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Previous: ROFIN SINAR TECHNOLOGIES INC, 10-K, 1999-12-29 |
Next: ORCHARD SERIES FUND, NSAR-B, 1999-12-29 |
The investment adviser for Orchard Series Fund is GW Capital Management, LLC.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of Orchard Series Fund. This report is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
For more information on Orchard Series Fund, including charges and expenses,
please contact your registered representative to obtain a prospectus. Read it
carefully before investing.
ORCHARD SERIES FUND
8515 East Orchard Road
Englewood, Colorado 80111
TO THE SHAREHOLDERS OF ORCHARD SERIES FUND:
Global financial markets experienced a significant rebound to the benefit of our
shareholders during the fiscal year-ending October 31, 1999. Equity markets
around the globe, in the Americas, Europe, and the Pacific Rim, provided
double-digit returns to investors as signs of sustained economic recovery
surfaced in the developing economies of the world. The simulative effect of
numerous central bank interest rate cuts in countries around the world during
the fall of 1998 that helped to avert a global financial and economic meltdown
provided the liquidity necessary to jump start the world economy. The benefits
of stronger economic growth on corporate profits helped to propel stock prices
higher around the globe.
Over the course of 1999, central bankers in North America and Europe began to
nudge short-term rates higher to avoid the possibility of introducing price
inflation into economies experiencing strong economic growth. The rate hikes
have had minimal effect on the rate of economic growth in the post-industrial
world, and inflation measures remain subdued. Most economic analysts are calling
for more of the same in terms of moderate to strong economic growth with low
inflation for the year ahead.
While it is impossible to predict the future direction of the markets with any
degree of certainty, there are certain basic principles that can help investors
plan for their future needs. These principals include determining one's
investment objectives and tolerance for risk, adjusting for one's investment
time frame, diversifying, developing an overall strategy and sticking to it. Are
you investing for aggressive growth, long-term growth, growth and income, or
current income? How much relative risk are you willing to accept in exchange for
the potential to achieve those objectives?
The longer your investment time frame, or horizon, the less likely it is that
you will be affected by short-term market volatility. For medium horizons,
short-term volatility may have more of an impact on your investments. If your
investment horizon is short, you may wish to consider primarily those investment
options that seek income and maintain a relatively stable share value.
No matter what your objectives, risk tolerance or investment horizon, it makes
sense to diversify your holdings. While investing in a diversified mutual fund
spreads your risk over several or many companies and usually over several
industries, you may wish to diversify further. By investing in funds that hold
securities of different types or in various sizes of companies, you may be able
to reduce the risk that one particular segment of the U.S. market doing poorly
could significantly harm your portfolio in the long term. You may also wish to
diversify your portfolio across multiple geographic markets, such as the U.S.,
Europe and/or the Pacific.
If you have questions, please call us at (800) 338-4015, so that we may provide
you with information that can be useful to you in making investment decisions.
Orchard Series Fund offers three funds. A review of these funds, including their
independently audited financial statements and financial highlights for the
fiscal year, is provided with this annual report.
<PAGE>
ORCHARD INDEX 500 FUND
The S&P 500 Index, after driving up to the 1400 level in July, was range bound
between 1300 and 1400 for the rest of the year, ending October 29, 1999 at
1362.93. As tech stocks outperformed the other sectors, more and more value
investors became momentum investors in order to keep up with their competition.
Foreign investor's also jumped on the bandwagon, further exacerbating the
difference between the large-cap and small-cap indices. Tech stocks continued to
perform well, as well as bank stocks, which benefited from the dismantling of
the Glass Steagal Act.
The index cooled off for the last few months of the year. This was due to the
increased possibility of further interest rate hikes. Also, investor interest
has become focused on improving Asian and European economies.
ORCHARD INDEX 500 FUND
Line Graph Comparison
Orchard Index 500 S&P 500 Index
- ----------------- -------------
02/97 - $10,000 02/97 - $10,000
10/97 - $11,738 10/97 - $11,794
10/98 - $14,224 10/98 - $14,388
10/99 - $17,769 (as of 10/31) 10/99 - $18,081 (as of 10/31)
Orchard Index 500 Total Return - One Year: 24.92%
Since Inception: 23.25%
This graph, prepared in accordance with SEC regulations, compares a $10,000
investment in the Orchard Index 500 Fund, made at its inception, with the
performance of the S&P 500 Index. Results include the reinvestment of all
dividends and capital gains distributions. Portfolio inception: 2/3/97. Past
performance is no guarantee of future results. Investment return and principal
value will fluctuate so that an investor's shares, when redeemed, may be worth
more or less that their original cost.
<PAGE>
ORCHARD INDEX 600 FUND
With investor focus still on large-cap stocks, this year small-cap indices
lagged behind large-cap indices. While the S&P 600 Index was up a respectable
12.02%, the S&P 500 Index continued its upward march with a total return of
25.67%. During the year, relative small-cap valuations, compared to the S&P 500
Index, fell to record lows. Small-caps sold at a 19% discount to their large-cap
counterparts.
Within small-caps the only bright spot was the technology sector. Small-cap tech
stocks were valued at a record premium of 109% over non-tech small-cap stocks.
Similar to biotechs in 1990, Internet and telecom issues, although profitless,
carried the index throughout the year.
ORCHARD INDEX 600 FUND
Line Graph Comparison
S&P 600 Index Orchard Index 600 Fund
02/97 - $10,000 02/97 - $10,000
10/97 - $12,198 10/97 - $12,146
10/98 - $10,848 10/98 - $10,766
10/99 - $12,152 (as of 10/31) 10/99 - $12,002 (as of 10/31)
Orchard Index 600 Total Return - One Year: 11.48%
Since Inception: 6.86%
This graph, prepared in accordance with SEC regulations, compares a $10,000
investment in the Orchard Index 600 Fund, made at its inception, with the
performance of the S&P 600 Index. Results include the reinvestment of all
dividends and capital gains distributions. Portfolio inception: 2/3/97. Past
performance is no guarantee of future results. Investment return and principal
value will fluctuate so that an investor's shares, when redeemed, may be worth
more or less that their original cost.
<PAGE>
ORCHARD VALUE FUND
Orchard Value Fund's performance for the fiscal year ending October 31, 1999 was
greatly impacted by unique market conditions. The market's performance was
driven by a very small number of large technology stocks trading at price to
earnings ratios, or PE's, never before seen. In the third quarter,
disappointments were compounded by the overall poor performance of financial
stocks that were down 16.67% as a group. The poor performance of financials was
due to Federal Reserve tightening, which halted the outperformance of value
versus growth that had begun in the second quarter.
The Orchard Value Fund does not invest in stocks with PE's above those on the
S&P 500 Index as these are not considered to be "value" stocks. As was the case
in 1998 and the first quarter of 1999, the return on the Russell 1000 Value
Index in the third quarter was in large part due to the fact that it included
stocks with an average PE of 48.33, outside of what is considered to be "value"
stocks. The unweighted return of the Russell 1000 Value Index, after removing
the non-value stocks was -10.21% versus a return of -12.71% for the Orchard
Value Fund's manager. The narrowness of the market return continues to make it
very difficult for active managers to beat market indices.
