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THE ORCHARD SERIES FUND
Financial Statements and Financial Highlights for
the Six Months Ended April 30, 1998 and 1997
<PAGE>
THE ORCHARD SERIES FUND
<TABLE>
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 1998
- ------------------------------------------------------------------------------------------------------------------------
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 at value:
Short-term investments 5,368,000 1,699,000 1,257,000 2,751,782
<S> <C> <C> <C> <C> <C>
Common stocks 600,330,286 6,123,952 89,400,691 48,208,742 2,028,024
Preferred stocks 506,684 4,215,636
---------- ----------
---------- --------- --------- --------- ---------
Total investments (cost
$517,805,070; $4,841,231; 605,698,286 6,123,952 91,606,375 49,465,742 2,751,782 4,215,636 2,028,024
$72,584,703;
$65,683,187; $2,751,782;
$4,150,017; $1,995,672)
Cash 12,287 21,582 3,017,823 336,321 160,446 1,273
Dividends and interest receivable 647,864 2,345 310,449 210,114 16,047 18,950 1,477
Subscriptions receivable 647,806 324,214 294,049
Receivables for investments sold 5,903,452 34,880 4,215,302 1,363,160 1,130,000 175,869 47,934
---------- ---------- --------- --------- --------- ---------- ---------
Total assets 612,909,695 6,182,759 99,474,163 51,669,386 4,058,275 4,410,455 2,078,708
---------- ---------- --------- --------- --------- ---------- ---------
LIABILITIES:
Dividends payable 385
Due to GW Capital Management 296,791 3,048 89,917 48,714 1,202 3,238 1,706
Payables for investments purchased 6,295,499 6,971,286 1,746,714 865,745 26,046 9,069
---------- ---------- --------- --------- --------- ---------- ---------
Total liabilities 6,592,290 3,048 7,061,203 1,795,428 867,332 29,284 10,775
---------- ---------- --------- --------- --------- ---------- ---------
NET ASSETS 606,317,405 6,179,711 92,412,960 49,873,958 3,190,943 4,381,171 2,067,933
========== ========== ========= ========= ========= ========== =========
NET ASSETS REPRESENTED BY:
Capital stock, no par value 514,454,949 4,680,503 73,165,034 66,030,311 3,190,943 4,307,173 2,000,000
Net unrealized appreciation 87,893,216 1,282,721 19,739,875 (9,317,239) 65,619 32,352
(depreciation) on investments
Undistributed net investment 1,547,130 2,664 170,909 85,910 24,870 1,451
income (loss)
Accumulated net short-term 2,421,079 95,719 57,474 (24,818) (11,629) 34,130
realized gain (loss) on investments
Accumulated net long-term 1,031 118,104 (2,129) (4,862)
realized gain (loss) on investments
Net unrealized appreciation
(depreciation) on translation of
assets and liabilities (718,203) (6,900,206)
denominated in foreign currencies
---------- ---------- --------- --------- --------- ---------- ---------
NET ASSETS 606,317,405 6,179,711 92,412,960 49,873,958 3,190,943 4,381,171 2,067,933
========== ========== ========= ========= ========= ========== =========
NET ASSET VALUE PER OUTSTANDING 14.2340 13.2699 14.7665 8.4435 1.0000 10.1774 10.3397
SHARE
========== ========== ========= ========= ========= ========== =========
SHARES OF CAPITAL STOCK 42,596,461 465,695 6,258,278 5,906,805 3,190,943 430,479 200,000
OUTSTANDING:
</TABLE>
See notes to financial statements.
<PAGE>
THE ORCHARD SERIES FUND
<TABLE>
STATEMENT OF OPERATIONS
SIX MONTHS ENDED APRIL 30, 1998
- -------------------------------------------------------------------------------------------------------------------------
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)
<S> <C> <C> <C> <C> <C> <C> <C>
Interest 151,873 1,516 101,889 77,143 87,774 2,178 270
Dividends 4,070,640 20,613 572,133 320,412 148,336 4,682
Less: Foreign withholding tax (4,329) (6) (60,615) (25,649)
---------- ---------- --------- ---------- ---------- ---------- ---------
Total income 4,218,184 22,123 613,407 371,906 87,774 150,514 4,952
---------- ---------- --------- ---------- ---------- ---------- ---------
EXPENSES:
Salaries 4,518 4,518 4,518
Legal and SEC fees 19,913 19,421 987
Directors' fees 379 212 3
Audit fees 7,486 7,481 3,025
Investment administration 77,408 94,544 56,522
Bank and custodial fees 18,843 21,576 1,694
Other expenses 25,055 23,939 114
Management fee 1,600,807 16,930 368,748 238,330 3,118 19,334 3,501
---------- ---------- --------- ---------- ---------- ---------- ---------
Total expenses 1,600,807 16,930 522,350 410,021 69,981 19,334 3,501
Less amount reimbursed by GW Capital 79,852 124,025 62,809
Management
---------- ---------- --------- ---------- ---------- ---------- ---------
Net expenses 1,600,807 16,930 442,498 285,996 7,172 19,334 3,501
---------- ---------- --------- ---------- ---------- ---------- ---------
NET INVESTMENT INCOME (LOSS) 2,617,377 5,193 170,909 85,910 80,602 131,180 1,451
---------- ---------- --------- ---------- ---------- ---------- ---------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net short-term realized gain (loss) 2,422,079 95,719 57,474 (24,817) (2,631) 34,130
on investments
Net long-term realized gain (loss) on 1,031 118,104 (2,129) (4,862)
investments
Change in net unrealized appreciation 101,584,644 475,148 19,553,054 (180,274) (602) 32,352
(depreciation) on investments
Change in net unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated (1,861,422)(4,538,651)
in foreign currencies
---------- ---------- --------- ---------- ---------- ---------- ---------
Net change in realized and
unrealized appreciation (depreciation) 104,007,754 688,971 17,746,977 (4,743,742) (8,095) 66,482
on
Investments
---------- ---------- --------- ---------- ---------- ---------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING
FROM OPERATIONS 106,625,131 694,164 17,917,886 (4,657,832) 80,602 123,085 67,933
========== ========== ========= ========== ========== ========== =========
</TABLE>
(A) The portfolio commenced operations on March 2, 1998.
See notes to financial statements.
<PAGE>
THE ORCHARD SERIES FUND
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED APRIL 30, 1998 AND THE PERIOD FEBRUARY 3, 1997 (INCEPTION) TO APRIL 30, 1997
- -------------------------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD ORCHARD ORCHARD
INDEX 500 FUND INDEX 600 FUND INDEX EUROPEAN INDEX PACIFIC
FUND FUND
------------------- ------------------- ------------------- ------------------
1998 1997 1998 1997 1998 1997 1998 1997
---- ---- ---- ---- ---- ---- ---- ----
INCREASE IN NET ASSETS:
OPERATIONS:
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net investment income 2,617,377 16,199 5,193 5,152 170,909 16,196 85,910 11,038
Net short-term realized gain (loss) 2,422,079 32 95,719 7,567 57,474 (428) (24,817)
on investments
Net long-term realized gain (loss) 1,031 118,104 (2,129)
on investments
Change in net unrealized 101,584,644 85,211 475,148 (285,862) 19,553,054 291,146 (180,274) 167,974
appreciation (depreciation) on
investments
Change in net unrealized
appreciation (depreciation) on (1,861,422)(138,501) (4,538,651)(133,081)
translation
of assets and liabilities
denominated in foreign currencies
--------- -------- --------- --------- --------- -------- --------- --------
Net increase (decrease) in net 106,625,131 101,442 694,164 (273,143) 17,917,886 168,413 (4,657,832)45,931
assets resulting from operations
--------- -------- --------- --------- --------- -------- --------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income and net (1,070,247)(15,329) (149,777) (5,085) (8,353)
short-term realized gain
--------- -------- --------- --------- --------- -------- --------- --------
Total distributions (1,070,247)(15,329) (149,777) (5,085) (8,353)
--------- -------- --------- --------- --------- -------- --------- --------
SHARE TRANSACTIONS:
Net proceeds from sales of shares 45,626,415 4,500,000 15,650 4,500,000 16,501,158 4,500,000 10,979,8464,500,000
Reinvestment of distributions 1,070,247 15,329 149,777 5,085 8,353
Cost of shares redeemed (38,800,473) (22) (4,153,662) (4,892,987)
--------- -------- --------- --------- --------- -------- --------- --------
Net increase (decrease) in net
assets resulting from share 7,896,189 4,515,329 165,405 4,505,085 12,355,849 4,500,000 6,086,859 4,500,000
transactions
--------- -------- --------- --------- --------- -------- --------- --------
Total increase (decrease) in net 113,451,073 4,601,442 709,792 4,226,857 30,265,382 4,668,413 1,429,027 4,545,931
assets
NET ASSETS:
Beginning of period 492,866,332 5,469,919 62,147,578 48,444,931
---------
========= ======== ========= ========= ======== ========= ========
End of period 606,317,405 4,601,442 6,179,711 4,226,857 92,412,960 4,668,413 49,873,958 4,545,931
========= ======== ========= ========= ========= ======== ========= ========
OTHER INFORMATION:
SHARES:
Sold 3,480,233 450,000 1,273 450,000 1,226,881 450,000 1,255,105 450,000
Issued in reinvestment of 86,188 1,519 13,076 547 698
distributions
Redeemed (3,118,255) (2) (320,070) (548,103)
--------- --------- --------- ---------
-------- --------- -------- --------
Net increase (decrease) 448,166 451,519 14,347 450,547 907,509 450,000 707,002 450,000
========= ======== ========= ========= ========= ======== ========= ========
</TABLE>
See notes to financial statements.
THE ORCHARD SERIES FUND
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED APRIL 30, 1998 AND THE PERIOD FEBRUARY 3, 1997 (INCEPTION) TO APRIL 30, 1997
- -------------------------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD ORCHARD
MONEY MARKET FUND PREFERRED STOCK FUND VALUE FUND
---------------------------- -------------------------- -----------
1998 1997 1998 1997 1998
---- ---- ---- ---- ----
INCREASE IN NET ASSETS: (A)
OPERATIONS:
<S> <C> <C> <C> <C> <C>
Net investment income 80,602 32,869 131,180 60,377 1,451
Net short-term realized gain (loss) on (2,631) (8,006) 34,130
investments
Net long-term realized gain (loss) on (4,862)
investments
Change in net unrealized appreciation (602) (60,734) 32,352
(depreciation) on investments
Change in net unrealized appreciation
(depreciation) on translation
of assets and liabilities denominated in
foreign currencies
---------- ----------- ----------- ------------ -----------
Net increase (decrease) in net assets 80,602 32,869 123,085 (8,363) 67,933
resulting from operations
---------- ----------- ----------- ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income and net (80,602) (32,869) (106,310) (57,095)
short-term realized gain
---------- ----------- ----------- ------------ -----------
Total distributions (80,602) (32,869) (106,310) (57,095)
---------- ----------- ----------- ------------ -----------
SHARE TRANSACTIONS:
Net proceeds from sales of shares 3,000,000 16,000 4,000,000 2,000,000
Reinvestment of distributions 80,216 32,484 106,310 57,095
Cost of shares redeemed
---------- ----------- ----------- ------------ -----------
Net increase (decrease) in net assets 80,216 3,032,484 122,310 4,057,095 2,000,000
resulting from share transactions
Total increase (decrease) in net assets 80,216 3,032,484 139,085 3,991,637 2,067,933
---------- ----------- ----------- ------------ -----------
NET ASSETS:
Beginning of period 3,110,727 4,242,086
-----------
========== =========== ============ ===========
End of period 3,190,943 3,032,484 4,381,171 3,991,637 2,067,933
========== =========== =========== ============ ===========
OTHER INFORMATION:
SHARES:
Sold 3,000,000 1,565 400,000
Issued in reinvestment of distributions 80,216 32,484 10,448 5,808 200,000
Redeemed
---------- ----------- -----------
----------- ------------
Net increase (decrease) 80,216 3,032,484 12,013 405,808 200,000
========== =========== =========== ============ ===========
(A) The portfolio commenced operations on March 2, 1998.
See notes to financial statements. (Concluded)
</TABLE>
<PAGE>
THE ORCHARD SERIES FUND
<TABLE>
INDEX 500 FUND
FINANCIAL HIGHLIGHTS
- ----------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the periods ended
April 30, 1998 and February 3, 1997 (inception) to October 31, 1997 are as
follows:
Six Months Period Ended
Ended October 31,
April 30, 1997
1998
-------------- -------------
(A)
<S> <C> <C>
Net Asset Value, Beginning of Period $ 11.6936 $ 10.0000
Income From Investment Operations
Net investment income 0.0622 0.0388
Net short-term realized gain (loss) 0.0569 1.6936
Net long-term realized and unrealized gain (loss) 2.4472
------------ -----------
1.7324
Total Income (Loss) From Investment Operations 2.5663
Less Distributions
From net investment income and net short-term (0.0259) (0.0388)
realized gains
From net long-term realized gains
-----------
------------
Total Distributions (0.0259) (0.0388)
------------ -----------
Net Asset Value, End of Period $ 14.2340 $ 11.6936
============ ===========
Total Return 21.98% 17.38%
Net Assets, End of Period $ 606,317,405 $ 492,866,332
Average Commission Rate Paid Per Share Bought or $ 0.0330 $ 0.0318
Sold
Ratio of Expenses to Average Net Assets 0.60%* 0.60%*
Ratio of Net Investment Income to Average Net 0.98%* 1.67%*
Assets
Portfolio Turnover Rate 9.35% 0.45%
*Annualized
</TABLE>
(A) The portfolio commenced operations February 3, 1997.
(continued)
<PAGE>
THE ORCHARD SERIES FUND
<TABLE>
INDEX 600 FUND
FINANCIAL HIGHLIGHTS
- ---------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the periods ended
April 30, 1998 and February 3, 1997 (inception) to October 31, 1997 are as
follows:
Six Months Period Ended
Ended ------------
April 30, October 31,
1998 1997
-------------
(A)
<S> <C> <C>
Net Asset Value, Beginning of Period $ 12.1191 $ 10.0000
Income From Investment Operations
Net investment income 0.0111 0.0238
Net short-term realized gain (loss) 0.2055 0.3262
Net long-term realized and unrealized gain 1.2656 1.7929
(loss)
----------- ----------
Total Income (Loss) From Investment Operations 1.4822 2.1429
Less Distributions
From net investment income and net short-term (0.3314) (0.0238)
realized gains
----------- ----------
-----------
Total Distributions (0.3314) (0.0238)
----------- ----------
Net Asset Value, End of Period $ 13.2699 $ 12.1191
=========== ==========
Total Return 12.67% 21.46%
Net Assets, End of Period $ 6,179,711 $ 5,469,919
Average Commission Rate Paid Per Share Bought $ 0.0329 $ 0.0345
or Sold
Ratio of Expenses to Average Net Assets 0.60%* 0.60%*
Ratio of Net Investment Income to Average Net 0.18%* 0.30%*
Assets
Portfolio Turnover Rate 14.72% 21.58%
</TABLE>
*Annualized
(A) The portfolio commenced operations February 3, 1997.
