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Previous: SOUTHERN INVESTMENTS UK PLC, 10-K405, 1999-06-24 |
Next: VISION TWENTY ONE INC, 10-Q/A, 1999-06-24 |
THE ORCHARD SERIES FUND
Financial Statements and Financial Highlights for
the Six Months Ended April 30, 1999 and 1998
<PAGE>
THE ORCHARD SERIES FUND
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 1999
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD ORCHARD ORCHARD
ORCHARD ORCHARD INDEX INDEX MONEY PREFERRED ORCHARD
INDEX 500 INDEX 600 EUROPEAN PACIFIC MARKET STOCK VALUE
FUND FUND FUND FUND FUND FUND FUND
----------- ----------- ----------- ------------ ---------- ------------ ---------
ASSETS:
Investments in securities, market value:(1)738,734,915 131,812,685 $ 122,762,837$ 110,934,168 $ 3,281,055 $ 4,876,500 2,126,503
Cash denominated in foreign currencies: (2) 677,845 308,398
Cash 172,592 21,846 71,017 116,802 55,998
Dividends and interest receivable 689,255 71,057 554,159 354,900 15,033 1,939
Subscriptions receivable 86,088 1,578
Receivables for investments sold 2,969,124 3,265,167 1,203,183 3,325,000
Variation margin on futures contracts 36,345
----------- ----------- ----------- ------------ ---------- ----------- --------
Total assets 742,393,294 135,185,254 125,370,616 115,030,400 3,352,072 5,009,913 2,184,440
----------- ----------- ----------- ------------ ---------- ----------- --------
LIABILITIES:
Due to GW Capital Management 363,143 62,981 124,028 105,798 1,262 3,632 1,689
Redemptions payable 1,022,288 594,741 632,180
Payables for investments purchased 2,156,086 3,429,904 1,564 3,388,436 39,683
Variation margin on futures contracts 64,782 98,716
----------- ----------- ----------- ------------ ---------- ------------ --------
Total liabilities 3,606,299 4,087,626 757,772 3,592,950 1,262 3,632 41,372
----------- ----------- ----------- ------------ ---------- ------------ --------
NET ASSETS 738,786,995$ 131,097,628 $ 124,612,844$ 111,437,450 $ 3,350,810 $ 5,006,281 $ 2,143,068
=========== =========== =========== ============ ========== ============ ========
NET ASSETS REPRESENTED BY:
Capital stock, no par value 530,057,210$ 126,923,398 $ 102,428,363$ 107,734,333 $ 3,350,810 $ 5,016,425 2,101,531
Net unrealized appreciation on investments
and translation
of assets & liabilities denominated in 199,320,005 1,058,859 20,695,519 9,858,026 5,064 29,669
foreign currencies
Undistributed (overdistributed) net 1,514,768 114,368 (441,931) 3,239 19,347 9,662
investment income
Accumulated net realized gain (loss) on 7,895,012 3,001,003 1,930,893 (6,158,148) (34,555) 2,206
investments
----------- ----------- ----------- ------------ ---------- ----------- --------
NET ASSETS 738,786,995$ 131,097,628 $ 124,612,844$ 111,437,450 $ 3,350,810 5,006,281 2,143,068
=========== =========== =========== ============ ========== =====================
NET ASSET VALUE PER OUTSTANDING SHARE 16.920$ 11.3119 $ 15.2006$ 9.9578 $ 1.0000$ 9.9927 $ 10.1544
=========== =========== =========== ============ ========== =========== ========
(Offering and Redemption Price)
SHARES OF CAPITAL STOCK OUTSTANDING: 43,661,972 11,589,382 8,197,916 11,190,945 3,350,810 500,994 211,049
(1) Cost of investments in securities: 539,400,169 130,955,637 102,054,895 101,131,192 3,281,055 4,871,436 2,096,834
(2) Cost of cash denominated in foreign 690,268 310,199
currencies:
</TABLE>
See notes to financial statements.
<PAGE>
THE ORCHARD SERIES FUND
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED APRIL 30, 1999
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD ORCHARD ORCHARD
ORCHARD ORCHARD INDEX INDEX MONEY PREFERRED ORCHARD
INDEX 500 INDEX 600 EUROPEAN PACIFIC MARKET STOCK VALUE
FUND FUND FUND FUND FUND FUND FUND
----------- ---------- ----------- ---------- ---------- --------------------
INVESTMENT INCOME:
Interest 161,579 42,943 60,804 74,235 82,855 25,563 2,636
Dividends 4,414,099 419,654 902,956 628,863 118,698 22,544
Foreign withholding tax (6,660) (185) (74,684) (48,418) (36)
----------- ---------- ----------- ---------- ---------- --------------------
Total income 4,569,018 462,412 889,076 654,680 82,855 144,261 25,144
----------- ---------- ----------- ---------- ---------- --------------------
EXPENSES:
Salaries 3,907 3,907 3,907
Legal and SEC fees 17,017 23,524 199
Directors' fees 217 154 7
Audit fees 6,322 6,322 1,806
Investment administration 103,404 103,404 26,975
Bank and custodial fees 35,918 30,583 1,278
Other expenses 20,697 17,980 102
Management fee 2,057,146 311,273 599,608 460,370 3,298 21,310 9,766
----------- ---------- ----------- ---------- ---------- --------------------
Total expenses 2,057,146 311,273 787,090 646,244 37,572 21,310 9,766
Less amount reimbursed by GW Capital Management 67,561 93,800 29,986
----------- ---------- ----------- ---------- ---------- --------------------
Net expenses 2,057,146 311,273 719,529 552,444 7,586 21,310 9,766
----------- ---------- ----------- ---------- ---------- --------------------
NET INVESTMENT INCOME 2,511,872 151,139 169,547 102,236 75,269 122,951 15,378
----------- ---------- ----------- ---------- ---------- --------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investments 6,591,240 2,883,025 1,930,893 (3,664,561) 43,799 2,206
Net realized gain on futures contracts 2,022,579 117,978 360,150
Change in net unrealized appreciation 123,238,908 1,066,044 10,148,232 25,573,469 (71,998) 250,111
(depreciation) on investments
Change in net unrealized appreciation (575,866) 201,811 56,851
(depreciation) on futures contracts
----------- ---------- ----------- ---------- ---------- --------------------
Net change in realized and unrealized
appreciation (depreciation) 131,276,861 4,268,858 12,079,125 22,325,909 (28,199) 252,317
on investments 0
----------- ---------- ----------- ---------- ---------- --------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 133,788,733 4,419,997 12,248,672 22,428,145 75,269 94,752 267,695
=========== ========== =========== ========== ========== ====================
</TABLE>
See notes to financial statements.
<PAGE>
THE ORCHARD SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED APRIL 30, 1999 AND 1998
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD ORCHARD
INDEX 500 FUND INDEX 600 FUND INDEX EUROPEAN FUND
-------------------------- -------------------------- ---------------------------
1999 1998 1999 1998 1999 1998
------------ ----------- ----------- ------------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income 2,511,872 $ 2,617,377 151,139 $ 5,193 169,547 $ 170,909
Net realized gain (loss) on investments 6,591,240 2,423,110 2,883,025 213,823 1,930,893 55,345
Net realized gain on futures contracts 2,022,579 117,978
Change in net unrealized appreciation 123,238,908 101,584,644 1,066,044 475,148 10,148,232 17,691,632
(depreciation) on investments
Change in net unrealized appreciation (575,866) 201,811
(depreciation) on futures contracts
------------ ----------- ----------- ------------- ----------- -----------
Net increase (decrease) in net 133,788,733 106,625,131 4,419,997 694,164 12,248,672 17,917,886
assets resulting from operations
------------ ----------- ----------- ------------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (2,721,810) (1,070,247) (40,912) (2,529) (1,456,436)
From net realized gains (7,247,164) (377,594) (147,248) (2,268,303) (8,353)
------------ ----------- ----------- ------------- ----------- -----------
Total distributions (9,968,974) (1,070,247) (418,506) (149,777) (3,724,739) (8,353)
------------ ----------- ----------- ------------- ----------- -----------
SHARE TRANSACTIONS:
Net proceeds from sales of shares 45,839,094 45,626,415 132,828,053 15,650 18,714,026 16,501,158
Reinvestment of distributions 9,968,974 1,070,247 418,506 149,777 3,724,739 8,353
Redemptions of shares (45,928,222) (38,800,473) (11,034,019) (22) (11,597,545) (4,153,662)
------------ ----------- ----------- ------------- ----------- -----------
Net increase in net assets 9,879,846 7,896,189 122,212,540 165,405 10,841,220 12,355,849
resulting from share transactions
------------ ----------- ----------- ------------- ----------- -----------
Total increase in net assets 133,699,605 113,451,073 126,214,031 709,792 19,365,153 30,265,382
NET ASSETS:
Beginning of period 605,087,390 492,866,332 4,883,597 5,469,919 105,247,691 62,147,578
------------
=========== =========== ============= =========== ===========
End of period (1) 738,786,995 $ 606,317,405 131,097,628$ 6,179,711 124,612,844 $ 92,412,960
============ =========== =========== ============= =========== ===========
OTHER INFORMATION:
SHARES:
Sold 2,923,167 3,480,233 12,090,135 1,273 1,264,998 1,226,881
Issued in reinvestment of distributions 653,898 86,188 38,171 13,076 250,822 698
Redeemed (2,887,655) (3,118,255) (1,007,148) (2) (778,373) (320,070)
------------ ----------- -----------
----------- ------------- -----------
Net increase 689,410 448,166 11,121,158 14,347 737,447 907,509
============ =========== =========== ============= =========== ===========
(1) Including undistributed (overdistributed)1,514,768 1,547,130 114,368 2,664 (441,931) 170,909
net investment income
</TABLE>
<PAGE>
See notes to financial statements.
(Continued)
<PAGE>
T
<PAGE>
HE ORCHARD SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED APRIL 30, 1999 AND 1998
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD ORCHARD ORCHARD
INDEX PACIFIC FUND MONEY MARKET FUND PREFERRED STOCK FUND VALUE FUND
--------------------- --------------------- --------------------- --------------------
1999 1998 1999 1998 1999 1998 1999 1998
---------- --------- --------- ---------- ---------- ---------- ---------- ---------
INCREASE (DECREASE) IN NET ASSETS: (A)
OPERATIONS:
Net investment income 102,236 $ 85,910 $ 75,269 $ 80,602 122,951 131,180 15,378 1,451
Net realized gain (loss) on investments(3,664,561) (24,817) 43,799 (7,493) 2,206 34,130
Net realized gain on futures contracts 360,150
Change in net unrealized appreciation 25,573,469 (4,718,925) (71,998) (603) 250,111 32,352
(depreciation) on investments
Change in net unrealized appreciation 56,851
(depreciation) on futures contracts
---------- --------- --------- ---------- ---------- ---------- ---------- ---------
Net increase (decrease) in net assets 22,428,145 (4,657,832) 75,269 80,602 94,752 123,084 267,695 67,933
resulting from operations
---------- --------- --------- ---------- ---------- ---------- ---------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (376,765) (75,269) (80,602) (124,026) (106,310) (13,297)
From net realized gains (13,415)
---------- --------- --------- ---------- ---------- ---------- ---------- --------
Total distributions (376,765) 0 (75,269) (80,602) (124,026) (106,310) (26,712) 0
---------- --------- --------- ---------- ---------- ---------- ---------- --------
SHARE TRANSACTIONS:
Net proceeds from sales of shares 20,250,947 10,979,846 2,532 436,616 16,001 88,423 2,000,000
Reinvestment of distributions 376,765 75,269 80,216 124,026 106,310 26,712
Redemptions of shares (17,471,873)(4,892,987) (1,239) (58,220) (49,971)
---------- --------- ---------- ---------- ---------- --------
--------- ----------
Net increase in net assets resulting from 3,155,839 6,086,859 76,562 80,216 502,422 122,311 65,164 2,000,000
share transactions
---------- --------- --------- ---------- ---------- ---------- ---------- --------
Total increase in net assets 25,207,219 1,429,027 76,562 80,216 473,148 139,085 306,147 2,067,933
NET ASSETS:
Beginning of period 86,230,231 48,444,931 3,274,248 3,110,727 4,533,133 4,242,086 1,836,921 0
----------
========= ========= ========== ========== ========== ========== ========
End of period (1) 111,437,45 49,873,958$ 3,350,810$ 3,190,943 5,006,281 4,381,171 2,143,068 2,067,933
========== ========= ========= ========== ========== ========== ========== ========
OTHER INFORMATION:
SHARES:
Sold 2,295,081 1,255,105 2,532 43,603 1,565 9,492 200,000
Issued in reinvestment of distributions 44,982 75,269 80,216 12,458 10,448 2,902
Redeemed (2,035,635) (548,103) (1,239) (5,815) (5,228)
---------- --------- --------- ---------- ---------- --------- --------
----------
Net increase 304,428 707,002 76,562 80,216 50,246 12,013 7,166 200,000
========= ========= ========= ========== ========== ========== ========= ========
(1) Including undistributed (overdistributed 3,239 85,910 0 0 19,347 4,870 9,662 1,451
net investment income
</TABLE>
(A) Inception date March 2, 1998.
(Concluded)
See notes to financial statements.
<PAGE>
THE ORCHARD SERIES FUND
ORCHARD INDEX 500 FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the six months ended
April 30, 1999, the year ended October 31, 1998 and the period ended October 31,
1997 are as follows:
Six Months Period Ended October 31,
Ended
---------------------------------
April 30, 1999 1998 1997
---------------- ---------------- -------------
(A)
Net Asset Value, Beginning of Period $ 14.0808 $ 11.6936 $ 10.0000
Income From Investment Operations
Net investment income 0.0567 0.1282 0.0388
Net realized and unrealized gain 3.0122 2.3471 1.6936
------------- ------------- -------------
Total Income From Investment Operations 3.0689 2.4753 1.7324
Less Distributions
From net investment income (0.0621) (0.0881) (0.0388)
From net realized gains (0.1670)
------------- ------------- -------------
-------------
Total Distributions (0.2291) (0.0881) (0.0388)
------------- ------------- -------------
Net Asset Value, End of Period $ 16.9206 $ 14.0808 $ 11.6936
============= ============= =============
Total Return 21.97% 21.18% 17.38%
Net Assets, End of Period $ 738,786,995 $ 605,087,390 $ 492,866,332
Ratio of Expenses to Average Net Assets 0.60% * 0.60% 0.60% *
Ratio of Net Investment Income to Average Net 0.73% * 0.96% 1.67% *
Assets
Portfolio Turnover Rate 8.57% 20.20% 0.45%
</TABLE>
Portfolio Turnover is calculated using the lesser of long-term purchases or
sales of portfolio securities for a period, divided by the monthly average of
the market value of the portfolio securities (excluding short-term securities)
owned during the period. Purchases and sales of investment securities for the
six months ended April 30, 1999 were $69,869,652 and $59,172,393, respectively.
* Annualized
(A) The portfolio commenced operations on February 3, 1997.
(Continued)
<PAGE>
THE ORCHARD SERIES FUND
ORCHARD INDEX 600 FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the six months ended
April 30, 1999, the year ended October 31, 1998 and the period ended October 31,
1997 are as follows:
Six Months Ended Period Ended October 31,
----------------------------------
April 30, 1999 1998 1997
----------------- ---------------- ---------------
(A)
Net Asset Value, Beginning of Period $ 10.4300 $ 12.1191 $ 10.0000
Income From Investment Operations
Net investment income 0.0047 0.0255 0.0238
Net realized and unrealized gain (loss) 0.9143 (1.3719) 2.1191
------------- ------------- ---------------
Total Income (Loss) From Investment Operations 0.9190 (1.3464) 2.1429
Less Distributions
From net investment income (0.0036) (0.0167) (0.0238)
From net realized gains (0.0335) (0.3260)
------------- ------------- ---------------
Total Distributions (0.0371) (0.3427) (0.0238)
------------- ------------- ---------------
Net Asset Value, End of Period $ 11.3119 $ 10.4300 $ 12.1191
============= ============= ===============
Total Return 8.82% (11.37%) 21.46%
Net Assets, End of Period $ 131,097,628 $ 4,883,597 $ 5,469,919
Ratio of Expenses to Average Net Assets 0.60% * 0.60% 0.60% *
Ratio of Net Investment Income to Average Net 0.29% * 0.22% 0.30% *
Assets
Portfolio Turnover Rate 16.66% 31.25% 21.58%
</TABLE>
Portfolio Turnover is calculated using the lesser of long-term purchases or
sales of portfolio securities for a period, divided by the monthly average of
the market value of the portfolio securities (excluding short-term securities)
owned during the period. Purchases and sales of investment securities for the
six months ended April 30, 1999 were $137,253,366 and $17,630,945, respectively.