During the third quarter the Orchard Value Fund manager did take advantage of a
market correction to significantly upgrade the quality of the portfolio by
buying large cap companies whose stocks became temporarily inexpensive. However,
until the Fed finishes raising interest rates, it will be difficult for the
broader market to advance. The vast majority of stocks have continued to decline
while a very small number of stocks have propped up the indices. Almost every
group except technology has significantly corrected and the manager does not
expect the market to improve until technology stocks drop substantially.
However, the Orchard Value Fund continues to be heavily weighted in basic
materials and energy stocks, as this is where the manager sees the best
combination of valuation and earnings momentum as we move into the new
millennium.
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
ORCHARD VALUE FUND
Line Graph Comparison
S&P 500 Index Russell 1000 Value Index Orchard Value Fund
03/98 - $10,000 03/98 - $10,000 03/98 -
$10,000
10/98 - $10,591 10/98 - $10,154 10/98 -
$9,042
10/99 - $13,309 (as of 10/31) 10/99 - $11,832 (as of 10/31) 10/99 -
$9,629 (as of 10/31)
</TABLE>
Orchard Value Index Total Return - One Year: 6.49%
Since Inception: -2.25%
Given the fundamental objectives of the Orchard Value Fund, the investment
adviser and sub-adviser have determined that the Russell 1000 Value Index is the
appropriate index to use as the benchmark for the Orchard Value Fund's
performance.
This graph, prepared in accordance with SEC regulations, compares a $10,000
investment in the Orchard Value Fund, made at its inception, with the
performance of the S&P 500 Index and the Russell 1000 Value Index. Results
include the reinvestment of all dividends and capital gains distributions.
Portfolio inception: 3/2/98. Past performance is no guarantee of future results.
Investment return and principal value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less that their original cost.
<PAGE>
Deloitte & Touche LLP
Suite 3600
555 Seventeenth Street
Denver, Colorado 80202-3942
INDEPENDENT AUDITORS' REPORT
To the Shareholders and Board of Trustees of
Orchard Series Fund:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of Orchard Series Fund (comprising, respectively
the Orchard Index 500 Fund, Orchard Index 600 Fund, Orchard Money Market Fund,
and Orchard Value Fund) as of October 31, 1999, and the related statements of
operations for the year then ended, the statements of changes in net assets for
each of the two years in the period then ended, and the financial highlights for
the periods indicated. These financial statements and financial highlights are
the responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned as of October 31, 1999, by correspondence with the custodian
and brokers; where replies were not received from brokers, we performed other
auditing procedures. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective portfolios constituting the Orchard Series Fund as of October
31, 1999, the results of its operations for the year then ended, the changes in
its net assets for each of the two years in the period then ended, and the
financial highlights for the periods indicated, in conformity with generally
accepted accounting principles.
/s/Deloitte & Touche LLP
December 3, 1999
<PAGE>
THE ORCHARD SERIES FUND
Financial Statements and Financial Highlights for
the Years Ended October 31, 1999 and 1998
<PAGE>
THE ORCHARD SERIES FUND
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 1999
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
ORCHARD
ORCHARD ORCHARD MONEY ORCHARD
INDEX 500 INDEX 600 MARKET VALUE
FUND FUND FUND FUND
-------------- -------------- ------------- --------------
-------------- -------------- ------------- --------------
ASSETS:
Investments in securities, market value: (1) 761,291,272 $ 134,551,839 3,692,911 2,532,743
Cash 737,606 411,361 55,314 43,821
Dividends and interest receivable 664,624 62,868 4,034
Subscriptions receivable 272,383 176,583 2,503
Receivables for investments sold 1,855,441
Variation margin on futures contracts 431,350 87,600
-------------- -------------- ------------- --------------
-------------- -------------- ------------- --------------
Total assets 763,397,235 137,145,692 3,748,225 2,583,101
-------------- -------------- ------------- --------------
-------------- -------------- ------------- --------------
LIABILITIES:
Due to GW Capital Management 346,873 64,219 1,366 1,952
Payables for investments purchased 309,540
-------------- -------------- ------------- --------------
-------------- -------------- ------------- --------------
Total liabilities 346,873 373,759 1,366 1,952
-------------- -------------- ------------- --------------
-------------- -------------- ------------- --------------
NET ASSETS 763,050,362 $ 136,771,933 3,746,859 2,581,149
============== ============== ============= ==============
============== ============== ============= ==============
NET ASSETS REPRESENTED BY:
Capital stock, No par value 538,973,674 $ 129,803,921 3,746,859 2,758,446
Net unrealized appreciation on investments and 202,797,237 91,060 12,483
futures contracts
Undistributed net investment income 1,677,001 98,826 9,457
Accumulated net realized gain (loss) on investments 19,602,450 6,778,126 (199,237)
and futures contracts
-------------- -------------- ------------- ---------------
-------------- -------------- ------------- --------------
NET ASSETS 763,050,362 $ 136,771,933 3,746,859 2,581,149
============== ============== ============= ==============
============== ============== ============= ==============
NET ASSET VALUE PER OUTSTANDING SHARE 17.2652 $ 11.5689 1.0000 9.4086
============== ============== ============= ==============
============== ============== ============= ==============
(Offering and Redemption Price)
SHARES OF CAPITAL STOCK OUTSTANDING: 44,195,813 11,822,367 3,746,859 274,339
(1) Cost of Investments in securities: 559,754,058 $ 134,585,402 3,692,911 2,520,260
See notes to financial statements.
</TABLE>
<PAGE>
THE ORCHARD SERIES FUND
STATEMENTS OF OPERATIONS
YEAR ENDED OCTOBER 31, 1999
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
ORCHARD
ORCHARD ORCHARD MONEY ORCHARD
INDEX 500 INDEX 600 MARKET VALUE
FUND FUND FUND FUND
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
INVESTMENT INCOME:
Interest 385,618 145,874 175,336 4,516
Dividends 9,437,509 938,053 49,379
Foreign withholding tax (124,428) (390) (91)
----------- ----------- ------------ ------------
----------- ------------ ----------- ------------
Total income 9,698,699 1,083,537 175,336 53,804
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
EXPENSES:
Audit fees 3,147
Investment administration 55,813
Bank and custodial fees 4,147
Other expenses 5,412
Management fees 4,285,520 718,382 6,903 22,880
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
Total expenses 4,285,520 718,382 75,422 22,880
Less amount reimbursed by GW Capital Management 59,544
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
Net expenses 4,285,520 718,382 15,878 22,880
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
NET INVESTMENT INCOME 5,413,179 365,155 159,458 30,924
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investments 18,471,828 6,728,212 (199,237)
Net realized gain on futures contracts 1,849,430 49,914
Change in net unrealized appreciation on investments 125,441,376 175,433 232,925
Change in net unrealized appreciation on futures contracts 698,898 124,623
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
Net change in realized and unrealized appreciation on investments 146,461,532 7,078,182 0 33,688
and futures contracts
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 151,874,711 7,443,337 159,458 64,612
=========== ============ =========== ============
=========== ============ =========== ============
</TABLE>
See notes to financial statements.