(continued)
<PAGE>
THE ORCHARD SERIES FUND
<TABLE>
INDEX EUROPEAN FUND
FINANCIAL HIGHLIGHTS
- ----------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for periods ended April
30, 1998 and February 3, 1997 (inception) to October 31, 1997 are as follows:
Six Months Period Ended
Ended
April 30, 1998 October 31,
1997
--------------- --------------
(A)
<S> <C> <C>
Net Asset Value, Beginning of Period $ 11.6147 $ 10.0000
Income From Investment Operations
Net investment income 0.0273 0.0343
Net short-term realized gain (loss) 0.0092 0.0016
Net long-term realized and unrealized gain (loss) 3.1168 1.6131
------------ -----------
Total Income (Loss) From Investment Operations 3.1533 1.6490
Less Distributions
From net investment income and net short-term (0.0015) (0.0343)
realized gains
------------ -----------
Total Distributions (0.0015) (0.0343)
------------ -----------
Net Asset Value, End of Period $ 14.7665 $ 11.6147
============ ===========
Total Return 27.15% 16.47%
Net Assets, End of Period $ 92,412,960 $ 62,147,578
Average Commission Rate Paid Per Share Bought or $ 0.0391 $ 0.0639
Sold
Ratio of Expenses to Average Net Assets 1.20%* 1.20%*#
Ratio of Net Investment Income to Average Net 0.46%* 0.83%*
Assets
Portfolio Turnover Rate 9.37% 5.69%
*Annualized
(A) The portfolio commenced operations February 3, 1997.
# Percentages are shown net of expenses reimbursed by GW Capital Management, LLC.
</TABLE>
(continued)
<PAGE>
THE ORCHARD SERIES FUND
<TABLE>
INDEX PACIFIC FUND
FINANCIAL HIGHLIGHTS
- ---------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the periods ended
April 30, 1998 and February 3, 1997 (inception) to October 31, 1997 are as
follows:
Six Months Period Ended
Ended
April 30, October 31,
1998 1997
------------- -------------
(A)
<S> <C> <C>
Net Asset Value, Beginning of Period $ 9.3167 $ 10.0000
Income From Investment Operations
Net investment income 0.0145 0.0163
Net short-term realized gain (loss) (0.0042)
Net long-term realized and unrealized gain (0.8835) (0.6833)
(loss)
----------- ----------
Total Income (Loss) From Investment Operations (0.8732) (0.6670)
Less Distributions
From net investment income and net short-term (0.0163)
realized gains
----------- ----------
Total Distributions (0.0163)
----------- ----------
Net Asset Value, End of Period $ 8.4435 $ 9.3167
=========== ==========
Total Return (9.37)% (6.67%)
Net Assets, End of Period $ 49,873,958 $ 48,444,931
Average Commission Rate Paid Per Share Bought $ 0.0132 $ 0.0093
or Sold
Ratio of Expenses to Average Net Assets 1.20%*# 1.20%*#
Ratio of Net Investment Income to Average Net 0.36%* 0.42%*
Assets
Portfolio Turnover Rate 1.79% 0.04%
*Annualized
(A) The portfolio commenced operation February 3, 1997.
# Percentages are shown net of expenses reimbursed by GW Capital Management, LLC.
</TABLE>
(continued)
<PAGE>
THE ORCHARD SERIES FUND
<TABLE>
MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
- ---------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the periods ended
April 30, 1998 and February 3, 1997 (inception) to October 31, 1997 are as
follows:
Six Months Period Ended
Ended April October 31,
30, 1998 1997
-------------- --------------
-------------- --------------
(A)
<S> <C> <C>
Net Asset Value, Beginning of Period $ 1.0000 $ 1.0000
Income From Investment Operations
Net investment income 0.0255 0.0363
------------ -----------
Total Income (Loss) From Investment Operations 0.0255 0.0363
Less Distributions
From net investment income (0.0255) (0.0363)
------------ -----------
Total Distributions (0.0255) (0.0363)
------------ -----------
Net Asset Value, End of Period $ 1.0000 $ 1.000
============ ===========
Net Assets, End of Period $ 3,190,943 $ 3,110,727
Ratio of Expenses to Average Net Assets 0.46%*# 0.46%*#
Ratio of Net Investment Income to Average Net 5.17%* 4.88%*
Assets
</TABLE>
*Annualized
(A) The portfolio commenced operations February 3, 1997.
#Percentages are shown net of expenses reimbursed by GW Capital Management, LLC.
(continued)
<PAGE>
THE ORCHARD SERIES FUND
<TABLE>
PREFERRED STOCK FUND
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the periods ended
April 30, 1998 and February 3, 1997 (inception) to October 31, 1997 are as
follows:
Six Months Period Ended
Ended October 31,
April 30, 1997
1998
------------- -------------
------------- -------------
(A)
<S> <C> <C>
Net Asset Value, Beginning of Period $ 10.1372 $ 10.0000
Income From Investment Operations
Net investment income 0.3096 0.4544
Net short-term realized gain (loss) (0.0061) (0.0215)
Net long-term realized and unrealized gain (0.0115) 0.1587
(loss)
----------- ----------
Total Income (Loss) From Investment Operations 0.2920 0.5916
Less Distributions
From net investment income and net short-term (0.2518) (0.4544)
realized gains
----------- ----------
-----------
Total Distributions (0.2518) (0.4544)
----------- ----------
Net Asset Value, End of Period $ 10.1774 $ 10.1372
=========== ==========
Total Return 2.90% 6.04%
Net Assets, End of Period $ 4,381,171 $ 4,242,086
Ratio of Expenses to Average Net Assets 0.90%* 0.90%*
Ratio of Net Investment Income to Average Net 6.11%* 6.07%*
Assets
Portfolio Turnover Rate 17.45% 10.05%
</TABLE>
*Annualized
(A) The portfolio commenced operations February 3, 1997.
(continued)
<PAGE>
THE ORCHARD SERIES FUND
<TABLE>
VALUE FUND
FINANCIAL HIGHLIGHTS
- ---------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund from March 2, 1998
(inception) to April 30, 1998, are as follows:
Period Ended
April 30, 1998
------------------
(A)
<S> <C>
Net Asset Value, Beginning of Period $ 10.0000
Income From Investment Operations
Net investment income 0.0073
Net short-term realized gain (loss) 0.1706
Net long-term realized and unrealized gain (loss) 0.1618
------------------
0.3397
Total Income (Loss) From Investment Operations
Less Distributions
From net investment income and net short-term realized gains
From net long-term realized gains
------------------
Total Distributions
------------------
Net Asset Value, End of Period $ 10.3397
==================
Total Return 3.40%
Net Assets, End of Period $ 2,067,933
Average Commission Rate Paid Per Share Bought or Sold $ 0.0591
Ratio of Expenses to Average Net Assets 1.00%*
Ratio of Net Investment Income to Average Net Assets 0.43%*
Portfolio Turnover Rate 23.88%
</TABLE>
*Annualized
(A) The portfolio commenced operations on March 2, 1998.
(Concluded)
<PAGE>
THE ORCHARD SERIES FUND
NOTES TO FINANCIAL STATEMENTS
SIX MONTHS ENDED APRIL 30, 1998 AND THE PERIOD FEBRUARY 3, 1997 (INCEPTION) TO
APRIL 30, 1997
- --------------------------------------------------------------------------------
1. ORGANIZATION
The Orchard Series Fund is an open-end management investment company
organized as a Delaware business trust (the Trust) on July 23, 1996. The
Trust offers 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 April 30, 1998, GWL&A's
investment in the Funds totaled $16,157,576.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the
financial statements and the reported amounts of revenue and expenses
during the reporting period. Actual results could differ from those
estimates.
The following is a summary of the significant accounting policies of the
Fund, which are in accordance with generally accepted accounting
principles in the investment company industry:
Security Valuation - Securities traded on national securities exchanges
are valued daily at the closing prices of the securities on these
exchanges, and securities traded on over-the-counter markets are valued
daily at the average between the quoted bid and asked prices. Short-term
and money market securities are valued at amortized cost which
approximates market value.
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 Money Market Fund are
declared daily and reinvested monthly. Dividends from investment income of
the Preferred Stock Fund are declared and reinvested quarterly. Dividends
from investment income of the Index 500, Index 600 Funds and Value Fund
are declared and reinvested semi-annually while dividends from investment
income of the Index Pacific and Index European Funds are declared and
reinvested annually. All of the Funds generally distribute capital gains,
if any, in the fiscal year in which they were earned.
Security Transactions - 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 and Orchard Index Pacific Funds are maintained in U.S. dollars.
Investment securities, and other assets and liabilities denominated in a
foreign currency are translated into U.S. dollars at the current exchange
rate. Purchases and sales of securities, income receipts and expense
payments are translated into U.S. dollars at the exchange rate on the dates
of the transactions.
<PAGE>
The Orchard Index European and Orchard Index Pacific Funds isolate that
portion of the results of operations resulting from changes in foreign
exchange rates from the fluctuations arising from changes in market prices
of securities held.
Net realized foreign exchange gains or losses arise from sales of
portfolio securities, sales and maturities of short-term securities, and
currency gains or losses realized between the amounts of dividends,
interest, and foreign withholding taxes recorded by the Orchard Index
European and Orchard Index Pacific Funds and the U.S. dollar equivalent of
the amounts actually received or paid. Net unrealized foreign exchange
gains and losses arise from changes in the value of assets and liabilities
including investments in securities at fiscal year end, resulting from
changes in the exchange rate.
Federal Income Taxes - For federal income tax purposes, each Fund intends
to quality as a regulated investment company under the provisions of the
Internal Revenue Code by distributing substantially all of its taxable net
income (both ordinary and capital gain) to its shareholders and complying
with other requirements for regulated investment companies. Accordingly,
no provision for federal income taxes has been made.
3. INVESTMENT ADVISORY AGREEMENT
GW Capital Management, 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 Fund's investments
and handling their business affairs.
As compensation for its services to the Fund, the investment adviser
receives monthly compensation at the annual rate of .20% of the average
daily net assets of the Money Market Fund, .90% of the average daily net
assets of the Preferred Stock Fund, .60% of the average daily net assets
of the Index 500 and Index 600 Funds and 1.00% of the average daily net
assets of the Index Pacific, Index European, and Value Funds.
Subject to revision, Capital Management has voluntarily agreed to
reimburse the Index Pacific Fund, the Index European Fund, and the Money
Market Fund to the extent that total operating expenses exceed 1.20%,
1.20%, and .46%, respectively, of average net assets. Interest, taxes,
brokerage commissions, and extraordinary expenses are not 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 capital of an unlimited number of shares with no
stated par value for each portfolio in the Trust. Shares may be issued in
one or more series of shares, and each series may be issued in one or more
classes of shares. Each Fund represents a separate series of shares.
<PAGE>
6. UNREALIZED APPRECIATION (DEPRECIATION)
Gross unrealized appreciation (depreciation) of securities is as follows
as of April 30, 1998:
<TABLE>
Orchard
Orchard Orchard Orchard Orchard Orchard
Index Index Index Index Preferred Value
500 600 European Pacific
Fund Fund Fund Fund Stock Fund
Fund
--------- --------- ---------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Gross 96,062,176 1,603,292 19,480,516 491,625 97,305 80,525