*Annualized
(A) The portfolio commenced operations February 3, 1997.
(Continued)
<PAGE>
THE ORCHARD SERIES FUND
ORCHARD INDEX EUROPEAN FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the six months ended
April 30, 1999, the year ended October 31, 1998 and the period ended October 31,
1997 are as follows:
Six Months Period Ended October 31,
Ended
----------------------------
April 30, 1999 1998 1997
---------------- ------------ --------------
(A)
Net Asset Value, Beginning of Period $ 14.1074 $ 11.6147 $ 10.0000
Income From Investment Operations
Net investment income 0.0125 0.1285 0.0343
Net realized and unrealized gain 1.5469 2.3809 1.6147
------------- ------------ --------------
Total Income From Investment Operations 1.5594 2.5094 1.6490
Less Distributions
From net investment income (0.1797) (0.0152) (0.0343)
From net realized gains (0.2865) (0.0015)
------------- ------------ --------------
Total Distributions (0.4662) (0.0167) (0.0343)
------------- ------------ --------------
Net Asset Value, End of Period $ 15.2006 $ 14.1074 $ 11.6147
============= ============ ==============
Total Return 11.16% 21.60% 16.47%
Net Assets, End of Period $ 124,612,844 $ 105,247,691 $ 62,147,578
Ratio of Expenses to Average Net - Before Reimbursement 1.32% * 1.35% 1.74% *
Assets
- After Reimbursement 1.20% * 1.20% 1.20% *
#
Ratio of Net Investment Income to Average Net Assets 0.28% * 1.08% 0.83% *
Portfolio Turnover Rate 55.82% 32.58% 5.69%
</TABLE>
Portfolio Turnover is calculated using the lesser of long-term purchases or
sales of portfolio securities for a period, divided by the monthly average of
the market value of the portfolio securities (excluding short-term securities)
owned during the period. Purchases and sales of investment securities for the
six months ended April 30, 1999 were $77,366,101 and $66,890,321, respectively.
*Annualized
#Percentages are shown net of expenses reimbursed by GW Capital Management, LLC.
(A) The portfolio commenced operations February 3, 1997.
(Continued)
THE ORCHARD SERIES FUND
ORCHARD INDEX PACIFIC FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the six months ended
April 30, 1999, the year ended October 31, 1998 and the period ended October 31,
1997 are as follows:
Six Months Period Ended October 31,
Ended
----------------------------
April 30, 1999 1998 1997
---------------- ------------- ------------
(A)
Net Asset Value, Beginning of Period $ 7.9208 $ 9.3167 $ 10.0000
Income From Investment Operations
Net investment income 0.0116 0.0255 0.0163
Net realized and unrealized gain (loss) 2.0622 (1.4214) (0.6833)
------------- ---------- ------------
Total Gain (Loss) From Investment Operations 2.0738 (1.3959) (0.6670)
Less Distributions
From net investment income (0.0368) (0.0163)
From net realized gains
------------- ---------- ------------
Total Distributions (0.0368) 0.0000 (0.0163)
------------- ---------- ------------
Net Asset Value, End of Period $ 9.9578 $ 7.9208 $ 9.3167
============= ========== ============
Total Return 26.27% (14.98%) (6.67%)
Net Assets, End of Period $ 111,437,450 $ 86,230,231 $ 48,444,931
Ratio of Expenses to Average Net - Before Reimbursement 1.41% * 1.52% 1.80% *
Assets
- After Reimbursement # 1.20% * 1.20% 1.20% *
Ratio of Net Investment Income to Average Net Assets 0.22% * 0.47% 0.42% *
Portfolio Turnover Rate 18.25% 8.94% 0.04%
</TABLE>
Portfolio turnover is calculated using the lesser of long-term purchases or
sales of portfolio securities for a period, divided by the monthly average of
the market value of the portfolio securities (excluding short-term securities)
owned during the period. Purchases and sales of investment securities for the
six months ended April 30, 1999 were $16,705,750 and $17,116,112, respectively.
*Annualized
#Percentages are shown net of expenses reimbursed by GW Capital Management, LLC.
(A) The portfolio commenced operations on February 3, 1997.
(Continued)
<PAGE>
THE ORCHARD SERIES FUND
ORCHARD MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the six months ended
April 30, 1999, the year ended October 31, 1998 and the period ended October 31,
1997 are as follows:
Six Months Period Ended October 31,
Ended
--------------------------
April 30, 1999 1998 1997
------------ ------------
----------------
(A)
Net Asset Value, Beginning of Period $ 1.0000 $ 1.0000 $ 1.0000
Income From Investment Operations
Net investment income 0.0228 0.0513 0.0363
------------- ------------ ------------
Total Income From Investment Operations 0.0228 0.0513 0.0363
Less Distributions
From net investment income (0.0228) (0.0513) (0.0363)
------------- ------------ ------------
Total Distributions (0.0228) (0.0513) (0.0363)
------------- ------------ ------------
Net Asset Value, End of Period $ 1.0000 $ 1.0000 $ 1.0000
============= ============ ============
Total Return/Yield 2.30% 5.26% 3.69%
Net Assets, End of Period $ 3,350,810 $ 3,274,248 $ 3,110,727
Ratio of Expenses to Average Net - Before Reimbursement 2.29% * 3.57% 1.54% *
Assets
- After Reimbursement 0.46% * 0.46% 0.46% *
#
Ratio of Net Investment Income to Average Net Assets 4.59% * 5.13% 4.88% *
</TABLE>
*Annualized
#Percentages are shown net of expenses reimbursed by GW Capital Management, LLC.
(A) The portfolio commenced operations on February 3, 1997.
(Continued)
<PAGE>
THE ORCHARD SERIES FUND
ORCHARD PREFERRED STOCK FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the six months ended
April 30, 1999, the year ended October 31, 1998 and the period ended October 31,
1997 are as follows:
Six Months Ended Period Ended October 31,
--------------------------------
April 30, 1999 1998 1997
-------------------- ---------------- --------------
(A)
Net Asset Value, Beginning of Period $ 10.0569 $ 10.1372 $ 10.0000
Income From Investment Operations
Net investment income 0.2552 0.5793 0.4544
Net realized and unrealized gain (loss) (0.0575) (0.1256) 0.1372
---------------- ------------- --------------
Total Income From Investment Operations 0.1977 0.4537 0.5916
Less Distributions
From net investment income (0.2619) (0.5340) (0.4544)
From realized gains
---------------- ------------- --------------
Total Distributions (0.2619) (0.5340) (0.4544)
---------------- ------------- --------------
Net Asset Value, End of Period $ 9.9927 $ 10.0569 $ 10.1372
================ ============= ==============
Total Return 1.99% 4.52% 6.04%
Net Assets, End of Period $ 5,006,281 $ 4,533,133 $ 4,242,086
Ratio of Expenses to Average Net Assets 0.90% * 0.90% 0.90% *
Ratio of Net Investment Income to Average Net 5.21% * 5.67% 6.07% *
Assets
Portfolio Turnover Rate 4.23% 48.89% 10.05%
</TABLE>
Portfolio turnover is calculated using the lesser of long-term purchases or
sales of portfolio securities for a period, divided by the monthly average of
the market value of the portfolio securities (excluding short-term securities)
owned during the period. Purchases and sales of investment securities for the
six months ended April 30, 1999 were $161,063 and $2,121,926, respectively.
*Annualized
(A) The portfolio commenced operations on February 3, 1997.
(Continued)
<PAGE>
THE ORCHARD SERIES FUND
ORCHARD VALUE FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the six months ended
April 30, 1999 and the period ended October 31, 1998 are as follows:
Six Months Ended Period Ended
April 30, 1999 October 31, 1998
------------------ -----------------
(B)
Net Asset Value, Beginning of Period $ 9.0097 $ 10.0000
Income From Investment Operations
Net investment income 0.0727 0.0730
Net realized and unrealized gain (loss) 1.2012 (1.0275)
--------------- --------------
Total Income (Loss) From Investment Operations 1.2739 (0.9545)
Less Distributions
From net investment income (0.0641) (0.0358)
From realized gains (0.0651)
--------------- --------------
Total Distributions (0.1292) (0.0358)
--------------- --------------
Net Asset Value, End of Period $ 10.1544 $ 9.0097
=============== ==============
Total Return 14.30% (9.58%)
Net Assets, End of Period $ 2,143,068 $ 1,836,921
Ratio of Expenses to Average Net Assets 1.00% * 1.00%*
Ratio of Net Investment Income to Average Net Assets 1.58% * 1.15%*
Portfolio Turnover Rate 60.30% 79.58%
</TABLE>
Portfolio turnover is calculated using the lesser of long-term purchases or
sales of portfolio securities for a period, divided by the monthly average of
the market value of portfolio securities (excluding short-term securities) owned
during the period. Purchases and sales of investment securities for the six
months ended April 30, 1999 were $1,209,668 and $1,162,807, respectively.
*Annualized
(B) The portfolio commenced operations March 2, 1998.
(Concluded)
<PAGE>
THE ORCHARD SERIES FUND
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 1999
- -------------------------------------------------------------------------------
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,
1999, GWL&A's investment in the Funds totaled $12,388,627.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities
and disclosure of contingent assets and liabilities at the date of the
financial statements and the reported amounts of revenue and expenses
during the reporting period. Actual results could differ from those
estimates.
The following is a summary of the significant accounting policies of the
Fund, which are in accordance with generally accepted accounting
principles in the investment company industry:
Security Valuation - Portfolio securities that are listed on an
established securities exchange or on the NASDAQ National Market System
are valued at the last sale price as of the close of business on the day
the securities are being valued, or, lacking any sales, at the mean
between closing bid and asked price. Securities traded in the
over-the-counter market are valued at the mean between the bid and asked
prices or yield equivalent as obtained from one or more dealers that
make markets in the securities. Portfolio securities that are traded
both in the over-the-counter market and on an exchange are valued
according to the broadest and most representative market. Securities and
assets for which market quotations are not readily available are valued
at fair value as determined in good faith by or under the direction of
the Board of Directors, including valuations furnished by a pricing
service that may be retained by the Fund. Short-term and money market
securities are valued at amortized cost which approximates market value.
Dividend income for the Funds is accrued as of the ex-dividend date and
interest income is accrued daily.
Dividends - Dividends from investment income of the Orchard Money Market
Fund are declared daily and reinvested monthly. Dividends from
investment income of the Orchard Preferred Stock Fund are declared and
reinvested quarterly. Dividends from investment income of the Orchard
Index 500 Fund, Orchard Index 600 Fund and Orchard Value Fund are
declared and reinvested semi-annually while dividends from investment
income of the Orchard Index Pacific Fund and Orchard Index European Fund
are declared and reinvested annually. All of the Funds generally
distribute capital gains, if any, in December.
Security Transactions - Security transactions are accounted for on the
date the securities are purchased or sold (trade date). The cost of
investments sold is determined on the basis of the first-in, first-out
method (FIFO).
Foreign Currency Translation - The accounting records of the Orchard
Index European Fund and Orchard Index Pacific Fund are maintained in
U.S. dollars. Investment securities, and other assets and liabilities
denominated in a foreign currency are translated into U.S. dollars at
the current exchange rate. Purchases and sales of securities, income
receipts and expense payments are translated into U.S. dollars at the
exchange rate on the dates of the transactions.
The Orchard Index European Fund and Orchard Index Pacific Fund do not
isolate that portion of the results of operations resulting from changes
in foreign exchange rates from the fluctuations arising from changes in
market prices of securities held. Such fluctuations are included with
the net realized and unrealized gain or loss from investments.
Net realized foreign exchange gains or losses arise from sales of
foreign currencies, currency gains or losses realized between the trade
and settlement dates on securities transactions, the difference between
the amounts of dividends, interest, and foreign withholding taxes
recorded on the fund's books, and the U.S. dollar equivalent of the
amounts actually received or paid. Net unrealized foreign exchange gains
and losses arise from changes in the fair values of assets and
liabilities other than investments in securities at fiscal period end,
resulting from changes in exchange rates.
Financial Futures Contracts - The index funds may invest in financial
futures contracts as a substitute for a comparable market position in
the underlying securities. Upon entering into a financial futures
contract, the funds are required to pledge to the broker an amount of
cash and/or other assets equal to a certain percentage of the contract
amount (initial margin deposit). Subsequent payments, known as
"variation margin", are made or received by the funds each day,
depending on the daily fluctuations in the fair value of the underlying
security. Should market conditions move unexpectedly, the funds may not
achieve the anticipated benefits of the financial futures contracts and
may realize a loss. The use of future transactions involves the risk of
imperfect correlation in movements in the price of futures contracts and
the underlying hedged assets.
Federal Income Taxes - For federal income tax purposes, each Fund
qualifies as a regulated investment company under the provisions of the
Internal Revenue Code by distributing substantially all of its taxable
net income (both ordinary and capital gain) to its shareholders and
complying with other requirements for regulated investment companies.
Accordingly, no provision for federal income taxes has been made. At
April 30, 1999, the Orchard Index Pacific Fund and Orchard Preferred
Stock Fund had available for federal income tax purposes unused capital
loss carryovers of $2,841,310 and $78,354, respectively, which expire in
2005 and 2006.
3. INVESTMENT ADVISORY AGREEMENT
GW Capital Management, LLC ("Capital Management"), a wholly-owned
subsidiary of GWL&A, serves as investment adviser to the Funds pursuant
to an investment advisory agreement, which was approved by the Funds'
Board of Directors. Capital Management is a registered investment
adviser under the Investment Advisers Act of 1940. The investment
advisory agreement provides that Capital Management, subject to the
supervision and approval of the Funds' Board of Directors, is
responsible for the day-to-day management of each Fund which includes
selecting the Funds' investments and handling their business affairs.
As compensation for its services to the Funds, the investment adviser
receives monthly compensation at the annual rate of .20% of the average
daily net assets of the Orchard Money Market Fund, .90% of the average
daily net assets of the Orchard Preferred Stock Fund, .60% of the
average daily net assets of the Orchard Index 500 Fund and Orchard Index
600 Fund and 1.00% of the average daily net assets of the Orchard Index
Pacific Fund, Orchard Index European Fund, and Orchard Value Fund.
Subject to revision, Capital Management has voluntarily agreed to
reimburse the Orchard Index Pacific Fund, the Orchard Index European
Fund, and the Orchard Money Market Fund to the extent that total
operating expenses exceed 1.20%, 1.20%, and .46%, respectively, of
average net assets. Interest, taxes, brokerage commissions, and
extraordinary expenses are not eligible for reimbursement.
Expenses incurred by the Fund, which are not fund specific, are
allocated among the funds based on relative net assets or other
appropriate allocation methods. For certain funds, the management fee
encompasses other fund operation expenses.
<PAGE>
4. OTHER RELATED PARTY TRANSACTIONS
One Orchard Equities, a wholly-owned subsidiary of One Corporation,
which is a wholly-owned subsidiary of GWL&A, distributes and markets the
Trust's Funds. Financial Administrative Services Corporation, a
wholly-owned subsidiary of GWL&A, performs transfer agent servicing
functions for the Funds.
Certain officers of the Trust are also directors and/or officers of
GWL&A or its subsidiaries. No officer of the Trust receives any
compensation directly from the Funds.
5. CAPITAL STOCK
The Trust has authorized an unlimited number of shares with no stated
par value for each portfolio in the Trust. Shares may be issued in one
or more series of shares, and each series may be issued in one or more
classes of shares. Each Fund represents a separate series of shares.
6. UNREALIZED APPRECIATION (DEPRECIATION)
Gross unrealized appreciation (depreciation) of investments is as
follows as of April 30, 1999:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Orchard
Orchard Orchard Index Orchard Orchard Orchard
Index Index 600 European Index Preferred Value
500 Pacific
Fund Fund Fund Fund Stock Fund Fund
----------- ----------- ------------ ----------- ----------- ---------
Gross 220,997,167$ 13,499,976 23,911,342 14,402,652 45,055 231,497
appreciation
Gross (21,662,421) (12,642,928) (3,215,823) (4,601,477) (39,991) (201,828)
depreciation
----------- ----------- ------------ ----------- ----------- ---------
Net unrealized
199,334,746$ 857,048 20,695,519 $ 9,801,175 $ $ 5,064 29,669
appreciation
=========== =========== ============ =========== =========== =========
7. FUTURES CONTRACTS
At April 30, 1999, the unrealized appreciation (depreciation) on open
futures contracts, expiring in June 1999 was:
Number Unrealized
Fund Futures Contract of Contracts Appreciation
(Depreciation)
Index 500 S&P 500 9 (14,741)
Index 600 Russell 2000 16 201,811
Index Pacific Japanese Yen 45 (35,250)
Nikkei 225 59 92,101
</TABLE>
The Orchard Series Fund
Orchard Index European Fund
COMMON STOCK
AUSTRIA --- 0.3%
ELECTRIC
192 EVN AG 28,672
254 Oest Elektrizatswirts Series A 39,735
$68,407
FINANCIAL SERVICES
1,706 Bank Austria AG 105,868
$105,868
FOREIGN BANKS
500 Erste Bank Der Oesterreichischen Sparkassen AG 28,539
$28,539
INDUSTRIAL PRODS & SVCS
252 VA Technologie AG 23,973
$23,973
MFTG - CONSUMER PRODS.
