) (7,796) (10,713) (91,664) (183,157)
From net realized gains (147,248) (8,353)
--------- --------- --------- ---------- ---------- ---------
Total distributions (3,691,214) (215,562) (155,044) (10,713) (100,017) (183,157)
--------- --------- --------- ---------- ---------- ---------
SHARE TRANSACTIONS:
Net proceeds from sales of shares 92,027,475 506,935,891 40,858 4,504,385 46,677,476 61,503,150
Reinvestment of distributions 3,691,214 215,562 155,044 10,713 100,017 183,157
Redemptions of shares (82,100,085)(592,693) (142) (15,999,535) (877,122)
--------- --------- --------- ---------- ---------- ---------
Net increase in net assets resulting 13,618,604 506,558,760 195,760 4,515,098 30,777,958 60,809,185
from share transactions
--------- --------- --------- ---------- ---------- ---------
Total increase (decrease) in net 112,221,058 492,866,332 (586,322) 5,469,919 43,100,113 62,147,578
assets
NET ASSETS:
Beginning of period 492,866,332 0 5,469,919 0 62,147,578 0
========= ========= ========= ========== ========== =========
End of period (1) $ 605,087,39$ 492,866,332 $ 4,883,597$ 5,469,919 $ 105,247,691 $ 62,147,578
========= ========= ========= ========== ========== =========
OTHER INFORMATION:
SHARES:
Sold 6,788,911 42,180,500 3,389 450,337 3,231,398 5,408,490
Issued in reinvestment of 267,302 18,642 13,499 1,012 6,712 15,769
distributions
Redeemed (6,231,946) (50,847) (12) (1,128,409) (73,490)
--------- --------- ----------
--------- ---------- ---------
Net increase 824,267 42,148,295 16,876 451,349 2,109,701 5,350,769
========= ========= ========= ========== ========== =========
(1) Including undistributed net 1,724,706 0 4,141 0 844,958 0
investment income
(A) Inception date February 3, 1997.
</TABLE>
See notes to financial statements.
(Continued)
<PAGE>
THE ORCHARD SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED OCTOBER 31, 1998 AND 1997
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD ORCHARD ORCHARD
INDEX PACIFIC FUND MONEY MARKET FUND PREFERRED STOCK VALUE
FUND FUND
--------------------- -------------------- ------------------- ---------
1998 1997 1998 1997 1998 1997 1998
---- ---- ---- ---- ---- ---- ----
INCREASE (DECREASE) IN NET ASSETS: (A) (A) (A) (B)
OPERATIONS:
Net investment income $ 277,768 $ 84,735 $ 163,521 $ 110,727 $ 251,099 $ 184,541 $ 14,783
Net realized gain (loss) on (2,853,736) (1) (69,356) (8,998) 13,415
investments
Net realized (loss) on futures
contracts
Change in net unrealized appreciation (4,273,774) (11,498,520) 10,841 66,221 (220,442)
(depreciation) on investments
Change in unrealized appreciation on
futures contracts
--------- --------- -------- --------- -------- -------- ---------
Net increase (decrease) in net assets (6,849,742) (11,413,786163,521 110,727 192,584 241,764 (192,244)
resulting from operations
--------- --------- -------- --------- -------- -------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (84,735) (163,521) (110,727) (230,677) (184,541) (7,202)
From net realized gains
--------- --------- -------- --------- -------- -------- ---------
Total distributions (84,735) (163,521) (110,727) (230,677) (184,541) (7,202)
--------- --------- -------- --------- -------- -------- ---------
SHARE TRANSACTIONS:
Net proceeds from sales of shares 52,815,969 60,643,718 3,000,000 98,589 4,000,322 2,042,159
Reinvestment of distributions 84,735 163,521 110,727 230,677 184,541 7,202
Redemptions of shares (8,180,927) (785,001) (126) (12,994)
--------- --------- -------- -------- ---------
-------- ---------
Net increase in net assets 44,635,042 59,943,452 163,521 3,110,727 329,140 4,184,863 2,036,367
resulting from share transactions
--------- --------- -------- --------- -------- -------- ---------
Total increase in net assets 37,785,300 48,444,931 163,521 3,110,727 291,047 4,242,086 1,836,921
NET ASSETS:
Beginning of period 48,444,931 0 3,110,727 0 4,242,086 0 0
========= ========= ======== ========= ======== ======== =========
End of period (1) $ 86,230,231$ 48,444,93$ 3,274,248$ 3,110,727 $ 4,533,133$ 4,242,086$ 1,836,921
========= ========= ======== ========= ======== ======== =========
OTHER INFORMATION:
SHARES:
Sold 6,676,997 5,262,973 3,000,000 9,637 400,031 204,775
Issued in reinvestment of 9,095 163,521 110,727 22,656 18,435 724
distributions
Redeemed (990,283) (72,265) (12) (1,617)
--------- --------- -------- -------- -------- ---------
---------
Net increase 5,686,714 5,199,803 163,521 3,110,727 32,281 418,466 203,882
========= ========= ======== ========= ======== ======== =========
(1) Including undistributed net 277,768 0 0 0 20,422 00 7,581
investment income
(A) Inception date February 3, 1997.
(B) Inception date March 2, 1998.
(Concluded)
See notes to financial statements.
</TABLE>
<PAGE>
THE ORCHARD SERIES FUND
ORCHARD INDEX 500 FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the year ended
October 31, 1998 and the period ended October 31, 1997 are as follows:
Period Ended October 31,
------------------------------------
1998 1997
------------- --------------
(A)
Net Asset Value, Beginning of Period $ 11.6936 $ 10.0000
Income From Investment Operations
Net investment income 0.1282 0.0388
Net realized and unrealized gain 2.3471 1.6936
----------- ------------
Total Income From Investment Operations 2.4753 1.7324
Less Distributions
From net investment income (0.0881) (0.0388)
From net realized gains
----------- ------------
-----------
Total Distributions (0.0881) (0.0388)
----------- ------------
Net Asset Value, End of Period $ 14.0808 $ 11.6936
=========== ============
Total Return 21.18% 17.38%
Net Assets, End of Period $ 605,087,390 $ 492,866,332
Ratio of Expenses to Average Net Assets 0.60% 0.60%*
Ratio of Net Investment Income to Average Net 0.96% 1.67%*
Assets
Portfolio Turnover Rate 20.20% 0.45%
</TABLE>
Portfolio turnover is calculated using the lesser of long-term purchases or
sales of portfolio securities for a period, divided by the monthly average of
the market value of the securities (excluding short-term securities) owned
during the period. Purchases and sales of investment securities for the year
ended October 31, 1998 were $130,682,569 and $112,487,902, respectively.
* Annualized
(A) The portfolio commenced operations February 3, 1997.
(Continued)
<PAGE>
THE ORCHARD SERIES FUND
ORCHARD INDEX 600 FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the year ended
October 31, 1998 and the period ended October 31, 1997 are as follows:
Period Ended October 31,
------------------------------------
1998 1997
-------------- -------------
(A)
Net Asset Value, Beginning of Period $ 12.1191 $ 10.0000
Income From Investment Operations
Net investment income 0.0255 0.0238
Net realized and unrealized gain (loss) (1.3719) 2.1191
----------- -----------
Total Income (Loss) From Investment Operations (1.3464) 2.1429
Less Distributions
From net investment income (0.0167) (0.0238)
From net realized gains (0.3260)
----------- -----------
Total Distributions (0.3427) (0.0238)
----------- -----------
Net Asset Value, End of Period $ 10.4300 $ 12.1191
=========== ===========
Total Return (11.37%) 21.46%
Net Assets, End of Period $ 4,883,597 $ 5,469,919
Ratio of Expenses to Average Net Assets 0.60% 0.60%*
Ratio of Net Investment Income to Average Net 0.22% 0.30%*
Assets
Portfolio Turnover Rate 31.25% 21.58%
</TABLE>
Portfolio turnover is calculated using the lesser of long-term purchases or
sales of portfolio securities for a period, divided by the monthly average of
the market value of the securities (excluding short-term securities) owned
during the period. Purchases and sales of investment securities for the year
ended October 31, 1998 were $1,768,091 and $1,697,890, respectively.
*Annualized
(A) The portfolio commenced operations February 3, 1997.
(Continued)
<PAGE>
THE ORCHARD SERIES FUND
ORCHARD INDEX EUROPEAN FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the year ended
October 31, 1998 and the period ended October 31, 1997 are as follows:
Period Ended October 31,
--------------------------------
1998 1997
-------------- -------------
(A)
Net Asset Value, Beginning of Period $ 11.6147 $ 10.0000
Income From Investment Operations
Net investment income 0.1285 0.0343
Net realized and unrealized gain 2.3809 1.6147
------------ ----------
Total Income From Investment Operations 2.5094 1.6490
Less Distributions
From net investment income (0.0152) (0.0343)
From net realized gains (0.0015)
------------ ----------
Total Distributions (0.0167) (0.0343)
------------ ----------
Net Asset Value, End of Period $ 14.1074 $ 11.6147
============ ==========
Total Return 21.60% 16.47%
Net Assets, End of Period $ 105,247,691 $ 62,147,578
Ratio of Expenses to Average - Before Reimbursement 1.35% 1.74%*
Net Assets
- After Reimbursement 1.20% 1.20%*
#
Ratio of Net Investment Income to Average Net Assets 1.08% 0.83%*
Portfolio Turnover Rate 32.58% 5.69%
Portfolio turnover is calculated using the lesser of long-term purchases or
sales of portfolio securities for a period, divided by the monthly average of
the market value of the securities (excluding short-term securities) owned
during the period. Purchases and sales of investment securities for the year
ended October 31, 1998 were $45,999,464 and $26,886,845, respectively.
*Annualized
# Percentages are shown net of expenses reimbursed by GW Capital Management, LLC.
(A) The portfolio commenced operations February 3, 1997.
(Continued)
</TABLE>
THE ORCHARD SERIES FUND
ORCHARD INDEX PACIFIC FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the year ended
October 31, 1998 and the period ended October 31, 1997 are as follows:
Period Ended October 31,
--------------------------------
1998 1997
-------------- -------------
(A)
Net Asset Value, Beginning of Period $ 9.3167 $ 10.0000
Income From Investment Operations
Net investment income 0.0255 0.0163
Net realized and unrealized loss (1.4214) (0.6833)
------------ -----------
Total Loss From Investment Operations (1.3959) (0.6670)
Less Distributions
From net investment income (0.0163)
From net realized gains
------------ -----------
Total Distributions 0.0000 (0.0163)
------------ -----------
Net Asset Value, End of Period $ 7.9208 $ 9.3167
============ ===========
Total Return (14.98%) (6.67%)
Net Assets, End of Period $ 86,230,231 $ 48,444,931
Ratio of Expenses to Average - Before Reimbursement 1.52% 1.80%*
Net Assets
- After Reimbursement 1.20% 1.20%*
#
Ratio of Net Investment Income to Average Net Assets 0.47% 0.42%*
Portfolio Turnover Rate 8.94% 0.04%
Portfolio turnover is calculated using the lesser of long-term purchases or
sales of portfolio securities for a period, divided by the monthly average of
the market value of the securities (excluding short-term securities) owned
during the period. Purchases and sales of investment securities for the year
ended October 31, 1998 were $52,556,565 and $5,183,265, respectively.
</TABLE>
*Annualized
# Percentages are shown net of expenses reimbursed by GW Capital Management, LLC
(A) The portfolio commenced operations February 3, 1997.
(Continued)
<PAGE>
THE ORCHARD SERIES FUND
ORCHARD MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the year ended
October 31, 1998 and the period ended October 31, 1997 are as follows:
Period Ended October 31,
-------------------------------------
1998 1997
--------------- --------------
(A)
Net Asset Value, Beginning of Period $ 1.0000 $ 1.0000
Income From Investment Operations
Net investment income 0.0513 0.0363
------------ ------------
Total Income From Investment Operations 0.0513 0.0363
Less Distributions
From net investment income (0.0513) (0.0363)
------------ ------------
Total Distributions (0.0513) (0.0363)
------------ ------------
Net Asset Value, End of Period $ 1.0000 $ 1.0000
============ ============
Total Return/Yield 5.26% 3.69%
Net Assets, End of Period $ 3,274,248 $ 3,110,727
Ratio of Expenses to Average - Before 3.57% 1.54%*
Net Assets Reimbursement
- After 0.46% 0.46%*
Reimbursement #
Ratio of Net Investment Income to Average Net 5.13% 4.88%*
Assets
</TABLE>
*Annualized
# Percentages are shown net of expenses reimbursed by GW Capital Management, LLC
(A) The portfolio commenced operations February 3, 1997.
(Continued)
<PAGE>
THE ORCHARD SERIES FUND
ORCHARD PREFERRED STOCK FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the year ended
October 31, 1998 and period ended October 31, 1997 are as follows:
Period Ended October 31,
-------------------------------------
1998 1997
-------------- --------------
(A)
Net Asset Value, Beginning of Period $ 10.1372 $ 10.0000
Income From Investment Operations
Net investment income 0.5793 0.4544
Net realized and unrealized gain (loss) (0.1256) 0.1372
----------- ------------
Total Income From Investment Operations 0.4537 0.5916
Less Distributions
From net investment income (0.5340) (0.4544)
From realized gains
----------- ------------
Total Distributions (0.5340) (0.4544)
----------- ------------
Net Asset Value, End of Period $ 10.0569 $ 10.1372
=========== ============
Total Return 4.52% 6.04%
Net Assets, End of Period $ 4,533,133 $ 4,242,086
Ratio of Expenses to Average Net Assets 0.90% 0.90%*
Ratio of Net Investment Income to Average Net 5.67% 6.07%*
Assets
Portfolio Turnover Rate 48.89% 10.05%
</TABLE>
Portfolio turnover is calculated using the lesser of long-term purchases or
sales of portfolio securities for a period, divided by the monthly average of
the market value of the securities (excluding short-term securities) owned
during the period. Purchases and sales of investment securities for the year
ended October 31, 1998 were $2,080,581 and $2,121,926, respectively.
*Annualized
(A) The portfolio commenced operations February 3, 1997.
(Continued)
<PAGE>
THE ORCHARD SERIES FUND
ORCHARD VALUE FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the period March 2,
1998 (inception) to October 31, 1998, are as follows:
Period Ended
October 31,
1998
-------------
(B)
Net Asset Value, Beginning of Period $ 10.0000
Income From Investment Operations
Net investment income 0.0730
Net realized and unrealized gain (loss) (1.0275)
-------------
Total Loss From Investment Operations (0.9545)
Less Distributions
From net investment income (0.0358)
From net realized gains
-------------
Total Distributions (0.0358)
-------------
Net Asset Value, End of Period $ 9.0097
=============
Total Return (9.58%)
Net Assets, End of Period $ 1,836,921
Ratio of Expenses to Average Net Assets 1.00%*
Ratio of Net Investment Income to Average Net Assets 1.15%*
Portfolio Turnover Rate 79.58%
</TABLE>
Portfolio turnover is calculated using the lesser of long-term purchases or
sales of portfolio securities for a period, divided by the monthly average of
the market value of the securities (excluding short-term securities) owned
during the period. Purchases and sales of investment securities for the year
ended October 31, 1998 were $3,544,272 and $1,509,921, respectively.
*Annualized
(B) The portfolio commenced operations March 2, 1998.
(Concluded)
<PAGE>
THE ORCHARD SERIES FUND
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 1998
- --------------------------------------------------------------------------------
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 seven 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, Orchard Preferred Stock Fund and Orchard Value Fund.
Initial capitalization of $100,000 for each Fund, excluding Orchard Value,
was received on January 27, 1997 from Great-West Life & Annuity Insurance
Company (GWL&A). Additional capitalization was received 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 for Orchard
Index 600 Fund. Orchard Value Fund received $2,000,000 of initial
capitalization from GWL&A on February 26, 1998. At October 31, 1998,
GWL&A's investment in the Funds totaled $14,723,857.
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 - Portfolio securities that are listed on an
established securities exchange or on the NASDAQ National Market System
are valued at the last sale price as of the close of business on the day
the securities are being valued, or, lacking any sales, at the mean
between closing bid and asked price. Securities traded in the
over-the-counter market 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 that are traded both in
the over-the-counter market and on an exchange are valued according to the
broadest and most representative 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 the direction of the Board of
Directors, including valuations furnished by a pricing service that may be
retained by the Fund. Short-term and money market securities are valued at
amortized cost which approximates market value.