appreciation
Gross (8,168,960)(320,571) (458,844) (16,709,070(31,686) (48,173)
depreciation
--------- --------- ---------- --------- --------- ---------
Net
unrealized
appreciation
(depreciation)
87,893,21 $1,282,721 19,021,672 (16,217,445) 65,619 32,352
========= ========= ========= ========= ========= =========
</TABLE>
The Orchard Series Fund
Orchard Index European Fund
COMMON STOCK
AUSTRIA --- 0.4%
ELECTRIC
192 EVN-Energie Versorgung AG 28,376
254 Oest Elektrizatswirts AG* 30,988
$59,364
FOREIGN BANKS
1,378 Bank Austria AG* 106,463
120 Bank Austria AG Ptg Certs* 7,589
126 Bank Austria AG-Vorzug* 9,803
12 Creditanstalt - Bankverein Ptg Certs* 5,064
2 Creditanstalt AG* 206
$129,125
INDUSTRIAL PRODS & SVCS
252 VA Technologie AG* 36,245
$36,245
MFTG - INDUSTRIAL PRODS
554 Voest-Alpine Stahl AG 22,741
146 Wienerberger Baust* 32,743
$55,484
OIL & GAS
454 Omv AG* 67,422
$67,422
TOTAL AUSTRIA --- 0.4% $347,640
BELGIUM --- 3.1%
CONSUMER SERVICES
100 UCB SA 477,850
$477,850
CREDIT INSTITUTIONS
1,600 Societe Generale de Belgique SA 246,786
$246,786
ELECTRIC
1,250 Electrabel 331,915
2,600 Tractebel Inv International 310,778
$642,693
FINANCIAL SERVICES
954 Fortis AG 269,295
$269,295
FOREIGN BANKS
700 Dexia Belgium* 95,867
400 Generale de Banque 230,956
314 Kredietbank NV Series A 177,060
50 Kredietbank NV VVPR* 27,823
$531,706
HOLDING & INVEST OFFICES
600 Group Bruxelles Lambert SA* 119,773
$119,773
INSURANCE
4 Fortis AG* 1
370 Royale Belge 153,917
$153,918
MFTG - INDUSTRIAL PRODS
1,500 Solvay SA 112,844
$112,844
OIL & GAS
650 Electrafina SA* 85,157
600 Petrofina SA 236,629
$321,786
TOTAL BELGIUM --- 3.1% $2,876,651
DENMARK --- 1.0%
COMMUNICATIONS
1,056 Tele Danmark A/S 88,785
$88,785
CONSUMER SERVICES
1,078 Novo-Nordisk A/S 174,964
15 Sophus Berendsen A/S Series A* 605
335 Sophus Berendsen A/S Series B* 13,569
$189,138
FINANCIAL SERVICES
784 Unidanmark 65,916
$65,916
FOREIGN BANKS
504 BG Bank AS 29,478
900 Den Danske Bank AS 109,226
$138,704
HOLDING & INVEST OFFICES
15 Ratin A/S Series A* 2,837
335 Ratin A/S Series B* 64,414
$67,251
INSURANCE
15 Codan Forsikring 2,369
$2,369
MFTG - CONSUMER PRODS
594 Carlsberg Series A 36,913
198 Carlsberg Series B 12,333
1,009 Danisco A/S 63,441
$112,687
MFTG - INDUSTRIAL PRODS
2 A/S Dampskibsselskabet Svendborg* 127,212
2 D/S 1912* 89,779
$216,991
TOTAL DENMARK --- 1.0% $881,841
FINLAND --- 1.3%
COMMUNICATIONS
9,400 Nokia Oyj Series A* 632,194
3,000 Nokia Oyj Series K* 199,559
$831,753
FOREIGN BANKS
13,000 Merita Ltd Series A* 87,192
100 Merita Ltd Series B* 621
$87,813
MFTG - CONSUMER PRODS
500 Cultor OY 29,585
300 Huhtamaki Group Class I 17,365
700 Orion Yhtyma Oy Series A 21,867
560 Orion Yhtyma Oy Series B 17,391
$86,208
MFTG - INDUSTRIAL PRODS
900 Kemira OY* 9,757
700 Metra OY Class B 17,622
1,400 Outokumpu OY 19,680
13 Rauma OY 244
4,900 UPM-Kymmene Corp 147,216
1,300 Valmet Corp 21,571
$216,090
TOTAL FINLAND --- 1.3% $1,221,864
FRANCE --- 11.8%
AGRICULTURE
50 Eridania Beghin-SA 10,841
$10,841
COMMUNICATIONS
510 Canal Plus 88,612
5,300 France Telecom SA* 288,423
$377,035
CONSUMER SERVICES
650 Accor 177,133
1,100 Havas 99,860
475 Pin-Printemps-Redo 353,660
1,950 Sanofi SA 236,358
$867,011
CREDIT INSTITUTIONS
19 Cie de Suez* 73
$73
ELECTRONICS - HIGH TECH
3,700 Alcatel Alsthom (Cie Gen El) 685,937
$685,937
FOREIGN BANKS
4,800 Banque Nationale de Paris 404,629
2,350 Societe Generale 489,193
$893,822
HOLDING & INVEST OFFICES
3,775 Cie Financiere de Paribas 401,703
$401,703
INSURANCE
7,700 Axa UAP 903,864
$903,864
MFTG - CONSUMER PRODS
700 Christian Dior 94,856
1,800 Groupe Danone 424,980
1,960 LVMH Moet Hennessy 403,445
3,100 Michelin (CGDE) 195,296
320 Promodes 154,137
800 Synthelabo* 120,378
$1,393,092
MFTG - INDUSTRIAL PRODS
1,525 L'Air Liquide 281,450
4,300 Renault (Regie NTL)* 199,471
7,100 Rhone-Poulenc SA 347,185
2,300 Schneider SA 172,087
100 Usinor Sacilor* 1,496
$1,001,689
OIL & GAS
6,100 Elf Aquitaine SA 800,229
5,550 TOTAL SA 659,791
$1,460,020
RETAIL TRADE
945 Carrefour 541,288
200 Cie Generale De Eaux warrants* 291
2,750 Cie Generale des Eaux 511,190
1,950 Cie de Saint Gobain 324,870
1,430 L'oreal 682,379
1,600 Lafarge 151,104
1,050 Peugeot SA 182,263
$2,393,385
UTILITIES
2,541 Lyonnaise Des Eaux 430,936
$430,936
TOTAL FRANCE --- 11.8% $10,819,408
GERMANY --- 12.6%
ELECTRIC
10,700 Veba AG 707,448
$707,448
ELECTRONICS - HIGH TECH
12,250 Siemens AG 717,053
$717,053
FOREIGN BANKS
5,650 Bayer Vereins Bank AG* 429,939
9,150 Commerzbank AG 352,982
10,900 Deutsche Bank AG 845,847
10,650 Dresdner Bank AG 576,494
$2,205,262
INSURANCE
5,150 Allianz AG Holdings* 1,591,970
1,900 Muenchener Rueckver AG* 877,021
$2,468,991
MFTG - INDUSTRIAL PRODS
12,500 BASF AG 556,779
14,150 Bayer Ag 629,485
11,300 Hoechst AG 455,452
865 Mannesmann AG 686,676
450 Viag AG 228,035
530 Volkswagen AG 422,954
$2,979,381
OIL & GAS
7,150 Rwe AG 363,917
$363,917
RETAIL TRADE
3,840 Metro AG* 190,523
$190,523
TELEPHONE
14,000 Deutsche Telekom AG* 357,453
$357,453
TRANSPORTATION EQUIPMENT
420 Bayerische Motoren Werke AG* 463,597
10,700 Daimler-Benz AG 1,045,066
$1,508,663
TOTAL GERMANY --- 12.6% $11,498,691
IRELAND --- 1.4%
FOREIGN BANKS
23,510 Allied Irish Banks PLC 299,270
8,246 Bank of Ireland Series A* 141,128
14,312 Bank of Ireland Series B* 289,883
$730,281
INSURANCE
5,292 Irish Life PLC 49,032
$49,032
MFTG - CONSUMER PRODS
8,755 Kerry Group PLC 138,059
18,536 Smurfit (Jefferson) 68,852
$206,911
MFTG - INDUSTRIAL PRODS
20,209 CRH PLC* 288,085
$288,085
TOTAL IRELAND --- 1.4% $1,274,309
ITALY --- 6.3%
COMMERCIAL/OTHER
9,000 Rolo Banca* 208,404
$208,404
COMMUNICATIONS
20,000 Mediaset SpA* 131,029
$131,029
CREDIT INSTITUTIONS
41,000 Credito Italiano* 215,582
$215,582
FOREIGN BANKS
17,000 Istituto Banc San Paolo di Torino 245,792
13,000 Istituto Mobiliare Italiano SpA 212,922
$458,714
INSURANCE
13,000 Alleanza Assicurazioni 165,565
1,000 Alleanza Assicurazioni non convertible 9,658
19,000 Assic Generali SpA 571,953
85,000 Istituto Nazionale delle Assicurazioni 254,193
1,000 Riunione Adriatica di Sicurta SpA 16,068
$1,017,437
MFTG - CONSUMER PRODS
7,000 Montedison SpA 8,836
1,000 Montedison SpA RNC 913
$9,749
MFTG - INDUSTRIAL PRODS
77,600 Fiat SpA 307,884
13,200 Fiat SpA RNC 32,877
$340,761
OIL & GAS
89,000 ENI SpA 597,907
$597,907
TELEPHONE
161,500 Telecom Italia Mobile SpA 921,241
26,000 Telecom Italia Mobile SpA RNC 94,420
185,111 Telecom Italia SpA* 1,385,248
80,116 Telecom Italia SpA RNC* 422,616
$2,823,525
TOTAL ITALY --- 6.3% $5,803,108
NETHERLANDS --- 9.1%
COMMUNICATIONS
281 Polygram NV 11,602
$11,602
CONSUMER SERVICES
7,923 Philips Electronics 698,165
$698,165
FOREIGN BANKS
34,676 ABN Amro Holding NV 844,583
23,542 ING Groep NV 1,536,680
350 ING Groep NV warrants* 10,854
$2,392,117
INSURANCE
6,705 Aegon NV 869,658
$869,658
MFTG - CONSUMER PRODS
14,684 Unilever NV* 1,045,326
$1,045,326
OIL & GAS
49,178 Royal Dutch Petroleum Co 2,714,528
$2,714,528
TELEPHONE
10,883 Kon Ptt Nederland 562,468
$562,468
TOTAL NETHERLANDS --- 9.1% $8,293,864
NORWAY --- 0.5%
ELECTRIC
300 Hafslund ASA 1,791
$1,791
FOREIGN BANKS
4,600 Christiania Bank og Kreditdasse* 21,173
5,300 Den Norske Bank* 27,880
$49,053
INSURANCE
4,600 Storebrand ASA* 40,741
$40,741
MFTG - CONSUMER PRODS
1,200 Schibsted AS* 22,866
$22,866
MFTG - INDUSTRIAL PRODS
600 Kvaerner AS Series A 26,651
100 Kvaerner AS Series B* 4,079
1,900 Norske Hydro AS* 94,847
700 Orkla ASA Series A 83,038
200 Orkla ASA Series B* 21,417
$230,032
OIL & GAS
1,700 Saga Petroleum Series A 33,763
600 Saga Petroleum Series B* 10,709
200 Transocean 11,004
$55,476
RETAIL TRADE
1,000 Aker Rgi ASA* 17,579
$17,579
TRANSPORTATION EQUIPMENT
900 Bergesen dy ASA Series A* 19,444
400 Bergesen dy ASA Series B* 8,615
$28,059
TOTAL NORWAY --- 0.5% $445,597
SPAIN --- 4.9%
COMMUNICATIONS
19,300 Telefonica de Espana SA* 14,947
$14,947
ELECTRIC
21,400 Endesa SA 519,690
18,515 Iberdrola SA 297,727
$817,417
FOREIGN BANKS
2,125 Argentaria Corp BC 177,130
9,900 BCO ESP de Credito* 119,559
13,840 Banco Bilbao Vizcaya 712,166
9,512 Banco Central Hispanoamericano 316,526
3,800 Banco Popular Espanol SA 311,762
10,368 Banco Santander SA 547,797
$2,184,940
OIL & GAS
5,000 Gas Natural SDG* 320,294
6,150 Repsol SA 337,047
$657,341
TELEPHONE
19,300 Telefonica de Espana 805,644
$805,644
TOTAL SPAIN --- 4.9% $4,480,289
SWEDEN --- 4.5%
COMMUNICATIONS
1,400 Telefonaktiebolaget LM Ericsson Class A* 75,493
18,600 Telefonaktiebolaget LM Ericsson Class B 980,161
$1,055,654
CONSTRUCTION
2,000 Skanska AB Class B* 93,253
$93,253
CONSUMER SERVICES
27,800 Astra AB Series A* 570,908
5,133 Astra AB Series B* 102,098
$673,006
ELECTRIC
13,900 ABB AB Series A 225,311
4,500 ABB AB Series B 69,746
$295,057
FOREIGN BANKS
7,300 ForeningsSparbanken AB* 228,172
23,500 Nordbanken Holding AB* 173,008
11,700 Skand Enskilda BKN 194,940
4,500 Svenska Handelsbanken Series A* 204,007
100 Svenska Handelsbanken Series B* 4,275
$804,402
HOLDING & INVEST OFFICES
1,000 Incentive AB Series A* 96,869
400 Incentive AB Series B* 38,593
1,300 Investor AB Series A 73,039
1,900 Investor AB Series B 107,241
$315,742
MFTG - INDUSTRIAL PRODS
2,600 Atlas Copco AB Class A 76,733
1,300 Atlas Copco AB Class B 38,283
60 Granges AB* 1,093
3,500 Sandvik AB Series A 101,035
1,200 Sandvik AB Series B* 34,563
1,700 Scania AB Series A* 40,072
1,700 Scania AB Series B* 40,401
500 Stora Kopparbergs Series A 8,557
$340,737
RETAIL TRADE
3,800 Hennes & Mauritz AB 197,794
$197,794
TRANSPORTATION
2,400 Volvo Series A* 68,816
5,400 Volvo Series B* 157,626
$226,442
WHOLESALE TRADE -CONSUMER
1,194 Electrolux AB 111,035
$111,035
TOTAL SWEDEN --- 4.5% $4,113,122
SWITZERLAND --- 11.1%
CONSUMER SERVICES
1,430 Novartis AG 2,363,951
140 Novartis AG Bearer 232,182
$2,596,133
FOREIGN BANKS
1,625 Schweizerischer Bankverein 564,341
500 Union Bank of Switzerland 160,479
500 Union Bank of Switzerland Bearer 805,226
$1,530,046
HOLDING & INVEST OFFICES
5,900 CS Holding 1,297,827
890 Nestle SA 1,726,370
$3,024,197
INSURANCE
335 Schweizerische Rueckversicherungs 739,135
$739,135
MFTG - INDUSTRIAL PRODS
161 Roche Holding AG 1,631,786
38 Roche Holdings AG* 636,415
$2,268,201
TOTAL SWITZERLAND --- 11.1% $10,157,712
UNITED KINGDOM --- 29.7%
AIR
18,179 BAA PLC 185,011
4,034 British Airways PLC 42,033
$227,044
COMMUNICATIONS
29,000 British Sky Broadcasting Group PLC 210,986
41,000 Cable and Wireless 469,722
14,142 Granada Group 243,621
24,266 Reuters Group PLC 262,990
54,360 Vodafone Group 595,507
$1,782,826
CONSTRUCTION
1,068 Hanson PLC 6,301
$6,301
CONSUMER SERVICES
8,260 BOC Group 141,050
14,532 EMI Group PLC 147,651
70,000 Glaxo Wellcome PLC 1,979,138
50,859 Marks and Spencer 483,576
650 Nycomed Amersham PLC Series A* 21,545
455 Nycomed Amersham PLC Series B* 14,776
14,000 Rank Group PLC 90,616
108,361 Smithkline Beecham PLC 1,292,197
17,000 Zeneca Group PLC 732,421
$4,902,970
ELECTRIC
855 Energy Group PLC 11,990
46,636 General Electric Co PLC 386,094
2,550 National Grid Group PLC* 16,462
20,000 National Power PLC 194,846
11,126 Powergen 150,355
20,000 Scottish Power PLC 183,891
$943,638
ENVIRONMENTAL SERVICES
48,000 Rentokil Initial PLC 309,279
$309,279
FINANCIAL SERVICES
21,000 Legal & General Group PLC 251,828
$251,828
FOREIGN BANKS
26,000 Abbey National PLC 488,337
20,130 Bank of Scotland 247,456
29,842 Barclays PLC 860,960
15,000 HSBC Holdings ORD 473,401
32,000 HSBC Holdings PLC 941,952
45,000 Halifax PLC* 600,971
96,040 Lloyds TSB Group PLC 1,438,414
31,000 National Westminster Bank PLC 620,615
34,000 Prudential Corp 481,647
13,969 Royal BK Scot Group 215,642
$6,369,395
GAS
71,470 BG PLC* 381,910
81,000 BG PLC Series B* 40,642
$422,552