500 Austria Tabak AG 30,653
$30,653
MFTG - INDUSTRIAL PRODS
554 Voest-Alpine Stahl AG 18,826
146 Wienerberger Baustoffindustrie AG 27,932
$46,758
OIL & GAS
454 OMV AG 43,909
$43,909
TOTAL AUSTRIA --- 0.3% $348,107
BELGIUM --- 2.4%
ELECTRIC
1,250 Electrabel SA 412,362
2,600 Tractebel 357,541
$769,903
FINANCIAL SERVICES
700 Dexia Belgium 107,729
7,840 KBC Bancassurance Holding 486,440
$594,169
HOLDING & INVEST. OFFICES
5,500 Almanij NV 370,320
$370,320
INSURANCE
17,586 Fortis (B) 590,182
$590,182
MFTG - CONSUMER PRODS.
4,000 UCB SA 186,032
$186,032
MFTG - INDUSTRIAL PRODS
1,900 Solvay SA 132,548
$132,548
OIL & GAS
600 PetroFina SA 362,762
$362,762
TOTAL BELGIUM --- 2.4% $3,005,916
DENMARK --- 0.9%
FINANCIAL SERVICES
1,284 Unidanmark A/S 88,247
$88,247
FOREIGN BANKS
1,400 Den Danske Bank Group 161,361
$161,361
HOLDING & INVEST. OFFICES
1,704 Kapital Holding 64,982
200 Ratin A/S Series A 33,297
$98,279
MFTG - CONSUMER PRODS.
594 Carlsberg A/S Series A 27,639
498 Carlsberg A/S Series B 23,530
1,609 Danisco A/S 75,325
$126,494
MFTG - INDUSTRIAL PRODS
1,678 Novo-Nordisk A/S 164,751
$164,751
TELEPHONE
2,856 Tele Danmark A/S 294,634
$294,634
TRANSPORTATION EQUIPMENT
10 A/S Dampskibsselskabet Svendborg 127,353
10 D/S 1912 90,357
$217,710
TOTAL DENMARK --- 0.9% $1,151,476
FINLAND --- 2.3%
COMMUNICATIONS
32,200 Nokia Oyj 2,482,882
$2,482,882
FOREIGN BANKS
20,400 Merita PLC 121,830
$121,830
MFTG - INDUSTRIAL PRODS
6,800 UPM-Kymmene Oyj 205,925
$205,925
TOTAL FINLAND --- 2.3% $2,810,637
FRANCE --- 11.9%
COMMUNICATIONS
8,100 France Telecom SA 654,542
$654,542
FOREIGN BANKS
5,800 Banque Nationale de Paris 480,946
2,750 Societe Generale 492,403
$973,349
HOLDING & INVEST. OFFICES
4,275 Compagnie Financiere de Paribas 454,579
$454,579
INDUSTRIAL PRODS & SVCS
5,600 Alcatel 687,811
4,100 Schneider SA 267,606
4,041 Suez Lyonnaise des Eaux 687,685
4,290 Vivendi 1,002,585
$2,645,687
INSURANCE
4,900 Assurances Generales de France 258,706
9,215 Axa 1,190,259
$1,448,965
MFTG - CONSUMER PRODS.
2,000 Danone 534,842
1,800 L'oreal 1,152,976
2,360 Louis Vuitton Moet Hennessy 633,109
2,850 Sanofi SA 446,746
$2,767,673
MFTG - INDUSTRIAL PRODS
2,215 Air Liquide 341,823
2,450 Compagnie de Saint Gobain 420,818
2,800 Lafarge SA 272,283
1,250 PSA Peugeot Citroen 207,436
6,400 Renault SA 268,157
9,900 Rhone-Poulenc SA 470,894
$1,981,411
OIL & GAS
7,300 Elf Aquitaine SA 1,134,267
6,550 Total SA Series B 897,266
$2,031,533
RETAIL TRADE
1,045 Carrefour SA 828,424
3,125 Pinault-Printemps-Redoute SA 518,591
510 Promodes 323,442
$1,670,457
TOTAL FRANCE --- 11.9% $14,628,196
GERMANY --- 11.5%
COMMUNICATIONS
15,800 Deutsche Telekom AG 628,778
$628,778
ELECTRONICS - HIGH TECH
1,100 SAP AG 352,879
$352,879
FINANCIAL SERVICES
13,100 Deutsche Bank AG 756,722
$756,722
FOREIGN BANKS
12,750 Dresdner Bank AG 549,851
8,750 HypoVereinsbank 570,648
$1,120,499
INDUSTRIAL PRODS & SVCS
11,650 RWE AG 533,198
12,000 Veba AG 658,300
$1,191,498
INSURANCE
5,450 Allianz AG 1,737,988
4,300 Muenchener Rueckver AG (registered) 879,477
100 Muenchener Rueckversicherung 31,076
$2,648,541
MFTG - INDUSTRIAL PRODS
13,700 BASF AG 600,233
16,350 Bayer AG 694,734
520 Bayerische Motoren Werke AG 368,808
24,373 DaimlerChrysler AG 2,384,297
12,700 Hoechst AG 581,255
9,050 Mannesmann AG 1,185,209
14,350 Siemens AG 1,057,206
7,600 Volkswagen AG 537,421
$7,409,163
TOTAL GERMANY --- 11.5% $14,108,080
GREECE --- 0.9%
COMMUNICATIONS
4,500 Hellenic Telecommunications Organization SA 104,498
500 Intracom SA* 33,209
900 Intracom SA* 59,586
1,000 Panafon Hellenic Telecom SA* 26,665
$223,958
FOREIGN BANKS
3,000 Alpha Credit Bank 214,355
1,100 Commercial Bank of Greece SA 192,563
1,040 Ergo Bank SA 90,878
3,300 National Bank of Greece SA 225,127
$722,923
INDUSTRIAL PRODS & SVCS
600 Titan Cement Co SA 46,379
$46,379
MFTG - CONSUMER PRODS.
3,300 Hellenic Bottling Co SA 97,746
$97,746
MFTG - INDUSTRIAL PRODS
1,600 Heracles General Cement SA 42,611
$42,611
TOTAL GREECE --- 0.9% $1,133,617
IRELAND --- 0.8%
CONSTRUCTION
10,631 CRH PLC 209,569
$209,569
FOREIGN BANKS
21,227 Allied Irish Banks PLC 343,285
12,979 Bank of Ireland 259,971
$603,256
INSURANCE
11,776 Irish Life PLC 105,801
$105,801
MFTG - CONSUMER PRODS.
8,755 Kerry Group PLC 115,028
$115,028
TOTAL IRELAND --- 0.8% $1,033,654
ITALY --- 6.5%
FOREIGN BANKS
44,000 Banca Commerciale Italiana 362,297
46,000 Banca Intesa SpA 245,055
18,000 Banca Intesa SpA RNC 46,423
131,500 Banca di Roma 216,833
33,630 Istituto Bancario San Paolo di Torino 504,766
11,000 Rolo Banca 1473 SpA 277,885
115,000 Uncredito Italiano SpA 583,464
$2,236,723
HOLDING & INVEST. OFFICES
128,111 Telecom Italia SpA 1,363,612
52,116 Telecom Italia SpA RNC 280,391
$1,644,003
INSURANCE
17,500 Alleanza Assicurazioni 209,947
3,300 Alleanza Assicurazioni (non conv) 25,114
24,000 Assicurazioni Generali 934,811
97,000 Istituto Nazionale delle Assicurazioni 256,323
$1,426,195
MFTG - INDUSTRIAL PRODS
90,600 Fiat SpA 303,573
18,700 Fiat SpA RNC 33,503
$337,076
OIL & GAS
195,000 ENI SpA 1,284,096
$1,284,096
TELEPHONE
161,500 Telecom Italia Mobile SpA 962,779
39,000 Telecom Italia Mobile SpA RNC 130,677
$1,093,456
TOTAL ITALY --- 6.5% $8,021,549
NETHERLANDS --- 0.5%
RETAIL TRADE
15,400 Koninklijke Ahold NV 572,165
$572,165
TOTAL NETHERLANDS --- 0.5% $572,165
NETHERLANDS --- 7.3%
COMMUNICATIONS
11,721 KPN NV 489,369
$489,369
FINANCIAL SERVICES
35,477 ABN AMRO Holding NV 845,607
$845,607
FOREIGN BANKS
23,275 ING Groep NV 1,434,278
$1,434,278
INDUSTRIAL PRODS & SVCS
8,523 Koninklijke Philips Electronics NV 734,218
$734,218
INSURANCE
14,277 AEGON NV 1,369,489
$1,369,489
MFTG - CONSUMER PRODS.
15,684 Unilever NV 1,074,254
$1,074,254
OIL & GAS
52,678 Royal Dutch Petroleum Co 3,067,999
$3,067,999
TOTAL NETHERLANDS --- 7.3% $9,015,214
NORWAY --- 0.4%
COMMUNICATIONS
1,200 NetCom ASA* 35,362
$35,362
FOREIGN BANKS
6,800 Christiania Bank Og Kreditkasse 26,137
7,900 Den Norske Bank ASA 28,543
$54,680
INDUSTRIAL PRODS & SVCS
1,000 Tomra Systems ASA 39,718
$39,718
INSURANCE
6,800 Storebrand ASA* 49,225
$49,225
MFTG - CONSUMER PRODS.
3,900 Orkla ASA Series A 65,458
800 Orkla ASA Series B 11,736
$77,194
MFTG - INDUSTRIAL PRODS
2,900 Norsk Hydro ASA 129,859
500 Norske Skogindustrier AS Series B 15,567
700 Norske Skogindustrier ASA Series A 25,022
$170,448
OIL & GAS
2,200 Petroleum Geo-Services* 37,066
3,700 Saga Petroleum 41,006
$78,072
TRANSPORTATION EQUIPMENT
1,400 Bergesen dy ASA Series A 20,987
400 Bergesen dy ASA Series B 5,945
$26,932
TOTAL NORWAY --- 0.4% $531,631
PORTUGAL --- 0.6%
COMMUNICATIONS
500 Telecel-Comunicacaoes Pessoais SA 66,855
$66,855
ELECTRIC
7,000 Electricdidade de Portugal SA 131,702
$131,702
FINANCIAL SERVICES
2,300 BPI-SGPS SA 61,993
$61,993
FOREIGN BANKS
5,000 Banco Comercial Portugues SA 141,057
800 Banco Espirito Santo 19,229
3,200 Banco Portugues do Atlantico* 51,514
$211,800
INDUSTRIAL PRODS & SVCS
1,400 Brisa-Auto Estradas de Portugal SA 59,340
$59,340
MFTG - CONSUMER PRODS.
2,100 Jeronimo Martins SGPS SA 69,144
$69,144
TELEPHONE
3,700 Portugal Telecom SA 154,285
$154,285
TOTAL PORTUGAL --- 0.6% $755,119
SPAIN --- 3.5%
ELECTRIC
21,300 Endesa SA 473,697
20,215 Iberdrola SA 283,116
$756,813
FINANCIAL SERVICES
42,257 Banco Santander Central Hispano SA 918,326
$918,326
FOREIGN BANKS
11,100 Argentaria SA 261,170
46,120 Banco Bilbao Vizcaya SA 690,284
$951,454
GAS
3,400 Gas Natural SDG SA 274,387
$274,387
OIL & GAS
19,650 Repsol SA 319,859
$319,859
TELEPHONE
23,600 Telefonica SA 1,106,320
24,900 Telefonica SA - Bonus Rights* 23,161
$1,129,481
TOTAL SPAIN --- 3.5% $4,350,320
SWEDEN --- 3.1%
COMMUNICATIONS
3,800 Ericsson LM Series A 104,165
45,100 Ericsson LM Series B 1,185,434
$1,289,599
FINANCIAL SERVICES
32,200 Nordbanken Holding AB 202,516
$202,516
FOREIGN BANKS
8,900 ForeningsSparbanken AB 195,384
13,300 Skandinaviska Enskilda Banken 173,609
5,500 Svenska Handelsbanken Series A 206,242
500 Svenska Handelsbanken Series B 16,999
$592,234
HOLDING & INVEST. OFFICES
1,900 Investor AB Series A 85,339
2,600 Investor AB Series B 118,168
$203,507
INDUSTRIAL PRODS & SVCS
16,900 ABB AB Series A 235,641
6,300 ABB AB Series B 87,843
$323,484
INSURANCE
12,900 Skandia Forsakrings AB 249,519
$249,519
MFTG - CONSUMER PRODS.
8,970 Electrolux AB Series B 182,019
$182,019
MFTG - INDUSTRIAL PRODS
4,500 Sandvik AB Series A 101,460
1,500 Sandvik AB Series B 33,909
3,300 Volvo AB Series A 85,564
7,700 Volvo AB Series B 203,305
$424,238
RETAIL TRADE
4,600 Hennes & Mauritz AB 396,843
$396,843
TOTAL SWEDEN --- 3.1% $3,863,959
SWITZERLAND --- 8.8%
FINANCIAL SERVICES
6,500 Credit Suisse Group 1,289,513
5,250 UBS AG 1,783,513
$3,073,026
INSURANCE
350 SCHW Rueckersicherungs 766,199
$766,199
MFTG - CONSUMER PRODS.
940 Nestle SA 1,740,307
1,570 Novartis AG 2,299,193
160 Novartis AG - Bearer 234,103
$4,273,603
MFTG - INDUSTRIAL PRODS
171 Roche Holding AG 2,011,897
38 Roche Holdings AG - Bearer 670,134
$2,682,031
TOTAL SWITZERLAND --- 8.8% $10,794,859
UNITED KINGDOM --- 37.5%
AIR
28,560 BAA PLC 298,509
$298,509
COMMUNICATIONS
45,000 British Sky Broadcasting Group 397,256
63,853 Cable and Wireless PLC 915,867
24,357 Granada Group PLC 520,125
32,000 Orange PLC* 435,318
37,266 Reuters Group PLC 504,558
81,498 Vodafone Group PLC 1,500,509
$4,273,633
CONSUMER SERVICES
147,060 Smithkline Beecham PLC 1,943,804
$1,943,804
ELECTRIC
39,000 National Grid Group PLC 269,818
33,057 National Power PLC 266,310
32,000 Scottish Power PLC 263,969
$800,097
ENVIRONMENTAL SERVICES
75,000 Rentokil Initial PLC 441,095
$441,095
FINANCIAL SERVICES
141,185 Lloyds TSB Group PLC 2,271,390
23,674 Royal Bank of Scotland Group PLC 558,074
26,254 Standard Chartered PLC 474,513
41,000 Woolwich PLC 261,899
$3,565,876
FOREIGN BANKS
37,000 Abbey National PLC 835,324
32,449 Bank of Scotland 485,255
39,682 Barclays PLC 1,259,583
48,469 HSBC Holdings PLC 1,822,194
23,919 HSBC Holdings PLC 911,159
64,000 Halifax PLC 901,509
44,959 National Westminster Bank PLC 1,082,242
$7,297,266
GAS
104,470 BG PLC 585,857
$585,857
INDUSTRIAL SERVICES
100,442 Invensys PLC 512,393
$512,393
INSURANCE
41,828 Allied Zurich PLC 571,033
34,347 CGU PLC 542,082
136,000 Legal & General Group PLC 395,279
51,000 Norwich Union PLC 362,885
51,000 Prudential Corp PLC 727,001
40,979 Royal & Sun Alliance Insurance Group PLC 353,193
$2,951,473
MFTG - CONSUMER PRODS.