<PAGE>
THE ORCHARD SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEARS ENDED OCTOBER 31, 1999 AND 1998
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------
ORCHARD ORCHARD
INDEX 500 FUND INDEX 600 FUND
---------------------- ----------------------
---------------------- ----------------------
1999 1998 1999 1998
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
INCREASE/(DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 5,413,179 $ 5,415,920 $ 365,155 $ 11,937 $
Net realized gain (loss) on investments 18,471,828 6,978,574 6,728,212 377,594
Net realized gain (loss) on futures 1,849,430 (449,217) 49,914
contracts
Change in net unrealized appreciation 125,441,376 89,787,266 175,433 (1,016,569)
(depreciation) on investments
Change in net unrealized appreciation on 698,898 561,125 124,623
futures contracts
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
Net increase (decrease) in net assets resulting 151,874,711 102,293,668 7,443,337 (627,038)
from operations
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (5,460,884) (3,691,214) (270,470) (7,796)
From net realized gains (7,247,165) (377,594) (147,248)
---------- ---------- ---------- -----------
---------- ---------- ---------- ----------
Total distributions (12,708,049)(3,691,214) (648,064) (155,044)
---------- ----------- ---------- -----------
---------- ---------- ---------- ----------
SHARE TRANSACTIONS:
Net proceeds from sales of shares 78,037,447 92,027,475 142,892,303 40,858
Reinvestment of distributions 12,708,049 3,691,214 648,064 155,044
Redemptions of shares (71,949,186)(82,100,085) (18,447,304) (142)
---------- ----------- ---------- -----------
---------- ---------- ---------- ----------
Net increase in net assets resulting from 18,796,310 13,618,604 125,093,063 195,760
share transactions
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
Total increase (decrease) in net assets 157,962,972 112,221,058 131,888,336 (586,322)
NET ASSETS:
Beginning of period 605,087,390 492,866,332 4,883,597 5,469,919
---------- ---------- ---------- ----------
========== ========== ========== ==========
End of period (1) $ 763,050,36$ 605,087,390$ 136,771,93$ 4,883,597 $
========== ========== ========== ==========
========== ========== ========== ==========
OTHER INFORMATION:
SHARES:
Sold 4,838,149 6,788,911 12,941,630 3,389
Issued in reinvestment of distributions 816,633 267,302 57,340 13,499
Redeemed (4,431,531) (6,231,946) (1,644,828) (12)
---------- ----------- ---------- ----------
---------- ---------- ---------- ----------
Net increase 1,223,251 824,267 11,354,142 16,876
========== ========== ========== ==========
========== ========== ========== ==========
(1) Including undistributed net investment 1,677,001 1,747,706 98,826 4,141
income
(A) Inception date March 2, 1998.
See notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD
MONEY MARKET FUND VALUE FUND
----------------------- ----------------------
----------------------- ----------------------
1999 1998 1999 1998
----------- ---------- ---------- ----------
----------- ---------- ---------- ----------
INCREASE/(DECREASE) IN NET ASSETS: (A)
OPERATIONS:
Net investment income 159,458 $ 163,521 $ 30,924 $ 14,783
Net realized gain (loss) on investments (199,237) 13,415
Net realized gain (loss) on futures
contracts
Change in net unrealized appreciation 232,925 (220,442)
(depreciation) on investments
Change in net unrealized appreciation on
futures contracts
----------- ---------- ---------- ---------
----------- ---------- ---------- ---------
Net increase (decrease) in net assets resulting 159,458 163,521 64,612 (192,244)
from operations
---------- ---------- ---------- ----------
----------- ---------- ---------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (159,458) (163,521) (29,048) (7,202)
From net realized gains (13,415)
---------- ---------- ---------- ----------
----------- ---------- ---------- ---------
Total distributions (159,458) (163,521) (42,463) (7,202)
--------- --------- ---------- -----------
----------- ---------- ---------- ---------
SHARE TRANSACTIONS:
Net proceeds from sales of shares 672,208 924,120 2,042,159
Reinvestment of distributions 159,458 163,521 42,463 7,202
Redemptions of shares (359,055) (244,504) (12,994)
--------- --------- ----------- ---------
----------- ---------- ---------- ---------
Net increase in net assets resulting from 472,611 163,521 722,079 2,036,367
share transactions
----------- --------- ---------- ---------
----------- ---------- ---------- ---------
Total increase (decrease) in net assets 472,611 163,521 744,228 1,836,921
NET ASSETS:
Beginning of period 3,274,248 3,110,727 1,836,921 0
----------- --------- ---------- ---------
=========== ========= ========== =========
End of period (1) 3,746,859 $ 3,274,248 $ 2,581,149 $ 1,836,921
=========== ========= ========== =========
=========== ========== ========== =========
OTHER INFORMATION:
SHARES:
Sold 672,208 90,656 204,775
Issued in reinvestment of distributions 159,458 163,521 4,457 724
Redeemed (359,055) (24,657) (1,617)
---------- --------- ----------- ---------
----------- ---------- ---------- ---------
Net increase 472,611 163,521 70,456 203,882
=========== ========= ========== =========
=========== ========== ========== =========
(1) Including undistributed net investment 0 0 9,457 7,581
income
(A) Inception date March 2, 1998.
See notes to financial statements.
</TABLE>
<PAGE>
THE ORCHARD SERIES FUND
ORCHARD INDEX 500 FUND
<TABLE>
FINANCIAL HIGHLIGHTS
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the years ended
October 31, 1999 and 1998, and the period ended October 31, 1997 are as follows:
Period Ended October 31,
--------------------------------------------------------
1999 1998 1997
----------------- ---------------- ---------------
(A)
Net Asset Value, Beginning of Period $ 14.0808 $ 11.6936 $ 10.0000
Income From Investment Operations
Net investment income 0.1221 0.1282 0.0388
Net realized and unrealized gain 3.3536 2.3471 1.6936
------------- ------------- ---------------
Total Income From Investment Operations 3.4757 2.4753 1.7324
Less Distributions
From net investment income (0.1243) (0.0881) (0.0388)
From net realized gains (0.1670)
------------- ------------- ---------------
Total Distributions (0.2913) (0.0881) (0.0388)
------------- ------------- ---------------
Net Asset Value, End of Period $ 17.2652 $ 14.0808 $ 11.6936
============= ============= ===============
Total Return 24.92% 21.18% 17.38%
Net Assets, End of Period $ 763,050,362 $ 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 0.75% 0.96% 1.67% *
Assets
Portfolio Turnover Rate 17.09% 20.20% 0.45%
</TABLE>
Portfolio turnover is calculated using the lesser of long-term purchases or
sales of portfolio securities for a period, divided by the monthly average of
the market value of the securities (excluding short-term securities) owned
during the period. Purchases and sales of investment securities for the year
ended October 31, 1999 were $120,119,351 and $124,082,232, respectively.
*Annualized
(A) The Portfolio commenced operations February 3, 1997.