Dividend income for the Funds is accrued as of the ex-dividend date and
interest income is accrued daily.
Dividends - Dividends from investment income of the Orchard Money Market
Fund are declared daily and reinvested monthly. Dividends from investment
income of the Orchard Preferred Stock Fund are declared and reinvested
quarterly. Dividends from investment income of the Orchard Index 500 Fund,
Orchard Index 600 Fund and Orchard Value Fund are declared and reinvested
semi-annually while dividends from investment income of the Orchard Index
Pacific Fund and Orchard Index European Fund are declared and reinvested
annually. All of the Funds generally distribute capital gains, if any, in
the fiscal year in which they were earned.
Security Transactions - Security transactions are accounted for on the
date the securities are purchased or sold (trade date). The cost of
investments sold is determined on the basis of the first-in, first-out
method (FIFO).
Foreign Currency Translation - The accounting records of the Orchard Index
European Fund and Orchard Index Pacific Fund are maintained in U.S.
dollars. Investment securities, and other assets and liabilities
denominated in a foreign currency are translated into U.S. dollars at the
current exchange rate. Purchases and sales of securities, income receipts
and expense payments are translated into U.S. dollars at the exchange rate
on the dates of the transactions.
The Orchard Index European Fund and Orchard Index Pacific Fund do not
isolate that portion of the results of operations resulting from changes
in foreign exchange rates from the fluctuations arising from changes in
market prices of securities held. Such fluctuations are included with the
net realized and unrealized gain or loss from investments.
Net realized foreign exchange gains or losses arise from sales of foreign
currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions, the difference between the
amounts of dividends, interest, and foreign withholding taxes recorded on
the fund's books, and the U.S. dollar equivalent of the amounts actually
received or paid. Net unrealized foreign exchange gains and losses arise
from changes in the fair values of assets and liabilities other than
investments in securities at fiscal period end, resulting from changes in
exchange rates.
Financial Futures Contracts - The index funds may invest in financial
futures contracts as a substitute for a comparable market position in the
underlying securities. Upon entering into a financial futures contract,
the funds are required to pledge to the broker an amount of cash and/or
other assets equal to a certain percentage of the contract amount (initial
margin deposit). Subsequent payments, known as "variation margin", are
made or received by the funds each day, depending on the daily
fluctuations in the fair value of the underlying security. Should market
conditions move unexpectedly, the funds may not achieve the anticipated
benefits of the financial futures contracts and may realize a loss. The
use of future transactions involves the risk of imperfect correlation in
movements in the price of futures contracts and the underlying hedged
assets.
Federal Income Taxes - For federal income tax purposes, each Fund
qualifies as a regulated investment company under the provisions of the
Internal Revenue Code by distributing substantially all of its taxable net
income (both ordinary and capital gain) to its shareholders and complying
with other requirements for regulated investment companies. Accordingly,
no provision for federal income taxes has been made. At October 31, 1998,
the Orchard Pacific Index Fund and Orchard Index Preferred Stock Funds had
available for federal income tax purposes unused capital loss carryovers
of $2,841,310 and $78,354, respectively, which expire in 2005 and 2006.
3. INVESTMENT ADVISORY AGREEMENT
GW Capital Management, LLC ("Capital Management"), a wholly-owned
subsidiary of GWL&A, serves as investment adviser to the Funds pursuant to
an investment advisory agreement, which was approved by the Funds' Board
of Directors. Capital Management is a registered investment adviser under
the Investment Advisers Act of 1940. The investment advisory agreement
provides that Capital Management, subject to the supervision and approval
of the Funds' Board of Directors, is responsible for the day-to-day
management of each Fund which includes selecting the Funds' investments
and handling their business affairs.
As compensation for its services to the Funds, the investment adviser
receives monthly compensation at the annual rate of .20% of the average
daily net assets of the Orchard Money Market Fund, .90% of the average
daily net assets of the Orchard Preferred Stock Fund, .60% of the average
daily net assets of the Orchard Index 500 Fund and Orchard Index 600 Fund
and 1.00% of the average daily net assets of the Orchard Index Pacific
Fund, Orchard Index European Fund, and Orchard Value Fund.
Subject to revision, Capital Management has voluntarily agreed to
reimburse the Orchard Index Pacific Fund, the Orchard Index European Fund,
and the Orchard Money Market Fund to the extent that total operating
expenses exceed 1.20%, 1.20%, and .46%, respectively, of average net
assets. Interest, taxes, brokerage commissions, and extraordinary expenses
are not eligible for reimbursement.
4. OTHER RELATED PARTY TRANSACTIONS
One Orchard Equities, a wholly-owned subsidiary of One Corporation, which
is a wholly-owned subsidiary of GWL&A, distributes and markets the Trust's
Funds. Financial Administrative Services Corporation, 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 an unlimited number of shares with no stated par
value for each portfolio in the Trust. Shares may be issued in one or more
series of shares, and each series may be issued in one or more classes of
shares. Each Fund represents a separate series of shares.
6. UNREALIZED APPRECIATION (DEPRECIATION)
Gross unrealized appreciation (depreciation) of investments is as follows
as of October 31, 1998:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Orchard
Orchard Orchard Index Orchard Orchard Orchard
Index Index European Index Preferred Value
500 600 Pacific
Fund Fund Fund Fund Stock Fund
Fund
--------- --------- ---------- --------- --------- ----------
Gross 107,789,664786,585 15,421,726 2,867,149 117,186 69,646 $
appreciation
Gross (31,693,826(995,581) (4,874,439) (18,639,443(40,124) (290,088)
depreciation
--------- --------- ---------- --------- --------- -----------
Net
unrealized
appreciation 76,095,83$ (208,996) ========= = ======== = ======= =============
10,547,287$ (15,772,2$4)77,062 (220,442)
(depreciation)
========= =========
=======================================================================================
</TABLE>
7. FUTURES CONTRACTS
As of October 31, 1998, the Orchard Index 500 Fund had purchased 20 S&P
500 futures contracts. The contracts expire in December 1998 and the fund
has recorded an unrealized gain of $561,125 as of October 31, 1998.
<PAGE>
The Orchard Series Fund
Orchard Index 500 Fund
COMMON STOCK
AGENCY --- 1.3%
45,840 Federal Home Loan Mortgage Corp 2,635,800
70,120 Federal National Mortgage Association (nonvtg) 4,965,337
$7,601,137
AIR --- 0.5%
12,240 AMR Corp* 820,080
5,150 Delta Air Lines Inc 543,644
10,084 FDX Corp* 530,035
22,697 Southwest Airlines Co 480,881
6,440 US Air Group Inc* 364,259
$2,738,899
COMMUNICATIONS --- 3.3%
122,120 AT&T Corp 7,601,970
38,780 Airtouch Communications Inc* 2,171,680
48,370 CBS Corp 1,351,313
11,210 Cabletron Systems Inc* 127,514
16,700 Clear Channel Communications Inc* 760,885
24,940 Comcast Corp Class A 1,231,413
19,200 Gannett Company Inc 1,188,000
10,300 General Instrument Corp* 264,576
41,170 Mediaone Group Inc 1,741,985
19,500 Nextel Communications Inc* 353,438
35,300 Tele-Communications Inc* 1,487,013
24,160 Viacom Inc Class B* 1,446,580
$19,726,367
CONSTRUCTION --- 0.0%
4,140 Centex Corp 138,690
2,730 Kaufman & Broad Home Corp 77,974
2,920 Pulte Corp 75,190
$291,854
CONSUMER SERVICES --- 8.2%
4,450 Allergan Inc 277,845
17,100 Amgen Inc* 1,343,410
3,840 Bausch & Lomb Inc 160,078
19,300 Baxter International Inc 1,156,784
16,680 Becton Dickinson & Co 702,645
7,680 Biomet Inc 260,636
67,200 Bristol-Myers Squibb Co 7,429,766
3,840 CR Bard Inc 163,918
26,260 CVS Corp 1,199,741
58,019 Cendant Corp* 663,563
43,610 Columbia/HCA Healthcare Corp 915,810
74,420 Eli Lilly & Co 6,023,332
6,670 H&R Block Inc 298,896
7,440 HCR Manor Care Inc* 241,800
6,970 Harrah's Entertainment Inc* 98,451
28,940 Healthsouth Corp* 350,898
17,380 Hilton Hotels Corp 348,678
11,420 Humana Inc* 216,261
11,230 IMS Health Inc 746,795
90,910 Johnson & Johnson 7,409,165
5,040 King World Productions Inc* 132,300
17,150 Marriott International Inc 460,906
31,660 Medtronic Inc 2,057,900
80,510 Merck & Co Inc 10,888,978
12,300 Mirage Resorts Inc* 208,325
17,370 Service Corporation International 618,806
5,775 St Jude Medical Inc* 163,144
20,820 Tenet Healthcare Corp* 581,648
138,530 The Walt Disney Co 3,731,583
13,340 United Healthcare Corp 581,117
$49,433,179
CREDIT INSTITUTIONS --- 8.5%
30,860 American Express Co 2,727,253
23,338 Associates First Capital Corp 1,645,329
19,300 BB&T Corp 688,759
79,118 Bank One Corp 3,866,892
50,480 Bank of New York Company Inc 1,593,250
117,451 BankAmerica Corp 6,746,033
19,820 BankBoston Corp 729,614
6,460 Bankers Trust New York Corp 405,766
4,500 Capital One Financial Corp 457,875
57,860 Chase Manhattan Corp 3,287,142
11,400 Cincinnati Financial Corp 425,357
10,470 Comerica Inc 675,315
7,600 Countrywide Credit Industries Inc 328,221
18,030 Fifth Third Bancorp 1,194,488
65,487 First Union Corp 3,798,246
38,380 Fleet Financial Group Inc 1,532,782
3,940 Golden West Financial Corp 357,307
33,279 Household International Inc 1,216,747
14,520 Huntington Bancshares Inc 417,450
11,940 JP Morgan & Co Inc 1,125,345
29,740 KeyCorp 901,479
50,812 MBNA Corp 1,159,123
17,580 Mellon Bank Corp 1,056,998
10,200 Mercantile Bancorporation Inc 466,007
22,260 National City Corp 1,431,585
7,600 Northern Trust Corp 560,500
20,350 PNC Bank Corp 1,017,500
14,600 Regions Financial Corp 540,200
11,000 State Street Boston Corp 686,125
14,070 Suntrust Banks Inc 980,496
18,050 Synovus Financial Corp 418,525
50,149 U S Bancorp 1,830,439
8,700 Union Planters Corp 404,002
13,920 Wachovia Corp 1,264,980
40,063 Washington Mutual Inc 1,499,839
57,430 Wells Fargo & Co 4,022,699
$51,459,668
ELECTRIC --- 2.5%
12,000 AES Corp* 491,244
9,370 Ameren Corp 374,210
12,840 American Electric Power Company Inc 628,351
10,210 Baltimore Gas & Electric Co 320,339
10,310 Carolina Power & Light Co 472,971
14,360 Central & SouthWest Corp 399,380
10,820 Cinergy Corp 373,290
15,770 Consolidated Edison Inc 790,471
9,910 DTE Energy Co 422,414
13,230 Dominion Resources Inc 611,054
24,364 Duke Power Co 1,576,034
23,820 Edison International 628,253
16,670 Entergy Corp 479,263
12,230 FPL Group Inc 765,133
16,190 Firstenergy Corp 485,700
8,590 GPU Inc 370,444
19,944 Houston Industries Inc 619,501
12,810 Niagara Mohawk Power Corp* 187,346
10,400 Northern States Power Co 280,800
10,867 PP&L Resources Inc 294,767
20,320 PacifiCorp 387,340
15,060 Peco Energy Co 582,626
15,680 Public Service Enterprise Group Inc 595,840
47,110 Southern Co 1,327,890
18,881 Texas Utilities Co 826,044
14,660 Unicom Corp 552,491
$14,843,196
ELECTRONICS - HIGH TECH --- 16.9%
14,760 AMP Inc 606,075
4,600 Adobe Systems Inc 170,775
9,800 Advanced Micro Devices Inc* 221,108
1,920 Aeroquip-Vickers Inc 60,480
5,860 Andrew Corp* 95,958
9,190 Apple Computer Inc* 341,179
24,760 Applied Materials Inc* 858,850
14,600 Ascend Communications Inc* 704,450
6,260 Black & Decker Corp 323,561
13,230 Boston Scientific Corp* 720,202
1,620 Briggs & Stratton Corp 76,140
105,152 Cisco Systems Inc* 6,624,576
112,947 Compaq Computer Corp 3,571,949
3,430 Data General Corp* 58,310
85,540 Dell Computer Corp* 5,602,870
21,750 Eastman Kodak Co 1,685,625
29,740 Emerson Electric Co 1,962,840
10,500 Gateway 2000 Inc* 586,026
219,980 General Electric Co 19,248,250
5,460 Harris Corp 191,439
70,270 Hewlett-Packard Co 4,229,340
8,590 Honeywell Inc 686,126
113,540 Intel Corp 10,126,292
63,080 International Business Machines Corp 9,363,406
5,760 Johnson Controls Inc 324,000