23,000 Associated British Foods PLC 169,109
20,956 Bass PLC 329,222
42,528 British American Tobacco PLC 356,628
26,801 Cadbury Schweppes PLC 357,481
16,108 Pearson PLC 342,420
29,864 Reed International PLC 271,561
16,000 Scottish & Newcastle PLC 199,778
85,656 Unilever PLC 758,919
$2,785,118
MFTG - INDUSTRIAL PRODS
45,650 AstraZeneca Group PLC 1,785,949
70,336 General Electric Co PLC 744,765
95,450 Glaxo Wellcome PLC 2,821,029
5,635 Nycomed Amersham PLC 45,665
$5,397,408
MINING
27,959 Rio Tinto PLC 488,020
$488,020
OIL & GAS
256,860 BP Amoco PLC 4,869,634
261,000 Shell Transport & Trading Co 1,953,648
$6,823,282
RAILROADS
13,000 Railtrack Group PLC 271,125
$271,125
RETAIL TRADE
79,000 ASDA Group PLC 263,909
27,867 Allied Domecq PLC 217,777
24,165 Boots Co PLC 319,601
93,863 Diageo PLC 1,082,935
26,000 Great Universal Stores PLC 298,300
50,335 J Sainsbury PLC 319,708
35,655 Kingfisher PLC 533,199
75,265 Marks and Spencer PLC 513,756
175,427 Tesco PLC 521,155
$4,070,340
TELEPHONE
171,390 British Telecommunications PLC 2,877,213
39,000 Cable & Wireless Communications PLC* 444,628
$3,321,841
TRANSPORTATION EQUIPMENT
23,102 British Aerospace PLC 172,738
$172,738
TOTAL UNITED KINGDOM --- 37.5% $45,999,875
TOTAL COMMON STOCK --- 99.5% $122,124,374
(Cost $101,046,924)
PREFERRED STOCK
GERMANY --- 0.5%
ELECTRONICS - HIGH TECH
1,100 SAP AG 406,945
$406,945
INDUSTRIAL PRODS & SVCS
1,850 RWE AG 56,121
$56,121
MFTG - INDUSTRIAL PRODS
100 Bayerische Motoren Werke AG 38,581
2,000 Volkswagen AG 85,617
$124,198
TOTAL GERMANY --- 0.5% $587,264
GREECE --- 0.0%
INDUSTRIAL PRODS & SVCS
100 Titan Cement Co SA 7,093
$7,093
TOTAL GREECE --- 0.0% $7,093
ITALY --- 0.0%
MFTG - INDUSTRIAL PRODS
25,600 Fiat SpA 44,106
$44,106
TOTAL ITALY --- 0.0% $44,106
TOTAL PREFERRED STOCK --- 0.5% $638,463
(Cost $1,007,971)
TOTAL ORCHARD INDEX EUROPEAN FUND --- 100.0% $122,762,837
(Cost $102,054,895)
The Orchard Series Fund
Orchard Index Pacific Fund
COMMON STOCK
AUSTRALIA --- 8.0%
COMMUNICATIONS
172,300 Cable & Wireless Optus Ltd* 387,813
$387,813
FINANCIAL SERVICES
42,425 Colonial Ltd 159,806
$159,806
FOREIGN BANKS
71,049 Australia & New Zealand Banking Group Ltd 563,002
41,800 Commonwealth Bank of Australia 761,384
67,100 National Australia Bank 1,306,842
21,100 St George Bank Ltd 155,745
86,495 Westpac Banking Corp Ltd 660,548
$3,447,521
INSURANCE
49,400 AMP Ltd 577,204
29,049 Lend Lease Corp Ltd 391,782
80,450 National Mutual Holdings Ltd 141,666
$1,110,652
MFTG - CONSUMER PRODS.
46,686 Coca-Cola Amatil Ltd 221,659
78,600 Foster's Brewing Group Ltd 229,362
36,991 News Corp Ltd 310,117
$761,138
MINING
87,557 Broken Hill Proprietary Co Ltd 990,235
29,969 Rio Tinto Ltd 504,915
$1,495,150
OIL & GAS
52,204 WMC Ltd 225,671
30,550 Woodside Petroleum Ltd 208,308
$433,979
OTHER TRANS. SERVICES
10,300 Brambles Industries Ltd 302,780
$302,780
RETAIL TRADE
52,735 Coles Myer Ltd 280,297
52,446 Woolworths Ltd 166,652
$446,949
TELEPHONE
68,700 Telstra Corp Ltd 372,931
$372,931
TOTAL AUSTRALIA --- 8.0% $8,918,719
HONG KONG --- 9.1%
AIR
165,000 Cathay Pacific Air 264,706
$264,706
COMMUNICATIONS
106,000 China Telecom Ltd* 241,763
583,233 Hong Kong Telecommunications Ltd 1,566,962
$1,808,725
CONSUMER SERVICES
117,157 Sun Hung Kai Properties 1,026,567
46,000 Swire Pacific Ltd Series A 257,844
147,000 Swire Pacific Ltd Series B 125,018
$1,409,429
ELECTRONICS - HIGH TECH
98,500 Hong Kong Electric Holdings Ltd 313,504
$313,504
FOREIGN BANKS
93,300 Hang Seng Bank Ltd 1,103,057
$1,103,057
GAS
231,502 Hong Kong and China Gas Co Ltd 325,156
$325,156
HOLDING & INVEST. OFFICES
119,500 CPL Holdings Ltd 640,577
104,000 Citic Pacific Ltd 281,425
84,000 Henderson Land Development Co Ltd 507,648
189,000 Hutchison Whampoa Ltd 1,692,610
103,239 New World Development Co Ltd 255,420
$3,377,680
REAL ESTATE
112,000 Cheung Kong Holdings Ltd 1,017,460
133,000 Hong Kong Land Holdings Ltd 203,490
112,000 Wharf Holdings Ltd 274,209
$1,495,159
TOTAL HONG KONG --- 9.1% $10,097,416
JAPAN --- 73.6%
AIR
29,000 Japan Airlines 91,377
$91,377
COMMUNICATIONS
106 DDI Corp 526,758
10,000 Matsushita Communication Ltd 718,176
123 NTT Data Corp 974,063
40 NTT Mobile Communications 2,346,434
140,000 Toshiba Corp 938,574
$5,504,005
CONSTRUCTION
25,000 Daiwa House Industry Co Ltd 298,542
47,000 Komatsu Ltd 280,039
$578,581
CONSUMER SERVICES
12,000 Banyu Pharmaceutical Co Ltd 221,235
14,000 Eisai Company Ltd 262,214
30,000 Kao Corp 761,753
5,000 Oriental Land Co Ltd 295,818
23,000 Sankyo Co Ltd 482,821
17,000 Taisho Pharmaceutical Co 522,836
43,000 Takeda Chemical Industry 1,870,192
16,000 Yamanouchi Pharmaceutical Co Ltd 506,830
19,000 Yamato Transport Co Ltd 317,967
$5,241,666
ELECTRIC
36,400 Chubu Electric Power Co Inc 625,325
18,200 Chugoku Electric Power Co Ltd 282,159
42,800 Kansai Electric Power Co Inc 844,666
23,400 Kyushu Electric Power 362,775
13,500 Shikoku Electric Power 204,203
24,300 Tohoku Electric Power 367,565
66,000 Tokyo Electric Power 1,410,375
$4,097,068
ELECTRONICS - HIGH TECH
4,800 Advantest Corp 367,250
38,000 Canon Inc 929,858
39,000 Denso Corp 792,550
11,600 Fanuc 505,489
163,000 Hitachi Ltd 1,191,117
4,000 Hoya Corp 209,503
2,200 Keyence Corp 330,747
101,000 Matsushita Electric Industrial Co Ltd 1,921,311
104,000 Mitsubishi Electric Corp 363,429
70,000 NEC Corp 836,504
7,000 Nintendo Corp Ltd 652,895
94,000 Sanyo Electric Co 352,116
6,000 Secom 586,273
54,000 Sharp Corp 633,537
20,000 Sony Corp 1,868,767
35,000 Sumitomo Electric Industries 423,825
9,000 Tokyo Electronics 512,863
$12,478,034
FINANCIAL SERVICES
3,300 Nichiei Company Ltd 286,223
6,000 Promise Co Ltd 341,909
$628,132
FOREIGN BANKS
112,000 Asahi Bank 592,240
228,000 Bank of Tokyo-Mitsubishi 3,366,597
151,000 Dai-Ichi Kangyo Bank Ltd 1,059,138
140,000 Fuji Bank Ltd 1,093,438
28,000 Hachijuni Bank 206,486
123,000 Industrial Bank of Japan 1,025,601
116,000 Long-Term Credit Bank of Japan Ltd* 0
63,000 Mitsubishi Trust & Banking 691,611
71,000 Nikko Securities Co Ltd 407,567
172,000 Sakura Bank Ltd 664,477
133,000 Sanwa Bank Ltd 1,493,505
39,000 Shizuoka Bank Ltd 459,842
143,000 Sumitomo Bank 1,936,546
98,000 Tokai Bank 640,577
$13,637,625
GAS
122,000 Osaka Gas Co 419,174
136,000 Tokyo Gas Co 359,004
$778,178
INDUSTRIAL SERVICES
51,000 Sumitomo Corp 376,955
$376,955
INSURANCE
33,000 Sumitomo Marine & Fire 224,001
68,000 Tokio Marine & Fire Insurance Co 792,659
43,000 Yasuda Fire & Marine Insurance 238,549
$1,255,209
LEASING
7,100 Acom Company Ltd 532,515
3,200 Orix Corp 257,706
$790,221
MFTG - CONSUMER PRODS.
31,000 Ajinomoto Co 358,761
23,000 Asahi Breweries Ltd 299,908
37,000 Dai Nippon Printing Co Ltd 586,642
12,000 Daiichi Pharmaceutical Co Ltd 195,089
30 Japan Tobacco Inc 301,684
51,000 Kirin Brewery Co Ltd 576,971
20,000 Shiseido Co Ltd 315,093
34,000 Toppan Printing Co Ltd 409,151
$3,043,299
MFTG - INDUSTRIAL PRODS
70,000 Asahi Chemical Industry Co Ltd 407,693
57,000 Asahi Glass Co Ltd 436,588
157,000 Kawasaki Steel Corp 301,291
9,200 Kyocera Corp 546,619
101,000 Mitsubishi Chemical Corp 312,319
170,000 Mitsubishi Heavy Industries Ltd 745,077
12,000 Murata Manufacturing Co Ltd 686,835
50,000 New Oji Paper Co 299,589
348,000 Nippon Steel Co 781,564
121,000 Nissan Motor Co Ltd 464,410
33,000 Ricoh Corp Ltd 318,026
5,000 Rohm Co Ltd 603,369
3,200 SMC Corp 295,248
19,000 Shin-Etsu Chemical Co 605,045
78,000 Sumitomo Chemical Co 348,395
152,000 Sumitomo Metal Industries Ltd* 202,531
7,000 TDK Corp 529,708
9,000 Terumo Corp 196,095
68,000 Toray Industries Inc 360,714
14,000 Toyoda Automatic Loom Works Ltd 268,080
$8,709,196
OTHER TRANS. SERVICES
23,000 All Nippon Airways Co Ltd* 71,315
$71,315
RAILROADS
100 Central Japan Railway Co 533,814
174 East Japan Railway Co 1,027,990
71,000 Kinki Nippon Railway 358,778
22,000 Seibu Railway 460,907
60 West Japan Railway Co 248,890
$2,630,379
REAL ESTATE
66,000 Mitsubishi Estate Co Ltd 675,321
39,000 Mitsui Fudosan 359,507
34,000 Sekisui House Ltd 380,944
$1,415,772
RETAIL TRADE
4,000 FamilyMart Co Ltd 189,391
20,000 Ito-Yokado Co Ltd 1,228,526
16,000 Jusco Co 319,115
18,000 Marui Co 298,818
33,000 Matsushita Electric Works 349,275
59,000 Nippon Oil Co 263,530
19,000 Seven - Eleven Japan 1,622,475
$4,271,130
SECURITIES & COMMODITIES
95,000 Nomura Securities Co Ltd 1,025,392
25,000 Yamaichi Securities Co Ltd* 2
$1,025,394
TELEPHONE
155 Nippon Telegraph & Telephone Corp 1,688,595
$1,688,595
TRANSPORTATION EQUIPMENT
48,000 Honda Motor Company Ltd 2,115,813
54,000 Mazda Motor Corp 230,336
52,000 Nippon Express Co Ltd 339,898
22,000 Suzuki Motor Company Ltd 313,417
184,000 Toyota Motor Corp 5,227,185
$8,226,649
WHOLESALE TRADE - INDL
86,000 Fujitsu 1,473,812
76,000 Mitsubishi Corp 503,143
76,000 Mitsui & Co 557,278
5,000 Softbank Corp 665,801
$3,200,034
WHOLESALE TRADE -CONSUMER
37,000 Bridgestone Corp 992,206
23,000 Fuji Photo Film 869,270
$1,861,476
TOTAL JAPAN --- 73.6% $81,600,290
MALAYSIA --- 1.6%
AGRICULTURE
45,000 Golden Hope Plantations Bhd# 38,609
38,000 IOI Corp Bhd# 24,103
32,000 Kuala Lumpur Kepong Bhd# 44,636
$107,348
AIR
10,000 Malaysian Airline System Bhd# 7,896
$7,896
COMMUNICATIONS
66,500 Telekom Malaysia Bhd# 196,021
$196,021
CONSUMER SERVICES
49,000 Resorts World Bhd# 80,601
$80,601
CREDIT INSTITUTIONS
34,000 Technology Resources Industries Bhd# 19,686
$19,686
ELECTRIC
35,000 Tenaga Nasional Bhd# 74,153
$74,153
FOREIGN BANKS
26,000 Hong Leong Bank Bhd# 27,234
104,400 Malayan Banking Bhd# 277,513
31,200 Public Bank Bhd# 29,068
76,000 RHB Capital Bhd#* 78,008
$411,823
HIGHWAYS
36,000 UTD Engineers Bhd#* 28,803
$28,803
HOLDING & INVEST. OFFICES
18,200 AMMB Holdings Bhd# 23,758
26,000 Berjaya Sports Toto Bhd# 44,478
35,000 Commerce Asset-Holding Bhd# 54,808
32,000 Genting Bhd# 101,063
20,000 Hong Leong Credit Bhd# 19,897
68,000 Magnum Corp Bhd# 39,194
10,000 Nestle Malaysia Bhd# 39,741
14,000 Oriental Holdings Bhd# 29,661
17,000 Rashid Hussain Bhd#* 13,780
101,000 Renong Bhd#* 28,974
17,000 Tanjong PLC# 35,570
54,500 YTL Corp Bhd# 93,233
$524,157
MFTG - CONSUMER PRODS.
13,000 Rothmans of Pall Mall Bhd# 94,089
$94,089
MFTG - INDUSTRIAL PRODS
24,000 Perusahaan Otomobil Nasional Bhd# 48,953
$48,953
OIL & GAS
20,000 Petronas Gas Bhd# 46,584
$46,584
REAL ESTATE
43,333 Malaysian Resources Corp Bhd# 16,309
$16,309
RETAIL TRADE
106,000 Sime Darby Bhd# 121,076
$121,076
TRANSPORTATION EQUIPMENT
10,000 Edaran Otomobil Nasional Bhd# 24,345
13,000 Malaysia International Shipping Bhd# 20,528
$44,873
TOTAL MALAYSIA --- 1.6% $1,822,372
NEW ZEALAND --- 0.6%
COMMUNICATIONS
77,200 Telecom Corp of New Zealand Ltd 401,914
$401,914
HOLDING & INVEST. OFFICES
115,000 Brierley Investments Ltd* 32,832
$32,832
MFTG - CONSUMER PRODS.
50,800 Lion Nathan Ltd 127,970
$127,970
MFTG - INDUSTRIAL PRODS
74,000 Carter Holt Harvey Ltd 108,534
$108,534
OIL & GAS
18,028 Fletcher Challenge Energy 43,194
$43,194
TOTAL NEW ZEALAND --- 0.6% $714,444
PHILIPPINES --- 0.4%
CONSUMER SERVICES
275,700 SM Prime Holdings 63,703
45,620 San Miguel Corp 99,280
$162,983
FOREIGN BANKS
5,571 Metropolitan Bank & Trust Co 56,877
$56,877
REAL ESTATE
294,400 Ayala Corp 108,759
159,510 Ayala Land Inc 59,998
$168,757
TELEPHONE
3,100 Philippine Long Distance 102,445
$102,445
TOTAL PHILIPPINES --- 0.4% $491,062
SINGAPORE --- 1.6%
AIR
22,000 Singapore Airlines Ltd 202,215
$202,215
COMMUNICATIONS
105,000 Singapore Telecommunications Ltd 194,261
$194,261
FOREIGN BANKS
22,600 Development Bank of Singapore Ltd 239,689
30,403 Overseas Chinese Banking Corp Ltd 284,827
25,000 United Overseas Bank Ltd 192,965
$717,481
MFTG - CONSUMER PRODS.