(Continued)
<PAGE>
THE ORCHARD SERIES FUND
ORCHARD INDEX 600 FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the years ended
October 31, 1999 and 1998, and the period ended October 31, 1997 are as follows:
Period Ended October 31,
--------------------------------------------------------
1999 1998 1997
----------------- ---------------- ---------------
(A)
Net Asset Value, Beginning of Period $ 10.4300 $ 12.1191 $ 10.0000
Income From Investment Operations
Net investment income 0.0235 0.0255 0.0238
Net realized and unrealized gain (loss) 1.1728 (1.3719) 2.1191
------------- ------------- ---------------
Total Income (Loss) From Investment Operations 1.1963 (1.3464) 2.1429
Less Distributions
From net investment income (0.0239) (0.0167) (0.0238)
From net realized gains (0.0335) (0.3260)
------------- ------------- ---------------
Total Distributions (0.0574) (0.3427) (0.0238)
------------- ------------- ---------------
Net Asset Value, End of Period $ 11.5689 $ 10.4300 $ 12.1191
============= ============= ===============
Total Return 11.48% (11.37%) 21.46%
Net Assets, End of Period $ 136,771,933 $ 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 0.30% 0.22% 0.30% *
Assets
Portfolio Turnover Rate 40.90% 31.25% 21.58%
</TABLE>
Portfolio turnover is calculated using the lesser of long-term purchases or
sales of portfolio securities for a period, divided by the monthly average of
the market value of the securities (excluding short-term securities) owned
during the period. Purchases and sales of investment securities for the year
ended October 31, 1999 were $160,487,237 and $44,668,032, respectively.
*Annualized
(A) The Portfolio commenced operations February 3, 1997.
(Continued)
<PAGE>
THE ORCHARD SERIES FUND
ORCHARD MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the years ended
October 31, 1999 and 1998, and the period ended October 31, 1997 are as follows:
Period Ended October 31,
----------------------------------------------
1999 1998 1997
------------ ------------
----------------
(A)
Net Asset Value, Beginning of Period $ 1.0000 $ 1.0000 $ 1.0000
Income From Investment Operations
Net investment income 0.0458 0.0513 0.0363
------------- ------------ ------------
Total Income From Investment Operations 0.0458 0.0513 0.0363
Less Distributions
From net investment income (0.0458) (0.0513) (0.0363)
------------- ------------ ------------
Total Distributions (0.0458) (0.0513) (0.0363)
------------- ------------ ------------
Net Asset Value, End of Period $ 1.0000 $ 1.0000 $ 1.0000
============= ============ ============
Total Return/Yield 4.68% 5.26% 3.69%
Net Assets, End of Period $ 3,746,859 $ 3,274,248 $ 3,110,727
Ratio of Expenses to Average Net
Assets
- Before Reimbursement 2.18% 3.57% 1.54%*
- After Reimbursement # 0.46% 0.46% 0.46% *
Ratio of Net Investment Income to Average Net Assets
- Before Reimbursement 2.88% 2.03% 3.79%*
- After Reimbursement # 4.60% 5.13% 4.88%*
</TABLE>
*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 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 year ended
October 31, 1999 and the period ended October 31, 1998, are as follows:
Period Ended October 31,
--------------------------------------------
1999 1998
------------------ -----------------
(A)
Net Asset Value, Beginning of Period $ 9.0097 $ 10.0000
Income From Investment Operations
Net investment income 0.1186 0.0730
Net realized and unrealized gain (loss) 0.4667 (1.0275)
--------------- --------------
Total Income (Loss) From Investment Operations 0.5853 (0.9545)
Less Distributions
From net investment income (0.1213) (0.0358)
From net realized gains (0.0651)
--------------- --------------
Total Distributions (0.1864) (0.0358)
--------------- --------------
Net Asset Value, End of Period $ 9.4086 $ 9.0097
=============== ==============
Total Return 6.49% (9.58%)
Net Assets, End of Period $ 2,581,149 $ 1,836,921
Ratio of Expenses to Average Net Assets 1.00% 1.00%*
Ratio of Net Investment Income to Average Net Assets 1.34% 1.15%*
Portfolio Turnover Rate 153.77% 79.58%
</TABLE>
Portfolio turnover is calculated using the lesser of long-term purchases or
sales of portfolio securities for a period, divided by the monthly average of
the market value of the securities (excluding short-term securities) owned
during the period. Purchases and sales of investment securities for the year
ended October 31, 1999 were $4,184,002 and $3,512,270, respectively.
*Annualized
(A) The portfolio commenced operations March 2, 1998.
(Concluded)
<PAGE>
THE ORCHARD SERIES FUND
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 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 currently offers four 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 Money Market Fund and Orchard Value
Fund. The Orchard Index European Fund, Orchard Index Pacific Fund and
Orchard Preferred Stock Fund (separate portfolios of the Trust) were
terminated as of July 23, 1999. All assets, including accrued dividends
were distributed to shareholders; therefore, the valuation of each fund
is zero.
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 and $4,400,000 for Orchard Index 600 Fund. Orchard Value
Fund received $2,000,000 of initial capitalization from GWL&A on
February 26, 1998. At October 31, 1999, GWL&A's investment in the Funds
totaled $7,599,631.
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:
Dividends
Dividend income for the Funds is accrued as of the ex-dividend date and
interest income is recorded daily.
Dividends from investment income of the Orchard Money Market Fund are
declared daily and reinvested monthly. Dividends from investment income
of the other funds are declared and reinvested semi-annually. Dividends
from capital gains of the funds, if any, are reinvested at least
annually in additional shares at net asset value.
Security Transactions
Security transactions are accounted for on the date the security is
purchased or sold (trade date). The cost of investments sold is
determined on the basis of the first-in, first-out method (FIFO).
Security Valuation
Short-term and money market securities are valued at amortized cost
which approximates market value. Equity securities listed on an
established exchange or on the NASDAQ National Market System are valued
at the last sale price as of the close of business. Fixed income and
other securities are valued by independent pricing services approved by
the Board of Directors. Securities 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.
<PAGE>
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). Receipts or 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.
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.
Classification of Distributions to Shareholders
Net investment income (loss) and net realized gain (loss) may differ for
financial statements and tax purposes. The character of distributions
made during the year from net investment income or net realized gains
may differ from its ultimate characterization for federal income tax
purposes. Also, due to the timing of dividend distributions, the fiscal
year in which amounts are distributed may differ from the fiscal year in
which the income or realized gain was recorded by the Funds.
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, .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 Value
Fund.
Subject to revision, Capital Management has voluntarily agreed to
reimburse the Orchard Money Market Fund to the extent that total
operating expenses exceed .46% 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.
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.