5,900 KLA-Tencor Corp* 217,563
9,590 LSI Logic Corp* 145,049
14,550 Micron Technology Inc* 552,900
166,600 Microsoft Corp* 17,638,775
40,350 Motorola Inc 2,098,200
11,200 National Semiconductor Corp* 142,094
44,064 Northern Telecom Ltd 1,886,468
24,160 Novell Inc* 359,380
25,810 PG&E Corp 785,579
3,330 Perkin-Elmer Corp 280,759
3,030 Polaroid Corp 80,483
22,880 Raytheon Co 1,328,459
5,350 Scientific-Atlanta Inc 79,913
16,590 Seagate Technology Inc* 437,561
12,930 Silicon Graphics Inc* 145,463
25,570 Sun Microsystems Inc* 1,489,453
3,430 Tektronix Inc 61,311
13,230 Tellabs Inc* 727,650
26,380 Texas Instruments Inc 1,686,658
11,310 Thermo Electron Corp* 225,487
3,840 Thomas & Betts Corp 171,598
17,430 Unisys Corp* 464,074
6,680 WW Grainger Inc 307,694
22,140 Xerox Corp 2,144,792
$101,897,190
ENVIRONMENTAL SERVICES --- 0.4%
11,860 Browning-Ferris Industries Inc 420,283
22,530 Laidlaw Inc Class B 212,616
38,586 Waste Management Inc 1,741,193
$2,374,092
FINANCIAL SERVICES --- 0.1%
7,380 Republic New York Corp 308,573
$308,573
FORESTRY --- 0.4%
3,930 Boise Cascade Corp 110,040
6,370 Georgia-Pacific Corp 329,648
20,720 International Paper Co 962,175
7,480 Louisiana-Pacific Corp 132,770
13,450 Weyerhaeuser Co 629,621
$2,164,254
GAS --- 0.6%
5,660 Columbia Gas System Inc 327,573
6,570 Consolidated Natural Gas Co 346,975
1,410 Eastern Enterprises 57,897
22,190 Enron Corp 1,170,523
3,330 Nicor Inc 141,109
2,120 Oneok Inc 72,610
2,420 Peoples Energy Corp 89,238
7,560 Sonat Inc 229,159
11,630 Tenneco Inc 353,261
28,640 Williams Companies Inc 785,796
$3,574,141
HIGHWAYS --- 0.0%
4,960 Ryder System Inc 122,140
$122,140
HOLDING & INVEST OFFICES --- 0.2%
7,780 MGIC Investment Corp 303,420
11,300 SLM Holding Corp 452,701
11,900 Summit Bancorp 451,450
$1,207,571
INDUSTRIAL SERVICES --- 3.5%
3,230 Autodesk Inc 100,734
20,320 Automatic Data Processing Inc 1,581,140
13,900 BMC Software Inc* 668,062
4,950 Ceridian Corp* 284,006
37,905 Computer Associates International Inc 1,492,509
10,600 Computer Sciences Corp 559,150
5,560 Deluxe Corp 180,005
11,730 Dun & Bradstreet Corp 332,839
3,130 EG&G Inc 78,641
33,200 Electronic Data Systems Corp 1,350,808
10,100 Equifax Inc 390,739
30,140 First Data Corp 798,710
5,360 Fluor Corp 208,032
2,830 Foster Wheeler Corp 44,926
29,100 HBO & Co 763,875
9,290 Interpublic Group of Companies Inc 543,465
88,860 Lucent Technologies Inc 7,125,417
2,830 National Service Industries Inc 101,526
11,600 Omnicom Group Inc 573,469
65,735 Oracle Systems Corp* 1,943,258
18,600 Parametric Technology Corp* 309,225
11,000 Paychex Inc 547,250
15,800 Peoplesoft Inc* 334,755
18,520 Pitney Bowes Inc 1,019,748
1,810 Shared Medical Systems Corp 90,274
$21,422,563
INSURANCE --- 5.0%
11,320 AON Corp 701,840
9,710 Aetna Inc 724,609
55,960 Allstate Corp 2,409,750
17,072 American General Corp 1,169,432
70,987 American International Group Inc 6,051,642
11,130 Chubb Capital Corp 684,495
14,350 Cigna Corp 1,046,646
154,359 Citigroup Inc 7,264,443
21,031 Conseco Inc 729,502
5,060 General Re Corp 1,111,616
15,780 Hartford Financial Services Group Inc 838,313
7,175 Jefferson-Pilot Corp 435,881
6,780 Lincoln National Corp 514,433
7,680 Loews Corp 721,436
6,760 MBIA Inc 413,205
17,250 Marsh & McLennan Companies Inc 957,375
4,900 Progressive Corp 721,525
9,200 Provident Companies Inc 267,370
6,470 Providian Financial Corp 513,556
9,490 SafeCo Corp 411,031
16,108 St Paul Companies Inc 533,578
13,150 SunAmerica Inc 927,075
9,600 Torchmark Corp 420,000
4,250 TransAmerica Corp 442,000
9,300 Unum Corp 413,264
$30,424,017
MFTG - CONSUMER PRODS --- 11.6%
2,520 Adolph Coors Co Class B 126,000
3,740 Alberto-Culver Co Class B 99,342
4,750 American Greetings Corp Class A 190,594
32,570 Anheuser-Busch Companies Inc 1,935,863
40,481 Archer-Daniels-Midland Co 675,506
17,800 Avon Products Inc 706,429
19,420 Bestfoods 1,058,390
4,650 Brown-Forman Corp Class B 315,907
6,870 Brunswick Corp 133,532
30,340 Campbell Soup Co 1,617,486
166,680 Coca-Cola Co 11,271,735
26,600 Coca-Cola Enterprises Inc 959,249
19,920 Colgate-Palmolive Co 1,760,430
32,960 ConAgra Inc 1,003,204
6,370 Dow Jones & Company Inc 291,822
5,050 Fruit of the Loom Inc Class A* 77,013
10,410 General Mills Inc 765,135
75,940 Gillette Co 3,412,516
24,470 HJ Heinz Co 1,422,319
4,850 Harcourt General Inc 236,132
8,890 Hasbro Inc 311,701
9,610 Hershey Foods Corp 651,673
9,290 Ikon Office Solutions Inc 87,670
7,380 International Flavors & Fragrances Inc 276,285
2,630 Jostens Inc 59,338
27,520 Kellogg Co 908,160
5,370 Knight-Ridder Inc 273,532
4,550 Liz Claiborne Inc 133,656
23,240 Masco Corp 655,066
19,700 Mattel Inc 706,738
6,270 Maytag Corp 309,970
6,770 McGraw-Hill Companies Inc 608,873
3,640 Meredith Corp 134,680
12,940 New York Times Co Class A 365,555
10,920 Newell Co 480,480
19,410 Nike Inc Class B 847,965
99,570 Pepsico Inc 3,360,488
164,430 Philip Morris Companies Inc 8,406,484
16,480 Pioneer Hi-Bred International Inc 461,440
90,620 Procter & Gamble Co 8,053,853
9,300 Quaker Oats Co 549,277
21,900 RJR Nabisco Holdings Corp 625,508
9,510 RR Donnelley & Sons Co 410,119
21,040 Ralston-Ralston Purina Group 702,210
3,840 Reebok International Ltd* 63,840
10,210 Rubbermaid Inc 338,839
2,430 Russell Corp 59,686
31,560 Sara Lee Corp 1,883,722
23,380 Seagram Company Ltd 768,618
1,310 Springs Industries Inc Class A 46,341
5,970 The Times Mirror Co Class A 330,959
40,430 Time Warner Inc 3,752,389
8,290 Tribune Co 477,711
3,940 Tupperware Corp 61,314
12,740 UST Inc 433,160
43,280 Unilever NV ADR 3,256,820
8,280 VF Corp 346,203
5,150 Whirlpool Corp 263,938
7,580 Willamette Industries Inc 234,980
7,780 Wm Wrigley Jr Co 629,690
$70,387,535
MFTG - INDUSTRIAL PRODS --- 11.2%
24,230 3Com Corp* 873,782
104,080 Abbott Laboratories 4,885,203
15,560 Air Products & Chemicals Inc 587,390
15,570 Alcan Aluminium Ltd 394,108
13,530 Allegheny Teledyne Inc 278,204
12,530 Aluminum Company of America 993,003
5,960 Alza Corp* 285,335
88,960 American Home Products Corp 4,336,800
7,380 Armco Inc* 35,055
2,730 Armstrong World Industries Inc 169,260
2,120 Ball Corp 89,436
3,640 Bemis Company Inc 135,135
8,880 Bethlehem Steel Corp* 79,920
5,150 Case Corp 113,300
24,580 Caterpillar Inc 1,106,100
6,570 Champion International Corp 209,826
7,080 Clorox Co 773,490
7,980 Cooper Industries Inc 352,118
5,260 Cooper Tire & Rubber Co 87,448
15,870 Corning Inc 576,271
4,695 Crane Co 135,272
8,490 Crown Cork & Seal Company Inc 270,619
16,490 Deere & Co 583,334
15,260 Dover Corp 484,505
15,080 Dow Chemical Co 1,411,865
76,500 EI DuPont De Nemours & Co 4,398,750
33,740 EMC Corp* 2,172,013
5,450 Eastman Chemical Co 320,188
8,880 Ecolab Inc 265,290
9,910 Engelhard Corp 208,110
15,060 Fort James Corp 607,099
10,710 Goodyear Tire & Rubber Co 577,001
4,040 Great Lakes Chemical Corp 168,165
10,100 Guidant Corp 772,650
3,330 Harnischfeger Industries Inc 31,425
6,470 Hercules Inc 215,529
8,090 ITT Industries Inc 289,218
16,880 Illinois Tool Works Inc 1,082,430
11,320 Ingersoll-Rand Co 571,660
37,020 Kimberly-Clark Corp 1,786,215
5,050 Mallinckrodt Inc 143,925
7,080 Mead Corp 223,905
2,730 Milacron Inc 52,894
3,030 Millipore Corp 74,614
27,310 Minnesota Mining & Manufacturing Co 2,184,800
40,540 Monsanto Co 1,646,938
6,070 Moore Corporation Ltd 68,664
8,900 Morton International Inc 221,388
530 Nacco Industries Inc Class A 48,760
4,550 Nalco Chemical Co 140,763
6,060 Nucor Corp 274,591
10,600 Owens-Illinois Inc* 323,957
11,940 PPG Industries Inc 682,813
8,480 Pall Corp 214,120
7,575 Parker Hannifin Corp 270,806
88,360 Pfizer Inc 9,482,088
34,280 Pharmacia & Upjohn Inc 1,814,680
2,020 Potlatch Corp 73,730
10,810 Praxair Inc 435,103
5,760 Raychem Corp 176,037
4,940 Reynolds Metals Co 296,089
13,060 Rockwell International Corp 536,270
12,220 Rohm & Haas Co 412,425
49,560 Schering-Plough Corp 5,098,485
5,712 Sealed Air Corp* 202,416
11,820 Sherwin-Williams Co 297,710
6,870 Sigma Aldrich Corp 212,324
4,040 Snap-On Inc 143,165
7,170 Stone Container Corp Series E* 68,560
3,840 Temple-Inland Inc 186,478
5,040 The BF Goodrich Co 181,440
6,060 The Stanley Works 181,800
4,240 The Timken Co 75,523
43,505 Tyco International Ltd 2,694,569
19,610 USX-Marathon Group 640,992
6,060 USX-US Steel Group 140,895
4,750 Union Camp Corp 204,250
9,090 Union Carbide Corp 349,965
5,160 WR Grace & Co 89,655
55,500 Warner-Lambert Co 4,349,813
6,970 Westvaco Corp 171,636
6,560 Worthington Industries Inc 88,967
$67,890,525
MINING --- 0.3%
2,730 Asarco Inc 58,523
25,170 Barrick Gold Corp 538,009
15,770 Battle Mountain Gold Co 85,741
6,370 Cyprus Amax Minerals Co 79,224
12,340 Freeport-McMoran Copper & Gold Inc 151,930
14,510 Homestake Mining Co 172,306
11,320 Inco Ltd 120,977
11,113 Newmont Mining Corp 236,151
4,050 Phelps Dodge Corp 233,381
17,080 Placer Dome Inc 269,010
$1,945,252
OIL & GAS --- 7.0%
6,070 Amerada Hess Corp 335,368
64,440 Amoco Corp 3,616,695
8,200 Anadarko Petroleum Corp 277,775
6,700 Apache Corp 189,690
5,240 Ashland Inc 252,175
21,640 Atlantic Richfield Co 1,490,455
21,708 Baker Hughes Inc 478,922
12,120 Burlington Resources Inc 499,186
44,190 Chevron Corp 3,601,485
14,360 Coastal Corp 506,190
164,880 Exxon Corp 11,747,700
29,610 Halliburton Co 1,064,095
3,420 Helmerich & Payne Inc 81,437
3,230 Kerr-McGee Corp 128,796
4,040 McDermott International Inc 118,420
52,780 Mobil Corp 3,994,760
23,850 Occidental Petroleum Corp 474,019
7,280 Oryx Energy Co* 101,920
3,230 Pennzoil Co 115,876
17,400 Phillips Petroleum Co 752,550
5,860 Rowan Companies Inc* 85,333
145,000 Royal Dutch Petroleum Co ADR 7,141,250
36,760 Schlumberger Ltd 1,929,900
16,461 Sempra Energy 427,986
6,350 Sun Company Inc 217,881
36,200 Texaco Inc 2,147,094
17,190 Union Pacific Resources Group Inc 223,470
16,290 UnoCal Corp 552,834
$42,553,262
OTHER TRANS SERVICES --- 0.0%
2,420 FMC Corp* 123,570
$123,570
RAILROADS --- 0.5%
31,930 Burlington Northern Santa Fe Corp 985,839
14,760 CSX Corp 579,330
25,570 Norfolk Southern Corp 842,199
16,680 Union Pacific Corp 794,385
$3,201,753
RETAIL TRADE --- 6.2%
16,590 Albertson's Inc 921,774
18,520 American Stores Co 603,048
10,510 Autozone Inc* 276,539
6,870 Circuit City Stores Inc 248,605
7,500 Consolidated Stores Corp* 123,278
9,520 Darden Restaurants Inc 157,080
29,620 Dayton Hudson Corp 1,255,148
7,580 Dillards Inc Class A 235,450
12,625 Dollar General Corp 301,422
14,250 Federated Department Stores Inc* 547,727
11,830 Fortune Brands Inc 391,123
10,500 Fred Meyer Inc* 559,776
26,565 Gap Inc 1,597,221
12,235 Genuine Parts Co 385,403
2,620 Great Atlantic & Pacific Tea Co Inc 61,570
99,380 Home Depot Inc 4,323,030
17,070 JC Penney & Co Inc 810,825
33,660 K Mart Corp* 475,448
10,800 Kohls Corp* 516,370
17,280 Kroger Co* 959,040
15,600 Limited Inc 399,750
2,630 Longs Drug Stores Corp 102,733
23,760 Lowe's Companies Inc 800,403
15,590 May Department Stores Co 950,990
46,230 McDonald's Corp 3,091,631
10,220 Nordstrom Inc 279,129
3,740 Owens Corning 135,807
4,340 Pep Boys - Manny Moe & Jack 67,813
17,380 Rite Aid Corp 689,760
26,490 Sears Roebuck & Co 1,190,381
19,600 Staples Inc* 639,450
21,700 TJX Companies Inc 410,933
6,880 Tandy Corp 340,987
17,800 Toys R Us Inc* 348,204
10,417 Tricon Global Restaurants* 453,140
9,300 Venator Group Inc* 78,464
151,140 Wal-Mart Stores Inc 10,428,660
33,560 Walgreen Co 1,633,936
8,690 Wendy's International Inc 182,490
10,110 Winn-Dixie Stores Inc 343,103
$37,317,641
SECURITIES & COMMODITIES --- 1.0%
7,800 Bear Stearns Companies Inc 278,359
18,050 Charles Schwab & Company Inc 865,263
17,400 Franklin Resources Inc 657,929
8,100 Lehman Brothers Holdings Inc 307,290
23,540 Merrill Lynch & Co Inc 1,394,745
39,521 Morgan Stanley Group 2,558,985
$6,062,571
TELEPHONE --- 6.1%
18,540 Alltel Corp 867,894
74,520 Ameritech Corp 4,019,385
104,966 Bell Atlantic Corp 5,576,319
66,450 Bellsouth Corp 5,303,507
11,720 Frontier Corp 352,327
65,130 GTE Corp 3,822,284
120,033 MCI Worldcom Inc* 6,631,823
132,368 SBC Communications Inc 6,130,227
29,020 Sprint Corp 2,227,285
33,906 US West Inc 1,945,357
$36,876,408
TRANSPORTATION EQUIPMENT --- 3.3%
37,920 Allied-Signal Inc 1,476,491
43,650 Chrysler Corp 2,100,656
2,630 Cummins Engine Company Inc 89,749
11,303 Dana Corp 472,601
4,850 Eaton Corp 328,282
2,320 Fleetwood Enterprises Inc 74,820
81,900 Ford Motor Co 4,443,075
8,480 General Dynamics Corp 501,906