24,145 Singapore Press Holdings Ltd 352,814
$352,814
REAL ESTATE
49,000 City Developments Ltd 326,243
$326,243
TOTAL SINGAPORE --- 1.6% $1,793,014
THAILAND --- 0.3%
COMMUNICATIONS
4,600 Advanced Info Service PLC* 36,423
$36,423
ELECTRONICS - HIGH TECH
3,700 Shin Corporations PLC* 10,961
2,000 Shin Corporations PLC - Foreign* 7,218
$18,179
FOREIGN BANKS
35,100 Bangkok Bank PLC* 104,931
136,300 Krung Thai Bank PLC* 94,525
28,100 Thai Farmers Bank PLC* 77,950
$277,406
MFTG - INDUSTRIAL PRODS
1,000 Siam Cement PLC* 29,518
$29,518
TELEPHONE
12,600 Telecomasia Corp PLC* 10,859
$10,859
TOTAL THAILAND --- 0.3% $372,385
TOTAL COMMON STOCK --- 95.4% $105,809,702
(Cost $96,025,096)
PREFERRED STOCK
AUSTRALIA --- 0.2%
MFTG - CONSUMER PRODS.
32,100 News Corp Ltd (vtg) 251,007
$251,007
TOTAL AUSTRALIA --- 0.2% $251,007
TOTAL PREFERRED STOCK --- 0.2% $251,007
(Cost $232,637)
SHORT-TERM INVESTMENTS
UNITED STATES --- 4.4%
CREDIT INSTITUTIONS
3,370,000 Associates Corporation of North America 3,369,081
$3,369,081
U.S. GOVERNMENTS
1,500,000 United States of America (1) 1,504,378
$1,504,378
TOTAL UNITED STATES --- 4.4% $4,873,459
TOTAL SHORT-TERM INVESTMENTS --- 4.4% $4,873,459
(Cost $4,873,459)
TOTAL ORCHARD INDEX PACIFIC FUND --- 100.0% $110,934,168
(Cost $101,131,192)
The Orchard Series Fund
Orchard Index 500 Fund
COMMON STOCK
AGENCY --- 1.1%
45,640 Federal Home Loan Mortgage Corp 2,863,910
69,720 Federal National Mortgage Association (nonvtg) 4,945,728
$7,809,638
AIR --- 0.5%
12,240 AMR Corp* 854,499
9,600 Delta Air Lines Inc 608,995
9,884 FDX Corp* 1,112,563
22,797 Southwest Airlines Co 742,316
5,840 US Air Group Inc* 317,912
$3,636,285
COMMUNICATIONS --- 3.7%
211,800 AT&T Corp 10,692,707
38,480 Airtouch Communications Inc* 3,593,070
47,470 CBS Corp* 2,162,828
11,710 Cabletron Systems Inc* 110,507
17,700 Clear Channel Communications Inc* 1,230,150
24,840 Comcast Corp Class A 1,631,665
18,900 Gannett Company Inc 1,338,347
11,200 General Instrument Corp* 408,800
40,770 Mediaone Group Inc 3,325,283
19,500 Nextel Communications Inc* 798,272
46,720 Viacom Inc Class B* 1,909,680
$27,201,309
CONSTRUCTION --- 0.0%
3,940 Centex Corp 144,054
3,230 Kaufman & Broad Home Corp 78,528
2,820 Pulte Corp 63,803
$286,385
CONSUMER SERVICES --- 9.1%
4,450 Allergan Inc 399,944
69,100 America Online Inc 9,864,025
34,200 Amgen Inc* 2,101,145
3,740 Bausch & Lomb Inc 280,500
19,200 Baxter International Inc 1,209,600
16,880 Becton Dickinson & Co 627,717
7,680 Biomet Inc 314,880
133,700 Bristol-Myers Squibb Co 8,498,239
3,540 CR Bard Inc 173,460
26,160 CVS Corp 1,245,870
41,200 Carnival Corp 1,699,500
53,519 Cendant Corp* 963,342
43,510 Columbia/HCA Healthcare Corp 1,074,131
74,020 Eli Lilly & Co 5,449,723
6,570 H&R Block Inc 316,181
7,440 HCR Manor Care Inc* 206,460
8,570 Harrah's Entertainment Inc* 188,540
28,440 Healthsouth Corp* 382,148
17,580 Hilton Hotels Corp 274,688
11,220 Humana Inc* 152,873
21,460 IMS Health Inc 643,800
90,510 Johnson & Johnson 8,824,725
4,840 King World Productions Inc* 170,610
16,450 Marriott International Inc 688,844
18,781 McKesson HBOC Inc 657,335
39,260 Medtronic Inc 2,824,247
160,320 Merck & Co Inc 11,259,287
12,100 Mirage Resorts Inc* 271,488
18,370 Service Corporation International 381,178
5,775 St Jude Medical Inc* 160,978
20,820 Tenet Healthcare Corp* 491,873
138,330 The Walt Disney Co 4,391,978
12,540 United Healthcare Corp 703,808
$66,893,117
CREDIT INSTITUTIONS --- 5.1%
30,460 American Express Co 3,980,726
48,976 Associates First Capital Corp 2,170,225
21,000 BB&T Corp 838,677
51,180 Bank of New York Company Inc 2,047,200
20,120 BankBoston Corp 985,880
6,460 Bankers Trust New York Corp 581,801
4,400 Capital One Financial Corp 764,223
10,470 Comerica Inc 681,199
7,500 Countrywide Credit Industries Inc 339,840
17,830 Fifth Third Bancorp 1,278,179
66,687 First Union Corp 3,692,793
38,180 Fleet Financial Group Inc 1,644,107
3,740 Golden West Financial Corp 374,468
32,479 Household International Inc 1,634,083
14,220 Huntington Bancshares Inc 503,914
11,740 JP Morgan & Co Inc 1,581,965
30,640 Keycorp 947,910
53,912 MBNA Corp 1,519,618
17,580 Mellon Bank Corp 1,306,405
10,600 Mercantile Bancorporation Inc 604,200
21,960 National City Corp 1,575,630
7,400 Northern Trust Corp 689,125
20,250 PNC Bank Corp 1,171,969
14,900 Regions Financial Corp 562,475
10,900 State Street Boston Corp 953,750
21,570 Suntrust Banks Inc 1,542,255
17,950 Synovus Financial Corp 397,144
9,400 Union Planters Corp 402,433
13,620 Wachovia Corp 1,196,858
39,863 Washington Mutual Inc 1,639,366
$37,608,418
ELECTRIC --- 1.9%
12,100 AES Corp* 605,000
9,170 Ameren Corp 354,760
12,840 American Electric Power Company Inc 532,051
10,010 Baltimore Gas & Electric Co 281,531
10,310 Carolina Power & Light Co 415,617
14,260 Central & South West Corp 353,819
10,620 Cinergy Corp 316,603
15,870 Consolidated Edison Inc 721,085
9,710 DTE Energy Co 396,285
13,130 Dominion Resources Inc 539,971
24,364 Duke Power Co 1,364,384
23,720 Edison International 581,140
16,570 Entergy Corp 517,813
12,330 FPL Group Inc 695,104
15,890 Firstenergy Corp 471,726
8,590 GPU Inc 327,494
7,800 New Century Energies Inc 273,000
12,610 Niagara Mohawk Holdings Inc* 168,659
10,200 Northern States Power Co 246,075
10,167 PP&L Resources Inc 284,035
20,020 PacifiCorp 334,074
15,060 Peco Energy Co 714,401
14,980 Public Service Enterprise Group Inc 599,200
46,910 Southern Co 1,269,478
19,181 Texas Utilities Co 762,445
14,760 Unicom Corp 572,865
$13,698,615
ELECTRONICS - HIGH TECH --- 15.2%
4,100 Adobe Systems Inc 259,838
9,700 Advanced Micro Devices Inc* 159,439
5,760 Andrew Corp* 80,277
9,290 Apple Computer Inc* 427,340
24,760 Applied Materials Inc* 1,327,755
14,700 Ascend Communications Inc* 1,420,388
5,860 Black & Decker Corp 332,555
26,660 Boston Scientific Corp* 1,134,703
1,520 Briggs & Stratton Corp 100,224
106,252 Cisco Systems Inc* 12,116,123
113,547 Compaq Computer Corp 2,533,461
3,330 Data General Corp* 38,918
171,280 Dell Computer Corp* 7,054,509
21,750 Eastman Kodak Co 1,623,094
29,440 Emerson Electric Co 1,898,880
10,600 Gateway 2000 Inc* 701,582
220,580 General Electric Co 23,267,997
5,360 Harris Corp 185,252
68,270 Hewlett-Packard Co 5,384,796
8,590 Honeywell Inc 813,903
224,280 Intel Corp 13,719,827
62,080 International Business Machines Corp 12,983,136
5,760 Johnson Controls Inc 420,117
6,000 KLA-Tencor Corp* 297,750
9,490 LSI Logic Corp* 322,660
6,170 Maytag Corp 421,874
16,650 Micron Technology Inc* 618,131
40,350 Motorola Inc 3,233,044
11,200 National Semiconductor Corp* 140,000
44,664 Northern Telecom Ltd 3,090,191
22,860 Novell Inc* 508,635
26,010 PG&E Corp 807,923
3,430 Perkin-Elmer Corp 370,869
2,930 Polaroid Corp 60,431
22,680 Raytheon Co 1,593,270
5,050 Scientific-Atlanta Inc 160,338
16,490 Seagate Technology Inc* 459,659
12,630 Silicon Graphics Inc* 161,033
17,100 Solectron Corp* 829,350
51,740 Sun Microsystems Inc* 3,094,673
3,130 Tektronix Inc 75,903
13,030 Tellabs Inc* 1,427,593
26,180 Texas Instruments Inc 2,673,633
10,710 Thermo Electron Corp* 172,024
3,740 Thomas & Betts Corp 157,080
17,730 Unisys Corp* 557,378
6,380 WW Grainger Inc 320,193
44,080 Xerox Corp 2,589,700
$112,127,449
ENVIRONMENTAL SERVICES --- 0.4%
10,660 Browning-Ferris Industries Inc 425,068
22,230 Laidlaw Inc Class B 140,316
40,286 Waste Management Inc 2,276,159
$2,841,543
FINANCIAL SERVICES --- 0.1%
8,000 AmSouth Bancorp 380,496
$380,496
FORESTRY --- 0.4%
3,730 Boise Cascade Corp 150,133
5,970 Georgia-Pacific Group 552,225
20,720 International Paper Co 1,104,625
7,280 Louisiana-Pacific Corp 151,511
13,350 Weyerhaeuser Co 896,119
$2,854,613
GAS --- 0.7%
5,560 Columbia Gas System Inc 267,225
6,570 Consolidated Natural Gas Co 390,915
1,610 Eastern Enterprises 57,859
23,590 Enron Corp 1,775,148
3,130 Nicor Inc 113,854
2,220 Oneok Inc 62,020
2,320 Peoples Energy Corp 86,710
19,144 Reliant Energy Inc 542,005
7,360 Sonat Inc 263,120
11,430 Tenneco Inc 308,610
28,740 Williams Companies Inc 1,357,965
$5,225,431
HIGHWAYS --- 0.0%
4,760 Ryder System Inc 125,545
$125,545
HOLDING & INVEST. OFFICES --- 3.8%
79,118 Bank One Corp 4,667,962
116,451 Bank of America Corp 8,391,692
56,860 Chase Manhattan Corp 4,705,165
11,200 Cincinnati Financial Corp 452,200
46,200 Firstar Corp 1,388,864
7,480 MGIC Investment Corp 363,244
7,180 Republic New York Corp 421,825
11,300 SLM Holding Corp 482,363
11,200 Southtrust Corp 446,242
11,700 Summit Bancorp 495,788
49,049 U S Bancorp 1,817,854
110,660 Wells Fargo Co 4,779,073
$28,412,272
INDUSTRIAL SERVICES --- 7.5%
4,030 Autodesk Inc 119,893
41,440 Automatic Data Processing Inc 1,844,080
15,900 BMC Software Inc* 684,686
9,700 Ceridian Corp* 355,263
36,505 Computer Associates International Inc 1,558,289
10,800 Computer Sciences Corp* 643,270
25,000 Compuware Corp* 609,375
5,360 Deluxe Corp 185,590
11,230 Dun & Bradstreet Corp 412,703
2,930 EG&G Inc 91,563
33,100 Electronic Data Systems Corp 1,779,125
9,900 Equifax Inc 355,776
29,740 First Data Corp 1,262,076
5,060 Fluor Corp 168,878
2,730 Foster Wheeler Corp 36,855
9,290 Interpublic Group of Companies Inc 720,551
177,920 Lucent Technologies Inc 10,694,247
339,600 Microsoft Corp* 27,610,362
2,730 National Service Industries Inc 106,298
11,300 Omnicom Group Inc 819,250
96,902 Oracle Systems Corp* 2,622,362
18,300 Parametric Technology Corp* 239,035
11,000 Paychex Inc 561,682
15,700 Peoplesoft Inc 214,886
18,320 Pitney Bowes Inc 1,281,246
1,710 Shared Medical Systems Corp 92,874
$55,070,215
INSURANCE --- 5.1%
11,420 AON Corp 782,270
9,710 Aetna Inc 851,441
55,160 Allstate Corp 2,006,445
16,972 American General Corp 1,255,928
82,627 American International Group Inc 9,703,467
10,930 Chubb Capital Corp 647,603
13,850 Cigna Corp 1,207,540
151,959 Citigroup Inc 11,431,722
21,731 Conseco Inc 685,874
15,680 Hartford Financial Services Group Inc 924,132
7,075 Jefferson-Pilot Corp 476,678
6,880 Lincoln National Corp 660,907
7,580 Loews Corp 554,757
6,660 MBIA Inc 447,885
17,250 Marsh & McLennan Companies Inc 1,320,695
4,800 Progressive Corp 688,800
9,100 Provident Companies Inc 358,313
9,455 Providian Financial Corp 1,220,281
9,290 SafeCo Corp 369,278
16,008 St Paul Companies Inc 459,221
9,400 Torchmark Corp 321,358
8,500 TransAmerica Corp 605,625
9,300 Unum Corp 508,013
$37,488,233
MFTG - CONSUMER PRODS. --- 8.2%
2,420 Adolph Coors Co Class B 129,470
3,640 Alberto-Culver Co Class B 90,545
4,750 American Greetings Corp Class A 124,388
32,170 Anheuser-Busch Companies Inc 2,352,431
39,981 Archer-Daniels-Midland Co 599,715
17,700 Avon Products Inc 961,322
19,220 Bestfoods 964,594
4,650 Brown-Forman Corp Class B 342,645
6,470 Brunswick Corp 155,280
29,840 Campbell Soup Co 1,223,440
165,880 Coca-Cola Co 11,276,647
26,600 Coca-Cola Enterprises Inc 917,700
19,620 Colgate-Palmolive Co 2,009,814
33,160 ConAgra Inc 824,855
6,270 Dow Jones & Company Inc 341,715
4,850 Fruit of the Loom Inc* 51,832
10,410 General Mills Inc 761,231
74,640 Gillette Co 3,895,238
24,270 HJ Heinz Co 1,133,093
4,750 Harcourt General Inc 226,513
13,185 Hasbro Inc 449,938
9,610 Hershey Foods Corp 505,726
9,890 Ikon Office Solutions Inc 119,293
7,080 International Flavors & Fragrances Inc 279,660
2,330 Jostens Inc 49,948
27,320 Kellogg Co 1,010,840
5,370 Knight-Ridder Inc 288,970
4,450 Liz Claiborne Inc 147,126
22,840 Masco Corp 670,925
19,300 Mattel Inc 499,388
13,340 McGraw-Hill Companies Inc 737,035
3,440 Meredith Corp 126,203
12,240 New York Times Co Class A 422,280
98,770 Pepsico Inc 3,648,267
163,830 Philip Morris Companies Inc 5,744,207
16,280 Pioneer Hi-Bred International Inc 608,465
9,300 Quaker Oats Co 600,427
21,900 RJR Nabisco Holdings Corp 563,925
9,110 RR Donnelley & Sons Co 322,266
22,340 Ralston-Ralston Purina Group 681,370
2,530 Russell Corp 55,976
61,320 Sara Lee Corp 1,364,370
26,780 Seagram Company Ltd 1,536,503
1,110 Springs Industries Inc Class A 41,486
4,970 The Times Mirror Co Class A 290,745
82,560 Time Warner Inc 5,779,200
7,990 Tribune Co 666,662
3,840 Tupperware Corp 90,958
12,540 UST Inc 349,553
43,080 Unilever NV ADR 2,797,486
8,180 VF Corp 421,270
5,050 Whirlpool Corp 335,194
7,580 Willamette Industries Inc 354,365
7,880 Wm Wrigley Jr Co 698,854