<PAGE>
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)
At October 31, 1999, the U.S. Federal income tax cost basis was
$561,477,060, $135,178,365, and $2,520,260 for Orchard Index 500,
Orchard Index 600 and Orchard Value Funds, respectively. As of October
31, 1999, gross unrealized appreciation (depreciation) of investments,
for U.S. Federal income tax purposes, was as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Orchard Orchard Orchard
Index 500 Index 600 Value
Fund Fund Fund
-------------- -------------- --------------
Gross appreciation $ 239,239,506 $ 20,871,632 $ 143,535
Gross depreciation (39,425,294) (21,498,158) (131,052)
-------------- -------------- --------------
Net unrealized appreciation $ 199,814,212 $ (626,526) $ 12,483
(depreciation)
============== ============== ==============
7. FUTURES CONTRACTS
At October 31, 1999, the unrealized appreciation of open futures
contracts, expiring in December 1999 was:
Futures Number of Unrealized
Index Fund Contracts Contracts Appreciation
Orchard Index 500 Fund S&P 500 68 $1,260,023
Orchard Index 600 Fund Russell 2000 39 $124,623
</TABLE>
<PAGE>
The Orchard Series Fund Schedule of Investments October 31, 1999
Orchard Index 500 Fund
COMMON STOCK
AGENCY --- 0.9%
45,640 Federal Home Loan Mortgage Corp 2,467,390
67,320 Federal National Mortgage Association (nonvtg) 4,762,890
$7,230,280
AIR --- 0.3%
9,840 AMR Corp* 624,840
9,200 Delta Air Lines Inc 500,820
19,568 FDX Corp* 842,637
33,145 Southwest Airlines Co 557,234
4,740 US Air Group Inc* 132,720
$2,658,251
COMMUNICATIONS --- 6.8%
209,900 AT&T Corp 9,812,825
48,070 CBS Corp* 2,346,393
11,410 Cabletron Systems Inc* 188,972
22,200 Clear Channel Communications Inc* 1,784,325
49,180 Comcast Corp Class A 2,071,708
18,400 Gannett Company Inc 1,419,100
11,400 General Instrument Corp* 613,457
201,205 Lucent Technologies Inc 12,927,421
39,870 MediaOne Group Inc 2,833,242
21,800 Nextel Communications Inc* 1,878,877
87,128 Nortel Networks Corp 5,396,447
10,500 QUALCOMM Inc* 2,338,875
84,960 Time Warner Inc 5,920,608
45,720 Viacom Inc Class B* 2,045,970
$51,578,220
CONSTRUCTION --- 0.0%
3,940 Centex Corp 105,639
3,230 Kaufman & Broad Home Corp 64,800
2,920 Pulte Corp 58,765
$229,204
CONSUMER SERVICES --- 7.5%
4,350 Allergan Inc 467,081
33,500 Amgen Inc* 2,671,625
3,740 Bausch & Lomb Inc 201,960
19,100 Baxter International Inc 1,239,113
16,480 Becton Dickinson & Co 418,180
7,380 Biomet Inc 222,323
130,400 Bristol-Myers Squibb Co 10,016,285
3,340 CR Bard Inc 180,150
25,760 CVS Corp 1,118,937
40,300 Carnival Corp 1,793,350
47,319 Cendant Corp* 780,764
37,010 Columbia/HCA Healthcare Corp 892,866
71,720 Eli Lilly & Co 4,939,715
6,370 H&R Block Inc 271,120
27,240 HEALTHSOUTH Corp* 156,630
8,470 Harrah's Entertainment Inc* 245,096
16,780 Hilton Hotels Corp 155,215
11,320 Humana Inc* 77,825
20,560 IMS Health Inc 596,240
88,310 Johnson & Johnson 9,250,473
4,840 King World Productions Inc* 187,550
7,040 Manor Care Inc* 110,880
16,350 Marriott International Inc 550,782
18,481 McKesson HBOC Inc 370,766
77,020 Medtronic Inc 2,666,818
154,020 Merck & Co Inc 12,254,139
13,100 Mirage Resorts Inc* 190,762
17,870 Service Corporation International 170,873
5,575 St Jude Medical Inc* 152,616
20,420 Tenet Healthcare Corp* 396,904
135,430 The Walt Disney Co* 3,571,966
11,340 United HealthCare Corp 586,131
4,300 Wellpoint Health Networks* 249,400
$57,154,535
CREDIT INSTITUTIONS --- 3.7%
25,800 AmSouth Bancorp 664,350
29,460 American Express Co 4,536,840
47,776 Associates First Capital Corp 1,743,824
21,000 BB&T Corp 763,875
48,280 Bank of New York Company Inc 2,021,725
13,000 Capital One Financial Corp 689,000
10,270 Comerica Inc 610,418
7,400 Countrywide Credit Industries Inc 251,134
62,787 First Union Corp 2,680,189
3,640 Golden West Financial Corp 406,770
31,479 Household International Inc 1,404,750
15,142 Huntington Bancshares Inc 448,582
11,540 JP Morgan & Co Inc 1,510,298
29,440 KeyCorp 822,465
52,612 MBNA Corp 1,453,407
40,620 National City Corp 1,198,290
19,950 PNC Bank Corp 1,189,519
14,700 Regions Financial Corp 441,911
10,600 State Street Corp 806,925
21,170 SunTrust Banks Inc 1,549,369
17,850 Synovus Financial Corp 382,650
9,400 Union Planters Corp 418,300
13,320 Wachovia Corp 1,148,850
38,063 Washington Mutual Inc 1,367,870
$28,511,311
ELECTRIC --- 1.8%
13,000 AES Corp* 733,681
8,970 Ameren Corp 339,174
12,740 American Electric Power Company Inc 439,530
7,800 CMS Energy Corp 287,625
10,510 Carolina Power & Light Co 362,595
13,960 Central & South West Corp 309,731
10,420 Cinergy Corp 294,365
14,470 Consolidated Edison Inc 552,566
9,810 Constellation Energy Group 301,039
9,510 DTE Energy Co 315,608
12,630 Dominion Resources Inc 607,819
23,964 Duke Energy Corp 1,353,966
22,820 Edison International 676,043
16,170 Entergy Corp 484,081
11,730 FPL Group Inc 590,160
15,390 FirstEnergy Corp 401,094
6,400 Florida Progress Corp 293,197
8,190 GPU Inc 277,944
12,310 Niagara Mohawk Holdings Inc* 195,421
10,100 Northern States Power Co 217,150
12,260 PECO Energy Co 468,173
10,367 PP&L Resources Inc 280,552
19,520 PacifiCorp 402,600
5,600 Pinnacle West Capital Corp 206,500
14,380 Public Service Enterprise Group Inc 568,902
44,910 Southern Co 1,192,899
18,181 Texas Utilities Co 704,514
14,260 Unicom Corp 546,329
$13,403,258
ELECTRONICS - HIGH TECH --- 21.6%
6,800 Adaptec Inc* 306,000
8,000 Adobe Systems Inc 559,496
9,700 Advanced Micro Devices Inc* 192,176
11,300 Analog Devices Inc* 600,313
5,560 Andrew Corp* 71,585
10,590 Apple Computer Inc* 848,524