44,170 General Motors Corp Series D 2,785,449
13,140 Lockheed Martin Corp 1,463,468
4,550 Navistar International Corp* 94,981
4,640 Northrop Grumman Corp 370,040
5,360 Paccar Inc 233,830
8,290 TRW Inc 472,008
11,020 Textron Inc 819,613
68,348 The Boeing Co 2,563,050
15,380 United Technologies Corp 1,464,945
$19,754,964
WHOLESALE TRADE - CONSUMER --- 0.5%
7,980 Avery Dennison Corp 330,667
9,000 Cardinal Health Inc 851,058
14,560 Costco Companies Inc* 826,280
8,300 SuperValu Inc 199,200
22,760 Sysco Corp 613,086
$2,820,291
TOTAL COMMON STOCK --- 99.0% $598,522,613
(Cost $522,426,775)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 0.8%
4,777,000 Prudential Funding Corp 4,775,522
$4,775,522
U.S. GOVERNMENTS --- 0.2%
1,000,000 United States of America (1) 1,000,722
103,000 United States of America (1) 102,000
$1,102,722
TOTAL SHORT-TERM INVESTMENTS --- 1.0% $5,878,244
(Cost $5,878,244)
TOTAL ORCHARD INDEX 500 FUND --- 100.0% $604,400,857
(Cost $528,305,019)
The Orchard Series Fund
Orchard Index 600 Fund
COMMON STOCK
AGRICULTURE --- 1.3%
500 Dekalb Genetics Corp Class B 45,813
566 Delta & Pine Land Co 18,890
$64,703
AIR --- 1.3%
550 Air Express International Corp 11,550
1,050 Comair Holdings Inc 34,519
400 Mesa Air Group Inc* 2,025
300 Offshore Logistics Inc* 4,509
300 Pittston Burlington Group 1,744
400 Skywest Inc 10,200
$64,547
COMMUNICATIONS --- 0.9%
400 Allen Group Inc* 2,200
800 CommScope Inc* 11,150
600 General Communication Inc Class A* 1,800
400 HA-LO Industries Inc* 11,300
300 Metro Networks Inc* 10,988
500 Picturetel Corp* 3,688
300 TCSI Corp* 863
$41,989
CONSTRUCTION --- 1.5%
400 Apogee Enterprises Inc 4,200
825 DR Horton Inc 13,097
400 Geon Co 8,675
400 Insituform Technologies Inc Class A* 4,825
300 MDC Holdings Inc 5,269
800 Morrison Knudsen Corp* 7,950
200 Southern Energy Homes Inc* 1,150
500 Standard Pacific Corp 4,844
200 The Ryland Group Inc 4,975
600 Toll Brothers Inc* 13,912
200 US Home Corp* 6,325
$75,222
CONSUMER SERVICES --- 8.9%
400 Access Health Inc* 14,350
400 Advo Inc* 10,175
500 American Oncology Resources* 6,656
100 Angelica Corp 1,744
700 Aztar Corp* 3,631
200 CPI Corp 4,587
200 Carmike Cinemas Inc Class A* 3,737
450 Central Parking Corp 18,872
200 Cooper Companies Inc* 4,750
900 Coventry Health Care Inc* 8,718
200 Curative Technologies Inc* 5,450
200 Datascope Corp* 4,512
1,100 DeVry Inc* 24,200
200 Diagnostic Products Corp 4,512
420 Enzo Biochem Inc* 4,410
400 Family Golf Centers Inc* 8,425
400 Franklin Covey Co* 7,900
300 G&K Services Inc Class A 13,725
100 GC Companies Inc* 3,738
500 Genesis Health Ventures Inc* 6,750
100 Global Motorsport Group Inc* 1,750
600 Grand Casinos Inc* 5,287
400 Hollywood Park Inc* 3,825
400 Incyte Pharmaceuticals Inc* 12,200
200 Insurance Auto Actions Inc* 2,475
832 Integrated Health Services Inc 13,468
700 Interim Services Inc* 14,875
500 Jones Pharmaceuticals Inc 16,156
500 Magellan Health Services Inc* 4,531
1,165 Mariner Post-Acute Network Inc* 6,771
400 MedQuist Inc* 10,775
300 NCS HealthCare Inc Class A* 5,288
300 NFO Worldwide Inc* 2,813
500 North American Vaccine Inc* 7,563
700 Orthodontic Centers of America Inc* 13,256
200 Pediatrix Medical Group* 9,325
1,200 Phycor Inc* 8,700
400 Players International Inc* 1,725
400 Prepaid Legal Services Inc* 9,575
500 Primadonna Resorts Inc* 3,625
800 Prime Hospitality Corp* 7,300
400 Regis Corp 12,275
600 Renal Care Group Inc* 17,475
950 Rollins Truck Leasing Corp 11,044
500 Sequus Pharmaceuticals Inc* 8,969
450 Sierra Health Services Inc* 10,490
400 Superior Services Inc* 8,400
450 The Marcus Corp 6,919
500 Universal Health Services Inc Class B* 25,656
500 Westwood One Inc* 9,000
$432,353
CREDIT INSTITUTIONS --- 8.1%
1,000 Americredit Corp* 13,375
300 Anchor Bancorp Wisconsin Inc 6,450
900 Astoria Financial Corp 38,700
300 Carolina First Corp 6,919
375 Commerce Bancorp Inc 15,234
950 Commercial Federal Corp 21,553
400 Cullen/Frost Bankers Inc 21,300
441 Downey Financial Corp 10,336
500 First Midwest Bancorp Inc 20,500
1,000 FirstMerit Corp 26,500
500 Firstbank Corp 12,031
715 Hubco Inc 19,305
900 Legg Mason Inc 23,906
200 Premier Bancshares Inc 4,400
350 Queens County Bancorp Inc 10,434
775 Raymond James Financial Inc 17,776
500 Riggs National Corp 12,063
300 Silicon Valley Bancshares* 6,150
650 St Paul Bancorp Inc 13,365
550 Susquehanna Bancshares Inc 12,444
460 Trustco Bank Corp 12,880
300 US Trust Corp 19,106
700 UST Corp 16,188
600 United Bankshares Inc 16,050
400 Whitney Holding Corp 14,700
$391,665
ELECTRIC --- 2.0%
100 Bangor Hydro Electric Co* 1,194
300 Central Hudson Gas & Electric Corp 12,150
200 Central Vermont Public Service Corp 2,162
300 Commonwealth Energy System Co 11,194
300 Eastern Utilities Associates 7,781
500 Energen Corp 9,000
100 Green Mountain Power Corp 1,438
200 Orange & Rockland Utilities Inc 10,987
200 Pennsylvania Enterprises Inc 4,950
500 Sierra Pacific Resources 18,219
200 TNP Enterprises Inc 6,750
200 United Illuminating Co 9,800
$95,625
ELECTRONICS - HIGH TECH --- 12.5%
300 ADAC Laboratories* 8,888
200 Alliant Techsystems Inc* 14,000
200 Analogic Corp 7,650
700 Anixter International Inc* 10,806
400 Applied Magnetics Corp* 1,625
800 Aspect Telecommunications Corp* 12,100
400 Auspex Systems Inc* 1,125
633 Baldor Electric Co 13,293
500 Ballard Medical Products Co 10,625
200 Benchmark Electronics Inc* 4,712
600 Burr Brown Corp* 11,137
100 C COR Electronics Inc* 1,313
600 C-Cube Microsystems Inc* 10,725
200 CTS Corp 5,925
450 Cable Design Technologies Co* 7,425
200 California Microwave Inc* 1,537
100 Centigram Communications Corp* 663
500 Checkpoint Systems Inc* 5,938
200 Circon Corp* 1,850
600 Cognex Corp* 9,300
400 Coherent Inc* 4,700
200 Customtracks Corp* 837
400 Dallas Semiconductor Corp 14,800
300 Daniel Industries Inc 4,163
200 Digi International Inc* 3,000
1,000 Digital Microwave Corp* 4,375
400 Dionex Corp* 10,650
200 Electro Scientific Industries Inc* 5,025
300 Electroglas Inc* 3,769
300 Envoy Corp* 8,850
300 Etec Systems Inc* 10,163
300 Exabyte Corp* 1,800
600 General Semiconductor Inc* 4,762
400 HNC Software Inc* 13,450
200 Hadco Corp* 6,300
650 Harbinger Corp* 4,306
300 Harman International Industries Inc 12,131
150 Harmon Industries Inc 3,806
200 Hologic Inc* 2,737
300 Hutchinson Technology Inc* 5,831
700 Input/Output Inc* 6,213
200 Integrated Circuit Systems Inc* 2,650
400 Inter-Tel Inc 7,225
800 International Rectifier Corp* 7,200
200 Intervoice Inc* 5,700
500 Invacare Corp 11,250
300 Juno Lighting Inc 7,125
600 Kemet Corp* 8,400
300 Kuhlman Corp 7,950
400 Lattice Semiconductor Corp* 13,600
600 Macromedia Inc* 12,000
300 Marshall Industries* 8,625
400 Mentor Corp 6,800
500 Methode Electronics Inc Class A 7,688
500 National Computer Systems Inc 14,000
300 Network Equipment Technologies Inc* 3,188
300 Oak Industries Inc* 8,119
700 P-Com Inc* 2,231
200 Park Electrochemical Corp 3,662
200 Plexus Corp* 4,975
700 Read-Rite Corp* 7,525
300 Resound Corp* 1,425
500 Respironics Inc* 7,719
100 Rival Co 694
300 Royal Appliance Manufacturing Co* 1,200
900 Safeskin Corp* 19,913
700 Sanmina Corp* 28,700
100 Spacelabs Inc* 1,450
200 Speedfam International Inc* 3,225
200 Standard Microsystems Corp* 1,350
500 Summit Technology Inc 2,063
300 Sunrise Medical Inc* 3,450
200 Symmetricom Inc* 1,200
300 Technitrol Inc 8,175
200 Thomas Industries Inc 3,625
100 Three Five Systems Inc* 875
300 Trimble Navigation Ltd* 2,400
500 Unitrode Corp* 6,281
700 VLSI Technology Inc* 6,738
400 Valence Technology Inc* 2,225
700 Vanstar Corp* 7,831
600 Vicor Corp* 5,625
200 Visx Inc* 10,025
200 Vital Signs Inc 3,200
1,200 Vitesse Semiconductor Corp* 38,700
100 Watkins Johnson Co 1,863
300 X-Rite Inc 2,138
400 Zebra Technologies Corp Class A* 13,100
$607,408
ENVIRONMENTAL SERVICES --- 0.0%
200 Tetra Technologies Inc* 2,412
$2,412
GAS --- 2.3%
500 Atmos Energy Corp 14,844
200 Cascade Natural Gas Corp 3,312
200 Connecticut Energy Corp 5,600
400 KCS Energy Inc 2,025
300 New Jersey Resources Corp 11,531
400 Northwest Natural Gas Co 11,150
500 Piedmont Natural Gas Company Inc 17,375
600 Pogo Producing Co 9,000
300 Public Service Company of North Carolina Inc 6,619
500 Southwest Gas Corp 11,844
400 Southwestern Energy Co 2,700
600 Wicor Inc 14,625
$110,625
HOLDING & INVEST OFFICES --- 2.8%
200 Banknorth Group Inc 6,375
400 Centura Banks Inc 27,600
200 Cilcorp Inc 10,300
200 Dain Rauscher Corp 6,800
900 E Trade Group Inc* 16,200
600 Eaton Vance Corp 13,425
200 JSB Financial Inc 10,562
800 Keystone Financial Inc 23,400
400 MAF Bancorp Inc 9,800
400 Pioneer Group Inc 5,725
300 WHX Corp* 3,563
$133,750
INDUSTRIAL SERVICES --- 8.3%
300 ABM Industries Inc 8,400
1,200 Acxiom Corp* 30,150
600 Advanced Tissue Sciences Inc* 1,819
700 American Management Systems Inc* 21,481
350 Analysts International Corp 6,147
400 Avid Technology Inc* 10,350
500 Billing Information Concepts* 7,063
400 Bisys Group Inc* 17,500
450 Boole & Babbage Inc* 11,981
300 CDI Corp* 6,544
500 Cerner Corp* 11,188
900 Ciber Inc* 17,663
300 Computer Task Group Inc 9,188
300 Dames & Moore Inc 3,600
300 Dialogic Corp* 6,750
200 Fair Isaac & Co Inc 8,025
500 Filenet Corp* 4,625
485 Hyperion Solutions Corp* 14,550
200 Itron Inc* 1,550
300 Jack Henry & Associates Inc 13,688
300 Mercury Interactive Corp* 12,450
500 National Data Corp 16,938
500 National Instruments Corp* 13,688
400 Norrell Corp 5,425
400 Pharmaceutical Product Development Inc* 10,800
400 Platinum Software Corp* 3,750
400 Primark Corp* 10,800
300 Progress Software Corp* 7,819
700 S3 Inc* 2,209
300 SEI Investments Cos 24,863
300 Service Experts Inc* 9,056
200 Stone & Webster Inc 6,375
700 System Software Associates Inc* 4,288
600 Technology Solutions Co* 7,200
700 True North Communications Inc 16,538
300 United States Bioscience Inc* 2,400
400 Vantive Corp* 2,925
200 Volt Information Sciences Inc* 4,787
100 Wall Data Inc* 1,488
800 Whittman Hart Inc* 15,900
700 Xylan Corp* 11,200
$403,161
INSURANCE --- 6.0%
700 American Bankers Insurance Group Inc 31,281
300 Arthur J Gallagher & Co 12,713
400 CMAC Investment Corp 16,750
700 Capital RE Corp 12,818
200 Compdent Corp* 2,375
306 Delphi Financial Group Inc Class A* 14,267
600 Enhance Financial Services Group Inc 14,737
200 Executive Risk Inc 9,500
420 Fidelity National Financial Inc 12,915
900 First American Financial Corp 28,181
500 Fremont General Corp 24,688
550 Frontier Insurance Group Inc 8,972
200 Hilb Rogal & Hamilton Co 3,800
300 Life Re Corp 27,994
600 Mutual Risk Management Ltd 20,287
300 NAC RE Corp 14,531
400 Orion Capital Corp 13,675
500 Selective Insurance Group Inc 9,156
150 Trenwick Group Inc 4,988
300 Zenith National Insurance Corp 7,622
$291,250
MFTG - CONSUMER PRODS --- 9.7%
200 Ashworth Inc* 1,275
300 Authentic Fitness Corp 4,144
200 Bassett Furniture Industries Inc 4,550
600 Bowne & Company Inc 8,062
300 Brown Group Inc 4,781
300 Canandaigua Wine Co Inc Class B* 15,038
300 Catalina Marketing Corp* 14,306
800 Champion Enterprises Inc* 15,900
1,000 Chiquita Brands International Inc 10,625
100 Coca-Cola Bottling Co 6,025
400 Cone Mills Corp* 1,600
200 Consolidated Graphics Inc* 9,487
600 Corn Products International Inc 17,100
200 Cyrk Inc* 1,800
400 Delta Woodside Industries Inc 2,250
700 Dimon Inc 9,056
700 Earthgrains Co 21,000
500 Ethan Allen Interiors Inc 17,188
200 Galey & Lord Inc* 2,725
300 Galoob Toys Inc* 3,600
300 Gibson Greetings Inc* 3,131
400 Guilford Mills Inc 5,000
400 Gymboree Corp* 2,675
100 Haggar Corp 1,306
500 Hartmarx Corp* 2,531
200 Innovex Inc 2,800
800 Interface Inc Class A 9,850
100 J&J Snack Foods Corp* 2,250
500 John H Harland Co 7,250
200 Johnston Industries Inc* 687
500 Just For Feet Inc* 8,469
400 Justin Industries Inc 5,800
100 K-Swiss Inc 2,450
300 K2 Inc 3,300
300 Kellwood Co 8,175
800 La-Z-Boy Inc 14,700
600 Linens 'N Things Inc* 18,562
200 Lydall Inc* 2,025
300 Merrill Corp 5,025
850 Mohawk Industries Inc* 25,659
100 National Presto Industries Inc 3,856
300 Nature's Sunshine Products Inc 4,763
200 New England Business Service Inc 6,225
700 Oakwood Homes Corp 11,025
300 Oshkosh B'Gosh Inc Class A 6,263
100 Oxford Industries Inc 2,831
400 ParExel International Corp* 8,825
200 Pharmaceutical Marketing Services Inc* 2,150
400 Phillips Van-Heusen Corp 3,675
226 Pillowtex Corp 7,345
500 Ralcorp Holdings Inc* 8,813