$60,641,349
MFTG - INDUSTRIAL PRODS --- 10.5%
24,130 3Com Corp* 630,396
102,080 Abbott Laboratories 4,944,449
15,560 Air Products & Chemicals Inc 731,320
15,270 Alcan Aluminium Ltd 484,823
13,230 Allegheny Teledyne Inc 296,021
6,760 Alza Corp* 226,879
88,660 American Home Products Corp 5,408,260
2,630 Armstrong World Industries Inc 143,993
2,020 Ball Corp 110,973
3,440 Bemis Company Inc 120,400
8,680 Bethlehem Steel Corp* 79,205
4,850 Case Corp 167,931
24,080 Caterpillar Inc 1,550,150
6,370 Champion International Corp 348,356
7,880 Clorox Co 909,155
6,380 Cooper Industries Inc 308,633
5,060 Cooper Tire & Rubber Co 111,001
15,770 Corning Inc 902,833
4,595 Crane Co 132,966
8,190 Crown Cork & Seal Company Inc 266,175
9,000 Danaher Corp 597,933
16,190 Deere & Co 696,170
15,060 Dover Corp 556,271
14,880 Dow Chemical Co 1,952,063
75,700 EI DuPont De Nemours & Co 5,346,313
33,740 EMC Corp* 3,675,534
5,450 Eastman Chemical Co 303,494
8,680 Ecolab Inc 364,013
9,610 Engelhard Corp 184,387
14,860 Fort James Corp 564,680
10,510 Goodyear Tire & Rubber Co 601,035
3,940 Great Lakes Chemical Corp 188,379
20,200 Guidant Corp 1,084,477
3,130 Harnischfeger Industries Inc 30,518
6,770 Hercules Inc 255,987
6,190 ITT Industries Inc 222,840
16,780 Illinois Tool Works Inc 1,292,060
11,220 Ingersoll-Rand Co 776,278
36,420 Kimberly-Clark Corp 2,232,983
4,750 Mallinckrodt Inc 166,545
6,880 Mead Corp 287,667
2,530 Milacron Inc 58,190
2,930 Millipore Corp 89,913
27,010 Minnesota Mining & Manufacturing Co 2,403,890
42,140 Monsanto Co 1,906,835
5,870 Moore Corporation Ltd 58,700
8,100 Morton International Inc 327,038
630 Nacco Industries Inc Class A 50,912
4,350 Nalco Chemical Co 159,045
5,860 Nucor Corp 343,906
10,400 Owens-Illinois Inc* 301,600
11,940 PPG Industries Inc 775,348
8,280 Pall Corp 152,658
7,275 Parker Hannifin Corp 341,467
87,360 Pfizer Inc 10,048,626
34,180 Pharmacia & Upjohn Inc 1,914,080
2,020 Potlatch Corp 83,703
10,610 Praxair Inc 549,068
5,260 Raychem Corp 139,059
4,440 Reynolds Metals Co 276,945
12,860 Rockwell International Corp 663,898
11,220 Rohm & Haas Co 502,791
98,920 Schering-Plough Corp 4,779,023
5,712 Sealed Air Corp* 347,358
11,520 Sherwin-Williams Co 358,560
6,770 Sigma Aldrich Corp 220,025
3,940 Snap-On Inc 128,294
3,840 Temple-Inland Inc 264,960
4,940 The BF Goodrich Co 196,365
5,960 The Stanley Works 181,405
4,140 The Timken Co 92,372
54,960 Tyco International Ltd 4,465,500
20,710 USX-Marathon Group 647,188
5,860 USX-US Steel Group 177,265
4,750 Union Camp Corp 377,031
8,890 Union Carbide Corp 461,169
4,860 WR Grace & Co* 77,454
55,200 Warner-Lambert Co 3,750,122
6,400 Watson Pharmaceuticals Inc* 259,200
6,770 Westvaco Corp 202,254
6,160 Worthington Industries Inc 85,082
$77,471,845
MINING --- 0.5%
24,660 Alcoa Inc 1,535,085
2,630 Asarco Inc 48,326
25,070 Barrick Gold Corp 504,534
15,470 Battle Mountain Gold Co 43,502
6,070 Cyprus Amax Minerals Co 93,326
11,140 Freeport-McMoRan Copper & Gold Inc Class B 170,576
17,510 Homestake Mining Co 167,431
11,120 Inco Ltd 213,359
11,213 Newmont Mining Corp 269,807
3,850 Phelps Dodge Corp 243,513
16,780 Placer Dome Inc 237,018
$3,526,477
OIL & GAS --- 6.2%
6,070 Amerada Hess Corp 345,990
8,100 Anadarko Petroleum Corp 307,290
6,500 Apache Corp 199,466
4,940 Ashland Inc 208,715
21,940 Atlantic Richfield Co 1,841,578
22,008 Baker Hughes Inc 657,489
11,920 Burlington Resources Inc 549,059
43,890 Chevron Corp 4,378,028
14,260 Coastal Corp 545,445
163,580 Exxon Corp 13,584,089
29,810 Halliburton Co 1,270,651
3,320 Helmerich & Payne Inc 85,490
5,742 Kerr-McGee Corp 243,317
3,940 McDermott International Inc 114,260
52,480 Mobil Corp 5,497,280
23,250 Occidental Petroleum Corp 469,348
17,300 Phillips Petroleum Co 875,813
5,560 Rowan Companies Inc* 88,960
144,300 Royal Dutch Petroleum Co ADR 8,468,534
36,660 Schlumberger Ltd 2,341,658
16,161 Sempra Energy 335,341
6,250 Sunoco Inc 223,438
35,900 Texaco Inc 2,252,725
16,890 Union Pacific Resources Group Inc 236,460
16,390 UnoCal Corp 681,201
$45,801,625
OTHER TRANS. SERVICES --- 0.0%
2,320 FMC Corp* 150,800
$150,800
RAILROADS --- 0.6%
31,630 Burlington Northern Santa Fe Corp 1,158,449
14,660 CSX Corp 722,005
7,400 Kansas City Southern Industries Inc 440,759
25,570 Norfolk Southern Corp 835,807
16,680 Union Pacific Corp 1,000,800
$4,157,820
RETAIL TRADE --- 6.7%
16,490 Albertson's Inc 849,235
18,720 American Stores Co 590,841
10,210 Autozone Inc* 306,300
6,870 Circuit City Stores Inc 422,505
7,300 Consolidated Stores Corp* 250,938
9,320 Darden Restaurants Inc 207,948
29,620 Dayton Hudson Corp 1,993,781
7,180 Dillards Inc Class A 198,793
11,925 Dollar General Corp 418,114
14,250 Federated Department Stores Inc* 665,290
11,530 Fortune Brands Inc 455,435
10,400 Fred Meyer Inc* 562,900
38,347 Gap Inc 2,552,453
12,035 Genuine Parts Co 361,050
2,520 Great Atlantic & Pacific Tea Co Inc 77,490
99,180 Home Depot Inc 5,944,552
17,870 JC Penney & Co Inc 815,319
33,160 K Mart Corp* 493,255
10,600 Kohls Corp* 704,232
17,380 Kroger Co* 943,943
15,300 Limited Inc 669,375
2,530 Longs Drug Stores Corp 86,969
25,060 Lowe's Companies Inc 1,321,915
23,535 May Department Stores Co 936,975
91,060 McDonald's Corp 3,858,668
18,889 Newell Rubbermaid Inc 896,037
9,620 Nordstrom Inc 338,499
3,740 Owens Corning 133,238
3,656 Pep Boys - Manny Moe & Jack 52,325
17,380 Rite Aid Corp 405,163
32,700 Safeway Inc* 1,763,740
25,790 Sears Roebuck & Co 1,186,340
31,000 Staples Inc* 930,000
21,900 TJX Companies Inc 729,533
6,780 Tandy Corp 491,123
17,000 Toys R Us Inc* 369,750
10,217 Tricon Global Restaurants* 657,719
299,280 Wal-Mart Stores Inc 13,763,687
67,120 Walgreen Co 1,803,850
8,390 Wendy's International Inc 227,050
10,010 Winn-Dixie Stores Inc 358,478
$49,794,808
SECURITIES & COMMODITIES --- 1.4%
7,475 Bear Stearns Companies Inc 348,522
26,975 Charles Schwab & Company Inc 2,960,506
17,000 Franklin Resources Inc 680,000
7,800 Lehman Brothers Holdings Inc 433,384
23,840 Merrill Lynch & Co Inc 2,001,058
38,821 Morgan Stanley Group 3,850,539
$10,274,009
TELEPHONE --- 6.4%
18,640 Alltel Corp 1,257,026
73,920 Ameritech Corp 5,058,863
104,466 Bell Atlantic Corp 6,019,853
131,200 Bellsouth Corp 5,871,200
9,300 Century Telephone Enterprises Inc 374,325
11,720 Frontier Corp 646,792
64,930 GTE Corp 4,346,219
123,333 MCI Worldcom Inc* 10,133,176
131,668 SBC Communications Inc 7,373,408
30,020 Sprint Corp 3,078,911
29,560 Sprint Corp PCS Group 1,252,605
33,806 US West Inc 1,768,459
$47,180,837
TRANSPORTATION EQUIPMENT --- 2.9%
37,420 Allied-Signal Inc 2,198,425
2,730 Cummins Engine Company Inc 146,055
11,103 Dana Corp 523,229
4,850 Eaton Corp 444,682
2,420 Fleetwood Enterprises Inc 59,743
81,400 Ford Motor Co 5,204,472
8,480 General Dynamics Corp 595,720
43,970 General Motors Corp Series D 3,910,560
26,380 Lockheed Martin Corp 1,135,976
4,450 Navistar International Corp* 232,788
4,740 Northrop Grumman Corp 303,061
5,360 Paccar Inc 300,160
8,190 TRW Inc 343,464
10,620 Textron Inc 978,368
63,048 The Boeing Co 2,561,325
15,180 United Technologies Corp 2,199,203
$21,137,231
WHOLESALE TRADE -CONSUMER --- 1.8%
7,780 Avery Dennison Corp 530,985
18,300 Cardinal Health Inc 1,094,560
14,660 Costco Companies Inc* 1,186,536
19,010 Nike Inc Class B 1,182,175
89,320 Procter & Gamble Co 8,379,288
3,740 Reebok International Ltd* 70,357
8,100 SuperValu Inc 169,088
22,460 Sysco Corp 666,770
$13,279,759
TOTAL COMMON STOCK --- 99.5% $735,076,124
(Cost $535,741,378)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 0.3%
2,002,000 Associates Corporation of North America 2,001,454
$2,001,454
U.S. GOVERNMENTS --- 0.2%
1,650,000 United States of America (1) 1,657,337
$1,657,337
TOTAL SHORT-TERM INVESTMENTS --- 0.5% $3,658,791
(Cost $3,658,791)
TOTAL ORCHARD INDEX 500 FUND --- 100.0% $738,734,915
(Cost $539,400,169)
The Orchard Series Fund
Orchard Index 600 Fund
COMMON STOCK
AGRICULTURE --- 0.4%
15,166 Delta & Pine Land Co 515,644
$515,644
AIR --- 0.6%
13,250 Air Express International Corp 289,844
11,200 Mesa Air Group Inc* 75,600
8,400 Offshore Logistics Inc* 103,950
7,600 Pittston Burlington Group 67,921
9,500 Skywest Inc 247,000
$784,315
COMMUNICATIONS --- 1.2%
5,800 Adaptive Broadband Corp* 87,725
10,800 Allen Group Inc* 101,250
19,400 CommScope Inc* 472,875
19,600 General Communication Inc Class A* 90,650
17,650 HA-LO Industries Inc* 207,388
6,500 Metro Networks Inc* 292,500
15,200 Picturetel Corp* 125,400
19,300 TALK.com Inc* 231,600
8,900 TCSI Corp* 17,239
$1,626,627
CONSTRUCTION --- 2.1%
10,900 Apogee Enterprises Inc 133,525
25,425 DR Horton Inc 491,008
8,750 Dycom Industries Inc* 399,761
9,200 Geon Co 281,750
10,400 Insituform Technologies Inc Class A* 198,245
7,200 MDC Holdings Inc 141,300
21,000 Morrison Knudsen Corp* 228,375
5,000 Southern Energy Homes Inc* 23,435
11,700 Standard Pacific Corp 161,600
5,900 The Ryland Group Inc 154,875
14,500 Toll Brothers Inc* 309,938
5,300 US Home Corp* 181,525
$2,705,337
CONSUMER SERVICES --- 7.5%
12,900 American Oncology Resources* 115,287
4,700 Anchor Gaming Co* 222,075
3,400 Angelica Corp 55,675
17,800 Aztar Corp* 123,479
8,800 Biomatrix Inc* 289,846
3,900 CPI Corp 103,592
4,400 Carmike Cinemas Inc Class A* 94,873
14,750 Central Parking Corp 467,383
5,700 Cooper Companies Inc* 89,775
23,200 Coventry Health Care Inc* 213,138
5,000 Curative Technologies Inc* 28,125
5,900 Datascope Corp* 167,778
27,400 DeVry Inc* 722,675
5,400 Diagnostic Products Corp 124,200
9,820 Enzo Biochem Inc* 101,883
10,200 Family Golf Centers Inc* 73,307
8,300 Franklin Covey Co* 80,402
8,000 G&K Services Inc Class A 374,000
3,000 GC Companies Inc* 105,375
13,900 Genesis Health Ventures Inc* 96,424
10,100 Hollywood Park Inc* 130,038
8,000 IDEC Pharmaceuticals Corp* 406,000
10,900 Incyte Pharmaceuticals Inc* 196,876
4,400 Insurance Auto Actions Inc* 55,000
20,832 Integrated Health Services Inc* 100,244
18,700 Interim Services Inc* 324,913
11,300 Jones Pharmaceuticals Inc 363,013
12,500 Magellan Health Services Inc* 67,963
28,965 Mariner Post-Acute Network Inc* 99,553
12,700 Medquist Inc* 434,975
8,100 NCS HealthCare Inc Class A* 105,300
8,400 NFO Worldwide Inc* 95,021
12,700 North American Vaccine Inc* 68,263
18,800 Orthodontic Centers of America Inc* 232,650
6,000 Pediatrix Medical Group* 113,622
30,000 Phycor Inc* 150,000
12,600 Players International Inc* 75,197
20,600 Prime Hospitality Corp* 251,052
4,863 Priority Healthcare Corp* 246,491
14,150 Regis Corp 362,594
17,300 Renal Care Group Inc* 361,138
23,050 Rollins Truck Leasing Corp 239,144
10,650 Sierra Health Services Inc* 133,125
12,800 Superior Services Inc* 235,200
12,250 The Marcus Corp 152,353
12,900 Universal Health Services Inc Class B* 668,375
11,800 Varian Medical Systems Inc 202,807
11,300 Westwood One Inc* 387,025
$9,907,224
CREDIT INSTITUTIONS --- 5.8%
7,200 Anchor Bancorp Wisconsin Inc 132,300
8,800 Carolina First Corp 237,600
10,708 Commerce Bancorp Inc 472,491
23,950 Commercial Federal Corp 580,788
10,500 Cullen/Frost Bankers Inc 566,339
11,400 First Midwest Bancorp Inc 455,282
35,200 FirstMerit Corp 978,982
17,015 Hubco Inc 601,906
9,200 Investment Technology Group Inc* 318,550
9,800 Premier Bancshares Inc 192,325
12,100 Riggs National Corp 204,188
16,350 St Paul Bancorp Inc 396,488
14,150 Susquehanna Bancshares Inc 261,775
10,560 Trustco Bank Corp 282,480
7,300 US Trust Corp 667,038
16,800 UST Corp 406,342
17,000 United Bankshares Inc 459,000
9,200 Whitney Holding Corp 372,600
$7,586,474
ELECTRIC --- 1.8%
3,000 Bangor Hydro Electric Co* 36,186
6,600 Central Hudson Gas & Electric Corp 245,025
4,500 Central Vermont Public Service Corp 48,375
8,500 Commonwealth Energy System Co 344,777
8,000 Eastern Utilities Associates 229,000
11,700 Energen Corp 201,825
2,100 Green Mountain Power Corp 20,080
5,300 Orange & Rockland Utilities Inc 308,391
4,200 Pennsylvania Enterprises Inc 107,100
12,200 Sierra Pacific Resources 434,625
5,200 TNP Enterprises Inc 162,500
5,600 United Illuminating Co 220,500
$2,358,384
ELECTRONICS - HIGH TECH --- 13.9%
8,100 ADAC Laboratories* 58,725
4,100 Alliant Techsystems Inc* 335,688
5,100 Analogic Corp 187,425
16,500 Anixter International Inc* 259,875
16,600 Applied Magnetics Corp* 48,754