24,660 Applied Materials Inc* 2,214,764
5,760 Black & Decker Corp 247,680
27,160 Boston Scientific Corp* 546,595
1,520 Briggs & Stratton Corp 88,824
213,504 Cisco Systems Inc* 15,799,296
111,647 Compaq Computer Corp 2,121,293
4,600 Comverse Technology Inc* 522,100
166,880 Dell Computer Corp* 6,696,060
66,551 EMC Corp* 4,858,223
20,750 Eastman Kodak Co 1,430,443
28,540 Emerson Electric Co 1,714,169
20,600 Gateway Inc* 1,360,877
215,380 General Electric Co 29,197,344
5,260 Harris Corp 118,019
66,570 Hewlett-Packard Co 4,930,307
8,390 Honeywell Inc 884,616
217,280 Intel Corp 16,825,511
118,760 International Business Machines Corp 11,683,015
5,560 Johnson Controls Inc 337,770
5,800 KLA-Tencor Corp* 459,285
9,690 LSI Logic Corp* 515,382
8,500 Lexmark International Group Inc Class A* 663,527
5,770 Maytag Corp 231,158
16,450 Micron Technology Inc* 1,173,082
335,200 Microsoft Corp* 31,026,752
39,850 Motorola Inc 3,882,864
11,000 National Semiconductor Corp* 329,307
4,800 Network Appliance Inc* 355,200
21,960 Novell Inc* 440,562
94,502 Oracle Systems Corp* 4,494,704
25,210 PG&E Corp 578,242
16,000 PeopleSoft Inc 240,000
3,030 Perkinelmer Inc 123,660
3,030 Polaroid Corp 67,605
22,180 Raytheon Co 645,993
5,050 Scientific-Atlanta Inc 289,113
14,590 Seagate Technology Inc* 429,486
12,430 Silicon Graphics Inc* 96,333
17,700 Solectron Corp* 1,331,925
50,840 Sun Microsystems Inc* 5,379,482
3,130 Tektronix Inc 105,638
25,760 Tellabs Inc* 1,629,320
51,560 Texas Instruments Inc 4,627,510
10,410 Thermo Electron Corp* 140,535
3,740 Thomas & Betts Corp 167,833
20,130 Unisys Corp* 488,153
6,180 WW Grainger Inc 261,878
4,950 Whirlpool Corp 344,951
$164,674,480
ENVIRONMENTAL SERVICES --- 0.1%
12,400 Allied Waste Industries Inc* 130,200
21,730 Laidlaw Inc Class B 133,096
40,686 Waste Management Inc 747,605
$1,010,901
FINANCIAL SERVICES --- 0.5%
60,511 Fleet Boston Corp 2,639,792
33,760 Mellon Financial Services 1,246,993
$3,886,785
FORESTRY --- 0.4%
3,730 Boise Cascade Corp 132,881
11,240 Georgia-Pacific Group 446,082
27,174 International Paper Co 1,430,032
7,080 Louisiana-Pacific Corp 89,824
13,250 Weyerhaeuser Co 790,853
$2,889,672
GAS --- 0.4%
5,360 Columbia Energy Group 348,400
6,270 Consolidated Natural Gas Co 401,280
1,810 Eastern Enterprises 92,536
3,130 NICOR Inc 121,288
7,600 New Century Energies Inc 247,471
2,120 ONEOK Inc 61,876
2,320 Peoples Energy Corp 88,160
19,444 Reliant Energy Inc 529,849
11,230 Tenneco Inc 179,680
28,540 Williams Companies Inc 1,070,250
$3,140,790
HIGHWAYS --- 0.0%
4,560 Ryder System Inc 97,470
$97,470
HOLDING & INVEST. OFFICES --- 5.3%
77,018 Bank One Corp 2,892,950
113,451 Bank of America Corp 7,303,408
54,660 Chase Manhattan Corp 4,775,918
10,800 Cincinnati Financial Corp 386,770
221,788 Citigroup Inc 12,004,276
17,830 Fifth Third Bancorp 1,316,068
64,673 Firstar Corp 1,899,769
7,180 MGIC Investment Corp 429,005
7,300 Northern Trust Corp 704,903
6,880 Republic New York Corp 434,727
10,600 SLM Holding Corp 518,732
11,000 SouthTrust Corp 440,000
11,600 Summit Bancorp 401,650
48,049 U S Bancorp 1,780,792
108,360 Wells Fargo Co 5,187,735
$40,476,703
INDUSTRIAL SERVICES --- 3.1%
72,800 America Online Inc* 9,441,214
3,830 Autodesk Inc 71,813
40,640 Automatic Data Processing Inc 1,958,320
15,700 BMC Software Inc* 1,007,736
9,500 Ceridian Corp* 208,402
35,305 Computer Associates International Inc 1,994,733
10,500 Computer Sciences Corp* 721,214
23,500 Compuware Corp* 653,582
4,960 Deluxe Corp 140,120
10,530 Dun & Bradstreet Corp 309,319
32,400 Electronic Data Systems Corp 1,895,400
9,400 Equifax Inc 253,800
28,140 First Data Corp 1,285,632
4,960 Fluor Corp 197,780
2,730 Foster Wheeler Corp 30,713
18,480 Interpublic Group of Companies Inc 750,750
2,730 National Service Industries Inc 88,043
11,700 Omnicom Group Inc 1,029,600
17,700 Parametric Technology Corp* 337,397
16,200 Paychex Inc 637,875
17,620 Pitney Bowes Inc 802,802
2,000 Quintiles Transnational Corp* 37,124
1,810 Shared Medical Systems Corp 68,328
$23,921,697
INSURANCE --- 3.2%
17,500 AFLAC Inc 894,688
16,830 AON Corp 597,465
9,210 Aetna Inc 462,803
52,460 Allstate Corp 1,508,225
16,372 American General Corp 1,214,590
101,658 American International Group Inc 10,464,370
11,530 Chubb Corp 632,709
13,050 Cigna Corp 975,488
21,431 Conseco Inc 521,030
14,880 Hartford Financial Services Group Inc 770,963
6,875 Jefferson-Pilot Corp 516,051
13,060 Lincoln National Corp 602,393
7,080 Loews Corp 501,795
6,560 MBIA Inc 374,327
17,350 Marsh & McLennan Companies Inc 1,371,726
4,800 Progressive Corp 444,298
9,355 Providian Financial Corp 1,019,695
8,590 SAFECO Corp 236,225
14,908 St Paul Companies Inc 477,056
8,700 Torchmark Corp 271,327
15,716 UnumProvident Corp 517,638
$24,374,862
MFTG - CONSUMER PRODS. --- 7.6%
2,420 Adolph Coors Co Class B 134,310
3,740 Alberto-Culver Co Class B 88,122
4,450 American Greetings Corp Class A 115,144
30,670 Anheuser-Busch Companies Inc 2,202,474
40,565 Archer-Daniels-Midland Co 499,436
17,100 Avon Products Inc 551,475
18,320 Bestfoods 1,076,300
4,450 Brown-Forman Corp Class B 300,375
6,070 Brunswick Corp 137,334
28,540 Campbell Soup Co 1,284,300
15,460 Clorox Co 632,886
162,180 Coca-Cola Co 9,568,620
27,900 Coca-Cola Enterprises Inc 713,180
38,240 Colgate-Palmolive Co 2,313,520
32,060 ConAgra Inc 835,548
5,970 Dow Jones & Company Inc 367,155
10,010 General Mills Inc 872,742
71,240 Gillette Co 2,577,962
23,570 HJ Heinz Co 1,125,468
4,650 Harcourt General Inc 179,025
12,785 Hasbro Inc 263,691
9,210 Hershey Foods Corp 465,105