HOLDING & INVEST OFFICES
67,603 BTR PLC 224,719
17,000 Standard Chartered 260,442
20,000 Tomkins PLC 117,744
$602,905
INDUSTRIAL PRODS & SVCS
5,914 GKN PLC 170,820
8,000 Siebe PLC 178,757
$349,577
INSURANCE
11,000 Commercial Union 205,868
8,090 General Accident PLC 190,239
26,000 Royal & Sun Alliance Insurance Group PLC 290,480
$686,587
MFTG - CONSUMER PRODS
51,000 ASDA Group 170,808
15,000 Associated British Foods 140,741
61,657 BAT Industries PLC 581,604
34,000 British Steel 90,415
16,873 Cadbury Schweppes PLC 246,079
9,590 Pearson PLC 150,288
18,864 Reed International PLC 166,742
6,000 Vendome Luxury Group PLC 49,473
$1,596,150
MFTG - INDUSTRIAL PRODS
39,000 Billiton PLC 111,539
2,000 British Aerospace PLC 66,833
12,000 Imperial Chemical Industry 217,960
5,047 Rolls-Royce PLC 23,551
63,656 Unilever PLC 678,180
$1,098,063
MINING
17,959 RTZ Corp 257,863
$257,863
OIL & GAS
113,130 British Petroleum Company PLC 1,787,088
7,000 Centrica PLC* 12,147
147,000 Shell Transport & Trading Co PLC 1,094,066
$2,893,301
REAL ESTATE
8,665 Land Securities PLC 154,777
$154,777
RETAIL TRADE
17,880 Allied Domecq 183,911
13,256 Bass PLC* 251,637
15,188 Boots Co 235,349
57,645 Diageo PLC 686,448
17,000 Great Universal Stores PLC 259,020
31,103 J Sainsbury PLC 243,713
11,083 Kingfisher PLC 201,304
18,243 Safeway PLC 108,773
10,000 Scot & Newcastle 151,361
36,469 Tesco PLC 341,569
8,065 Whitbread 139,338
$2,802,423
TELEPHONE
126,623 British Telecommunications PLC 1,374,433
$1,374,433
TRANSPORTATION
10,480 Peninsular & Oriental Steam Navigation Co 154,683
$154,683
TOTAL UNITED KINGDOM --- 29.7% $27,186,595
TOTAL COMMON STOCK --- 97.6% $89,400,691
(Cost $70,460,357)
PREFERRED STOCK
GERMANY --- 0.5%
MFTG - INDUSTRIAL PRODS
300 Volkswagen AG* 178,114
$178,114
OIL & GAS
4,750 Rwe AG 199,792
$199,792
RETAIL TRADE
360 Metro AG* 13,426
$13,426
TRANSPORTATION EQUIPMENT
100 Bayerische Motoren Werke AG* 71,914
$71,914
TOTAL GERMANY --- 0.5% $463,246
ITALY --- 0.0%
MFTG - INDUSTRIAL PRODS
17,600 Fiat SpA 43,438
$43,438
TOTAL ITALY --- 0.0% $43,438
TOTAL PREFERRED STOCK --- 0.6% $506,684
(Cost $425,346)
SHORT-TERM INVESTMENTS
UNITED STATES --- 1.9%
SECURITIES & COMMODITIES
1,699,000 Merrill Lynch & Co Inc 1,699,000
$1,699,000
TOTAL UNITED STATES --- 1.9% $1,699,000
TOTAL SHORT-TERM INVESTMENTS --- 1.9% $1,699,000
(Cost $1,699,000)
TOTAL ORCHARD INDEX EUROPEAN FUND --- 100.0% $91,606,375
(Cost $72,584,703)
The Orchard Series Fund
Orchard Index Pacific Fund
COMMON STOCK
AUSTRALIA --- 8.8%
COMMUNICATIONS
44,400 Telstra Corp Installment Receipts 104,264
$104,264
CONSUMER SERVICES
1,800 Publishing & Broadcasting Ltd 8,606
$8,606
FOREIGN BANKS
45,000 Australia & New Zealand Banking Group Ltd 314,171
27,312 Commonwealth Bank of Australia 327,986
1,800 FXF Trust* 235
41,585 National Australia Bank 591,345
56,200 Westpac Banking Corp Ltd 377,590
$1,611,327
INSURANCE
6,750 Lend Lease Corp Ltd 154,986
51,669 National Mutual Holdings Ltd 122,344
$277,330
MFTG - CONSUMER PRODS
25,215 Coca-Cola Amatil Ltd 192,439
41,100 Foster's Brewing Group Ltd 89,544
21,400 News Corp Ltd 143,501
21,400 Pacific Dunlop Ltd 39,644
$465,128
MFTG - INDUSTRIAL PRODS
19,300 Amcor Ltd 87,597
33,533 Boral Ltd 77,432
21,200 CSR Ltd 67,761
6,200 ICI Australia Ltd 45,660
3,459 MIM Holdings Ltd 2,166
18,600 Pioneer International Ltd 53,142
$333,758
MINING
60,200 Broken Hill Proprietary Co Ltd 589,027
11,800 Comalco Ltd 51,425
17,100 Rio Tinto Ltd 237,163
$877,615
OIL & GAS
17,900 Santos Ltd* 64,569
29,700 WMC Ltd 105,778
17,950 Woodside Petroleum Ltd 117,439
$287,786
OTHER TRANS SERVICES
6,500 Brambles Industries Ltd 134,025
$134,025
RETAIL TRADE
31,000 Coles Myer Ltd 150,042
29,500 Woolworths Ltd 101,602
$251,644
TOTAL AUSTRALIA --- 8.8% $4,351,483
HONG KONG --- 8.7%
AIR
73,000 Cathay Pacific Air 64,085
$64,085
COMMUNICATIONS
346,235 Hong Kong Telecommunications Ltd 648,129
$648,129
CONSUMER SERVICES
69,000 Sun Hung Kai Properties Ltd 409,760
20,500 Swire Pacific Ltd Series A 102,421
65,000 Swire Pacific Ltd Series B 55,383
$567,564
ELECTRONICS - HIGH TECH
43,000 HongKong Electric Holdings Ltd 132,120
$132,120
FOREIGN BANKS
28,879 Bank of East Asia 52,009
55,600 Hang Seng Bank Ltd 468,358
$520,367
GAS
76,200 Hong Kong and China Gas Co 103,784
$103,784
HOLDING & INVEST OFFICES
72,500 CLP Holdings Ltd 348,180
45,000 Citic Pacific Ltd 138,265
50,000 Henderson Land Development Co Ltd 223,341
113,000 Hutchison Whampoa Ltd 698,774
16,000 Jardine Matheson Holdings Ltd 67,520
39,767 New World Development Co Ltd 113,202
$1,589,282
REAL ESTATE
67,000 Cheung Kong Holdings Ltd 445,456
57,000 Hong Kong Land Holdings Ltd 80,370
20,283 Tsim Sha Tsui Properties Ltd 37,707
48,000 Wharf Holdings Ltd 76,840
43,000 Wheelock & Company Ltd 38,304
$678,677
TOTAL HONG KONG --- 8.7% $4,304,008
INDONESIA --- 0.2%
CONSTRUCTION
6,500 PT Semen Gresik 4,360
$4,360
CONSUMER SERVICES
23,000 PT Astra International* 4,500
$4,500
FOREIGN BANKS
32,000 PT Bank Internasional Indonesia 2,186
$2,186
MFTG - CONSUMER PRODS
2,295 PT Indofood Sukses Makmur* 969
$969
MFTG - INDUSTRIAL PRODS
9,000 Indocement Tunggal Prakarsa* 3,075
21,500 PT Gudang Garam 25,506
2,500 PT HM Sampoerna 1,623
$30,204
TELEPHONE
10,500 PT Indosat 15,261
48,500 PT Telekomunikasi 18,978
$34,239
TOTAL INDONESIA --- 0.2% $76,458
JAPAN --- 76.0%
AIR
13,000 Japan Airlines* 39,507
$39,507
COMMUNICATIONS
16 DDI Corp 40,520
3 Japan Telecom Co 30,617
300 KDD 10,296
5,000 Matsushita Communication Ltd* 147,793
7 NTT Data Corp* 302,691
1,000 Oki Electric Industry Co 2,079
84,000 Toshiba Corp 389,900
$923,896
CONSTRUCTION
11,000 Daiwa House Industry Co Ltd* 88,978
21,000 Komatsu Ltd 95,252
22,000 Taisei Corp 49,894
$234,124
CONSUMER SERVICES
6,000 Eisai Company Ltd 86,181
13,000 Kao Corp 191,148
2,000 Oriental Land Co Ltd 89,356
10,000 Sankyo Co Ltd 247,959
300 Sony Music Entertainment Inc 11,748
7,000 Taisho Pharmaceutical Co* 148,171
25,000 Takeda Chemical Industry 714,394
9,000 Yamanouchi Pharmaceutical Co Ltd 211,234
$1,700,191
ELECTRIC
21,400 Chubu Electric Power Co Inc 321,129
8,200 Chugoku Electric Power Co Ltd 120,880
500 Hokkaido Electric Power 6,936
25,100 Kansai Electric Power Co Inc 430,730
6,300 Shikoku Electric Power 90,537
11,000 Tohoku Electric Power 161,990
36,700 Tokyo Electric Power 703,315
$1,835,517
ELECTRONICS - HIGH TECH
2,000 Advantest Corp* 134,563
25,000 Canon Inc 591,548
23,000 Denso Corp 395,562
5,300 Fanuc 195,525
94,000 Hitachi Ltd 674,373
4,000 Hoya Corp 132,446
1,000 Keyence Corp* 134,714
10,400 Kyushu Electric Power 155,119
60,000 Matsushita Electric Industrial Co 961,597
4,000 Matsushita Kotobuki Electronics* 110,977
47,000 Mitsubishi Electric Corp 120,804
39,000 NEC Corp 439,295
4,000 Nintendo Corp Ltd 367,100
6,000 Omron Corp 94,119
3,000 Rohm Company 338,827
43,000 Sanyo Electric Co 122,226
4,000 Secom* 235,863
24,000 Sharp Corp 188,691
11,400 Sony Corp 948,851
17,000 Sumitomo Electric Industries 202,669
5,000 Tokyo Electronics 196,553
$6,741,422
FINANCIAL SERVICES
2,000 Nichiei Co Ltd 155,730
3,000 Promise Co Ltd* 152,404
$308,134
FOREIGN BANKS
51,000 Asahi Bank Ltd 196,628
1,000 Bank of Fukuoka Ltd 3,780
132,000 Bank of Tokyo-Mitsubishi 1,635,531
26,000 Bank of Yokohama 66,631
18,000 Chiba Bank Ltd 67,357
87,000 Dai-Ichi Kangyo Bank Ltd 591,269
34,000 Daiwa Bank Ltd 68,884
81,000 Fuji Bank Ltd 456,191
11,000 Gunma Bank 78,999
12,000 Hachijuni Bank 101,875
62,000 Industrial Bank of Japan 421,832
19,000 Joyo Bank 78,855
52,000 Long-Term Credit Bank of Japan 85,304
37,000 Mitsubishi Trust & Banking 352,434
27,000 Mitsui Trust & Banking 58,580
33,000 Nikko Securities Co Ltd* 100,537
37,000 Nippon Credit Bank 36,642
101,000 Sakura Bank Ltd 347,407
81,000 Sanwa Bank Ltd 716,435
17,000 Shizuoka Bank 188,917
89,000 Sumitomo Bank 841,019
28,000 Sumitomo Trust & Banking 146,477
45,000 Tokai Bank 263,985
17,000 Toyo Trust & Banking 98,828
2,000 Yasuda Trust & Banking 2,676
$7,007,073
GAS
55,000 Osaka Gas Co 123,488
61,000 Tokyo Gas Co 137,882
$261,370
INDUSTRIAL SERVICES
24,000 Sumitomo Corp 137,889
$137,889
INSURANCE
2,000 Mitsui Marine & Fire Insurance Co Ltd* 10,266
16,000 Sumitomo Marine & Fire* 95,434
44,000 Tokio Marine & Fire Insurance Co* 478,984
19,000 Yasuda Fire & Marine Insurance Co Ltd* 86,181
$670,865
LEASING
4,000 Acom Company Ltd 211,370
21,000 Mitsubishi Motor Credit 52,389
$263,759
MFTG - CONSUMER PRODS
14,000 Ajinomoto Co 112,504
12,000 Asahi Breweries Ltd 157,212
18,000 Dai Nippon Printing Co Ltd 306,169
20 Japan Tobacco Inc* 143,181
24,000 Kirin Brewery Co Ltd 209,555
8,000 Nikkon Corp 70,940
20,000 Nippon Paper Industries Co 89,658
17,000 Shimuzu Corp 51,406
9,000 Shiseido Co Ltd 118,725
3,000 TDK Corp 237,224
21,000 Toppan Printing Co Ltd 249,720
$1,746,294
MFTG - INDUSTRIAL PRODS
43,000 Asahi Chemical Industry Co Ltd 150,832
25,000 Asahi Glass Company Ltd 135,130
29,000 Ishikawajima-Harima Co Ltd 48,889
32,000 Itochu Corp 74,751
22,000 Kajima Corp 64,031
92,000 Kawasaki Steel Corp 125,189
62,000 Kobe Steel Ltd* 48,745
30,000 Kubota Corp 85,047
5,000 Kyocera Corp 262,322
48,000 Mitsubishi Chemical Corp* 87,088
89,000 Mitsubishi Heavy Industries Ltd 329,679
6,000 Murata Mfg Co Ltd 175,990
78,000 NKK Corp 67,811
22,000 New Oji Paper Co 103,115
151,000 Nippon Steel Co* 243,143
65,000 Nissan Motor Co Ltd 209,820
18,000 Ricoh Corp Ltd 186,559
2,000 SMC Corp 166,314
12,000 Sekisui Chemical Co 65,951
9,000 Shin-Etsu Chemical Co 175,537
36,000 Sumitomo Chemical Co* 95,252
70,000 Sumitomo Metal Industries* 115,891
30,000 Toray Industries Inc 161,476
5,000 Tostem Corp 63,124
5,000 Toyo Seikan Kaisha 64,447
8,000 Toyoda Automatic Loom Works Ltd 141,518
$3,447,651
MINING
33,000 Marubeni Corp 75,340
24,000 Mitsubishi Materials Corp* 46,265
$121,605
OIL & GAS
13,000 Tonen Corp 72,725
$72,725
OTHER TRANS SERVICES
10,000 All Nippon Airways Co Ltd* 42,561
38,000 Kawasaki Heavy Industries 79,286
25,000 Nippon Yesen Kabushiki Kaisha* 82,212
$204,059
RAILROADS
114 East Japan Railway Co 568,793
18,000 Hankyu Corp 79,196
36,000 Kinki Nippon Railway 184,790
2,000 Odakyu Electric Railway 7,182
12,000 Seibu Railway 427,275
18,000 Tobu Railway Co 55,110
25,000 Tokyu Corp 99,599
$1,421,945
REAL ESTATE
36,000 Mitsubishi Estate Co Ltd 348,352
19,000 Mitsui Fudosan 173,511
16,000 Obayashi Corp 71,364
15,000 Sekisui House Ltd 117,251
$710,478
RETAIL TRADE
15,000 Daiei Inc 45,699
12,000 Ito-Yokado Co Ltd 621,409
7,000 Jusco Co* 112,980
8,000 Marui Co 126,399
16,000 Matsushita Electric Works 143,937
26,000 Nippon Oil Co 87,859
12,000 Seven - Eleven Japan 802,842
11,000 Suzuki Motor Company Ltd 94,633
$2,035,758
SECURITIES & COMMODITIES
30,000 Daiwa Securities Co Ltd* 113,396
56,000 Nomura Securities Co Ltd* 683,701
25,000 Yamaichi Securities Co Ltd* 378
$797,475
TELEPHONE
90 Nippon Telegraph & Telephone Corp 789,235
$789,235
TRANSPORTATION EQUIPMENT
28,000 Honda Motor Company Ltd 1,016,027
23,000 Nippon Express Co Ltd 131,275
108,000 Toyota Motor Corp 2,816,752
$3,964,054
WHOLESALE TRADE - INDL
53,000 Fujitsu 619,028
2,000 Hitachi Zosen Corp 3,054
35,000 Mitsubishi Corp 264,590
35,000 Mitsui & Co 216,964
$1,103,636
WHOLESALE TRADE -CONSUMER
23,000 Bridgestone Corp 525,098
15,000 Fuji Photo Film 534,094
$1,059,192
TOTAL JAPAN --- 76.0% $37,597,854
MALAYSIA --- 0.7%
AGRICULTURE
1,000 Kuala Lumpur Kepong Bhd 2,345
$2,345
COMMUNICATIONS
21,500 Telekom Malaysia Bhd 65,284
$65,284
CONSUMER SERVICES
3,000 Renong Bhd* 952
2,000 Resorts World Bhd 3,904
$4,856
CREDIT INSTITUTIONS
1,000 Technology Resources Industries Bhd 1,041
$1,041
ELECTRIC
1,000 Tenaga Nasional Bhd 2,020
$2,020
FOREIGN BANKS
33,700 Malayan Banking Bhd 100,502
2,000 Malayan United Industries Bhd 355