20,200 Aspect Telecommunications Corp* 160,954
9,800 Aspen Technology Inc* 83,908
10,300 Auspex Systems Inc* 73,388
14,533 Baldor Electric Co 280,661
12,200 Ballard Medical Products Co 291,275
4,500 Benchmark Electronics Inc* 151,313
14,500 Burr Brown Corp* 384,250
3,700 C COR Electronics Inc* 90,188
14,800 C-Cube Microsystems Inc* 334,850
5,300 CTS Corp 282,888
11,150 Cable Design Technologies Co* 165,856
2,500 Centigram Communications Corp* 22,500
12,300 Checkpoint Systems Inc* 120,688
15,800 Cognex Corp* 458,200
9,500 Coherent Inc* 141,313
5,800 Customtracks Corp* 216,050
11,300 Dallas Semiconductor Corp 480,250
6,900 Daniel Industries Inc 113,415
5,800 Digi International Inc* 44,225
24,400 Digital Microwave Corp* 311,100
8,900 Dionex Corp* 364,900
5,000 Electro Scientific Industries Inc* 190,625
7,700 Electroglas Inc* 105,390
6,800 Esterline Technologies Corp* 96,050
8,300 Etec Systems Inc* 256,263
8,900 Exabyte Corp* 40,878
5,900 FactSet Research Systems Inc 275,088
14,500 General Semiconductor Inc* 108,750
10,200 HNC Software Inc* 219,300
5,200 Hadco Corp* 136,500
16,250 Harbinger Corp* 177,726
6,900 Harman International Industries Inc 316,965
4,250 Harmon Industries Inc 93,500
5,400 Hologic Inc* 36,785
9,700 Hutchinson Technology Inc* 214,001
19,900 Input/Output Inc* 144,275
4,700 Integrated Circuit Systems Inc* 95,175
10,300 Inter-Tel Inc 142,913
20,400 International Rectifier Corp* 198,900
11,200 Intervoice Inc* 111,642
11,800 Invacare Corp 272,875
7,300 Juno Lighting Inc 166,075
15,500 Kemet Corp* 239,274
21,100 Komag Inc* 79,125
9,200 Lattice Semiconductor Corp* 376,050
16,300 Macromedia Inc* 675,423
6,500 Marshall Industries* 104,813
9,500 Mentor Corp 137,750
14,000 Methode Electronics Inc Class A 208,250
7,800 Micrel Inc* 459,225
12,300 National Computer Systems Inc 344,400
8,400 Network Equipment Technologies Inc* 64,571
6,900 Oak Industries Inc* 288,075
17,200 P-Com Inc* 100,500
4,000 Park Electrochemical Corp 95,500
6,000 Plexus Corp* 200,250
19,500 Read-Rite Corp* 120,647
8,100 Resound Corp* 40,500
12,500 Respironics Inc* 176,563
7,900 Royal Appliance Manufacturing Co* 34,563
22,500 Sanmina Corp* 1,496,136
16,100 Security Dynamics Technologies Inc* 352,188
3,800 Spacelabs Inc* 64,125
6,100 Standard Microsystems Corp* 44,988
12,300 Summit Technology Inc* 214,475
8,700 Sunrise Medical Inc* 63,075
5,900 Symmetricom Inc* 41,300
6,300 Technitrol Inc 184,275
6,200 Thomas Industries Inc 123,225
3,000 Three Five Systems Inc* 34,500
8,700 Trimble Navigation Ltd* 100,859
12,500 Unitrode Corp* 221,088
18,000 VLSI Technology Inc* 339,750
10,600 Valence Technology Inc* 75,525
16,500 Vicor Corp* 232,023
12,000 Visx Inc* 1,547,698
4,900 Vital Signs Inc 102,900
2,500 Watkins Johnson Co 63,438
8,300 X-Rite Inc 57,063
12,300 Zebra Technologies Corp Class A* 408,975
$18,375,400
ENVIRONMENTAL SERVICES --- 0.0%
5,300 Tetra Technologies Inc* 49,688
$49,688
FINANCIAL SERVICES --- 0.6%
25,000 AmeriCredit Corp* 414,050
18,875 Raymond James Financial Inc 406,983
$821,033
GAS --- 2.0%
12,200 Atmos Energy Corp 308,050
4,300 Cascade Natural Gas Corp 67,992
4,000 Connecticut Energy Corp 149,500
7,000 New Jersey Resources Corp 258,125
9,800 Northwest Natural Gas Co 221,108
12,100 Piedmont Natural Gas Company Inc 385,688
15,800 Pogo Producing Co 303,155
8,200 Public Service Company of North Carolina Inc 232,158
11,900 Southwest Gas Corp 339,888
9,800 Southwestern Energy Co 77,175
14,700 Wicor Inc 347,288
$2,690,127
HOLDING & INVEST. OFFICES --- 2.7%
9,100 Banknorth Group Inc 240,577
11,100 Centura Banks Inc 661,138
5,300 Cilcorp Inc 320,650
5,000 Dain Rauscher Corp 214,375
11,041 Downey Financial Corp 220,820
14,100 Eaton Vance Corp 321,649
11,700 First BanCorp 302,000
3,700 JSB Financial Inc 182,454
10,000 MAF Bancorp Inc 222,500
10,200 Pioneer Group Inc 189,975
9,975 Provident Bankshares Corp 248,128
8,350 Queens County Bancorp Inc 293,294
8,100 Silicon Valley Bancshares* 142,252
7,000 WHX Corp* 59,059
$3,618,871
INDUSTRIAL PRODS & SVCS --- 0.5%
9,100 Dendrite International Inc* 235,463
17,624 InaCom Corp* 170,724
8,100 Kroll-O'Gara Co* 193,890
$600,077
INDUSTRIAL SERVICES --- 8.3%
8,600 ABM Industries Inc 261,225
8,700 ADVO Inc* 171,825
30,900 Acxiom Corp* 780,225
15,500 Advanced Tissue Sciences Inc* 77,500
16,500 American Management Systems Inc* 574,398
8,850 Analysts International Corp 115,050
9,600 Avid Technology Inc* 156,000
14,700 Billing Information Concepts* 181,913
10,500 Bisys Group Inc* 532,875
7,600 CDI Corp* 201,871
12,900 Cerner Corp* 219,300
21,200 Ciber Inc* 400,150
8,300 Computer Task Group Inc 154,588
7,200 Dames & Moore Inc 84,600
6,400 Dialogic Corp* 178,797
5,700 Fair Isaac & Co Inc 193,800
12,500 Filenet Corp* 107,025
11,885 Hyperion Solutions Corp* 179,761
5,900 Itron Inc* 48,675
7,900 Jack Henry & Associates Inc 260,700
6,000 Lason Inc* 237,372
13,900 Mercury Interactive Corp* 391,799
13,300 National Data Corp 613,463
13,000 National Instruments Corp* 442,000
10,300 Norrell Corp 154,500
9,200 Pharmaceutical Product Development Inc* 267,950
15,700 Platinum Software Corp* 111,863
9,200 Prepaid Legal Services Inc* 262,200
8,300 Primark Corp* 191,415
6,700 Progress Software Corp* 152,425
20,200 S3 Inc* 145,177
7,000 SEI Investments Cos 665,000
6,800 Service Experts Inc* 110,072
5,100 Stone & Webster Inc 111,879
18,800 System Software Associates Inc* 35,250
16,300 Technology Solutions Co* 129,373
11,800 Tetra Tech Inc* 285,407
10,600 The Profit Recovery Group International Inc* 386,900
17,800 True North Communications Inc 480,600
10,700 United States Bioscience Inc* 115,025
10,300 Vantive Corp* 82,400
6,000 Volt Information Sciences Inc* 105,000
3,900 Wall Data Inc* 60,938
20,200 Whittman Hart Inc* 578,225
$10,996,511
INSURANCE --- 4.6%
17,000 American Bankers Insurance Group Inc 891,429
6,800 Arthur J Gallagher & Co 323,000
8,900 CMAC Investment Corp 408,288
12,500 Capital RE Corp 244,525
3,900 Compdent Corp* 55,088
8,012 Delphi Financial Group Inc Class A* 249,374
14,700 Enhance Financial Services Group Inc 304,099
4,300 Executive Risk Inc 308,525
11,312 Fidelity National Financial Inc 206,444
23,700 First American Financial Corp 423,638
27,600 Fremont General Corp 552,000
14,550 Frontier Insurance Group Inc 200,965
4,700 Hilb Rogal & Hamilton Co 87,538
15,700 Mutual Risk Management Ltd 610,338
7,200 NAC Re Corp 392,400
10,700 Orion Capital Corp 314,976
11,100 Selective Insurance Group Inc 215,063
4,350 Trenwick Group Inc 121,800
6,700 Zenith National Insurance Corp 159,125
$6,068,615
MFTG - CONSUMER PRODS. --- 9.3%
5,600 Ashworth Inc* 25,200
9,000 Authentic Fitness Corp 155,250
5,000 Bassett Furniture Industries Inc 120,000
14,500 Bowne & Company Inc 271,875
7,100 Brown Group Inc 115,815
7,000 Canandaigua Wine Co Inc Class B* 360,500
7,200 Catalina Marketing Corp* 615,146
19,000 Champion Enterprises Inc* 352,678
25,800 Chiquita Brands International Inc 258,000
3,400 Coca-Cola Bottling Co 187,000
10,000 Cone Mills Corp* 60,620
5,700 Consolidated Graphics Inc* 242,963
14,100 Corn Products International Inc 407,138
6,200 Cyrk Inc* 41,850
9,500 Delta Woodside Industries Inc 64,714
17,500 Dimon Inc 76,563
18,400 Dura Pharmaceuticals Inc* 220,800
16,900 Earthgrains Co 358,060
10,700 Ethan Allen Interiors Inc 542,351
4,700 Galey & Lord Inc* 21,441
6,200 Gibson Greetings Inc* 39,134
9,000 Guilford Mills Inc 85,500
9,500 Gymboree Corp* 98,563
3,000 Haggar Corp 32,625
13,700 Hartmarx Corp* 65,075
4,600 Huffy Corp 61,235
5,800 Innovex Inc 80,475
20,700 Interface Inc Class A 146,183
3,500 J&J Snack Foods Corp* 76,125
12,200 John H Harland Co 202,056
4,300 Johnston Industries Inc* 6,450
12,300 Just For Feet Inc* 155,288
10,300 Justin Industries Inc 139,050
4,200 K-Swiss Inc 176,400
6,500 K2 Inc 66,216
8,500 Kellwood Co 218,875
20,700 La-Z-Boy Inc 407,521
15,300 Linens 'N Things Inc* 699,975
6,100 Lydall Inc* 54,900
6,300 Merrill Corp 93,713
8,300 Michael Foods Inc 189,863
3,000 National Presto Industries Inc 104,811
7,100 Nature's Sunshine Products Inc 75,878
5,800 New England Business Service Inc 158,410
18,700 Oakwood Homes Corp 259,463
7,100 Oshkosh B'Gosh Inc Class A 140,665
3,200 Oxford Industries Inc 84,598
9,700 ParExel International Corp* 233,401
10,700 Phillips Van-Heusen Corp 93,625
5,526 Pillowtex Corp 90,831
10,700 Quicksilver Inc* 284,213
12,300 Ralcorp Holdings Inc* 226,013
6,200 Schweitzer-Mauduit International Inc 102,684
14,800 Smithfield Foods Inc* 349,650
9,900 Sola International Inc* 147,263
18,300 Stride Rite Corp 213,872
3,200 Swiss Army Brands Inc* 27,600
4,500 The Dixie Group Inc 39,938
4,500 The Timberland Co Class A* 311,625
8,200 Titan International Inc 81,483
5,400 USA Detergents Inc* 36,450
8,100 Universal Forest Products Inc 161,239
15,000 Valassis Communications Inc* 840,000
16,200 Wolverine World Wide Inc 194,400
15,100 World Color Press Inc* 385,986
$12,237,284
MFTG - INDUSTRIAL PRODS --- 15.1%
6,500 AT Cross Co Class A 41,438
13,100 Alliance Pharmaceutical Corp* 32,750
10,550 Alpharma Inc Class A 311,225
3,600 Amcast Industrial Corp 60,300
15,270 Applied Power Inc Class A 481,952
14,200 Aptargroup Inc 397,600
7,400 Astec Industries Inc* 286,750
10,700 BMC Industries Inc 95,626
7,700 Banctec Inc* 125,125
9,000 Barr Labs Inc* 270,558
9,600 Belden Inc 184,800
20,500 Bio-Technology General Corp* 145,407
11,800 Birmingham Steel Corp 72,275
14,600 Blount International Inc Class A 406,975
6,400 Brush Wellman Inc 96,397
14,000 Buckeye Technologies Inc* 203,000
2,900 Butler Manufacturing Co 86,092
4,900 C&D Technologies Inc 126,479
9,600 COR Therapeutics Inc* 112,195\ 9,600
Cambrex Corp 246,000
9,800 Caraustar Industries Inc 249,900
11,300 Cephalon Inc* 137,013
3,700 Chemed Corp 110,304
7,400 Chemfirst Inc 176,675
9,900 Clarcor Inc 185,625
6,400 Commonwealth Industries Inc 61,600
8,700 Cygnus Inc* 78,300
14,500 Fedders Corp 83,375
7,400 Florida Rock Industries Inc 254,375
5,700 Flow International Corp* 57,000
6,300 Gardner Denver Machinery Inc* 112,216
8,900 Gerber Scientific Inc 167,427
8,700 Global Industries Technologies Inc* 114,727
7,900 Graco Inc 248,850
12,000 Griffon Corp* 87,744
8,800 Helix Technology Corp 155,373
15,200 IDEXX Laboratories Inc* 343,900
6,500 IMCO Recycling Inc 110,500
9,200 Immune Response Corp* 103,500
3,400 Insteel Industries Inc 28,475
4,808 Intermagnetics General Corp* 52,888
10,100 Intermet Corp 148,975
6,300 Ionics Inc* 214,988
17,400 JLG Industries Inc 279,479
5,050 Kronos Inc* 171,700
9,200 Kulicke & Soffa Industries Inc* 210,450
4,800 LSB Industries Inc 8,400
6,800 Libbey Inc 204,422
9,100 Lilly Industries Inc Class A 159,250
5,125 Lindsay Manufacturing Co 109,224
15,100 Liposome Company Inc* 188,750
8,000 Lone Star Industries Inc 285,496
9,900 MacDermid Inc 415,176
6,300 Material Sciences Corp* 66,150
5,600 Maxxim Medical Inc* 89,247
4,000 McWhorter Technologies Inc* 59,248
6,300 Micros Systems Inc* 185,850
10,300 Mississippi Chemical Corp 93,988
7,400 Molecular Biosystems Inc* 18,034
14,100 Mueller Industries Inc* 444,150
7,230 Myers Industries Inc 163,579
27,000 NBTY Inc* 136,674
2,600 Nashua Corp* 27,950
15,400 Novellus Systems Inc* 727,650
8,400 Noven Pharmaceuticals Inc* 44,100
6,100 O'Sullivan Corp 54,900
9,300 OM Group Inc 338,288
11,600 Organogenesis Inc* 132,669
18,900 Paxar Corp* 168,909
3,000 Penford Corp 39,186
9,500 Photronics Inc* 227,402
6,800 Plantronics Inc* 459,000
10,100 Polaris Industries Inc 380,639
5,300 Pope & Talbot Inc 54,654
7,300 Protein Design Labs Inc* 112,690
3,400 Quaker Chemical Corp 53,761
5,700 Quanex Corp 145,703
8,100 RTI International Metals Inc* 107,827
3,600 RailTex Inc* 49,050
8,200 Regal-Beloit Corp 177,325
12,200 Regeneron Pharmaceuticals Inc* 80,825
7,200 Reliance Steel & Aluminum Co 262,346
4,620 Republic Group Inc 80,850
4,300 Robbins & Myers Inc 92,717
12,400 Roberts Pharmaceutical Corp* 210,800
11,900 Roper Industries Inc 339,150
8,700 Russ Berrie & Company Inc 236,527
5,100 SPS Technologies Inc* 222,488
21,500 Safeskin Corp* 209,625
7,000 Scott Technologies Inc* 129,934
7,200 Scotts Co Class A* 296,100
10,850 Shorewood Packaging Corp* 214,288
12,900 Silicon Valley Group Inc* 170,925