300 Schweitzer-Mauduit International Inc 5,456
600 Smithfield Foods Inc* 11,775
400 Sola International Inc* 7,675
700 Stride Rite Corp 6,388
100 Swiss Army Brands Inc* 913
200 The Dixie Group Inc 1,150
200 The Timberland Co Class A* 8,000
300 Titan International Inc 3,113
400 Tultex Corp* 525
200 USA Detergents Inc* 1,650
300 Universal Forest Products Inc 4,838
600 Valassis Communications Inc* 23,925
700 Wolverine World Wide Inc 9,143
600 World Color Press Inc* 18,225
$470,704
MFTG - INDUSTRIAL PRODS --- 14.8%
300 AT Cross Co Class A 1,838
500 Alliance Pharmaceutical Corp* 2,000
450 Alpharma Inc Class A 12,459
100 Amcast Industrial Corp 1,713
570 Applied Power Inc Class A 15,710
600 Aptargroup Inc 16,050
100 Astec Industries Inc* 5,125
400 BMC Industries Inc 2,875
300 Banctec Inc* 3,713
400 Barr Labs Inc* 13,675
400 Belden Inc 5,825
800 Bio-Technology General Corp* 5,850
400 Birmingham Steel Corp 2,075
600 Blount International Inc Class A 13,162
300 Brush Wellman Inc 5,100
600 Buckeye Technologies Inc* 12,000
100 Butler Manufacturing Co 2,250
400 COR Therapeutics Inc* 4,825
400 Cambrex Corp 10,225
400 Caraustar Industries Inc 9,500
400 Cephalon Inc* 3,000
200 Chemed Corp 6,325
300 Chemfirst Inc 5,813
400 Clarcor Inc 6,750
200 Commonwealth Industries Inc 1,512
300 Cygnus Inc* 1,575
600 Fedders Corp 2,925
300 Florida Rock Industries Inc 7,444
200 Flow International Corp* 2,100
300 Gardner Denver Machinery Inc* 4,313
400 Gerber Scientific Inc 9,050
300 Global Industries Technologies Inc* 2,606
300 Graco Inc 7,913
500 Griffon Corp* 4,906
200 Hauser Inc* 662
300 Helix Technology Corp 3,431
600 IDEXX Laboratories Inc* 13,687
300 IMCO Recycling Inc 4,144
300 Immune Response Corp* 3,675
100 Insteel Industries Inc 519
208 Intermagnetics General Corp* 1,456
400 Intermet Corp 6,500
300 Ionics Inc* 9,300
700 JLG Industries Inc 11,593
100 Kronos Inc* 3,600
400 Kulicke & Soffa Industries Inc* 6,525
200 LSB Industries Inc 637
300 Libbey Inc 9,300
400 Lilly Industries Inc Class A 7,675
225 Lindsay Manufacturing Co 3,656
600 Liposome Company Inc* 3,750
200 Lone Star Industries Inc 14,087
400 MacDermid Inc 14,650
300 Marquette Medical Systems Class A* 13,369
200 Material Sciences Corp* 2,012
200 McWhorter Technologies Inc* 4,075
400 Medimmune Inc* 26,900
300 Micros Systems Inc* 6,619
400 Mississippi Chemical Corp 5,775
300 Molecular Biosystems Inc* 1,031
600 Mueller Industries Inc* 13,500
330 Myers Industries Inc 7,920
1,100 NBTY Inc* 8,800
100 Nashua Corp* 1,531
400 Northwestern Steel and Wire Co* 612
500 Novellus Systems Inc* 19,406
300 Noven Pharmaceuticals Inc* 1,219
200 O'Sullivan Corp 1,625
400 OM Group Inc 13,050
700 Paxar Corp* 6,343
100 Penford Corp 1,400
400 Photronics Inc* 8,725
400 Polaris Industries Inc 13,750
200 Pope & Talbot Inc 1,887
300 Protein Design Labs Inc* 7,200
100 Quaker Chemical Corp 1,413
200 Quanex Corp 3,375
300 RTI International Metals* 4,463
100 RailTex Inc* 1,081
300 Regal-Beloit Corp 6,319
400 Regeneron Pharmaceuticals Inc* 3,300
300 Reliance Steel & Aluminum Co 9,281
220 Republic Group Inc 3,259
200 Robbins & Myers Inc 4,725
500 Roberts Pharmaceutical Corp* 11,125
500 Roper Industries Inc 8,906
400 Russ Berrie & Company Inc 7,900
200 SPS Technologies Inc* 9,900
300 Scott Technologies Inc* 4,200
300 Scotts Co Class A* 10,013
450 Shorewood Packaging Corp* 7,200
200 Standex International Corp 4,937
200 Steel Technologies Inc 1,412
400 Sturm Ruger Company Inc 5,525
300 Telxon Corp 6,150
300 Texas Industries Inc 8,869
300 The Manitowoc Company Inc 10,500
300 TheraTech Inc* 4,256
200 Thomas Nelson Inc 2,562
200 Toro Co 4,425
600 Tredegar Industries Inc 13,537
300 Ultratech Stepper Inc* 5,400
400 Valmont Industries Inc 6,300
400 Vertex Pharmaceuticals Inc* 10,550
200 WD-40 Co 5,300
400 WH Brady Co Class A 9,200
100 Walbro Corp 806
200 Whittaker Corp* 2,662
200 Wolverine Tube Inc* 4,237
300 Wynn's International Inc 5,644
400 Xircom Inc* 11,800
$718,330
MINING --- 0.7%
450 AMCOL International Corp 4,556
300 Coeur D'Alene Mines Co* 1,688
500 Getchell Gold Corp* 8,750
600 Glamis Gold Ltd* 1,537
800 Helca Mining Co* 3,600
400 Stillwater Mining Co* 12,950
$33,081
OIL & GAS --- 2.7%
400 Benton Oil & Gas Co* 2,050
400 Cabot Oil & Gas Corp 6,800
750 Cross Timbers Oil Co 10,781
500 Devon Energy Corp 16,938
300 HS Resources Inc* 2,963
600 Newfield Exploration Co* 14,587
400 Oceaneering International Inc* 5,750
300 Plains Resources Inc* 5,100
300 Pool Energy Services Co* 4,003
800 Pride International Inc* 9,300
300 Remington Oil & Gas Corp* 1,088
1,600 Santa Fe Energy Resources Inc* 13,000
400 Seitel Inc* 5,300
500 Snyder Oil Corp 7,969
200 St Mary Land & Exploration Co 4,200
700 Tuboscope Vetco International Corp* 8,663
800 Vintage Petroleum Inc 10,400
100 Wiser Oil Co 500
$129,392
OTHER TRANS SERVICES --- 1.7%
500 American Freightways Corp* 4,250
300 Arkansas Best Corp* 1,613
800 Brightpoint Inc* 9,800
400 Expeditors International of Washington Inc 13,550
500 Fritz Companies Inc* 4,438
300 Frozen Food Express Industries Inc 2,775
500 Heartland Express Inc* 9,000
200 Landstar System Inc* 7,100
200 MS Carriers Inc* 4,300
200 Rural/Metro Corp* 2,100
400 USFreightways Corp 10,025
750 Werner Enterprises Inc 13,500
$82,451
REAL ESTATE --- 0.1%
600 Amresco Inc* 4,162
$4,162
RETAIL TRADE --- 8.0%
400 AnnTaylor Stores Corp* 11,600
500 Applebees International Inc 10,188
200 Au Bon Pain Inc* 1,300
600 Bombay Company Inc* 3,000
300 Books-A-Million Inc* 853
200 Builders Material Holding Corp* 2,225
300 CEC Entertainment Inc* 8,475
760 CKE Restaurants Inc 19,997
800 Casey's General Stores Inc 11,200
400 Cash America International Inc 5,000
400 Cato Corp Class A 5,325
300 Cheesecake Factory Inc* 5,738
375 Consolidated Products Inc* 6,938
100 Danmark International Inc* 588
300 Discount Auto Parts Inc* 7,238
500 Eagle Hardware & Garden Inc* 11,625
300 Express Scripts Inc* 29,306
300 Filenes Basement Corp* 572
600 Foodmaker Inc* 9,487
400 Footstar Inc* 10,450
500 Goody's Family Clothing Inc* 5,344
200 Gottschalks Inc* 1,375
300 Hancock Fabrics Inc 2,606
200 IHOP Corp* 7,850
200 J Baker Inc 1,100
400 Jan Bell Marketing Inc* 1,925
300 Jo-Ann Stores Inc Class A* 5,400
500 Landry's Seafood Restaurant Co* 4,188
300 Lechters Corp* 975
100 Lillian Vernon Corp 1,300
400 Luby's Cafeterias Inc 5,950
500 Michaels Stores Inc* 10,000
579 Midway Games Inc* 5,681
300 O'Reilly Automotive Inc* 11,738
300 Pacific Sunwear of California Inc* 6,488
1,575 Pier 1 Imports Inc 14,569
500 Ruby Tuesday Inc 8,438
700 Ryan's Family Steak Houses Inc* 7,525
700 Shoney's Inc* 1,356
400 Shopko Stores Inc* 12,525
300 Sonic Corp* 5,700
300 St John Knits Inc 6,056
700 Stein Mart Inc* 5,513
400 TCBY Enterprises Inc 2,825
300 TJ International Inc 5,906
200 Taco Cabana Inc* 1,262
300 The Dress Barn Inc* 4,238
550 The Men's Wearhouse Inc* 13,338
500 The Sports Authority Inc* 3,813
500 Triarc Companies Inc Class A* 7,813
400 Whole Foods Market Inc* 16,025
900 Williams-Sonoma Inc* 24,525
500 Zale Corp* 11,844
$386,296
TELEPHONE --- 0.2%
1,000 Tel-Save Holdings Inc* 8,968
$8,968
TRANSPORTATION --- 0.1%
300 Kirby Corp* 6,356
$6,356
TRANSPORTATION EQUIPMENT --- 2.3%
400 AAR Corp 9,250
350 AO Smith Corp 7,153
400 Arctic Cat Inc 3,700
400 BE Aerospace Inc* 8,600
500 Breed Technologies Inc* 4,219
1,100 Gentex Corp* 16,156
200 Huffy Corp 2,537
600 Orbital Sciences Corp* 19,800
300 Simpson Industries Inc 3,506
100 Skyline Corp 3,106
200 Spartan Motors Inc 1,287
200 Standard Motor Products Inc 4,450
300 Standard Products Co 4,706
150 Thor Industries Inc 3,338
400 Wabash National Corp 7,100
400 Winnebago Industries Inc 4,275
400 Yellow Corp* 6,425
$109,608
WATER --- 0.7%
100 Aquarion Co 3,288
100 Consumers Water Co 3,013
450 Halter Marine Group Inc* 3,881
400 Philadelphia Suburban Corp 9,825
100 Southern California Water Co 2,625
600 United Water Resources Inc 11,625
$34,257
WHOLESALE TRADE - CONSUMER --- 1.6%
300 Barnes Group Inc 7,875
200 Commercial Metals Co 5,325
600 Fleming Companies Inc 6,112
400 Hughes Supply Inc 10,625
400 Kaman Corp Class A 6,500
400 Kent Electronics Corp* 6,475
200 Nash Finch Co 3,025
500 Owens & Minor Inc 7,938
700 Richfood Holdings Inc 12,425
200 Syncor International Corp* 3,650
400 Watsco Inc 6,775
$76,725
WHOLESALE TRADE - INDL --- 1.7%
200 AM Castle & Co 3,725
300 Applied Industrial Technology Inc 3,975
500 Barrett Resources Corp* 11,781
120 Bell Industries Inc* 1,192
300 Bindley Western Industries Inc 10,875
200 Lawson Products Inc 4,650
300 MicroAge Inc* 4,275
600 Nautica Enterprises Inc* 12,412
550 Patterson Dental Co* 22,688
300 Pioneer Standard Electronics Inc 2,681
400 TBC Corp* 2,775
$81,029
TOTAL COMMON STOCK --- 100.0% $4,856,069
(Cost $5,065,065)
TOTAL ORCHARD INDEX 600 FUND --- 100.0% $4,856,069
(Cost $5,065,065)
The Orchard Series Fund
Orchard Index European Fund
COMMON STOCK
AUSTRIA --- 0.3%
ELECTRIC
192 EVN-Energie Versorgung AG 27,339
254 Oest Elekrizatswirts AG 42,593
$69,932
FOREIGN BANKS
1,506 Bank Austria AG 81,901
200 Bank Austria AG Ptg Certs 9,573
$91,474
INDUSTRIAL PRODS & SVCS
252 VA Technologie AG 23,345
$23,345
MFTG - INDUSTRIAL PRODS
554 Voest-Alpine Stahl AG 14,076
146 Wienerberger Baust 30,457
$44,533
OIL & GAS
454 Omv AG 42,565
$42,565
TOTAL AUSTRIA --- 0.3% $271,849
BELGIUM --- 3.2%
CONSUMER SERVICES
100 UCB SA 583,480
$583,480
ELECTRIC
1,250 Electrabel 460,526
2,600 Tractebel Inv International 433,333
$893,859
FINANCIAL SERVICES
4,000 Almanij NV* 323,392
1,954 Fortis AG 561,061
$884,453
FOREIGN BANKS
700 Dexia Belgium 113,596
5,840 Kredietbank NV 407,263
$520,859
MFTG - INDUSTRIAL PRODS
1,500 Solvay SA 117,544
$117,544
OIL & GAS
650 Electrafina SA 84,006
600 Petrofina SA 222,807
$306,813
TOTAL BELGIUM --- 3.2% $3,307,008
DENMARK --- 0.8%
COMMUNICATIONS
1,656 Tele Danmark A/S 180,231
$180,231
CONSUMER SERVICES
1,078 Novo-Nordisk A/S 125,705
$125,705
FINANCIAL SERVICES
784 Unidanmark 59,704
$59,704
FOREIGN BANKS
504 BG Bank A/S 29,186
900 Den Danske Bank A/S 122,083
$151,269
INSURANCE
800 Tryg-Baltica Forsikring A/S* 21,577
$21,577
MFTG - CONSUMER PRODS
594 Carlsberg Series A 36,282
498 Carlsberg Series B 30,892
1,009 Danisco A/S 55,708
$122,882
MFTG - INDUSTRIAL PRODS
10 A/S Dampskitsselskabet Svendborg 108,677
10 D/S 1912 75,360
$184,037
TOTAL DENMARK --- 0.8% $845,405
FINLAND --- 1.5%
COMMUNICATIONS
10,100 Nokia Oyj Series A* 919,002
3,400 Nokia Oyj Series K* 309,097
$1,228,099
FOREIGN BANKS
17,200 Merita Ltd Series A 92,161
$92,161
INSURANCE
1,000 Pohjola Group Insurance Corp* 40,385
1,400 Sampo Insurance Co PLC* 43,620
$84,005
MFTG - CONSUMER PRODS
700 Orion Yhtyma OY Series A 16,531
860 Orion Yhtyma OY Series B 20,651
$37,182
MFTG - INDUSTRIAL PRODS
13 Rauma OY 154
6,300 UPM-Kymmene Corp 150,655
$150,809
TOTAL FINLAND --- 1.5% $1,592,256
FRANCE --- 11.7%
COMMUNICATIONS
5,700 France Telecom SA 397,364
$397,364
CONSUMER SERVICES
850 Accor SA 178,456
2,650 Sanofi SA 414,770
$593,226
ELECTRONICS - HIGH TECH
4,100 Alcatel Alsthom (Cie Gen El) 456,580
$456,580
FOREIGN BANKS
5,300 Banque Nationale de Paris 335,535
2,550 Societe Generale 337,186
$672,721
INDUSTRIAL SERVICES
3,775 Vivendi 277,361
$277,361
INSURANCE
4,500 Assurances Generales de France* 251,777
123 Axa (wts)* 1,549
9,015 Axa UAP 1,018,516
$1,271,842
MFTG - CONSUMER PRODS
1,800 Groupe Danone 475,704
2,160 LVMH Moet Hennessy 400,252
3,300 Michelin (CGDE) 135,954
470 Promodes 295,859
$1,307,769
MFTG - INDUSTRIAL PRODS
2,015 L'Air Liquide 337,132
5,800 Renault (Regie NTL) 247,819
9,100 Rhone-Poulenc SA 415,832
3,700 Schneider SA 219,530
$1,220,313
OIL & GAS
6,700 Elf Aquitaine SA 775,047
5,950 Total SA 686,147
$1,461,194
RETAIL TRADE
945 Carrefour 626,996
4,290 Cie Generale des Eaux 979,403
2,250 Compagnie de Saint Gobain 332,734
1,640 L'OREAL 936,764
2,500 Lafarge 255,465
1,250 Peugeot SA 208,465
2,825 Pinault-Printemps-Redoute SA* 472,654
$3,812,481
UTILITIES
3,741 Suez Lyonnaise des Eaux 669,658
$669,658
TOTAL FRANCE --- 11.7% $12,140,509
GERMANY --- 14.4%
ELECTRIC
12,600 Veba AG 702,913
$702,913
ELECTRONICS - HIGH TECH
2,700 SAP AG* 1,217,900
14,750 Siemens AG 886,014
$2,103,914
FOREIGN BANKS
10,450 Bayer Vereins Bank AG 828,765
11,950 Commezbank AG 358,911
13,400 Deutsche Bank AG 865,129
13,750 Dresdner Bank AG 534,874
$2,587,679
INSURANCE
6,150 Allianz AG Holdings 2,060,385
2,200 Muenchener Rueckver AG* 1,000,422
$3,060,807