1,200 Public Bank Bhd 579
$101,436
FORESTRY
1,000 Lingui Developments Bhd 393
$393
HIGHWAYS
1,000 UTD Engineers Bhd 811
$811
HOLDING & INVEST OFFICES
800 AMMB Holdings Bhd 820
1,000 Affin Holdings Bhd 420
1,000 Berjaya Sports Toto Bhd 2,399
6,000 Faber Group Bhd* 1,009
3,000 Magnum Corp Bhd 2,033
1,000 Malaysian Helicopter Services Bhd 163
1,000 Multi-Purpose Holdings Bhd 352
7,000 Nestle Malaysia Bhd* 38,146
1,500 YTL Corp Bhd 2,359
$47,701
MFTG - CONSUMER PRODS
8,400 Rothmans of Pall Mall Bhd* 70,028
$70,028
MFTG - INDUSTRIAL PRODS
1,000 Land & General Holdings Bhd 233
16,000 Perusahaan Otomobil Nasional Bhd 20,041
$20,274
OIL & GAS
13,000 Petronas Gas Bhd 31,720
$31,720
REAL ESTATE
1,333 Malaysian Resources Corp Bhd* 575
$575
RETAIL TRADE
4,000 Sime Darby Bhd 3,579
$3,579
TOTAL MALAYSIA --- 0.7% $352,063
NEW ZEALAND --- 1.4%
COMMUNICATIONS
77,200 Telecom Corp of New Zealand Ltd 366,597
$366,597
HOLDING & INVEST OFFICES
115,000 Brierley Investments Ltd 66,426
$66,426
MFTG - CONSUMER PRODS
50,800 Lion Nathan Ltd 134,864
$134,864
MFTG - INDUSTRIAL PRODS
74,000 Carter Holt Harvey Ltd 98,228
56 Fletcher Challenge Ltd 36
27,800 Fletcher Challenge Paper 40,916
$139,180
TOTAL NEW ZEALAND --- 1.4% $707,067
PHILIPPINES --- 0.3%
CONSUMER SERVICES
83,900 SM Prime Holdings Inc 15,102
13,620 San Miguel Corp 22,473
$37,575
ELECTRIC
6,980 Manila Electric Co 19,893
$19,893
FOREIGN BANKS
1,443 Metropolitan Bank & Trust Co 11,273
900 Philippine Commercial International Bank* 4,050
$15,323
REAL ESTATE
56,000 Ayala Corp 24,850
16,925 Ayala Land Inc* 6,664
35,200 C & P Homes Inc* 2,992
$34,506
TELEPHONE
900 Philippine Long Distance 24,188
$24,188
TOTAL PHILIPPINES --- 0.3% $131,485
SINGAPORE --- 1.3%
AIR
10,000 Singapore Airlines Ltd 65,099
$65,099
COMMUNICATIONS
49,000 Singapore Telecommunications Ltd 84,237
$84,237
FOREIGN BANKS
10,000 Development Bank of Singapore Ltd 66,363
14,200 Overseas Chinese Banking Corp Ltd 74,940
10,000 Overseas Union Bank Ltd 37,922
11,000 United Overseas Bank Ltd 52,143
$231,368
MFTG - CONSUMER PRODS
7,828 Singapore Press Holdings Ltd* 86,582
$86,582
MFTG - INDUSTRIAL PRODS
22,250 Keppel Corp Ltd 59,907
$59,907
REAL ESTATE
23,000 City Developments Ltd 99,577
$99,577
TOTAL SINGAPORE --- 1.3% $626,770
THAILAND --- 0.1%
COMMUNICATIONS
2,000 Advanced Info Service PCL 13,437
$13,437
ELECTRONICS - HIGH TECH
1,000 Shinawatra Computer Co 5,995
$5,995
FINANCIAL SERVICES
5,700 Industrial Finance Corp of Thailand* 2,099
$2,099
FOREIGN BANKS
5,300 Bangkok Bank PCL 13,284
2,000 Bank of Ayudhra Ltd 633
7,800 Krung Thai Bank PCL 2,016
2,000 Siam Commercial Bank PCL 2,377
4,200 Thai Farmers Bank PCL 9,605
100 Thai Military Bank PCL 25
$27,940
MFTG - INDUSTRIAL PRODS
700 Siam Cement PCL* 9,876
$9,876
TELEPHONE
6,100 Telecomasia Corp PCL* 2,207
$2,207
TOTAL THAILAND --- 0.1% $61,554
TOTAL COMMON STOCK --- 97.5% $48,208,742
(Cost $64,426,187)
SHORT-TERM INVESTMENTS
UNITED STATES --- 2.5%
SECURITIES & COMMODITIES
1,257,000 Merrill Lynch & Co Inc 1,257,000
$1,257,000
TOTAL UNITED STATES --- 2.5% $1,257,000
TOTAL SHORT-TERM INVESTMENTS --- 2.5% $1,257,000
(Cost $1,257,000)
TOTAL ORCHARD INDEX PACIFIC FUND --- 100.0% $49,465,742
(Cost $65,683,187)
The Orchard Series Fund
Orchard Index 500 Fund
COMMON STOCK
AGENCY --- 0.7%
72,820 Federal National Mortgage Association (nonvtg) 4,360,098
$4,360,098
AIR --- 0.5%
6,270 AMR Corp* 955,391
5,150 Delta Air Lines Inc 598,688
10,084 FDX Corp* 685,712
15,165 Southwest Airlines Co 416,082
6,240 US Air Group Inc* 443,820
$3,099,693
COMMUNICATIONS --- 3.5%
111,420 AT&T Corp 6,692,108
38,680 Airtouch Communications Inc* 2,054,875
48,770 CBS Corp 1,737,431
10,810 Cabletron Systems Inc* 143,233
8,500 Clear Channel Communications Inc* 801,125
23,940 Comcast Corp Class A 857,339
19,500 Gannett Company Inc 1,324,772
10,200 General Instrument Corp* 228,857
18,000 Nextel Communications Inc* 516,366
34,800 Tele-Communications Inc* 1,122,300
41,670 US West Media Group* 1,573,043
24,260 Viacom Inc Class B* 1,407,080
69,560 Worldcom Inc* 2,975,846
$21,434,375
CONSTRUCTION --- 0.0%
4,040 Centex Corp 140,390
2,630 Kaufman & Broad Home Corp 76,433
1,410 Pulte Corp 72,174
$288,997
CONSUMER SERVICES --- 8.2%
4,450 Allergan Inc 184,951
18,100 Amgen Inc* 1,079,213
3,840 Bausch & Lomb Inc 189,838
19,200 Baxter International Inc 1,064,390
8,390 Becton Dickinson & Co 584,154
7,680 Biomet Inc 230,400
68,200 Bristol-Myers Squibb Co 7,220,675
3,940 CR Bard Inc 141,099
13,080 CVS Corp 964,650
55,619 Cendant Corp* 1,390,475
44,410 Columbia/HCA Healthcare Corp 1,462,732
76,120 Eli Lilly & Co 5,295,059
7,170 H&R Block Inc 322,650
6,970 Harrah's Entertainment Inc* 181,652
27,040 Healthsouth Corp* 816,256
17,180 Hilton Hotels Corp 548,678
11,220 Humana Inc* 302,940
92,310 Johnson & Johnson 6,588,626
5,040 King World Productions Inc* 134,502
4,340 Manor Care Inc 152,169
17,550 Marriott International Inc 579,150
32,160 Medtronic Inc 1,692,420
82,210 Merck & Company Inc 9,906,305
12,300 Mirage Resorts Inc* 271,363
17,270 Service Corporation International 712,388
5,875 St Jude Medical Inc* 208,192
21,020 Tenet Healthcare Corp* 786,926
46,310 The Walt Disney Co 5,756,889
12,940 United Healthcare Corp 909,035
5,240 United States Surgical Corp 165,060
$49,842,837
CREDIT INSTITUTIONS --- 10.4%
31,860 American Express Co 3,249,720
23,738 Associates First Capital Corp 1,774,416
9,800 BB&T Corp 659,050
44,302 Banc One Corp 2,605,489
25,890 Bank of New York Company Inc 1,529,115
47,540 BankAmerica Corp 4,040,900
10,010 BankBoston Corp 1,080,449
6,760 Bankers Trust New York Corp 872,885
3,640 Beneficial Corp 474,565
28,930 Chase Manhattan Corp 4,008,599
31,300 Citicorp 4,710,650
10,770 Comerica Inc 720,911
7,400 Countrywide Credit Industries Inc 357,975
16,030 Fifth Third Bancorp 881,650
19,940 First Chicago NBD Corp 1,851,928
66,387 First Union Corp 4,008,115
18,690 Fleet Financial Group Inc 1,614,349
3,940 Golden West Financial Corp 414,929
7,480 HF Ahmanson & Co 570,350
7,370 Household International Inc 968,691
13,100 Huntington Bancshares Inc 465,862
12,240 JP Morgan & Company Inc 1,606,500
30,140 Keycorp 1,196,166
34,375 MBNA Corp 1,164,453
17,480 Mellon Bank Corp 1,258,560
9,000 Mercantile Bancorporation Inc 498,375
22,560 National City Corp 1,562,280
64,547 NationsBank Corp 4,889,435
7,700 Northern Trust Corp 562,100
51,860 Norwest Corp 2,058,168
20,950 PNC Bank Corp 1,266,155
11,000 State Street Boston Corp 786,500
12,100 Summit Bancorp 606,513
14,470 Suntrust Banks Inc 1,178,393
12,000 Synovus Financial Corp 422,244
16,883 U S Bancorp 2,144,141
14,120 Wachovia Corp 1,199,310
17,690 Washington Mutual Inc 1,239,397
5,970 Wells Fargo & Co 2,199,945
$62,699,233
ELECTRIC --- 2.2%
9,370 Ameren Corp 371,286
13,040 American Electric Power Company Inc 622,660
10,110 Baltimore Gas & Electric Co 318,465
10,310 Carolina Power & Light Co 443,969
14,560 Central & South West Corp 379,463
10,820 Cinergy Corp 377,348
16,170 Consolidated Edison Inc 731,693
9,910 DTE Energy Co 388,343
13,230 Dominion Resources Inc 523,405
24,664 Duke Power Co 1,427,429
26,220 Edison International 781,671
16,770 Entergy Corp 417,154
12,530 FPL Group Inc 777,637
15,790 Firstenergy Corp 477,648
8,690 GPU Inc 344,341
19,444 Houston Industries Inc 565,082
9,910 Niagara Mohawk Power Corp* 121,398
5,150 Northern States Power Co 290,331
11,420 PP&L Resources Inc 263,368
20,320 PacifiCorp 472,440
15,260 Peco Energy Co 363,371
15,880 Public Service Enterprise Group Inc 532,965
47,310 Southern Co 1,253,715
16,881 Texas Utilities Co 675,240
14,860 Unicom Corp 516,385
$13,436,807
ELECTRONICS - HIGH TECH --- 13.4%
15,060 AMP Inc 592,039
4,900 Adobe Systems Inc 245,304
9,700 Advanced Micro Devices Inc* 269,175
1,920 Aeroquip-Vickers Inc 122,039
6,160 Andrew Corp* 140,910
9,090 Apple Computer Inc* 248,839
25,160 Applied Materials Inc* 908,905
6,560 Black & Decker Corp 338,660
13,330 Boston Scientific Corp* 963,919
1,720 Briggs & Stratton Corp 77,830
69,835 Cisco Systems Inc* 5,115,414
103,894 Compaq Computer Corp 2,915,473
8,080 DSC Communications Corp* 145,440
3,330 Data General Corp* 50,783
44,820 Dell Computer Corp* 3,619,215
10,110 Digital Equipment Corp* 562,369
22,250 Eastman Kodak Co 1,606,161
30,440 Emerson Electric Co 1,936,745
10,700 Gateway 2000 Inc* 627,951
224,580 General Electric Co 19,117,373
3,430 General Signal Corp 150,920
5,460 Harris Corp 264,128
71,370 Hewlett-Packard Co 5,375,017
8,690 Honeywell Inc 809,256
112,240 Intel Corp 9,070,339
66,680 International Business Machines Corp 7,726,545
5,760 Johnson Controls Inc 342,000
5,800 KLA-Tencor Corp* 233,810
9,690 LSI Logic Corp* 262,841
6,470 Maytag Corp 333,205
14,550 Micron Technology Inc* 451,952
40,950 Motorola Inc 2,277,844
11,300 National Semiconductor Corp* 248,600
35,680 Northern Telecom Ltd 2,172,020
24,060 Novell Inc* 240,600
30,110 PG&E Corp 974,811
3,330 Perkin-Elmer Corp 227,689
3,030 Polaroid Corp 133,320
23,280 Raytheon Co 1,319,673
5,450 Scientific-Atlanta Inc 130,119
16,590 Seagate Technology Inc* 442,737
12,930 Silicon Graphics Inc* 168,892
25,870 Sun Microsystems Inc* 1,065,508
3,430 Tektronix Inc 147,490
12,430 Tellabs Inc* 880,976
26,780 Texas Instruments Inc 1,715,580
10,410 Thermo Electron Corp* 414,443
3,740 Thomas & Betts Corp 218,323
17,130 Unisys Corp* 384,346
3,440 WW Grainger Inc 374,743
5,150 Whirlpool Corp 370,800
22,340 Xerox Corp 2,535,567
$81,068,638
ENVIRONMENTAL SERVICES --- 0.3%
13,360 Browning-Ferris Industries Inc 455,910
22,530 Laidlaw Inc Class B 314,001
31,260 Waste Management Inc 1,047,210
$1,817,121
FINANCIAL SERVICES --- 0.2%
7,000 Franklin Resources Inc 374,500
9,300 Green Tree Financial Corp 378,975
3,740 Republic New York Corp 500,225
$1,253,700
FORESTRY --- 0.4%
3,830 Boise Cascade Corp 143,862
6,370 Georgia-Pacific Corp 491,681
20,720 International Paper Co 1,081,315
7,480 Louisiana-Pacific Corp 163,625
13,750 Weyerhaeuser Co 792,344
$2,672,827
GAS --- 0.7%
3,840 Columbia Gas System Inc 312,000
6,570 Consolidated Natural Gas Co 377,775
1,410 Eastern Enterprises 59,749
21,390 Enron Corp 1,052,110
3,330 Nicor Inc 136,320
2,120 ONEOK Inc 85,860
5,760 Pacific Enterprises 224,277
2,420 Peoples Energy Corp 87,725
7,560 Sonat Inc 335,475
11,730 Tenneco Inc 505,117
28,240 Williams Companies Inc 893,090
$4,069,498
HOLDING & INVEST OFFICES --- 0.2%
11,130 Cognizant Corp 572,494
7,880 MGIC Investment Corp 496,440
$1,068,934
INDUSTRIAL SERVICES --- 5.7%
3,230 Autodesk Inc 151,810
20,520 Automatic Data Processing Inc 1,373,547
5,250 Ceridian Corp* 296,951
37,505 Computer Associates International Inc 2,196,368
10,700 Computer Sciences Corp 564,425
5,560 Deluxe Corp 186,260
11,730 Dun & Bradstreet Corp 416,415
3,130 EG&G Inc 94,291
10,300 Equifax Inc 398,476
29,340 First Data Corp 993,893
5,760 Fluor Corp 272,160
2,830 Foster Wheeler Corp 78,354
14,500 HBO & Co 867,274
8,690 Interpublic Group of Companies Inc 555,074
89,260 Lucent Technologies Inc 6,794,918
167,100 Microsoft Corp* 15,059,888
2,930 National Service Industries Inc 158,586
11,100 Omnicom Group Inc 525,863
67,535 Oracle Systems Corp* 1,747,468
17,600 Parametric Technology Corp* 562,637
19,920 Pitney Bowes Inc 956,160
1,710 Shared Medical Systems Corp 124,722
3,740 Western Atlas Inc 295,460
$34,671,000
INSURANCE --- 4.9%
11,520 AON Corp 743,040
10,210 Aetna Inc 825,091
29,430 Allstate Corp 2,832,638
17,372 American General Corp 1,157,410
48,125 American International Group Inc 6,331,421
11,630 Chubb Capital Corp 918,037
5,050 Cigna Corp 1,045,032
3,800 Cincinnati Financial Corp 484,025
12,900 Conseco Inc 640,163
5,360 General Re Corp 1,198,292
8,090 Hartford Financial Services Group Inc 895,968