9,790 Ikon Office Solutions Inc 67,306
6,980 International Flavors & Fragrances Inc 266,985
2,330 Jostens Inc 49,221
26,620 Kellogg Co 1,059,795
5,370 Knight-Ridder Inc 340,995
12,900 Leggett & Platt Inc 286,212
4,050 Liz Claiborne Inc 162,000
29,040 Masco Corp 885,720
27,600 Mattel Inc 369,150
12,940 McGraw-Hill Companies Inc 771,548
3,440 Meredith Corp 122,763
21,400 Nabisco Group Holdings Corp 274,177
11,440 New York Times Co Class A 460,460
96,070 PepsiCo Inc 3,332,380
156,930 Philip Morris Companies Inc 3,952,596
87,220 Procter & Gamble Co 9,147,198
8,800 Quaker Oats Co 616,000
8,410 RR Donnelley & Sons Co 203,943
21,240 Ralston-Ralston Purina Group 667,722
2,230 Russell Corp 33,867
59,320 Sara Lee Corp 1,605,318
28,380 Seagram Company Ltd 1,401,263
1,210 Springs Industries Inc Class A 48,173
3,970 Times Mirror Co Class A 286,336
15,580 Tribune Co 934,800
3,740 Tupperware Corp 74,097
11,440 UST Inc 316,739
37,496 Unilever NV 2,500,496
7,780 VF Corp 233,882
7,280 Willamette Industries Inc 302,571
7,680 Wm Wrigley Jr Co 613,916
$57,691,801
MFTG - INDUSTRIAL PRODS --- 9.0%
23,530 3Com Corp* 682,370
6,660 ALZA Corp* 285,128
99,880 Abbott Laboratories 4,032,655
15,060 Air Products & Chemicals Inc 414,150
14,870 Alcan Aluminium Ltd 489,773
12,530 Allegheny Teledyne Inc 190,293
85,860 American Home Products Corp 4,486,185
2,630 Armstrong World Industries Inc 98,296
7,240 BF Goodrich Co 171,494
2,020 Ball Corp 81,430
3,440 Bemis Company Inc 120,183
8,780 Bethlehem Steel Corp* 60,907
5,150 Case Corp 272,950
23,380 Caterpillar Inc 1,291,745
6,270 Champion International Corp 362,481
6,180 Cooper Industries Inc 266,123
4,960 Cooper Tire & Rubber Co 83,388
16,070 Corning Inc 1,263,504
4,395 Crane Co 89,821
7,990 Crown Cork & Seal Company Inc 191,257
9,300 Danaher Corp 449,302
15,390 Deere & Co 557,888
13,660 Dover Corp 581,397
14,480 Dow Chemical Co 1,712,260
68,499 EI du Pont de Nemours & Co 4,413,901
5,150 Eastman Chemical Co 198,594
8,480 Ecolab Inc 286,726
8,310 Engelhard Corp 146,464
14,560 Fort James Corp 383,103
10,310 Goodyear Tire & Rubber Co 425,927
3,840 Great Lakes Chemical Corp 136,320
19,800 Guidant Corp 977,625
6,970 Hercules Inc 167,712
5,790 ITT Industries Inc 197,943
16,480 Illinois Tool Works Inc 1,207,160
10,820 Ingersoll-Rand Co 565,345
35,020 Kimberly-Clark Corp 2,210,638
4,650 Mallinckrodt Inc 157,807
6,680 Mead Corp 240,480
2,530 Milacron Inc 41,586
3,030 Millipore Corp 96,581
26,410 Minnesota Mining & Manufacturing Co 2,510,587
41,640 Monsanto Co 1,603,140
530 NACCO Industries Inc Class A 24,579
4,450 Nalco Chemical Co 235,013
5,760 Nucor Corp 298,800
3,640 Owens Corning 74,620
10,200 Owens-Illinois Inc* 244,157
6,660 PE Corp-PE Biosystems Group 432,068
11,440 PPG Industries Inc 693,550
8,180 Pall Corp 179,445
7,175 Parker-Hannifin Corp 328,701
254,480 Pfizer Inc 10,051,960
33,280 Pharmacia & Upjohn Inc 1,795,023
1,920 Potlatch Corp 80,999
10,510 Praxair Inc 491,343
4,140 Reynolds Metals Co 250,209
12,560 Rockwell International Corp 608,369
14,307 Rohm & Haas Co 547,243
96,420 Schering-Plough Corp 4,772,790
5,512 Sealed Air Corp* 305,227
11,120 Sherwin-Williams Co 248,810
6,670 Sigma-Aldrich Corp 190,095
4,340 Snap-on Inc 131,828
5,860 Stanley Works 162,615
3,640 Temple-Inland Inc 211,575
4,140 The Timken Co 74,259
105,720 Tyco International Ltd 4,222,140
20,310 USX-Marathon Group 591,529
5,760 USX-US Steel Group 147,237
8,790 Union Carbide Corp 536,190
4,760 WR Grace & Co* 71,100
56,100 Warner-Lambert Co 4,477,453
6,300 Watson Pharmaceuticals Inc* 200,025
6,570 Westvaco Corp 195,044
6,160 Worthington Industries Inc 102,410
43,580 Xerox Corp 1,220,240
$68,399,265
MINING --- 0.5%
2,630 ASARCO Inc 77,585
24,060 Alcoa Inc 1,461,645
25,570 Barrick Gold Corp 468,238
10,740 Freeport-McMoran Copper & Gold Inc Class B* 179,218
17,110 Homestake Mining Co 143,296
12,620 Inco Ltd 255,555
11,013 Newmont Mining Corp 241,592
6,074 Phelps Dodge Corp 340,287
21,380 Placer Dome Inc 259,233
6,600 Vulcan Materials Co 272,659
$3,699,308
OIL & GAS --- 6.1%
5,970 Amerada Hess Corp 342,529
8,500 Anadarko Petroleum Corp 261,902
7,500 Apache Corp 292,500
4,740 Ashland Inc 156,420
21,140 Atlantic Richfield Co 1,969,973
21,608 Baker Hughes Inc 603,663
11,620 Burlington Resources Inc 405,248
43,090 Chevron Corp 3,934,634
14,060 Coastal Corp 592,278
41,205 Conoco Inc 1,117,686
14,960 El Paso Energy Corp 613,360
46,880 Enron Corp 1,872,247
159,480 Exxon Corp 11,811,408
29,010 Halliburton Co 1,093,300
3,320 Helmerich & Payne Inc 79,056
5,642 Kerr-McGee Corp 303,258
3,940 McDermott International Inc 71,413
51,380 Mobil Corp 4,958,170
22,850 Occidental Petroleum Corp 521,254
16,600 Phillips Petroleum Co 771,900
5,460 Rowan Companies Inc* 84,969
140,800 Royal Dutch Petroleum Co 8,439,130
35,960 Schlumberger Ltd 2,177,810
15,761 Sempra Energy 322,108
5,950 Sunoco Inc 143,544
36,300 Texaco Inc 2,227,913
10,000 Tosco Corp 253,120
16,590 Union Pacific Resources Group Inc 240,555
15,890 UnoCal Corp 548,205
$46,209,553
OTHER TRANS. SERVICES --- 0.0%
2,120 FMC Corp* 86,256
$86,256
RAILROADS --- 0.4%
30,530 Burlington Northern Santa Fe Corp 973,144
14,260 CSX Corp 584,660
7,300 Kansas City Southern Industries Inc 346,290
24,970 Norfolk Southern Corp 610,192
16,280 Union Pacific Corp 907,610
$3,421,896
RETAIL TRADE --- 6.6%
27,657 Albertson's Inc 1,004,281
9,810 AutoZone Inc* 260,573
9,200 Bed Bath & Beyond Inc* 306,470
13,400 Best Buy Inc* 744,531
13,240 Circuit City Stores-Circuit City Group 565,176
7,200 Consolidated Stores Corp* 131,846