MFTG - INDUSTRIAL PRODS
15,700 BASF AG 664,701
18,450 Bayer AG 748,860
14,500 Hoechst AG 604,276
9,850 Mannesmann AG* 952,862
10,800 Volkswagen AG* 727,628
$3,698,327
MINING
11,950 Rwe AG 647,193
$647,193
RETAIL TRADE
14,600 Daimler-Benz AG* 1,146,445
$1,146,445
TELEPHONE
17,400 Deutsche Telekom AG 470,128
$470,128
TRANSPORTATION EQUIPMENT
620 Bayerische Motoren Werke AG 433,749
$433,749
TOTAL GERMANY --- 14.4% $14,851,155
GREECE --- 0.4%
FOREIGN BANKS
1,000 Alpha Credit Bank* 79,840
500 Commercial Bank of Greece SA* 42,325
600 Ergo Bank SA* 53,239
600 National Bank of Greece SA* 85,182
$260,586
INDUSTRIAL PRODS & SVCS
1,100 Heracles General Cement SA* 27,329
400 Titan Cement Co SA* 24,703
$52,032
MFTG - CONSUMER PRODS
2,800 Hellenic Bottling Co SA* 68,075
$68,075
TELEPHONE
2,800 Hellenic Telecommunication Organization SA* 63,602
$63,602
TOTAL GREECE --- 0.4% $444,295
IRELAND --- 1.4%
FOREIGN BANKS
31,487 Allied Irish Banks PLC 454,245
22,831 Bank of Ireland 421,457
$875,702
INSURANCE
11,564 Irish Life PLC 102,396
$102,396
MFTG - CONSUMER PRODS
8,755 Kerry Group PLC 110,372
$110,372
MFTG - INDUSTRIAL PRODS
20,375 CRH PLC* 266,036
40,536 Jefferson Smurfit Group PLC* 67,007
$333,043
TOTAL IRELAND --- 1.4% $1,421,513
ITALY --- 7.2%
COMMERCIAL/OTHER
11,000 Rolo Banca 232,744
$232,744
CREDIT INSTITUTIONS
45,000 Banca Intesa SpA* 227,195
17,000 Banca Intesa SpA RNC* 39,390
$266,585
FOREIGN BANKS
130,000 Banca Di Roma* 226,707
69,000 Credito Italiano 370,244
20,000 Istituto Banc San Paolo di Torino 293,902
14,000 Istituto Mobiliare Italiano SpA 215,122
$1,105,975
INSURANCE
16,500 Alleanza Assicurazioni 203,232
3,300 Alleanza Assicurazioni (non-conv) 24,488
27,000 Assic Generali SpA 966,402
97,000 Istituto Nazionale delle Assicurazioni 267,046
$1,461,168
MFTG - INDUSTRIAL PRODS
89,600 Fiat SpA 256,780
18,200 Fiat SpA RNC 29,963
$286,743
OIL & GAS
211,000 ENI SpA 1,254,421
$1,254,421
TELEPHONE
171,500 Telecom Italia Mobile SpA 995,014
38,000 Telecom Italia Mobile SpA RNC 134,622
185,111 Telecom Italia SpA 1,337,540
80,116 Telecom Italia SpA RNC 403,511
$2,870,687
TOTAL ITALY --- 7.2% $7,478,323
NETHERLANDS --- 7.6%
CONSUMER SERVICES
8,423 Philips Electronics 447,725
15,484 Unilever NV 1,147,638
$1,595,363
FOREIGN BANKS
36,577 ABN Amro Holding NV 684,596
22,775 ING Groep NV 1,100,995
$1,785,591
INSURANCE
14,177 Aegon NV 1,228,926
$1,228,926
OIL & GAS
51,778 Royal Dutch Petroleum Co 2,497,527
$2,497,527
TELEPHONE
11,521 Koninklijke KPN NV 447,286
$447,286
TRANSPORTATION
10,883 TNT Post Group NV 290,989
$290,989
TOTAL NETHERLANDS --- 7.6% $7,845,682
NORWAY --- 0.3%
FOREIGN BANKS
4,600 Christiania Bank og Kreditdasse 16,103
5,300 Den Norske Bank 18,626
$34,729
INSURANCE
4,600 Storebrand ASA* 35,889
$35,889
MFTG - INDUSTRIAL PRODS
600 Kvaerner AS Series A 12,944
100 Kvaerner AS Series B 1,886
1,900 Norske Hydro A/S 82,497
2,800 Orkla ASA Series A* 47,300
800 Orkla ASA Series B* 11,940
$156,567
OIL & GAS
2,300 Saga Petroleum 29,023
$29,023
TRANSPORTATION EQUIPMENT
900 Bergesen dy ASA Series A 12,456
400 Bergesen dy ASA Series B 5,427
$17,883
TOTAL NORWAY --- 0.3% $274,091
PORTUGAL --- 0.6%
CREDIT INSTITUTIONS
300 Banco Espirito Santo* 8,859
$8,859
ELECTRIC
4,100 Electricdidade de Portugal SA* 103,006
$103,006
FOREIGN BANKS
1,800 BPI-SGPS SA* 55,165
3,700 Banco Comercial Portugues SA* 115,766
$170,931
RETAIL TRADE
1,600 Jeronimo Martins SGPS SA* 69,271
$69,271
TELEPHONE
3,200 Portugal Telecom SA* 151,529
500 Telecel-Comunicacaoes Pessoais SA* 92,059
$243,588
TOTAL PORTUGAL --- 0.6% $595,655
SPAIN --- 4.7%
ELECTRIC
22,800 Endesa SA 574,246
20,715 Iberdrola SA 334,350
$908,596
FOREIGN BANKS
49,620 Banco Bilbao Vizcaya SA 668,875
28,536 Banco Central Hispanoamericano SA* 314,817
3,800 Banco Popular Espanol SA 234,551
25,136 Banco Santander SA 460,098
17,100 Corporacion Bancaria de Espana SA 371,845
$2,050,186
OIL & GAS
5,000 Gas Natural SDG 430,294
6,550 Repsol SA 328,546
$758,840
TELEPHONE
24,900 Telefonica de Espana 1,123,547
$1,123,547
TOTAL SPAIN --- 4.7% $4,841,169
SWEDEN --- 3.8%
COMMUNICATIONS
3,800 Telefonaktiebolaget LM Ericsson Series A 94,866
41,800 Telefonaktiebolaget LM Ericsson Series B 941,851
$1,036,717
CONSTRUCTION
2,000 Skanska AB Series B 65,805
$65,805
CONSUMER SERVICES
31,200 Astra AB Series A 505,287
7,133 Astra AB Series B 111,867
$617,154
ELECTRIC
15,600 ABB AB Series A 164,768
6,300 ABB AB Series B 66,541
$231,309
FOREIGN BANKS
29,800 Nordbanken Holding AB 178,548
13,300 Skand Enskilda BKN 134,515
8,200 Sparbanken Sverige AB Swedbank 222,033
5,100 Svenska Handelsbanken Series A 214,486
500 Svenska Handelsbanken Series B 19,236
$768,818
HOLDING & INVEST OFFICES
5,900 Gambro AB Series A* 65,715
2,200 Gambro AB Series B* 24,222
1,900 Investor AB Series A 72,974
2,600 Investor AB Series B 101,191
$264,102
INSURANCE
11,900 Skandia Forsakrings AB* 151,588
$151,588
MFTG - INDUSTRIAL PRODS
8,270 Electrolux AB Series B* 124,405
4,500 Sandvik AB Series A 92,466
1,500 Sandvik AB Series B 30,822
$247,693
REAL ESTATE
2,000 Drott AB* 15,363
$15,363
RETAIL TRADE
4,400 Hennes & Mauritz AB 309,819
$309,819
TRANSPORTATION
3,300 Volvo Series A 69,287
7,100 Volvo Series B 153,162
$222,449
TOTAL SWEDEN --- 3.8% $3,930,817
SWITZERLAND --- 11.4%
CONSUMER SERVICES
1,580 Novartis AG 2,843,068
160 Novartis AG Bearer 287,670
$3,130,738
FOREIGN BANKS
6,850 Union Bank of Switzerland* 1,876,678
$1,876,678
HOLDING & INVEST OFFICES
6,600 CS Holding 1,013,606
980 Nestle SA 2,081,416
$3,095,022
INSURANCE
400 Schweizerische Rueckversicherungs 889,676
$889,676
MFTG - INDUSTRIAL PRODS
214 Roche Holdings AG 2,738,716
$2,738,716
TOTAL SWITZERLAND --- 11.4% $11,730,830
UNITED KINGDOM --- 27.5%
AIR
18,407 BAA PLC 207,046
4,103 British Airways PLC 29,784
$236,830
COMMUNICATIONS
39,000 British Sky Broadcasting Group PLC 317,677
41,605 Cable and Wireless 466,243
20,142 Granada Group 303,374
32,266 Reuters Group PLC 331,904
65,269 Vodafone Group 873,351
$2,292,549
CONSUMER SERVICES
18,532 EMI Group PLC 109,806
51,915 Marks and Spencer 384,236
108,692 Smithkline Beecham PLC 1,358,033
$1,852,075
ELECTRIC
61,336 General Electric Co PLC 489,870
29,057 National Power PLC 252,238
20,000 Scottish Power PLC 196,698
$938,806
ENVIRONMENTAL SERVICES
65,000 Rentokil Initial PLC 406,609
$406,609
FINANCIAL SERVICES
45,000 Halifax PLC 596,115
29,000 Legal & General Group PLC 343,418
$939,533
FOREIGN BANKS
26,000 Abbey National PLC 505,326
20,308 Bank of Scotland 220,447
30,682 Barclays PLC 660,472
15,515 HSBC Holdings ORD 363,305
38,666 HSBC Holdings PLC 879,549
120,385 Lloyds TSB Group PLC 1,485,000
31,959 National Westminster Bank PLC 539,357
34,000 Prudential Corp 441,867
19,706 Royal BK Scot Group 261,045
$5,356,368
GAS
71,470 BG PLC 468,002
$468,002
HOLDING & INVEST OFFICES
54,927 BTR PLC* 96,005
17,254 Standard Chartered 185,419
$281,424
INDUSTRIAL PRODS & SVCS
32,000 Siebe PLC 131,132
$131,132
INSURANCE
30,828 Allied Zurich PLC* 368,159
25,974 Commercial Union 411,199
23,000 Norwich Union* 163,881
26,562 Royal & Sun Alliance Insurance Group 243,019
$1,186,258
MFTG - CONSUMER PRODS
51,000 ASDA Group 137,337
15,000 Associated British Foods 140,498
78,528 British American Tobacco PLC* 708,611
17,093 Cadbury Schweppes PLC 261,596
9,708 Pearson PLC 169,196
18,864 Reed International PLC 159,495
$1,576,733
MFTG - INDUSTRIAL PRODS
8,048 British Aerospace PLC* 59,835
12,066 GKN PLC 146,518
85,450 Glaxo Wellcome PLC 2,652,663
12,000 Imperial Chemical Industry 107,682
5,635 Nycomed Amersham PLC* 39,538
63,656 Unilever PLC 638,826
21,000 Zeneca Group 805,758
$4,450,820
MINING
17,959 RTZ Corp 217,777
$217,777
OIL & GAS
129,925 British Petroleum Company PLC 1,905,831
218,000 Shell Transport & Trading PLC 1,322,684
$3,228,515
REAL ESTATE
8,665 Land Securities PLC 122,104
$122,104
RETAIL TRADE
17,880 Allied Domecq 164,484
13,256 Bass PLC 160,747
20,901 Boots Co 313,582
77,645 Diageo PLC 837,655
17,000 Great Universal Stores PLC 182,548
31,735 J Sainsbury PLC 280,262
22,500 Kingfisher PLC* 197,388
10,000 Scot & Newcastle 121,765
110,994 Tesco PLC 312,818
$2,571,249
TELEPHONE
144,185 British Telecommunications PLC 1,861,785
19,000 Cable & Wireless Communications* 143,007
$2,004,792
TRANSPORTATION
10,729 Peninsular & Oriental Steam Navigation Co 111,799
$111,799
TOTAL UNITED KINGDOM --- 27.5% $28,373,375
TOTAL COMMON STOCK --- 96.7% $99,943,932
(Cost $89,331,228)
PREFERRED STOCK
GERMANY --- 0.2%
OIL & GAS
4,750 RWE AG 169,305
$169,305
TRANSPORTATION EQUIPMENT
100 Bayerische Motoren Werke AG 40,106
$40,106
TOTAL GERMANY --- 0.2% $209,411
GREECE --- 0.0%
INDUSTRIAL PRODS & SVCS
100 Titan Cement Co SA* 5,390
$5,390
TOTAL GREECE --- 0.0% $5,390
ITALY --- 0.0%
MFTG - INDUSTRIAL PRODS
23,600 Fiat SpA 35,976
$35,976
TOTAL ITALY --- 0.0% $35,976
TOTAL PREFERRED STOCK --- 0.2% $250,777
(Cost $286,383)
SHORT-TERM INVESTMENTS
UNITED STATES --- 3.1%
CREDIT INSTITUTIONS
2,459,000 Prudential Funding Corp 2,458,239
$2,458,239
U.S. GOVERNMENTS
700,000 United States of America 699,252
$699,252
TOTAL UNITED STATES --- 3.1% $3,157,491
TOTAL SHORT-TERM INVESTMENTS --- 3.1% $3,157,491
(Cost $3,157,491)
TOTAL ORCHARD INDEX EUROPEAN FUND --- 100.0% $103,352,200
(Cost $92,775,102)
The Orchard Series Fund
Orchard Index Pacific Fund
COMMON STOCK
AUSTRALIA --- 8.6%
COMMUNICATIONS
76,600 Telstra Corp Ltd Install Receipts 218,824
$218,824
FOREIGN BANKS
78,315 Australia & New Zealand Banking Group Ltd 447,936
47,911 Commonwealth Bank of Australia 595,689
73,276 National Australia Bank 971,062
97,900 Westpac Banking Corp Ltd 595,450
$2,610,137
INSURANCE
54,900 AMP Limited* 653,174
12,331 Lend Lease Corp Ltd 272,073
89,050 National Mutual Holdings Ltd 176,459
$1,101,706
MFTG - CONSUMER PRODS
44,048 Coca-Cola Amatil Ltd 169,884
87,700 Foster's Brewing Group Ltd 215,448
40,291 News Corp Ltd 275,282
$660,614
MFTG - INDUSTRIAL PRODS
31,000 Amcor Ltd 129,446
59,620 Boral Ltd 96,898
52,900 CSR Ltd 121,028
45,100 Pioneer International Ltd 93,597
$440,969
MINING
105,626 Broken Hill Proprietary Co Ltd 897,965
33,000 Rio Tinto Ltd 412,917
$1,310,882
OIL & GAS
58,204 WMC Ltd 197,525
32,150 Woodside Petroleum Ltd 169,920
$367,445
OTHER TRANS SERVICES
10,800 Brambles Industries Ltd 236,895
$236,895
RETAIL TRADE
58,509 Coles Myer Ltd 250,897
58,346 Woolworths Ltd 205,338
$456,235
TOTAL AUSTRALIA --- 8.6% $7,403,707
HONG KONG --- 10.0%
AIR
174,000 Cathay Pacific Air* 185,331
$185,331
COMMUNICATIONS
612,729 Hong Kong Telecommunications Ltd* 1,226,154
$1,226,154
CONSUMER SERVICES
122,833 Sun Hung Kai Properties 856,355
48,000 Swire Pacific Ltd Series A 254,699
155,000 Swire Pacific Ltd Series B 128,073
$1,239,127
ELECTRONICS - HIGH TECH
103,500 Hong Kong Electric Holdings Ltd 379,493
$379,493
FOREIGN BANKS
98,100 Hang Seng Bank Ltd 848,572
$848,572
GAS
3,810 Hong Kong and China Gas (wts)* 394
221,820 Hong Kong and China Gas Co Ltd 315,020
$315,414
HOLDING & INVEST OFFICES
126,500 CLP Holdings Ltd 710,436
109,000 Citic Pacific Ltd 268,081
88,000 Henderson Land Development Co Ltd 432,865
199,000 Hutchison Whampoa Ltd 1,425,906
39,673 Jardine Matheson Holdings Ltd 111,084
101,483 New World Development Co Ltd 235,836
$3,184,208
REAL ESTATE
118,000 Cheung Kong Holdings Ltd 807,426
133,000 Hong Kong Land Holdings Ltd 188,860
118,000 Wharf Holdings Ltd 187,384
$1,183,670
TOTAL HONG KONG --- 10.0% $8,561,969
JAPAN --- 75.5%
AIR
23,000 All Nippon Airways Co Ltd* 84,922
29,000 Japan Airlines* 72,214
$157,136
COMMUNICATIONS
106 DDI Corp* 309,462
3 Japan Telecom Co 19,578
10,000 Matsushita Communication Ltd 462,820
70 NTT Data Corp* 296,325
20 NTT Mobile Communications* 722,995
162,000 Toshiba Corp 760,896
$2,572,076
CONSTRUCTION
25,000 Daiwa House Industry Co Ltd 282,286
47,000 Komatsu Ltd 254,250
$536,536
CONSUMER SERVICES
14,000 Eisai Co Ltd 219,749
30,000 Kao Corp 607,934
5,000 Oriental Land Co Ltd 198,781
23,000 Sankyo Co Ltd 519,406
17,000 Taisho Pharmaceutical Co 455,435
44,000 Takeda Chemical Industry 1,431,908
16,000 Yamanouchi Pharmaceutical Co Ltd 458,870
19,000 Yamato Transport Co Ltd* 229,057
$4,121,140
ELECTRIC
36,400 Chubu Electric Power Co Inc 715,748
18,200 Chugoku Electric Power Co Ltd 342,246
49,400 Kansai Electric Power Co Inc 1,058,329
13,500 Shikoku Electric Power 229,637
24,300 Tohoku Electric Power 424,614
69,400 Tokyo Electric Power 1,757,943
$4,528,517