7,275 Jefferson-Pilot Corp 426,948
6,980 Lincoln National Corp 619,908
7,880 Loews Corp 788,489
6,760 MBIA Inc 504,465
11,700 Marsh & McLennan Companies Inc 1,066,163
5,000 Progressive Corp 677,185
6,570 Providian Financial Corp 395,429
9,690 SafeCo Corp 483,890
7,954 St Paul Companies Inc 674,102
13,350 SunAmerica Inc 666,659
9,600 Torchmark Corp 427,795
4,350 TransAmerica Corp 502,425
78,709 Travelers Group Inc 4,815,968
9,500 Unum Corp 510,625
$29,631,168
MFTG - CONSUMER PRODS --- 10.1%
2,520 Adolph Coors Co Class B 90,090
3,940 Alberto-Culver Co Class B 115,738
4,950 American Greetings Corp Class A 228,938
33,570 Anheuser-Busch Companies Inc 1,537,909
39,230 Archer-Daniels-Midland Co 843,445
9,100 Avon Products Inc 747,902
19,820 Bestfoods 1,087,623
4,750 Brown-Forman Corp Class B 268,969
6,870 Brunswick Corp 223,275
31,340 Campbell Soup Co 1,608,118
169,680 Coca-Cola Co 12,874,470
20,320 Colgate-Palmolive Co 1,822,440
32,660 ConAgra Inc 953,247
6,570 Dow Jones & Company Inc 319,874
5,050 Fruit of the Loom Inc Class A* 188,744
10,810 General Mills Inc 730,345
38,420 Gillette Co 4,435,090
25,070 HJ Heinz Co 1,366,315
4,850 Harcourt General Inc 253,107
9,190 Hasbro Inc 338,302
9,810 Hershey Foods Corp 718,583
7,480 International Flavors & Fragrances Inc 366,049
2,630 Jostens Inc 62,297
28,220 Kellogg Co 1,164,075
5,470 Knight-Ridder Inc 318,967
4,550 Liz Claiborne Inc 223,801
11,320 Masco Corp 656,560
19,900 Mattel Inc 762,409
6,770 McGraw-Hill Companies Inc 524,248
3,640 Meredith Corp 156,520
6,570 New York Times Co Class A 466,056
10,920 Newell Co 527,567
104,070 Pepsico Inc 4,130,226
166,330 Philip Morris Companies Inc 6,206,105
16,980 Pioneer Hi-Bred International Inc 640,995
9,500 Quaker Oats Co 494,000
10,010 RR Donnelley & Sons Co 441,061
7,380 Ralston-Ralston Purina Group 782,280
10,310 Rubbermaid Inc 295,124
2,530 Russell Corp 68,310
32,460 Sara Lee Corp 1,933,383
24,480 Seagram Company Ltd 1,044,978
1,410 Springs Industries Inc Class A 77,637
6,070 The Times Mirror Co Class A 371,405
39,730 Time Warner Inc 3,118,805
8,390 Tribune Co 553,740
4,140 Tupperware Corp 112,037
12,640 UST Inc 348,384
43,980 Unilever NV ADR 3,282,008
8,380 VF Corp 435,760
7,680 Willamette Industries Inc 298,076
7,980 Wm Wrigley Jr Co 710,220
$61,325,607
MFTG - INDUSTRIAL PRODS --- 11.8%
24,330 3Com Corp* 833,303
52,490 Abbott Laboratories 3,838,331
8,080 Air Products & Chemicals Inc 702,451
15,570 Alcan Aluminium Ltd 506,025
13,430 Allegheny Teledyne Inc 340,786
11,830 Aluminum Company of America 916,825
5,860 Alza Corp* 280,911
44,580 American Home Products Corp 4,151,513
7,380 Armco Inc* 50,738
2,830 Armstrong World Industries Inc 242,673
2,020 Ball Corp 78,023
15,040 Bay Networks Inc* 352,492
3,640 Bemis Company Inc 161,980
7,780 Bethlehem Steel Corp* 121,072
5,150 Case Corp 327,344
25,580 Caterpillar Inc 1,456,448
6,570 Champion International Corp 353,545
2,730 Cincinnati Milacron Inc 84,799
7,080 Clorox Co 593,835
8,280 Cooper Industries Inc 553,725
5,360 Cooper Tire & Rubber Co 127,970
15,870 Corning Inc 634,800
3,130 Crane Co 168,432
8,790 Crown Cork & Seal Company Inc 457,625
17,090 Deere & Co 998,688
15,260 Dover Corp 602,770
15,580 Dow Chemical Co 1,506,383
77,700 EI DuPont De Nemours & Co 5,657,492
34,040 EMC Corp* 1,570,095
5,350 Eastman Chemical Co 367,813
8,880 Ecolab Inc 281,381
9,910 Engelhard Corp 209,349
14,360 Fort James Corp 712,615
10,710 Goodyear Tire & Rubber Co 749,700
4,140 Great Lakes Chemical Corp 208,035
10,400 Guidant Corp 695,500
3,330 Harnischfeger Industries Inc 94,073
6,670 Hercules Inc 318,906
8,090 ITT Industries Inc 294,775
17,080 Illinois Tool Works Inc 1,204,140
11,320 Ingersoll-Rand Co 521,422
3,330 Inland Steel Industries Inc 97,609
38,120 Kimberly-Clark Corp 1,934,590
5,050 Mallinckrodt Inc 162,863
7,180 Mead Corp 248,608
3,030 Millipore Corp 104,535
28,010 Minnesota Mining & Manufacturing Co 2,643,444
40,740 Monsanto Co 2,154,128
6,070 Moore Corporation Ltd 95,220
9,000 Morton International Inc 288,000
530 Nacco Industries Inc Class A 89,139
4,550 Nalco Chemical Co 180,863
6,060 Nucor Corp 363,218
9,600 Owens-Illinois Inc* 379,795
12,240 PPG Industries Inc 865,209
8,680 Pall Corp 170,345
7,575 Parker Hannifin Corp 338,034
88,760 Pfizer Inc 10,101,953
34,780 Pharmacia & Upjohn Inc 1,462,916
2,020 Potlatch Corp 95,698
10,810 Praxair Inc 543,873
5,860 Raychem Corp 235,496
5,040 Reynolds Metals Co 332,640
13,760 Rockwell International Corp 769,693
4,240 Rohm & Haas Co 457,123
50,260 Schering-Plough Corp 4,027,083
8,312 Sealed Air Corp* 521,054
11,820 Sherwin-Williams Co 421,088
6,870 Sigma Aldrich Corp 273,941
4,140 Snap-On Inc 175,172
6,770 Stone Container Corp Series E* 110,859
3,840 Temple-Inland Inc 247,918
4,940 The BF Goodrich Co 265,831
6,160 The Stanley Works 315,312
4,340 The Timken Co 173,327
39,220 Tyco International Ltd 2,137,490
19,810 USX-Marathon Group 709,436
5,960 USX-US Steel Group 233,185
4,750 Union Camp Corp 286,781
8,490 Union Carbide Corp 411,765
5,060 WR Grace & Co 102,779
18,700 Warner-Lambert Co 3,537,797
6,970 Westvaco Corp 211,275
6,660 Worthington Industries Inc 119,667
$71,725,535
MINING --- 0.4%
2,730 Asarco Inc 68,078
25,570 Barrick Gold Corp 573,714
15,770 Battle Mountain Gold Co 113,339
6,370 Cyprus Amax Minerals Co 109,883
13,240 Freeport-McMoran Copper & Gold Inc 249,071
10,110 Homestake Mining Co 117,529
11,420 Inco Ltd 200,558
10,713 Newmont Mining Corp 344,819
4,050 Phelps Dodge Corp 271,856
16,980 Placer Dome Inc 250,455
$2,299,302
OIL & GAS --- 7.7%
6,270 Amerada Hess Corp 360,525
66,740 Amoco Corp 2,953,245
4,100 Anadarko Petroleum Corp 300,325
6,600 Apache Corp 233,475
5,140 Ashland Inc 271,778
22,040 Atlantic Richfield Co 1,719,120
11,610 Baker Hughes Inc 470,205
12,120 Burlington Resources Inc 569,640
45,090 Chevron Corp 3,728,357
7,280 Coastal Corp 520,061
12,030 Dresser Industries Inc 636,086
169,180 Exxon Corp 12,339,482
17,980 Halliburton Co 988,900
3,420 Helmerich & Payne Inc 104,310
3,230 Kerr-McGee Corp 213,180
3,840 McDermott International Inc 158,880
53,780 Mobil Corp 4,248,620
23,250 Occidental Petroleum Corp 684,410
7,280 Oryx Energy Co* 190,190
3,230 Pennzoil Co 206,920
18,100 Phillips Petroleum Co 897,072
5,960 Rowan Companies Inc* 175,445
147,100 Royal Dutch Petroleum Co ADR 8,320,270
34,160 Schlumberger Ltd 2,831,010
4,950 Sun Company Inc 200,163
37,600 Texaco Inc 2,312,400
17,390 Union Pacific Resources Group Inc 415,186
16,890 UnoCal Corp 691,426
$46,740,681
OTHER TRANS SERVICES --- 0.0%
2,520 FMC Corp* 195,456
$195,456
RAILROADS --- 0.6%
10,710 Burlington Northern Santa Fe Corp 1,060,290
14,960 CSX Corp 785,400
25,870 Norfolk Southern Corp 865,015
16,980 Union Pacific Corp 929,655
$3,640,360
RETAIL TRADE --- 5.5%
16,890 Albertson's Inc 844,500
18,720 American Stores Co 449,280
10,410 Autozone Inc* 314,247
6,770 Circuit City Stores Inc 275,031
7,400 Consolidated Stores Corp* 296,000
10,220 Darden Restaurants Inc 163,520
14,960 Dayton Hudson Corp 1,306,188
7,580 Dillards Inc Class A 277,618
14,450 Federated Department Stores Inc* 710,752
11,730 Fortune Brands Inc 432,544
27,165 Gap Inc 1,397,286
12,235 Genuine Parts Co 440,460
4,140 Giant Food Inc Class A 154,215
2,620 Great Atlantic & Pacific Tea Co Inc 81,548
50,240 Home Depot Inc 3,497,960
9,190 Ikon Office Solutions Inc 222,279
17,170 JC Penney & Company Inc 1,220,135
33,460 K Mart Corp* 583,442
17,480 Kroger Co* 731,975
18,700 Limited Inc 627,609
2,630 Longs Drug Stores Corp 76,104
12,030 Lowe's Companies Inc 841,342
15,890 May Department Stores Co 980,206
47,230 McDonald's Corp 2,922,356
2,520 Mercantile Stores Co Inc 184,116
5,260 Nordstrom Inc 344,199
3,640 Owens Corning 151,286
4,340 Pep Boys - Manny Moe & Jack 94,395
17,680 Rite Aid Corp 567,970
26,890 Sears Roebuck & Co 1,594,900
11,100 TJX Companies Inc 491,175
7,080 Tandy Corp 352,230
19,500 Toys R Us Inc* 537,459
10,417 Tricon Global Restaurants* 330,740
154,140 Wal-Mart Stores Inc 7,793,627
33,960 Walgreen Co 1,171,620
9,090 Wendy's International Inc 218,724
10,210 Winn-Dixie Stores Inc 384,151
9,300 Woolworth Corp* 213,900
$33,277,089
SECURITIES & COMMODITIES --- 1.0%
18,250 Charles Schwab & Company Inc 638,750
7,000 Lehman Brothers Holdings Inc 497,434
22,840 Merrill Lynch & Co Inc 2,004,210
40,621 Morgan Stanley Dean Witter & Co 3,203,981
$6,344,375
TELEPHONE --- 4.7%
12,640 Alltel Corp 540,360
75,120 Ameritech Corp 3,197,257
53,283 Bell Atlantic Corp 4,985,264
68,050 Bellsouth Corp 4,367,925
11,220 Frontier Corp 335,893
65,730 GTE Corp 3,841,064
47,820 MCI Communications Corp 2,405,920
125,768 SBC Communications Inc 5,211,449
29,520 Sprint Corp 2,016,570
33,160 US West Communications Group 1,749,190
$28,650,892
TRANSPORTATION EQUIPMENT --- 3.5%
38,720 Allied-Signal Inc 1,696,401
44,450 Chrysler Corp 1,786,312
2,630 Cummins Engine Company Inc 143,006
7,170 Dana Corp 423,926
5,250 Eaton Corp 484,969
4,340 Echlin Inc 205,334
2,520 Fleetwood Enterprises Inc 116,391
82,300 Ford Motor Co 3,770,328
8,580 General Dynamics Corp 362,505
48,570 General Motors Corp Series D 3,272,404
13,340 Lockheed Martin Corp 1,485,743
5,150 Navistar International Corp* 153,856
4,540 Northrop Grumman Corp 479,819
5,360 Paccar Inc 318,250
5,260 Ryder System Inc 183,111
8,490 TRW Inc 448,374
11,320 Textron Inc 885,790
68,548 The Boeing Co 3,431,650
15,980 United Technologies Corp 1,573,023
$21,221,192
U.S. GOVERNMENTS --- 0.4%
47,740 Federal Home Loan Mortgage Corp 2,210,935
$2,210,935
WHOLESALE TRADE -CONSUMER --- 1.9%
7,080 Avery Dennison Corp 370,815
7,500 Cardinal Health Inc 721,875
14,660 Costco Companies Inc* 819,128
19,910 Nike Inc Class B 950,703
92,120 Procter & Gamble Co 7,571,066
3,840 Reebok International Ltd* 112,800
4,150 SuperValu Inc 181,301
23,360 Sysco Corp 556,248
$11,283,936
TOTAL COMMON STOCK --- 99.1% $600,330,286
(Cost $512,437,070)
SHORT-TERM INVESTMENTS
SECURITIES & COMMODITIES --- 0.9%
5,368,000 Merrill Lynch & Co Inc 5,368,000
$5,368,000
TOTAL SHORT-TERM INVESTMENTS --- 0.9% $5,368,000
(Cost $5,368,000)
TOTAL ORCHARD INDEX 500 FUND --- 100.0% $605,698,286
(Cost $517,805,070)
The Orchard Series Fund
Orchard Index 600 Fund
COMMON STOCK
AGRICULTURE --- 1.2%
600 Dekalb Genetics Corp Class B 40,912
666 Delta & Pine Land Co 30,677
$71,589
AIR --- 1.1%
450 Air Express International Corp 11,813
1,050 Comair Holdings Inc 28,678
400 Mesa Air Group Inc* 3,200
300 Offshore Logistics Inc* 7,088
300 Pittston Burlington Group 5,625
200 Skywest Inc 8,100
$64,504
COMMUNICATIONS --- 0.6%
400 Allen Group Inc* 6,425
600 General Communication Inc Class A* 4,237
300 HA-LO Industries Inc* 10,069
300 Metro Networks Inc* 11,925
500 Picturetel Corp* 4,625
300 TCSI Corp* 2,044
$39,325
CONSTRUCTION --- 1.5%
200 Acme Metals Inc* 1,725
400 Apogee Enterprises Inc 5,800
825 DR Horton Inc 15,263
400 Geon Co 9,550
400 Insituform Technologies Inc Class A* 4,650
300 MDC Holdings Inc 5,156
800 Morrison Knudsen Corp* 9,550
200 Southern Energy Homes Inc* 2,212
500 Standard Pacific Corp 8,625
200 The Ryland Group Inc 4,187
500 Toll Brothers Inc* 13,938
200 US Home Corp* 8,300
$88,956
CONSUMER SERVICES --- 8.6%
300 Access Health Inc* 10,125
400 American Oncology Resources* 6,000
100 Angelica Corp 2,200
700 Aztar Corp* 5,468
200 CPI Corp 5,187
400 CapStar Hotel Co* 12,850
200 Carmike Cinemas Inc Class A* 6,062
450 Central Parking Corp 21,094
2,700 Cineplex Odeon Corp* 4,892
200 Cooper Companies Inc* 7,687
900 Coventry Health Care Inc* 15,243
200 Curative Technologies Inc* 6,200
200 Datascope Corp* 5,625
500 DeVry Inc* 18,938
300 Diagnostic Products Corp 8,494
420 Enzo Biochem Inc* 6,143
300 Franklin Covey Co* 7,500
300 G&K Services Inc Class A 12,075