11,400 SpeedFam - IPEC Inc* 131,100
5,100 Standex International Corp 125,266
4,400 Steel Technologies Inc 39,600
10,600 Sturm Ruger Company Inc 112,625
6,300 Telxon Corp 63,000
8,300 Texas Industries Inc 256,263
10,200 The Manitowoc Company Inc 388,875
5,800 Thomas Nelson Inc 58,725
5,000 Toro Co 174,060
18,300 Tower Automotive Inc* 420,900
14,500 Tredegar Industries Inc 386,962
8,300 Ultratech Stepper Inc* 115,163
9,900 Valmont Industries Inc 165,825
10,000 Vertex Pharmaceuticals Inc* 211,250
6,100 WD-40 Co 163,175
9,000 WH Brady Co Class A 232,875
3,500 Walbro Corp* 68,688
4,400 Whittaker Corp* 105,600
5,500 Wolverine Tube Inc* 138,875
7,400 Wynn's International Inc 123,950
9,500 Xircom Inc* 213,750
$19,900,746
MINING --- 0.8%
10,650 AMCOL International Corp 130,463
8,600 Coeur D'Alene Mines Co* 39,775
12,100 Getchell Gold Corp* 412,913
21,700 Helca Mining Co* 65,100
13,350 Stillwater Mining Co* 377,965
$1,026,216
OIL & GAS --- 2.9%
11,600 Benton Oil & Gas Co* 48,569
9,800 Cabot Oil & Gas Corp 171,500
18,050 Cross Timbers Oil Co 197,413
12,700 Devon Energy Corp 422,275
7,300 HS Resources Inc* 77,563
15,900 Newfield Exploration Co* 427,313
8,900 Oceaneering International Inc* 146,850
6,600 Plains Resources Inc* 112,609
8,300 Pool Energy Services Co* 148,877
19,900 Pride International Inc* 232,571
8,600 Remington Oil & Gas Corp* 34,400
5,000 SEACOR SMIT Inc* 264,685
40,000 Santa Fe Energy Resources Inc* 360,000
9,200 Seitel Inc* 159,850
13,100 Snyder Oil Corp 238,250
4,200 St Mary Land & Exploration Co 80,850
5,900 Stone Energy Corp* 200,228
17,600 Tuboscope Vetco International Corp* 239,800
20,900 Vintage Petroleum Inc 224,675
$3,788,278
OTHER TRANS. SERVICES --- 1.9%
12,500 American Freightways Corp* 214,838
7,700 Arkansas Best Corp* 69,777
20,700 Brightpoint Inc* 127,429
9,700 Expeditors International of Washington Inc 588,063
14,300 Fritz Companies Inc* 144,788
6,700 Frozen Food Express Industries Inc 43,758
11,800 Heartland Express Inc* 164,457
4,200 Landstar System Inc* 163,535
4,800 MS Carriers Inc* 153,000
5,800 Rural/Metro Corp* 47,125
10,300 USFreightways Corp 386,250
18,650 Werner Enterprises Inc 359,013
$2,462,033
REAL ESTATE --- 0.1%
17,800 Amresco Inc* 115,700
$115,700
RETAIL TRADE --- 8.3%
10,100 AnnTaylor Stores Corp* 479,750
11,800 Applebees International Inc 304,582
4,800 Au Bon Pain Inc* 25,498
14,700 Bombay Company Inc* 92,786
7,100 Books-A-Million Inc* 63,013
4,900 Builders Material Holding Corp* 62,475
7,100 CEC Entertainment Inc* 266,250
20,446 CKE Restaurants Inc 334,803
20,800 Casey's General Stores Inc 275,600
9,900 Cash America International Inc 126,225
10,800 Cato Corp Class A 121,500
7,800 Cheesecake Factory Inc* 218,400
10,543 Consolidated Products Inc* 190,428
2,600 Danmark International Inc* 26,650
6,500 Discount Auto Parts Inc* 148,278
13,200 Express Scripts Inc* 971,850
15,000 Foodmaker Inc* 361,875
9,600 Footstar Inc* 324,595
13,100 Goody's Family Clothing Inc* 117,900
5,000 Gottschalks Inc* 36,875
7,800 Hancock Fabrics Inc 49,234
4,000 IHOP Corp* 183,000
9,800 Insight Enterprises Inc* 264,600
5,600 J Baker Inc 33,247
11,100 Jan Bell Marketing Inc* 33,988
7,500 Jo-Ann Stores Inc Class A* 120,938
11,900 Landry's Seafood Restaurants Inc* 96,688
6,800 Lechters Corp* 10,411
3,500 Lillian Vernon Corp 51,625
8,900 Luby's Cafeterias Inc 149,075
11,200 Michaels Stores Inc* 253,400
14,979 Midway Games Inc* 128,250
9,600 O'Reilly Automotive Inc* 439,200
8,000 Pacific Sunwear of California Inc* 296,744
38,375 Pier 1 Imports Inc 283,016
13,000 Ruby Tuesday Inc 237,250
15,800 Ryan's Family Steak Houses Inc* 195,525
10,300 Shopko Stores Inc* 353,414
7,400 Sonic Corp* 208,125
6,500 St John Knits Inc 176,716
17,900 Stein Mart Inc* 179,000
9,000 TCBY Enterprises Inc 61,308
6,300 TJ International Inc 174,825
5,300 Taco Cabana Inc* 53,663
8,900 The Dress Barn Inc* 130,163
13,750 The Men's Wearhouse Inc* 376,406
12,500 The Sports Authority Inc* 86,713
8,800 Triarc Companies Inc Class A* 174,346
10,600 Whole Foods Market Inc* 413,400
22,000 Williams-Sonoma Inc* 638,000
14,200 Zale Corp* 536,930
$10,938,533
SECURITIES & COMMODITIES --- 0.7%
9,200 Kulicke & Soffa Industries Inc* 210,450
22,300 Legg Mason Inc 777,713
$988,163
TRANSPORTATION EQUIPMENT --- 2.8%
10,800 AAR Corp 205,200
9,150 AO Smith Corp 231,038
10,700 Arctic Cat Inc 92,288
4,900 Aviation Sales Co* 196,000
9,600 BE Aerospace Inc* 163,795
14,500 Breed Technologies Inc* 78,837
6,500 Coachmen Industries Inc 122,688
28,400 Gentex Corp* 853,761
8,200 Kirby Corp* 155,800
18,200 Mascotech Inc 316,225
14,500 Orbital Sciences Corp* 305,399
7,300 Simpson Industries Inc 74,825
3,500 Skyline Corp 102,592
5,000 Spartan Motors Inc 27,500
5,100 Standard Motor Products Inc 118,575
6,300 Standard Products Co 113,400
4,750 Thor Industries Inc 143,688
9,000 Wabash National Corp 141,183
8,700 Winnebago Industries Inc 124,514
10,100 Yellow Corp* 179,275
$3,746,583
WATER --- 0.7%
3,500 American States Water Co 89,030
4,400 Aquarion Co 114,123
11,350 Halter Marine Group Inc* 68,804
15,968 Philadelphia Suburban Corp 360,270
14,800 United Water Resources Inc 308,018
$940,245
WHOLESALE TRADE - INDL --- 1.4%
5,500 AM Castle & Co 81,125
8,500 Applied Industrial Technology Inc 126,438
12,600 Barrett Resources Corp* 382,725
3,720 Bell Industries Inc* 39,990
8,700 Bindley Western Industries Inc 268,613
4,200 Lawson Products Inc 95,025
8,100 MicroAge Inc* 42,525
14,900 Nautica Enterprises Inc* 202,074
13,150 Patterson Dental Co* 474,215
10,400 Pioneer Standard Electronics Inc 87,100
8,300 TBC Corp* 64,325
$1,864,155
WHOLESALE TRADE -CONSUMER --- 1.4%
7,800 Barnes Group Inc 164,284
5,700 Commercial Metals Co 134,303
15,100 Fleming Companies Inc 132,125
9,600 Hughes Supply Inc 223,200
9,300 Kaman Corp Class A 122,063
11,000 Kent Electronics Corp* 102,432
4,400 Nash Finch Co 41,800
12,800 Owens & Minor Inc 126,400
18,800 Richfood Holdings Inc 235,000
4,600 Simpson Manufacturing Company Inc* 212,750
4,300 Syncor International Corp* 122,550
11,100 Watsco Inc 217,838
$1,834,745
TOTAL COMMON STOCK --- 97.5% $128,547,008
(Cost $127,689,960)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 2.1%
2,765,000 Associates Corporation of North America 2,764,246
$2,764,246
U.S. GOVERNMENTS --- 0.4%
500,000 United States of America (1) 501,431
$501,431
TOTAL SHORT-TERM INVESTMENTS --- 2.5% $3,265,677
(Cost $3,265,677)
TOTAL ORCHARD INDEX 600 FUND --- 100.0% $131,812,685
(Cost $130,955,637)
The Orchard Series Fund
Orchard Money Market Fund
SHORT-TERM INVESTMENTS
CONSUMER SERVICES --- 4.6%
150,000 United Parcel Service 149,471
$149,471
CREDIT INSTITUTIONS --- 13.6%
150,000 American Express Co 149,598
150,000 Associates Corporation of North America 147,734
150,000 Ford Motor Credit Co 148,108
$445,440
ELECTRIC --- 9.1%
150,000 Duke Power Co 149,189
150,000 Southern California Edison Co 149,738
$298,927
ELECTRONICS - HIGH TECH --- 18.2%
150,000 Emerson Electric Co 149,740
150,000 General Electric Co 149,341
150,000 Sharp Electronics Corp 149,168
150,000 Xerox Corp 149,262
$597,511
FINANCIAL SERVICES --- 13.7%
150,000 Ciesco LP 149,960
150,000 Household Finance Corp 149,617
150,000 KFW International Finance 148,566
$448,143
HOLDING & INVEST. OFFICES --- 4.5%
150,000 American General Finance Corp 148,340
$148,340
INSURANCE --- 4.6%
150,000 Metlife Funding Inc 149,920
$149,920
MFTG - CONSUMER PRODS. --- 13.6%
150,000 General Mills Inc 149,880
150,000 Hasbro Inc 148,546
150,000 McGraw-Hill Companies Inc 149,058
$447,484
MFTG - INDUSTRIAL PRODS --- 4.6%
150,000 EI DuPont De Nemours & Co 149,940
$149,940
OIL & GAS --- 4.5%
150,000 Chevron USA Inc 149,263
$149,263
SECURITIES & COMMODITIES --- 9.0%
150,000 Merrill Lynch & Co Inc 148,206
150,000 Morgan Stanley Group 148,410
$296,616
TOTAL SHORT-TERM INVESTMENTS --- 100.0% $3,281,055
(Cost $3,281,055)
TOTAL ORCHARD MONEY MARKET FUND --- 100.0% $3,281,055
(Cost $3,281,055)
The Orchard Series Fund
Orchard Preferred Stock Fund
PREFERRED STOCK
AGENCY --- 4.1%
4,000 Federal Home Loan Mortgage Corp 198,000
$198,000
CREDIT INSTITUTIONS --- 15.9%
7,400 Bankers Trust New York Corp 195,634
7,300 Household International Inc 204,400
3,500 JP Morgan & Co Inc 188,125
6,800 MBNA Corp 186,150
$774,309
ELECTRIC --- 4.0%
1,700 Peco Energy Co 194,225
$194,225
ELECTRONICS - HIGH TECH --- 3.7%
6,700 International Business Machines Corp 181,738
$181,738
HOLDING & INVEST. OFFICES --- 4.0%
7,500 Republic New York Corp 196,875
$196,875
INSURANCE --- 3.1%
3,100 Citigroup Inc 153,450
$153,450
OIL & GAS --- 7.7%
2,000 Anadarko Petroleum Corp 184,250
2,000 Apache Corp 191,000
$375,250
SECURITIES & COMMODITIES --- 10.8%
3,500 Donaldson, Lufkin & Jenrette Inc 171,938
5,300 Merrill Lynch & Co Inc 165,291
3,500 Morgan Stanley Group 187,250
$524,479
TRANSPORTATION EQUIPMENT --- 3.8%
6,500 Ford Motor Co 185,250
$185,250
TOTAL PREFERRED STOCK --- 57.1% $2,783,576
(Cost $2,778,511)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 12.3%
200,000 Ford Motor Credit Co 199,866
200,000 General Electric Capital Corp 199,356
200,000 TransAmerica Financial Corp 199,520
$598,742
FINANCIAL SERVICES --- 8.2%
200,000 Ciesco LP 199,464
200,000 Household Finance Corp 199,919
$399,383
HOLDING & INVEST. OFFICES --- 4.1%
200,000 American General Finance Corp 199,894
$199,894
INSURANCE --- 4.1%
200,000 Metlife Funding Inc 199,839
$199,839
MFTG - CONSUMER PRODS. --- 7.1%
150,000 General Mills Inc 149,880
200,000 McGraw-Hill Companies Inc 197,615
$347,495
MFTG - INDUSTRIAL PRODS --- 4.1%
200,000 EI DuPont De Nemours & Co 199,304
$199,304
SECURITIES & COMMODITIES --- 3.0%
150,000 Merrill Lynch & Co Inc 148,267
$148,267
TOTAL SHORT-TERM INVESTMENTS --- 42.9% $2,092,924
(Cost $2,092,925)
TOTAL ORCHARD PREFERRED STOCK FUND --- 100.0% $4,876,500
(Cost $4,871,436)
The Orchard Series Fund
Orchard Value Fund
COMMON STOCK
AGRICULTURE --- 1.5%
980 Dole Food Company Inc 31,115
$31,115
AIR --- 2.7%
900 Delta Air Lines Inc 57,093
$57,093
COMMUNICATIONS --- 2.2%
915 AT&T Corp 46,208
$46,208
CONSTRUCTION --- 2.0%
1,730 Kaufman & Broad Home Corp 42,060
$42,060
CONSUMER SERVICES --- 9.2%
4,750 Food Lion Inc 48,688
2,050 Healthsouth Corp* 27,546
2,100 Humana Inc* 28,613
1,545 Patriot American Hospitality 7,821
960 Starwood Hotels & Resorts Worldwide Inc 35,220
850 United Healthcare Corp 47,706
$195,594
CREDIT INSTITUTIONS --- 7.5%
1,205 Associates First Capital Corp 53,396
1,195 Household International Inc 60,123
1,125 Washington Mutual Inc 46,266
$159,785
ELECTRIC --- 7.6%
1,285 Allegheny Energy Inc 43,770
750 Duke Power Co 42,000
555 FPL Group Inc 31,288
1,655 Southern Co 44,788
$161,846
ELECTRONICS - HIGH TECH --- 8.6%
1,140 Adobe Systems Inc 72,248
910 Emerson Electric Co 58,695
650 Motorola Inc 52,081
$183,024
HOLDING & INVEST. OFFICES --- 7.4%
900 Bank One Corp 53,100
940 Finova Group Inc 45,413
690 Liberty Property Trust 16,646
3,170 Sovereign Bancorp Inc 43,191
$158,350
INDUSTRIAL SERVICES --- 5.1%
1,375 Computer Associates International Inc 58,695
1,420 Deluxe Corp 49,168
$107,863
INSURANCE --- 10.7%
1,395 Allstate Corp 50,743
700 Cigna Corp 61,031
935 Hartford Financial Services Group Inc 55,106
800 Marsh & McLennan Companies Inc 61,250
$228,130
MFTG - CONSUMER PRODS. --- 2.4%
730 Tommy Hilfiger Corp* 51,009
$51,009
MFTG - INDUSTRIAL PRODS --- 7.5%
295 Armstrong World Industries Inc 16,151
995 Ingersoll-Rand Co 68,841
1,550 Mead Corp 64,809
220 The BF Goodrich Co 8,745
$158,546
MINING --- 2.6%
2,715 Barrick Gold Corp 54,639
$54,639
OIL & GAS --- 11.7%
600 Chevron Corp 59,850
2,635 Occidental Petroleum Corp 53,193
915 Texaco Inc 57,416
450 Ultramar Diamond Shamrock Corp 10,378
1,000 UnoCal Corp 41,562
1,180 Valero Energy Corp 26,328
$248,727
RAILROADS --- 2.8%
990 Union Pacific Corp 59,400
$59,400
REAL ESTATE --- 1.2%
1,030 Highwood Properties Inc 26,523
$26,523
RETAIL TRADE --- 1.6%
1,250 Dillards Inc Class A 34,609
$34,609
TELEPHONE --- 2.6%
835 GTE Corp 55,892
$55,892
TRANSPORTATION EQUIPMENT --- 3.1%
1,125 Allied-Signal Inc 66,090
$66,090
TOTAL COMMON STOCK --- 100.0% $2,126,503
(Cost $2,096,834)
TOTAL ORCHARD VALUE FUND --- 100.0% $2,126,503
(Cost $2,096,834)
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