ELECTRONICS - HIGH TECH
4,800 Advantest Corp 302,937
44,000 Canon Inc 833,076
45,000 Denso Corp 848,145
11,600 Fanuc 348,618
168,000 Hitachi Ltd 855,435
2,200 Keyence Corp 220,642
23,400 Kyushu Electric Power 449,073
108,000 Matsushita Electric Industrial Co Ltd 1,586,708
8,000 Matsushita Kotobuki Electronics 153,186
104,000 Mitsubishi Electric Corp* 211,643
81,000 NEC Corp 600,232
7,000 Nintendo Corp Ltd 592,650
13,000 Omron Corp 127,254
6,000 Rohm Co Ltd 530,654
94,000 Sanyo Electric Co 264,743
6,000 Secom 445,647
54,000 Sharp Corp 408,037
20,700 Sony Corp 1,315,301
35,000 Sumitomo Electric Industries 387,687
9,000 Tokyo Electronics 292,890
$10,774,558
FINANCIAL SERVICES
3,300 Nichiei Co Ltd 266,924
6,000 Promise Co Ltd 271,510
$538,434
FOREIGN BANKS
112,000 Asahi Bank 375,064
240,000 Bank of Tokyo Mitsubishi 2,227,718
151,000 Dai-Ichi Kangyo Bank Ltd 927,056
140,000 Fuji Bank Ltd 536,150
28,000 Hachijuni Bank 258,698
123,000 Industrial Bank of Japan 588,279
116,000 Long-Term Credit Bank of Japan 1,992
63,000 Mitsubishi Trust & Banking 425,734
71,000 Nikko Securities Co Ltd 214,597
172,000 Sakura Bank Ltd 428,302
146,000 Sanwa Bank Ltd 1,139,567
39,000 Shizuoka Bank 449,742
158,000 Sumitomo Bank 1,553,409
60,000 Sumitomo Trust & Banking 167,439
98,000 Tokai Bank 484,699
38,000 Toyo Trust & Banking 102,129
$9,880,575
GAS
122,000 Osaka Gas Co 391,791
136,000 Tokyo Gas Co 349,167
$740,958
INDUSTRIAL SERVICES
51,000 Sumitomo Corp 244,359
$244,359
INSURANCE
33,000 Sumitomo Marine & Fire 193,251
80,000 Tokio Marine & Fire Insurance Co 910,184
43,000 Yasuda Fire & Marine Insurance 211,935
$1,315,370
LEASING
7,100 Acom Co Ltd 396,883
3,200 Orix Corp* 229,435
$626,318
MFTG - CONSUMER PRODS
31,000 Ajinomoto Co 293,337
23,000 Asahi Breweries Ltd 328,825
37,000 Dai Nippon Printing Co Ltd 570,282
20 Japan Tobacco Inc 167,783
51,000 Kirin Brewery Co Ltd 556,157
46,000 Nippon Paper Industries Co 184,063
20,000 Shiseido Co Ltd 219,131
7,000 TDK Corp 461,618
34,000 Toppan Printing Co Ltd 348,875
$3,130,071
MFTG - INDUSTRIAL PRODS
70,000 Asahi Chemical Industry Co Ltd 296,325
57,000 Asahi Glass Co Ltd 318,135
69,000 Itochu Corp 131,530
157,000 Kawasaki Steel Corp 249,399
68,000 Kubota Corp 150,644
9,200 Kyocera Corp 406,835
101,000 Mitsubishi Chemical Corp 182,123
170,000 Mitsubishi Heavy Industries Ltd 656,878
12,000 Murata Mfg Co Ltd 404,946
50,000 New Oji Paper Co 203,933
348,000 Nippon Steel Co 606,595
121,000 Nissan Motor Co Ltd 328,319
33,000 Ricoh Corp Ltd 279,109
3,200 SMC Corp 241,525
19,000 Shin-Etsu Chemical Co 378,499
78,000 Sumitomo Chemical Co 261,206
152,000 Sumitomo Metal Industries 161,841
68,000 Toray Industries Inc 316,469
14,000 Toyoda Automatic Loom Works Ltd 228,405
$5,802,716
RAILROADS
204 East Japan Railway Co 1,210,407
78,000 Kinki Nippon Railway 401,855
22,000 Seibu Railway 719,732
53,000 Tokyu Corp 132,887
$2,464,881
REAL ESTATE
66,000 Mitsubishi Estate Co Ltd 599,021
39,000 Mitsui Fudosan 259,196
34,000 Sekisui House Ltd 338,949
$1,197,166
RETAIL TRADE
21,000 Ito-Yokado Co Ltd 1,226,172
16,000 Jusco Co 258,286
18,000 Marui Co 313,756
36,000 Matsushita Electric Works 343,431
59,000 Nippon Oil Co 205,178
21,000 Seven - Eleven Japan 1,597,630
$3,944,453
SECURITIES & COMMODITIES
65,000 Daiwa Securities Co Ltd 184,183
95,000 Nomura Securities Co Ltd 717,843
25,000 Yamaichi Securities Co Ltd* 2
$902,028
TELEPHONE
164 Nippon Telegraph & Telephone Corp 1,284,286
$1,284,286
TRANSPORTATION EQUIPMENT
50,000 Honda Motor Company Ltd 1,502,662
52,000 Nippon Express Co Ltd 292,461
195,000 Toyota Motor Corp 4,688,305
$6,483,428
WHOLESALE TRADE - CONSUMER
42,000 Bridgestone Corp 925,039
26,000 Fuji Photo Film 953,289
$1,878,328
WHOLESALE TRADE - INDL
95,000 Fujitsu Ltd 1,011,501
76,000 Mitsubishi Corp 402,645
76,000 Mitsui & Co 405,908
$1,820,054
TOTAL JAPAN --- 75.5% $64,943,388
MALAYSIA --- 1.2%
AGRICULTURE
45,000 Golden Hope Plantations Bhd # 27,665
38,000 IOI Corp Bhd #* 15,040
32,000 Kuala Lumpur Kepong Bhd #* 37,657
$80,362
AIR
10,000 Malaysian Airline System Bhd # 4,697
$4,697
COMMUNICATIONS
66,500 Telekom Malaysia Bhd # 118,437
$118,437
CONSUMER SERVICES
101,000 Renong Bhd #* 31,179
49,000 Resorts World Bhd # 41,889
$73,068
CREDIT INSTITUTIONS
34,000 Technology Resources Industries Bhd # 11,393
$11,393
ELECTRIC
35,000 Tenaga Nasional Bhd # 39,710
$39,710
FINANCIAL SERVICES
17,000 Rashid Hussain Bhd #* 9,330
$9,330
FOREIGN BANKS
76,000 DCB Holdings Bhd #* 34,691
26,000 Hong Leong Bank Bhd #* 13,034
104,400 Malayan Banking Bhd # 126,712
31,200 Public Bank Bhd # 10,784
$185,221
HIGHWAYS
36,000 UTD Engineers Bhd #* 20,802
$20,802
HOLDING & INVEST OFFICES
18,200 AMMB Holdings Bhd # 11,381
26,000 Berjaya Sports Toto Bhd # 20,992
35,000 Commerce Asset-Holding Bhd #* 16,623
32,000 Genting Bhd # 58,681
20,000 Hong Leong Credit Bhd #* 12,137
68,000 Magnum Corp Bhd # 19,198
10,000 Nestle Malaysia Bhd # 34,301
14,000 Oriental Holdings Bhd # 14,628
17,000 Tanjong PLC # 16,327
54,500 YTL Corp Bhd #* 46,303
$250,571
MFTG - CONSUMER PRODS
13,000 Rothmans of Pall Mall Bhd # 62,084
$62,084
MFTG - INDUSTRIAL PRODS
24,000 Perusahaan Otomobil Nasional Bhd # 22,544
$22,544
OIL & GAS
20,000 Petronas Gas Bhd # 36,148
$36,148
REAL ESTATE
43,333 Malaysian Resources Corp Bhd # 12,005
$12,005
RETAIL TRADE
10,000 Edaran Otomobil Nasional Bhd # 12,665
106,000 Sime Darby Bhd # 77,193
$89,858
TRANSPORTATION
13,000 Malaysia International Shipping Bhd #* 14,269
$14,269
TOTAL MALAYSIA --- 1.2% $1,030,499
NEW ZEALAND --- 0.7%
COMMUNICATIONS
77,200 Telecom Corp of New Zealand Ltd 316,501
$316,501
HOLDING & INVEST OFFICES
115,000 Brierley Investments Ltd 26,159
$26,159
MFTG - CONSUMER PRODS
50,800 Lion Nathan Ltd 133,022
$133,022
MFTG - INDUSTRIAL PRODS
74,000 Carter Holt Harvey Ltd 60,285
$60,285
OIL & GAS
17,600 Fletcher Challenge Energy* 32,400
$32,400
TOTAL NEW ZEALAND --- 0.7% $568,367
PHILIPPINES --- 0.5%
CONSUMER SERVICES
275,700 SM Prime Holdings 46,543
45,620 San Miguel Corp 67,388
$113,931
ELECTRIC
23,380 Manila Electric Co 69,072
$69,072
FOREIGN BANKS
5,571 Metropolitan Bank & Trust Co 28,906
$28,906
REAL ESTATE
294,400 Ayala Corp 74,916
159,510 Ayala Land Inc 48,510
$123,426
TELEPHONE
3,100 Philippine Long Distance 74,268
$74,268
TOTAL PHILIPPINES --- 0.5% $409,603
SINGAPORE --- 1.4%
AIR
22,000 Singapore Airlines Ltd 135,426
$135,426
COMMUNICATIONS
105,000 Singapore Telecommunications Ltd 181,625
$181,625
FOREIGN BANKS
22,600 Development Bank of Singapore Ltd 141,902
30,403 Overseas Chinese Banking Corp Ltd 132,879
16,000 Overseas Union Bank Ltd 43,533
25,000 United Overseas Bank Ltd 117,729
$436,043
MFTG - CONSUMER PRODS
26,828 Singapore Press Holdings Ltd 231,205
$231,205
REAL ESTATE
49,000 City Developments Ltd 177,962
$177,962
TOTAL SINGAPORE --- 1.4% $1,162,261
THAILAND --- 0.1%
COMMUNICATIONS
2,000 Advanced Info Service PCL 13,819
$13,819
ELECTRONICS - HIGH TECH
1,000 Shinawatra Computer Co* 4,081
$4,081
FOREIGN BANKS
5,300 Bangkok Bank PCL* 8,074
7,800 Krung Thai Bank PCL* 2,865
2,000 Siam Commercial Bank PCL* 1,088
4,200 Thai Farmers Bank PCL* 5,313
$17,340
MFTG - INDUSTRIAL PRODS
700 Siam Cement PCL* 8,760
$8,760
TELEPHONE
6,100 Telecomasia Corp PCL* 2,323
$2,323
TOTAL THAILAND --- 0.1% $46,323
TOTAL COMMON STOCK --- 97.8% $84,126,117
(Cost $99,904,600)
SHORT-TERM INVESTMENTS
UNITED STATES --- 2.2%
CREDIT INSTITUTIONS
1,121,000 Prudential Funding Corp 1,120,653
$1,120,653
U.S. GOVERNMENTS
800,000 United States of America 799,145
$799,145
TOTAL UNITED STATES --- 2.2% $1,919,798
TOTAL SHORT-TERM INVESTMENTS --- 2.2% $1,919,798
(Cost $1,919,798)
TOTAL ORCHARD INDEX PACIFIC FUND --- 100.0% $86,045,915
(Cost $101,824,398)
The Orchard Series Fund
Orchard Money Market Fund
SHORT-TERM INVESTMENTS
CONSUMER SERVICES --- 9.3%
150,000 Toys R Us Inc 149,458
150,000 Walt Disney Co 149,010
$298,468
CREDIT INSTITUTIONS --- 27.6%
150,000 American Express Co 149,278
150,000 Associates Corporation of North America 148,299
150,000 Ford Motor Credit Co 149,163
150,000 Prudential Funding Corp 147,617
150,000 Toyota Motor Credit Corp 148,041
150,000 TransAmerica Financial Corp 148,172
$890,570
ELECTRIC --- 7.7%
150,000 Duke Power Co 149,718
100,000 Electricity de France 98,104
$247,822
ELECTRONICS - HIGH TECH --- 18.5%
150,000 Emerson Electric Co 149,805
150,000 General Electric Co 148,711
150,000 Motorola Credit Corp 149,472
150,000 Sharp Electronics Corp 149,590
$597,578
FINANCIAL SERVICES --- 6.2%
50,000 Dean Witter Discover 49,910
150,000 KFW International Finance 149,433
$199,343
HOLDING & INVEST OFFICES --- 4.6%
150,000 American General Finance Corp 149,796
$149,796
MFTG - CONSUMER PRODS --- 13.8%
150,000 Campbell Soup Co 147,083
150,000 General Mills Inc 149,646
150,000 McGraw-Hill Companies Inc 147,864
$444,593
SECURITIES & COMMODITIES --- 7.7%
150,000 Merrill Lynch & Co Inc 149,312
100,000 Morgan Stanley Group Inc 99,806
$249,118
TRANSPORTATION EQUIPMENT --- 4.6%
150,000 Daimler-Benz 148,257
$148,257
TOTAL SHORT-TERM INVESTMENTS --- 100.0% $3,225,545
(Cost $3,225,545)
TOTAL ORCHARD MONEY MARKET FUND --- 100.0% $3,225,545
(Cost $3,225,545)
The Orchard Series Fund
Orchard Preferred Stock Fund
PREFERRED STOCK
AGENCY --- 4.6%
4,000 Federal Home Loan Mortgage Corp 196,500
$196,500
CREDIT INSTITUTIONS --- 17.9%
7,400 Bankers Trust New York Corp 197,950
7,300 Household International Inc 204,400
3,500 JP Morgan & Co Inc 192,500
6,800 MBNA Corp 173,400
$768,250
ELECTRIC --- 30.6%
1,500 Baltimore Gas & Electric Co 165,525
1,600 Duke Power Co 183,200
1,400 Florida Power & Light Co 158,200
1,700 Peco Energy Co* 194,650
1,800 Pennsylvania Power & Light Co 203,400
2,000 South Carolina Electric & Gas 224,000
1,700 Southern California Edison Co 186,150
$1,315,125
ELECTRONICS - HIGH TECH --- 4.3%
6,700 International Business Machines Corp 182,990
$182,990
FINANCIAL SERVICES --- 4.5%
7,500 Republic New York Corp 194,063
$194,063
INSURANCE --- 3.6%
3,100 Citigroup Inc 153,450
$153,450
MFTG - CONSUMER PRODS --- 4.7%
2,000 Ocean Spray* 202,000
$202,000
OIL & GAS --- 8.9%
2,000 Anadarko Petroleum Corp 188,000
2,000 Apache Corp 194,000
$382,000
SECURITIES & COMMODITIES --- 12.0%
3,500 Donaldson, Lufkin & Jenrette Inc 172,592
5,300 Merrill Lynch & Co Inc 159,991
3,500 Morgan Stanley Group 185,717
$518,300
TRANSPORTATION EQUIPMENT --- 4.4%
6,500 Ford Motor Co 190,125
$190,125
TOTAL PREFERRED STOCK --- 95.4% $4,102,803
(Cost $4,025,741)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 4.6%
200,000 Ford Motor Credit Co 199,880
$199,880
TOTAL SHORT-TERM INVESTMENTS --- 4.6% $199,880
(Cost $199,880)
TOTAL ORCHARD PREFERRED STOCK FUND --- 100.0% $4,302,683
(Cost $4,225,621)
The Orchard Series Fund
Orchard Value Fund
COMMON STOCK
AIR --- 6.2%
450 Delta Air Lines Inc 47,503
900 FDX Corp* 47,306
850 Southwest Airlines Co 18,009
$112,818
CONSUMER SERVICES --- 10.0%
1,100 Bausch & Lomb Inc 45,856
2,050 Healthsouth Corp* 24,856
2,100 Humana Inc* 39,768
1,440 Patriot American Hospitality 12,780
810 Starwood Hotels & Resorts 22,933
850 United Healthcare Corp 37,028
$183,221
CREDIT INSTITUTIONS --- 4.6%
740 Chase Manhattan Corp 42,041
3,170 Sovereign Bancorp Inc 41,606
$83,647
ELECTRIC --- 6.2%
625 Allegheny Energy Inc 19,219
880 FPL Group Inc 55,055
1,355 Southern Co 38,193
$112,467
ELECTRONICS - HIGH TECH --- 10.4%
850 Hewlett-Packard Co 51,159
650 Motorola Inc 33,800
1,100 Sun Microsystems Inc* 64,075
1,100 York International Corp 41,387
$190,421
HOLDING & INVEST OFFICES --- 5.0%
2,120 Developers Diversified Realty Corp 40,015
2,195 Liberty Property Trust 50,485
$90,500
INDUSTRIAL SERVICES --- 4.8%
1,420 Deluxe Corp 45,972
1,095 Fluor Corp 42,499
$88,471
INSURANCE --- 5.0%
700 Cigna Corp 51,056
180 General Re Corp 39,544
$90,600
MFTG - CONSUMER PRODS --- 10.3%
1,750 Brunswick Corp 34,015
980 Dole Food Company Inc 29,522
2,250 IBP Inc* 60,889
1,010 Liz Claiborne Inc 29,669
730 Tommy Hilfiger Corp* 33,899
$187,994
MFTG - INDUSTRIAL PRODS --- 8.5%
1,550 Mead Corp 49,019
1,695 Milacron Inc 32,841
440 PPG Industries Inc 25,162
1,320 The BF Goodrich Co 47,520
$154,542
MINING --- 3.2%
2,715 Barrick Gold Corp 58,033
$58,033
OIL & GAS --- 9.9%
330 Chevron Corp 26,895
650 Mobil Corp 49,196
1,970 Occidental Petroleum Corp 39,154
390 Texaco Inc 23,132
450 Ultramar Diamond Shamrock Corp 12,122
1,180 Valero Energy Corp 29,500