100 GC Companies Inc* 5,263
500 Genesis Health Ventures Inc* 13,219
100 Global Motorsport Group Inc* 2,050
600 Grand Casinos Inc* 10,537
300 Hollywood Park Inc* 3,506
200 Insurance Auto Actions Inc* 2,450
632 Integrated Health Services Inc 24,371
600 Interim Services Inc* 19,575
400 Lincare Holdings Inc* 32,450
400 Magellan Health Services Inc* 11,100
400 Mariner Health Group Inc* 7,250
300 NCS HealthCare Inc Class A* 8,813
300 NFO Worldwide Inc* 6,281
500 North American Vaccine Inc* 8,125
700 Orthodontic Centers of America Inc* 14,963
765 Paragon Health Network Inc* 14,296
200 Pediatrix Medical Group* 8,437
1,000 Phycor Inc* 22,750
400 Players International Inc* 2,125
500 Primadonna Resorts Inc* 8,938
600 Prime Hospitality Corp* 12,412
500 Regal Cinemas Inc* 15,281
300 Regis Corp 8,513
300 Renal Care Group Inc* 11,475
1,050 Rollins Truck Leasing Corp 13,913
400 Sequus Pharmaceuticals Inc* 4,750
200 Showboat Inc 6,062
300 Sierra Health Services Inc* 11,531
450 The Marcus Corp 7,959
500 Universal Health Services Inc Class B* 28,781
500 Westwood One Inc* 15,000
$523,959
CREDIT INSTITUTIONS --- 4.6%
400 Astoria Financial Corp 23,450
300 Commerce Bancorp Inc 17,213
650 Commercial Federal Corp 23,563
300 Cullen/Frost Bankers Inc 17,550
525 First Commercial Corp 38,653
200 FirstBank Puerto Rico 11,350
1,000 FirstMerit Corp 28,375
300 Hubco Inc 11,025
500 Magna Group Inc 29,563
500 Riggs National Corp 14,406
450 St Paul Bancorp Inc 11,250
300 US Trust Corp 21,300
500 UST Corp 14,094
300 Whitney Holding Corp 18,263
$280,055
ELECTRIC --- 1.5%
100 Bangor Hydro Electric Co* 869
300 Central Hudson Gas & Electric Corp 12,094
200 Central Vermont Public Service Corp 2,975
300 Commonwealth Energy System Co 11,475
300 Eastern Utilities Associates 7,875
400 Energen Corp 8,925
100 Green Mountain Power Corp 1,838
200 Orange & Rockland Utilities Inc 8,262
200 Pennsylvania Enterprises Inc 4,687
500 Sierra Pacific Resources 17,500
200 TNP Enterprises Inc 6,450
200 United Illuminating Co 9,825
$92,775
ELECTRONICS - HIGH TECH --- 14.1%
300 ADAC Laboratories* 6,525
200 Alliant Techsystems Inc* 12,787
300 Amtech Corp* 1,088
200 Analogic Corp 9,325
700 Anixter International Inc* 13,956
400 Applied Magnetics Corp* 4,125
700 Aspect Telecommunications Corp* 20,125
400 Auspex Systems Inc* 2,900
533 Baldor Electric Co 13,991
400 Ballard Medical Products Co 10,050
200 Benchmark Electronics Inc* 4,487
200 Broadband Technologies Inc* 1,562
600 Burr Brown Corp* 18,262
100 C COR Electronics Inc* 1,475
600 C-Cube Microsystems Inc* 14,512
300 CTS Corp 11,081
450 Cable Design Technologies Co* 11,981
200 California Microwave Inc* 4,537
100 Centigram Communications Corp* 1,325
600 Checkpoint Systems Inc* 11,212
200 Circon Corp* 3,625
600 Cognex Corp* 14,512
400 Coherent Inc* 9,500
100 Collagen Corp 1,888
625 Comverse Technology Inc* 29,609
400 Dallas Semiconductor Corp 15,425
300 Daniel Industries Inc 5,869
200 Digi International Inc* 5,325
700 Digital Microwave Corp* 7,963
200 Dionex Corp* 10,675
200 Electro Scientific Industries Inc* 7,600
300 Electroglas Inc* 5,063
300 Envoy Corp* 12,638
300 Etec Systems Inc* 17,025
300 Exabyte Corp* 3,431
200 Fluke Corp 6,350
600 General Semiconductor Inc* 8,212
200 Hadco Corp* 7,650
500 Harbinger Corp* 18,188
300 Harman International Industries Inc 12,900
150 Harmon Industries Inc 3,675
200 Hologic Inc* 4,700
700 Input/Output Inc* 17,413
200 Integrated Circuit Systems Inc* 3,025
400 Inter-Tel Inc 9,450
800 International Rectifier Corp* 9,400
200 Intervoice Inc* 2,700
400 Invacare Corp 11,150
300 Juno Lighting Inc 6,488
600 Kemet Corp* 10,800
800 Komag Inc* 12,400
300 Kuhlman Corp 14,700
400 Lattice Semiconductor Corp* 18,250
300 Marshall Industries* 9,731
400 Mentor Corp 10,875
500 Methode Electronics Inc Class A 8,000
400 National Computer Systems Inc 10,000
300 Network Equipment Technologies Inc* 6,169
300 Oak Industries Inc* 10,894
800 P-Com Inc* 15,750
200 Park Electrochemical Corp 5,150
200 Plexus Corp* 4,400
700 Read-Rite Corp* 9,668
300 Resound Corp* 1,894
500 Respironics Inc* 8,344
100 Rival Co 1,606
400 Royal Appliance Manufacturing Co* 2,200
800 Safeskin Corp* 28,500
300 Sanmina Corp* 27,000
200 Spacelabs Inc* 3,575
200 Speedfam International Inc* 5,800
200 Standard Microsystems Corp* 2,200
500 Steris Corp* 29,406
500 Summit Technology Inc 2,844
300 Sunrise Medical Inc* 4,444
200 Symmetricom Inc* 1,475
200 Technitrol Inc 8,175
300 Thomas Industries Inc 7,781
100 Three Five Systems Inc* 1,963
400 Tracor Inc* 15,725
300 Trimble Navigation Ltd* 5,550
400 Unitrode Corp* 6,400
700 VLSI Technology Inc* 14,438
300 Valence Technology Inc* 1,463
700 Vanstar Corp* 9,318
600 Vicor Corp* 12,037
200 Visx Inc* 8,825
200 Vital Signs Inc 3,725
550 Vitesse Semiconductor Corp* 31,728
100 Watkins Johnson Co 2,781
300 X-Rite Inc 3,881
400 Zebra Technologies Corp Class A* 15,500
100 Zoll Medical Corp* 713
$862,833
ENVIRONMENTAL SERVICES --- 0.1%
200 Tetra Technologies Inc* 4,787
$4,787
GAS --- 2.5%
400 Atmos Energy Corp 11,775
200 Cascade Natural Gas Corp 3,212
100 Connecticut Energy Corp 2,900
400 KCS Energy Inc 6,200
700 KN Energy Inc 41,081
300 New Jersey Resources Corp 11,325
400 Northwest Natural Gas Co 10,800
400 Piedmont Natural Gas Company Inc 13,625
600 Pogo Producing Co 19,237
300 Public Service Company of North Carolina Inc 6,150
400 Southwest Gas Corp 9,225
400 Southwestern Energy Co 4,625
300 Wicor Inc 14,381
$154,536
HOLDING & INVEST OFFICES --- 3.2%
400 Centura Banks Inc 28,800
200 Cilcorp Inc 9,562
200 Dain Rauscher Corp 12,037
300 Eaton Vance Corp 14,700
200 JSB Financial Inc 11,062
800 Keystone Financial Inc 31,200
400 Pioneer Group Inc 12,600
600 Provident Financial Group Inc 31,762
1,968 Sovereign Bancorp Inc 37,146
400 WHX Corp* 6,275
$195,144
INDUSTRIAL SERVICES --- 7.7%
300 ABM Industries Inc 8,681
800 Acxiom Corp* 19,400
600 Advanced Tissue Sciences Inc* 5,081
400 Advo Inc* 11,450
600 American Management Systems Inc* 17,362
450 Analysts International Corp 13,050
600 Billing Information Concepts* 16,800
400 Bisys Group Inc* 15,800
450 Boole & Babbage Inc* 10,800
300 Broderbund Software Inc* 5,363
300 CDI Corp* 11,606
500 Cerner Corp* 14,906
800 Ciber Inc* 26,000
300 Computer Task Group Inc* 11,663
300 Dames & Moore Inc 3,844
300 Dialogic Corp* 11,213
200 Fair Isaac & Co Inc 7,950
300 Figgie International Inc Class A* 4,069
200 Filenet Corp* 10,900
300 Hyperion Software Corp* 13,013
200 Itron Inc* 3,062
300 Jack Henry & Associates Inc 10,425
500 National Data Corp 20,406
400 Norrell Corp 8,425
700 PMT Services Inc* 13,650
300 Platinum Software Corp* 6,713
1,100 Platinum Technology Inc* 28,050
400 Primark Corp* 14,875
200 Progress Software Corp* 6,400
700 S3 Inc* 5,118
300 SEI Investments Companies 22,163
200 Stone & Webster Inc 8,925
700 System Software Associates Inc* 6,081
400 Technology Solutions Co* 12,850
700 True North Communications Inc 21,350
300 United States Bioscience Inc* 2,775
500 Vantive Corp* 16,000
200 Volt Information Sciences Inc* 6,650
100 Wall Data Inc* 1,538
700 Xylan Corp* 19,928
$474,335
INSURANCE --- 6.0%
450 Allied Group Inc 13,444
600 American Bankers Insurance Group Inc 36,862
200 Arthur J Gallagher & Co 8,775
300 CMAC Investment Corp 19,369
200 Capital RE Corp 14,762
200 Compdent Corp* 2,625
306 Delphi Financial Group Inc Class A* 17,442
300 Enhance Financial Services Group Inc 20,588
200 Executive Risk Inc 13,337
420 Fidelity National Financial Inc 15,488
300 First American Financial Corp 21,319
500 Fremont General Corp 27,875
500 Frontier Insurance Group Inc 13,250
200 Hilb Rogal & Hamilton Co 3,575
300 Life Re Corp 21,600
600 Mutual Risk Management Ltd 20,325
300 NAC RE Corp 15,000
400 Orion Capital Corp 22,300
1,000 Protective Life Corp 37,125
400 Selective Insurance Group Inc 11,000
150 Trenwick Group Inc 5,775
300 Zenith National Insurance Corp 8,438
$370,274
MFTG - CONSUMER PRODS --- 10.1%
200 Ashworth Inc* 3,350
300 Authentic Fitness Corp 5,438
200 Bassett Furniture Industries Inc 6,250
300 Bowne & Company Inc 12,394
300 Brown Group Inc 4,781
600 Buckeye Technologies Inc* 13,950
300 Canandaigua Wine Co Inc* 15,713
300 Catalina Marketing Corp* 15,600
700 Champion Enterprises Inc* 17,413
1,000 Chiquita Brands International Inc 13,562
100 Coca-Cola Bottling Co 6,113
400 Cone Mills Corp* 3,625
200 Consolidated Graphics Inc* 11,537
500 Corn Products International Inc* 17,813
300 Cyrk Inc* 4,800
400 Delta Woodside Industries Inc 2,425
200 Designs Inc* 425
600 Dimon Inc 8,775
400 Earthgrains Co 18,700
400 Ethan Allen Interiors Inc 20,375
200 Galey & Lord Inc* 5,225
300 Galoob Toys Inc* 3,244
300 Gibson Greetings Inc* 7,847
100 GoodMark Foods Inc 2,288
400 Guilford Mills Inc 11,300
500 Gymboree Corp* 9,188
100 Haggar Corp 1,463
500 Hartmarx Corp* 3,938
200 Innovex Inc 5,112
400 Interface Inc Class A 16,975
100 J&J Snack Foods Corp* 1,950
500 John H Harland Co 8,906
200 Johnston Industries Inc 1,137
500 Just For Feet Inc* 11,000
400 Justin Industries Inc 6,250
100 K-Swiss Inc 2,075
300 K2 Inc 6,806
300 Kellwood Co 9,581
300 La-Z-Boy Inc 15,694
300 Linens 'N Things Inc* 18,075
300 Lydall Inc* 5,569
200 Merrill Corp 4,150
750 Mohawk Industries Inc* 23,156
100 National Presto Industries Inc 3,975
300 Nature's Sunshine Products Inc 7,350
200 New England Business Service Inc 6,637
700 Oakwood Homes Corp 19,731
200 Oshkosh B'Gosh Inc Class A 7,700
100 Oxford Industries Inc 3,563
400 ParExel International Corp* 13,400
200 Pharmaceutical Marketing Services Inc* 2,787
400 Phillips Van-Heusen Corp 4,725
226 Pillowtex Corp 11,342
100 Plenum Publishing Corp 6,600
200 Schweitzer-Mauduit International Inc 6,650
600 Smithfield Foods Inc* 18,225
400 Sola International Inc* 17,000
700 Stride Rite Corp 8,793
100 Swiss Army Brands Inc* 1,200
200 The Dixie Group Inc 2,512
200 The Timberland Co Class A* 17,125
400 Titan International Inc 7,800
400 Tultex Corp* 1,350
200 USA Detergents Inc* 2,762
300 Universal Forest Products Inc 5,363
600 Valassis Communications Inc* 23,550
600 Wolverine World Wide Inc 17,325
600 World Color Press Inc* 19,200
$620,633
MFTG - INDUSTRIAL PRODS --- 14.5%
300 AT Cross Co Class A 3,975
500 Alliance Pharmaceutical Corp* 4,000
350 Alpharma Inc Class A 7,963
100 Amcast Industrial Corp 2,156
400 Applied Power Inc Class A 14,950
300 Aptargroup Inc 18,750
200 Astec Industries Inc* 5,900
400 BMC Industries Inc 7,300
300 Banctec Inc* 6,544
400 Belden Inc 16,575
200 Bell Sports Corp* 1,950
800 Bio-Technology General Corp* 7,125
400 Birmingham Steel Corp 6,400
600 Blount International Inc Class A 18,637
100 Butler Manufacturing Co 3,731
400 COR Therapeutics Inc* 7,550
200 Cambrex Corp 11,100
400 Caraustar Industries Inc 13,700
400 Cephalon Inc* 4,775
100 Chemed Corp 4,006
300 Chemfirst Inc 7,988
300 Clarcor Inc 6,731
200 Commonwealth Industries Inc 3,400
300 Cygnus Inc* 3,300
300 Dynatech Corp* 14,625
600 Fedders Corp 3,225
200 Flow International Corp* 2,137
400 Gerber Scientific Inc 10,200
300 Global Industries Technologies Inc* 5,381
400 Graco Inc 13,775
400 Griffon Corp* 5,350
200 Hauser Inc* 1,550
300 Helix Technology Corp 6,000
600 IDEXX Laboratories Inc* 13,275
300 IMCO Recycling Inc 5,550
300 Immune Response Corp* 3,656
100 Insteel Industries Inc 731
204 Intermagnetics General Corp* 2,053
400 Intermet Corp 8,400
200 Ionics Inc* 8,912
700 JLG Industries Inc 11,418
100 Kronos Inc* 3,600
500 Kulicke & Soffa Industries Inc* 10,750
200 LSB Industries Inc 850
300 Lilly Industries Inc Class A 5,644
150 Lindsay Manufacturing Co 7,031
600 Liposome Company Inc* 3,562
200 Lone Star Industries Inc 16,525
200 Lukens Inc 6,937
600 MacDermid Inc 17,962
300 Marquette Medical Systems Class A* 8,100