$179,999
REAL ESTATE --- 1.8%
1,200 Highwood Properties Inc 33,524
$33,524
RETAIL TRADE --- 9.3%
1,250 Dillards Inc Class A 38,827
4,750 Food Lion Inc 52,250
730 Sears Roebuck & Co 32,804
2,180 Wendy's International Inc 45,780
$169,661
TELEPHONE --- 3.2%
990 GTE Corp 58,100
$58,100
TRANSPORTATION EQUIPMENT --- 1.8%
710 Sundstrand Corp 33,325
$33,325
TOTAL COMMON STOCK --- 100.0% $1,827,323
(Cost $2,047,765)
TOTAL ORCHARD VALUE FUND --- 100.0% $1,827,323
(Cost $2,047,765)
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
ORCHARD SERIES FUND
ORCHARD INDEX 500
</LEGEND>
<CIK> 0001019977
<NAME> OSF
<SERIES>
<NUMBER> 1
<NAME> ORCHARD INDEX 500
<MULTIPLIER> 1000
<CURRENCY> U.S. Dollar
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> OCT-31-1998
<PERIOD-START> NOV-1-1997
<PERIOD-END> OCT-31-1998
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 528305
<INVESTMENTS-AT-VALUE> 604401
<RECEIVABLES> 795
<ASSETS-OTHER> 313
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 605509
<PAYABLE-FOR-SECURITIES> 143
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 279
<TOTAL-LIABILITIES> 422
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 520177
<SHARES-COMMON-STOCK> 42973
<SHARES-COMMON-PRIOR> 42148
<ACCUMULATED-NII-CURRENT> 1725
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 6528
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 76657
<NET-ASSETS> 605087
<DIVIDEND-INCOME> 8588
<INTEREST-INCOME> 254
<OTHER-INCOME> (44)
<EXPENSES-NET> 3382
<NET-INVESTMENT-INCOME> 5504
<REALIZED-GAINS-CURRENT> 6530
<APPREC-INCREASE-CURRENT> 90348
<NET-CHANGE-FROM-OPS> 102382
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 3691
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 6789
<NUMBER-OF-SHARES-REDEEMED> (6232)
<SHARES-REINVESTED> 267
<NET-CHANGE-IN-ASSETS> 112221
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> (1)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 3382
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3382
<AVERAGE-NET-ASSETS> 565861
<PER-SHARE-NAV-BEGIN> 11.694
<PER-SHARE-NII> 0.128
<PER-SHARE-GAIN-APPREC> 2.347
<PER-SHARE-DIVIDEND> 0.000
<PER-SHARE-DISTRIBUTIONS> 0.088
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 14.081
<EXPENSE-RATIO> 0.60
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
ORCHARD SERIES FUND
ORCHARD INDEX 600
</LEGEND>
<CIK> 0001019977
<NAME> OSF
<SERIES>
<NUMBER> 2
<NAME> ORCHARD INDEX 600
<MULTIPLIER> 1000
<CURRENCY> U.S. Dollar
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> OCT-31-1998
<PERIOD-START> NOV-1-1997
<PERIOD-END> OCT-31-1998
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 5065
<INVESTMENTS-AT-VALUE> 4856
<RECEIVABLES> 2
<ASSETS-OTHER> 32
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 4890
<PAYABLE-FOR-SECURITIES> 4
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2
<TOTAL-LIABILITIES> 6
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 4711
<SHARES-COMMON-STOCK> 468
<SHARES-COMMON-PRIOR> 451
<ACCUMULATED-NII-CURRENT> 4
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 378
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (209)
<NET-ASSETS> 5302
<DIVIDEND-INCOME> 3
<INTEREST-INCOME> 42
<OTHER-INCOME> 0
<EXPENSES-NET> 33
<NET-INVESTMENT-INCOME> 12
<REALIZED-GAINS-CURRENT> 378
<APPREC-INCREASE-CURRENT> (1017)
<NET-CHANGE-FROM-OPS> (627)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 8
<DISTRIBUTIONS-OF-GAINS> 147
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 14
<NET-CHANGE-IN-ASSETS> (586)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 147
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 33
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 33
<AVERAGE-NET-ASSETS> 5506
<PER-SHARE-NAV-BEGIN> 12.119
<PER-SHARE-NII> 0.026
<PER-SHARE-GAIN-APPREC> (1.372)
<PER-SHARE-DIVIDEND> 0.326
<PER-SHARE-DISTRIBUTIONS> 0.017
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 10.430
<EXPENSE-RATIO> 0.60
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
ORCHARD SERIES FUND
ORCHARD INDEX EUROPEAN FUND
</LEGEND>
<CIK> 0001019977
<NAME> OSF
<SERIES>
<NUMBER> 3
<NAME> ORCHARD INDEX EUROPEAN FUND
<MULTIPLIER> 1000
<CURRENCY> U.S. Dollar
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> OCT-31-1998
<PERIOD-START> NOV-1-1997
<PERIOD-END> OCT-31-1998
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 92775
<INVESTMENTS-AT-VALUE> 103352
<RECEIVABLES> 699
<ASSETS-OTHER> 1547
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 105598
<PAYABLE-FOR-SECURITIES> 254
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 96
<TOTAL-LIABILITIES> 350
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 91587
<SHARES-COMMON-STOCK> 7460
<SHARES-COMMON-PRIOR> 5351
<ACCUMULATED-NII-CURRENT> 845
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 2268
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 10548
<NET-ASSETS> 105248
<DIVIDEND-INCOME> 1920
<INTEREST-INCOME> 248
<OTHER-INCOME> 199
<EXPENSES-NET> 1032
<NET-INVESTMENT-INCOME> 937
<REALIZED-GAINS-CURRENT> 2268
<APPREC-INCREASE-CURRENT> 9217
<NET-CHANGE-FROM-OPS> 12422
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 92
<DISTRIBUTIONS-OF-GAINS> 8
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3231
<NUMBER-OF-SHARES-REDEEMED> (1128)
<SHARES-REINVESTED> 6
<NET-CHANGE-IN-ASSETS> 43100
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 8
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 860
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1167
<AVERAGE-NET-ASSETS> 86511
<PER-SHARE-NAV-BEGIN> 11.615
<PER-SHARE-NII> 0.129
<PER-SHARE-GAIN-APPREC> 2.381
<PER-SHARE-DIVIDEND> (0.002)
<PER-SHARE-DISTRIBUTIONS> (0.015)
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 14.107
<EXPENSE-RATIO> 1.20
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
ORCHARD SERIES FUND
ORCHARD INDEX PACIFIC FUND
</LEGEND>
<CIK> 0001019977
<NAME> OSF
<SERIES>
<NUMBER> 4
<NAME> ORCHARD INDEX PACIFIC FUND
<MULTIPLIER> 1000
<CURRENCY> U.S. Dollar
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> OCT-31-1998
<PERIOD-START> NOV-1-1997
<PERIOD-END> OCT-31-1998
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 101824
<INVESTMENTS-AT-VALUE> 86046
<RECEIVABLES> 1553
<ASSETS-OTHER> 257
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 87856
<PAYABLE-FOR-SECURITIES> 1548
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 78
<TOTAL-LIABILITIES> 1626
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 104578
<SHARES-COMMON-STOCK> 10887
<SHARES-COMMON-PRIOR> 5200
<ACCUMULATED-NII-CURRENT> 278
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (2854)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (15772)
<NET-ASSETS> 86230
<DIVIDEND-INCOME> 960
<INTEREST-INCOME> 142
<OTHER-INCOME> (110)
<EXPENSES-NET> 714
<NET-INVESTMENT-INCOME> 278
<REALIZED-GAINS-CURRENT> (2854)
<APPREC-INCREASE-CURRENT> (4274)
<NET-CHANGE-FROM-OPS> (6850)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 6677
<NUMBER-OF-SHARES-REDEEMED> (990)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 37785
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 595
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 907
<AVERAGE-NET-ASSETS> 59719
<PER-SHARE-NAV-BEGIN> 9.317
<PER-SHARE-NII> 0.026
<PER-SHARE-GAIN-APPREC> (1.421)
<PER-SHARE-DIVIDEND> 0.000
<PER-SHARE-DISTRIBUTIONS> 0.000
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 10.764
<EXPENSE-RATIO> 1.20
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
ORCHARD SERIES FUND
ORCHARD MONEY MARKET FUND
</LEGEND>
<CIK> 0001019977
<NAME> OSF
<SERIES>
<NUMBER> 5
<NAME> ORCHARD MONEY MARKET FUND
<MULTIPLIER> 1000
<CURRENCY> U.S. Dollar
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> OCT-31-1998
<PERIOD-START> NOV-1-1997
<PERIOD-END> OCT-31-1998
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 3226
<INVESTMENTS-AT-VALUE> 3226
<RECEIVABLES> 0
<ASSETS-OTHER> 49
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3275
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1
<TOTAL-LIABILITIES> 1
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 3274
<SHARES-COMMON-STOCK> 3274
<SHARES-COMMON-PRIOR> 3111
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 3274
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 178
<OTHER-INCOME> 0
<EXPENSES-NET> 14
<NET-INVESTMENT-INCOME> 164
<REALIZED-GAINS-CURRENT> 0
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 164
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 164
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 164
<NET-CHANGE-IN-ASSETS> 164
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 6
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 114
<AVERAGE-NET-ASSETS> 3186
<PER-SHARE-NAV-BEGIN> 1.000
<PER-SHARE-NII> 0.051
<PER-SHARE-GAIN-APPREC> 0.000
<PER-SHARE-DIVIDEND> 0.000
<PER-SHARE-DISTRIBUTIONS> 0.051
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 1.000
<EXPENSE-RATIO> 0.46
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
ORCHARD SERIES FUND
ORCHARD PREFERRED STOCK FUND
</LEGEND>
<CIK> 0001019977
<NAME> OSF
<SERIES>
<NUMBER> 6
<NAME> ORCHARD PREFERRED STOCK FUND
<MULTIPLIER> 1000
<CURRENCY> U.S. Dollar
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> OCT-31-1998
<PERIOD-START> NOV-1-1997
<PERIOD-END> OCT-31-1998
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 4226
<INVESTMENTS-AT-VALUE> 4303
<RECEIVABLES> 14
<ASSETS-OTHER> 413
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 4730
<PAYABLE-FOR-SECURITIES> 194
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3
<TOTAL-LIABILITIES> 197
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 4514
<SHARES-COMMON-STOCK> 451
<SHARES-COMMON-PRIOR> 418
<ACCUMULATED-NII-CURRENT> 20
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (78)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 77
<NET-ASSETS> 4533
<DIVIDEND-INCOME> 283
<INTEREST-INCOME> 8
<OTHER-INCOME> 0
<EXPENSES-NET> 40
<NET-INVESTMENT-INCOME> 251
<REALIZED-GAINS-CURRENT> (69)
<APPREC-INCREASE-CURRENT> 11
<NET-CHANGE-FROM-OPS> 193
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 231
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 10
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 23
<NET-CHANGE-IN-ASSETS> 291
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> (9)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 40
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 40
<AVERAGE-NET-ASSETS> 4430
<PER-SHARE-NAV-BEGIN> 10.137
<PER-SHARE-NII> 0.579
<PER-SHARE-GAIN-APPREC> 0.126
<PER-SHARE-DIVIDEND> 0.000
<PER-SHARE-DISTRIBUTIONS> 0.534
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.057
<EXPENSE-RATIO> 0.90
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
ORCHARD SERIES FUND
ORCHARD VALUE FUND
</LEGEND>
<CIK> 0001019977
<NAME> OSF
<SERIES>
<NUMBER> 7
<NAME> ORCHARD VALUE FUND
<MULTIPLIER> 1000
<CURRENCY> U.S. Dollar
<S> <C>
<PERIOD-TYPE> 8-MOS
<FISCAL-YEAR-END> OCT-31-1998
<PERIOD-START> FEB-3-1998
<PERIOD-END> OCT-31-1998
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 2048
<INVESTMENTS-AT-VALUE> 1827
<RECEIVABLES> 1
<ASSETS-OTHER> 10
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 1838
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1
<TOTAL-LIABILITIES> 1
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2036
<SHARES-COMMON-STOCK> 204
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 8
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 13
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (220)
<NET-ASSETS> 1837
<DIVIDEND-INCOME> 27
<INTEREST-INCOME> 1
<OTHER-INCOME> 0
<EXPENSES-NET> 13
<NET-INVESTMENT-INCOME> 15
<REALIZED-GAINS-CURRENT> 13
<APPREC-INCREASE-CURRENT> (220)
<NET-CHANGE-FROM-OPS> (192)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 7
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 205
<NUMBER-OF-SHARES-REDEEMED> (2)
<SHARES-REINVESTED> 1
<NET-CHANGE-IN-ASSETS> 1837
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 13
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 13
<AVERAGE-NET-ASSETS> 1926
<PER-SHARE-NAV-BEGIN> 10.000
<PER-SHARE-NII> 0.073
<PER-SHARE-GAIN-APPREC> (1.028)
<PER-SHARE-DIVIDEND> 0.000
<PER-SHARE-DISTRIBUTIONS> 0.036
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 9.001
<EXPENSE-RATIO> 1.00
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
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