200 Material Sciences Corp* 2,050
200 McWhorter Technologies Inc* 5,200
400 Medimmune Inc* 21,100
300 Medusa Corp 18,450
800 Microchip Technology Inc* 22,700
400 Mississippi Chemical Corp 7,250
300 Molecular Biosystems Inc* 2,831
300 Mueller Industries Inc* 20,306
500 Mycogen Corp* 10,250
330 Myers Industries Inc 8,209
900 NBTY Inc* 18,000
100 Nashua Corp* 1,538
400 Northwestern Steel and Wire Co* 1,637
500 Novellus Systems Inc* 23,938
300 Noven Pharmaceuticals Inc* 1,950
200 O'Sullivan Corp 1,962
300 OM Group Inc 13,294
700 Paxar Corp* 10,368
100 Penford Corp 3,500
400 Photronics Inc* 14,750
400 Polaris Industries Inc 14,250
200 Pope & Talbot Inc 3,112
300 Protein Design Labs Inc* 9,600
100 Quaker Chemical Corp 1,981
200 Quanex Corp 5,862
100 RailTex Inc* 1,481
300 Regal-Beloit Corp 9,225
400 Regeneron Pharmaceuticals Inc* 3,925
220 Republic Group Inc 4,180
300 Robbins & Myers Inc 9,938
500 Roberts Pharmaceutical Corp* 8,500
400 Roper Industries Inc 12,400
300 Russ Berrie & Company Inc 8,588
200 SPS Technologies Inc* 12,362
300 Scotts Co Class A* 10,950
300 Shorewood Packaging Corp* 7,781
200 Standex International Corp 6,087
200 Steel Technologies Inc 2,550
400 Sturm Ruger Company Inc 7,875
200 Telxon Corp 6,462
400 Texas Industries Inc 25,775
300 The Manitowoc Company Inc 13,988
300 TheraTech Inc* 2,438
300 Thomas Nelson Inc 3,994
200 Toro Co 7,575
200 Tredegar Industries Inc 15,662
400 Ultratech Stepper Inc* 9,825
400 Valmont Industries Inc 8,900
400 Vertex Pharmaceuticals Inc* 12,450
200 WD-40 Co 5,787
400 WH Brady Co Class A 12,200
100 Walbro Corp 1,256
200 Whittaker Corp* 2,850
200 Wolverine Tube Inc* 7,875
300 Wynn's International Inc 6,750
300 Xircom Inc* 5,119
200 Zero Corp 6,162
$890,703
MINING --- 0.6%
450 AMCOL International Corp 6,159
300 Coeur D'Alene Mines Co* 3,506
200 Dravo Corp* 2,050
400 Getchell Gold Corp* 9,850
500 Glamis Gold Ltd* 2,219
800 Helca Mining Co* 5,100
300 Stillwater Mining Co* 7,931
$36,815
OIL & GAS --- 2.8%
400 Benton Oil & Gas Co* 4,875
300 Cabot Oil & Gas Corp 7,031
750 Cross Timbers Oil Co 14,344
500 Devon Energy Corp 19,938
300 HS Resources Inc* 4,856
500 Newfield Exploration Co* 12,125
400 Oceaneering International Inc* 9,175
300 Plains Resources Inc* 6,300
300 Pool Energy Services Co* 7,913
700 Pride International Inc* 17,018
300 Remington Oil & Gas Corp* 1,800
1,500 Santa Fe Energy Resources Inc* 15,468
400 Seitel Inc* 6,750
500 Snyder Oil Corp 10,656
100 St Mary Land & Exploration Co 3,200
600 Tuboscope Vetco International Corp* 14,212
800 Vintage Petroleum Inc 15,600
100 Wiser Oil Co 1,200
$172,461
OTHER TRANS SERVICES --- 1.9%
500 American Freightways Corp* 6,000
300 Arkansas Best Corp* 3,150
800 Brightpoint Inc* 15,600
400 Expeditors International of Washington Inc 17,000
500 Fritz Companies Inc* 7,313
300 Frozen Food Express Industries Inc 3,056
500 Heartland Express Inc* 12,438
200 Landstar System Inc* 6,550
200 MS Carriers Inc* 6,800
300 Rural/Metro Corp* 9,750
400 USFreightways Corp 14,300
600 Werner Enterprises Inc 14,475
$116,432
REAL ESTATE --- 0.9%
600 Amresco Inc* 21,750
300 CCB Financial Corp 32,625
$54,375
RETAIL TRADE --- 8.4%
300 AnnTaylor Stores Corp* 4,781
500 Applebees International Inc 12,438
200 Au Bon Pain Inc* 1,862
100 Bertuccis Inc* 969
600 Bombay Company Inc* 2,925
300 Books-A-Million Inc* 1,763
200 Builders Material Holding Corp* 2,900
660 CKE Restaurants Inc 22,853
800 Caseys General Stores Inc 13,100
400 Cash America International Inc 6,800
400 Cato Corp Class A 5,700
300 Cheesecake Factory Inc* 7,575
375 Consolidated Products Inc* 7,641
100 Danmark International Inc* 1,063
300 Discount Auto Parts Inc* 7,219
400 Eagle Hardware & Garden Inc* 7,300
300 Express Scripts Inc* 24,000
300 Fabri-Centers of America Inc Class A* 8,831
300 Filenes Basement Corp* 1,669
600 Foodmaker Inc* 11,400
500 Footstar Inc* 19,906
200 Gottschalks Inc* 1,812
500 Hancock Fabrics Inc 7,438
100 IHOP Corp* 4,400
200 J Baker Inc 2,350
400 Jan Bell Marketing Inc* 2,225
500 Landrys Seafood Restaurant Co* 14,250
300 Lechters Corp* 1,959
100 Lillian Vernon Corp 1,725
400 Luby's Cafeterias Inc 7,675
400 Michaels Stores Inc* 12,100
579 Midway Games Inc* 10,712
400 O'Reilly Automotive Inc* 11,000
1,050 Pier 1 Imports Inc 27,694
800 Ross Stores Inc 37,050
300 Ruby Tuesday Inc 10,050
800 Ryan's Family Steak Houses Inc* 8,000
200 SPX Corp* 14,475
700 Shoney's Inc* 3,763
500 Shopko Stores Inc* 17,313
300 Showbiz Pizza Time Inc* 11,588
200 Sonic Corp* 6,400
300 St John Knits Inc 13,388
300 Stein Mart Inc* 10,575
400 TCBY Enterprises Inc 3,525
300 TJ International Inc 9,338
200 Taco Cabana Inc* 1,325
300 The Dress Barn Inc* 8,738
300 The Men's Wearhouse Inc* 12,638
500 The Sports Authority Inc* 8,781
500 Triarc Companies Inc Class A* 12,906
400 Whole Foods Market Inc* 24,750
400 Williams-Sonoma Inc* 21,940
$514,578
SECURITIES & COMMODITIES --- 1.2%
420 Downey Financial Corp 14,569
400 Legg Mason Inc 23,600
300 Piper Jaffray Companies Inc 11,138
675 Raymond James Financial Inc 21,979
$71,286
TELEPHONE --- 0.4%
1,000 Tel-Save Holdings Inc* 22,812
$22,812
TRANSPORTATION EQUIPMENT --- 2.4%
400 AAR Corp 10,475
300 AO Smith Corp 13,538
400 Arctic Cat Inc 4,000
300 BE Aerospace Inc* 9,356
500 Breed Technologies Inc 10,094
500 Gentex Corp* 16,875
200 Huffy Corp 3,275
600 Orbital Sciences Corp* 26,700
300 Simpson Industries Inc 4,163
200 Skyline Corp 6,075
200 Spartan Motors Inc* 1,512
200 Standard Motor Products Inc 4,737
300 Standard Products Co 9,600
150 Thor Industries Inc 3,919
400 Wabash National Corp 12,350
400 Winnebago Industries Inc 4,650
400 Yellow Corp* 7,175
$148,494
WATER --- 0.7%
100 Aquarion Co 3,244
100 Consumers Water Co 2,013
450 Halter Marine Group Inc* 8,156
400 Kirby Corp* 9,800
400 Philadelphia Suburban Corp 8,450
100 Southern California Water Co 2,325
600 United Water Resources Inc 10,387
$44,375
WHOLESALE TRADE - INDL --- 1.3%
200 AM Castle & Co 4,750
300 Applied Industrial Technology Inc 7,613
500 Barrett Resources Corp* 18,563
120 Bell Industries Inc* 1,642
200 Lawson Products Inc 5,050
300 MicroAge Inc* 4,800
600 Nautica Enterprises Inc* 14,925
450 Patterson Dental Co* 13,247
300 Pioneer Standard Electronics Inc 3,769
400 TBC Corp* 3,550
$77,909
WHOLESALE TRADE -CONSUMER --- 2.1%
300 Barnes Group Inc 9,394
200 Commercial Metals Co 6,675
600 Fleming Companies Inc 11,250
300 Hughes Supply Inc 11,625
400 Kaman Corp Class A 7,650
400 Kent Electronics Corp* 8,800
200 Nash Finch Co 3,925
500 Owens & Minor Inc 8,906
700 Richfood Holdings Inc 19,206
100 Syncor International Corp* 1,813
700 Tech Data Corp* 34,913
200 Watsco Inc 5,850
$130,007
TOTAL COMMON STOCK --- 100.0% $6,123,952
(Cost $4,841,231)
TOTAL ORCHARD INDEX 600 FUND --- 100.0% $6,123,952
(Cost $4,841,231)
The Orchard Series Fund
Orchard Money Market Fund
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 46.9%
150,000 American Express Co 147,877
150,000 Ford Motor Credit Co 148,408
300,000 JP Morgan & Company Inc 298,128
150,000 Prudential Funding Corp 146,771
400,000 Student Loan Marketing Association 400,072
150,000 Toyota Motor Credit Corp 149,267
$1,290,523
ELECTRIC --- 5.4%
150,000 Duke Power Co 149,129
$149,129
ELECTRONICS - HIGH TECH --- 10.8%
150,000 General Electric Co 146,701
150,000 Sharp Electronics Corp 149,702
$296,403
FINANCIAL SERVICES --- 10.9%
150,000 KFW International Finance 149,769
150,000 Novartis Finance Corp 148,919
$298,688
HOLDING & INVEST OFFICES --- 5.4%
150,000 American General Finance Corp 149,048
$149,048
SECURITIES & COMMODITIES --- 16.3%
150,000 Bear Stearns Companies Inc 150,000
150,000 Daimler-Benz 149,034
150,000 Merrill Lynch & Co Inc 149,196
$448,230
TELEPHONE --- 4.4%
120,000 Ameritech Corp 119,761
$119,761
TOTAL SHORT-TERM INVESTMENTS --- 100.0% $2,751,782
(Cost $2,751,722)
TOTAL ORCHARD MONEY MARKET FUND --- 100.0% $2,751,782
(Cost $2,751,722)
The Orchard Series Fund
Orchard Preferred Stock Fund
PREFERRED STOCK
CREDIT INSTITUTIONS --- 23.0%
7,400 Bankers Trust New York Corp 200,257
6,800 Fleet Financial Group Inc 185,300
7,300 Household International Inc 208,963
3,500 JP Morgan & Company Inc 190,750
6,800 MBNA Corp 183,600
$968,870
ELECTRIC --- 25.3%
1,500 Baltimore Gas & Electric Co 165,000
1,600 Duke Power Co 166,400
1,400 Florida Power & Light Co 147,000
1,800 PP & L Inc 189,900
2,000 South Carolina Electric & Gas 213,000
1,700 Southern California Edison Co 185,725
$1,067,025
ELECTRONICS - HIGH TECH --- 4.4%
6,700 International Business Machines Corp 183,828
$183,828
FINANCIAL SERVICES --- 13.2%
7,000 Comdisco Inc 178,934
7,000 First Maryland Bancorp 179,809
7,500 Republic New York Corp 197,813
$556,556
INSURANCE --- 8.2%
3,100 Travelers Group Inc 161,200
7,300 WR Berkley Corp 186,150
$347,350
SECURITIES & COMMODITIES --- 12.6%
3,500 Donaldson, Lufkin & Jenrette Inc 176,313
5,300 Merrill Lynch & Co Inc 167,941
3,500 Morgan Stanley, Dean Witter & Co* 185,063
$529,317
TRANSPORTATION EQUIPMENT --- 8.8%
6,500 Ford Motor Co 188,500
6,900 General Motors Corp Series D 180,690
$369,190
U.S. GOVERNMENTS --- 4.6%
4,000 Federal Home Loan Mortgage Corp* 193,500
$193,500
TOTAL PREFERRED STOCK --- 100.0% $4,215,636
(Cost $4,150,017)
TOTAL ORCHARD PREFERRED STOCK FUND --- 100.0% $4,215,636
(Cost $4,150,017)
The Orchard Series Fund
Orchard Value Fund
COMMON STOCK
AGRICULTURE --- 1.6%
730 Dole Food Company Inc* 32,804
$32,804
AIR --- 2.0%
1,510 Southwest Airlines Co 41,430
$41,430
CONSUMER SERVICES --- 14.1%
750 Amgen Inc* 44,719
4,750 Food Lion Inc* 48,094
2,100 Humana Inc* 56,700
1,440 Patriot American Hospitality* 36,360
810 Starwood Hotels & Resorts 40,651
850 United Healthcare Corp 59,713
$286,237
CREDIT INSTITUTIONS --- 2.9%
550 Golden West Financial Corp 57,922
$57,922
ELECTRIC --- 10.6%
1,705 Allegheny Energy Inc* 52,216
925 Duke Power Co 53,534
880 FPL Group Inc 54,615
2,325 PacifiCorp 54,056
$214,421
ELECTRONICS - HIGH TECH --- 9.6%
950 AMP Inc 37,346
950 Electronic Data Systems Corp* 40,850
650 Motorola Inc 36,156
940 Thermo Electron Corp* 37,423
720 Thomas & Betts Corp 42,030
$193,805
ENVIRONMENTAL SERVICES --- 1.8%
1,090 Browning-Ferris Industries Inc 37,196
$37,196
HOLDING & INVEST OFFICES --- 6.4%
370 Chase Manhattan Corp 51,268
1,060 Developers Diversified Realty Corp* 42,068
1,395 Liberty Property Trust* 35,659
$128,995
INDUSTRIAL SERVICES --- 4.0%
900 Deluxe Corp 30,150
1,095 Fluor Corp 51,739
$81,889
INSURANCE --- 2.0%
180 General Re Corp 40,241
$40,241
MFTG - CONSUMER PRODS --- 6.3%
1,010 Liz Claiborne Inc 49,679
1,140 Rubbermaid Inc 32,633
730 Tommy Hilfiger Corp* 44,530
$126,842
MFTG - INDUSTRIAL PRODS --- 13.2%
1,470 Cincinnati Milacron Inc 45,661
570 Kimberly-Clark Corp 28,928
840 Lubrizol Corp* 30,975
1,250 Morton International Inc 40,000
600 PPG Industries Inc 42,412
780 Snap-On Inc 33,003
870 The BF Goodrich Co 46,816
$267,795
MINING --- 2.8%
2,565 Barrick Gold Corp 57,551
$57,551
OIL & GAS --- 10.9%
960 Amoco Corp 42,480
540 Chevron Corp 44,651
460 Mobil Corp 36,340
1,170 Occidental Petroleum Corp 34,441
780 Ultramar Diamond Shamrock Corp* 25,203
1,180 Valero Energy Corp* 38,203
$221,318
REAL ESTATE --- 2.0%
1,200 Highwood Properties Inc* 40,800
$40,800
RETAIL TRADE --- 3.6%
730 Sears Roebuck & Co 43,298
1,230 Wendy's International Inc 29,596
$72,894
SECURITIES & COMMODITIES --- 0.9%
255 Lehman Brothers Holdings Inc 18,121
$18,121
TELEPHONE --- 2.9%
990 GTE Corp 57,853
$57,853
TRANSPORTATION EQUIPMENT --- 2.5%
20 Allied-Signal Inc 876
710 Sundstrand Corp 49,034
$49,910
TOTAL COMMON STOCK --- 100.0% $2,028,024
(Cost $1,995,672)
TOTAL ORCHARD VALUE FUND --- 100.0% $2,028,024
(Cost $1,995,672)
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