8,720 Darden Restaurants Inc 166,221
29,020 Dayton Hudson Corp 1,875,418
6,980 Dillards Inc Class A 131,748
14,706 Dollar General Corp 387,871
13,650 Federated Department Stores Inc* 582,678
10,930 Fortune Brands Inc 387,326
56,270 Gap Inc 2,089,024
11,735 Genuine Parts Co 305,838
2,520 Great Atlantic & Pacific Tea Company Inc 71,976
97,380 Home Depot Inc 7,352,190
17,270 JC Penney Co Inc 438,226
32,460 Kmart Corp* 326,613
10,700 Kohl's Corp* 800,488
54,460 Kroger Co* 1,133,422
14,763 Limited Inc 607,128
2,630 Longs Drug Stores Corp 71,668
25,060 Lowe's Companies Inc 1,378,300
21,935 May Department Stores Co 760,859
88,960 McDonald's Corp 3,669,600
1,401 Neiman Marcus Group Inc Class B* 33,537
18,489 Newell Rubbermaid Inc 640,182
9,220 Nordstrom Inc 229,919
24,600 Office Depot Inc* 305,950
3,556 Pep Boys - Manny Moe & Jack 44,450
16,980 Rite Aid Corp 148,575
33,500 Safeway Inc* 1,182,952
24,990 Sears Roebuck & Co 704,393
30,500 Staples Inc* 676,704
20,900 TJX Companies Inc 566,913
12,660 Tandy Corp 796,782
16,300 Toys R Us Inc* 230,238
10,117 Tricon Global Restaurants* 406,572
292,280 Wal-Mart Stores Inc 16,568,476
65,920 Walgreen Co 1,660,327
7,990 Wendy's International Inc 190,761
9,810 Winn-Dixie Stores Inc 265,478
$50,201,680
SECURITIES & COMMODITIES --- 1.4%
7,675 Bear Stearns Companies Inc 327,147
53,750 Charles Schwab Corp 2,092,864
16,600 Franklin Resources Inc 581,000
7,900 Lehman Brothers Holdings Inc 582,127
24,240 Merrill Lynch & Co Inc 1,902,840
37,521 Morgan Stanley Dean Witter & Co 4,139,017
9,600 Paine Webber Group Inc 391,200
8,000 T Rowe Price & Associates Inc 284,000
$10,300,195
TELEPHONE --- 6.8%
9,200 ADC Telecommunications Inc* 438,720
20,040 ALLTEL Corp 1,668,330
101,966 Bell Atlantic Corp 6,621,366
123,800 BellSouth Corp 5,571,000
9,200 CenturyTel Inc 372,020
64,430 GTE Corp 4,832,250
50,431 Global Crossing Ltd* 1,746,173
123,033 MCI WorldCom Inc* 10,557,708
224,173 SBC Communications Inc 11,418,700
56,940 Sprint Corp 4,231,325
28,860 Sprint PCS 2,393,562
33,106 US WEST Inc 2,021,519
$51,872,673
TRANSPORTATION EQUIPMENT --- 2.5%
36,120 AlliedSignal Inc 2,056,564
2,730 Cummins Engine Company Inc 138,376
10,903 Dana Corp 322,314
37,122 Delphi Automotive Systems Corp 610,174
4,750 Eaton Corp 357,438
2,220 Fleetwood Enterprises Inc 48,423
79,400 Ford Motor Co 4,357,075
13,080 General Dynamics Corp 725,116
42,270 General Motors Corp Series D 2,969,468
25,980 Lockheed Martin Corp 519,600
4,350 Navistar International Corp* 181,338
4,540 Northrop Grumman Corp 249,133
5,160 PACCAR Inc 243,165
7,990 TRW Inc 342,571
9,820 Textron Inc 757,976
63,048 The Boeing Co 2,904,117
31,660 United Technologies Corp 1,915,430
$18,698,278
WHOLESALE TRADE -CONSUMER --- 0.6%
7,480 Avery Dennison Corp 467,500
17,900 Cardinal Health Inc 771,938
14,460 Costco Wholesale Corp* 1,161,312
18,510 NIKE Inc Class B 1,044,649
3,740 Reebok International Ltd* 36,697
9,100 SUPERVALU Inc 191,100
21,760 SYSCO Corp 836,389
$4,509,585
TOTAL COMMON STOCK --- 97.2% $740,328,909
(Cost $538,791,695)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 2.5%
18,963,000 Associates Corporation of North America 18,957,406
$18,957,406
U.S. GOVERNMENTS --- 0.3%
2,000,000 United States of America (1) 2,004,957
$2,004,957
TOTAL SHORT-TERM INVESTMENTS --- 2.8% $20,962,363
(Cost $20,962,363)
TOTAL ORCHARD INDEX 500 FUND --- 100.0% $761,291,272
(Cost $559,754,058)
The Orchard Series Fund
Orchard Index 600 Fund
COMMON STOCK
AGRICULTURE --- 0.5%
4,100 Agribrands International Inc* 181,425
14,966 Delta & Pine Land Co 437,756
$619,181
AIR --- 0.8%
13,050 Air Express International Corp 347,456
7,300 Atlantic Coast Airlines Holdings Inc* 169,725
13,200 Mesa Air Group Inc* 74,250
5,600 Midwest Express Holdings Inc* 164,147
8,200 Offshore Logistics Inc* 75,850
8,100 Pittston Burlington Group 59,738
9,600 Skywest Inc 238,195
$1,129,361
COMMUNICATIONS --- 1.9%
5,800 Adaptive Broadband Corp* 214,235
10,800 Allen Group Inc* 97,870
19,800 CommScope Inc* 789,525
5,300 Concord Communications Inc* 275,266
16,000 DSP Communications Inc* 562,992
19,600 General Communication Inc Class A* 95,550
19,350 HA-LO Industries Inc* 94,331
15,700 Picturetel Corp* 54,950
23,900 TALK.com Inc* 380,894
$2,565,613
CONSTRUCTION --- 1.7%
10,800 Apogee Enterprises Inc 68,170
25,025 DR Horton Inc 295,595
9,950 Dycom Industries Inc* 323,992
9,200 Geon Co 241,500
9,900 Insituform Technologies Inc Class A* 236,976
8,700 MDC Holdings Inc 135,938
20,500 Morrison Knudsen Corp* 187,063
4,600 Southern Energy Homes Inc* 11,500
11,500 Standard Pacific Corp 123,625
5,800 The Ryland Group Inc 119,625
14,300 Toll Brothers Inc* 250,250
6,100 URS Corp* 109,800
5,200 US Home Corp* 145,600
$2,249,634
CONSUMER SERVICES --- 7.5%
4,200 Advanced Paradigm Corp* 179,025
4,600 Anchor Gaming Co* 280,600
3,400 Angelica Corp 38,886
17,300 Aztar Corp* 167,585
8,900 Biomatrix Inc* 201,914
3,900 CPI Corp 99,692
4,400 Carmike Cinemas Inc Class A* 53,073
14,250 Central Parking Corp 382,071
5,400 Cooper Companies Inc 135,000
23,000 Coventry Health Care Inc* 132,250
3,900 Curative Technologies Inc* 18,525
7,400 DBT Online Inc* 172,975
5,900 Datascope Corp* 212,400
15,150 Dendrite International Inc* 475,331
5,300 Diagnostic Products Corp 123,225
9,720 Enzo Biochem Inc* 207,765
15,900 Epicor Software Corp* 76,511
7,900 Franklin Covey Co* 63,690
8,000 G&K Services Inc Class A 300,496
3,000 GC Companies Inc* 89,250
14,100 Genesis Health Ventures Inc* 23,787
10,100 Hollywood Park Inc* 174,851
11,200 Hooper Holmes Inc 301,000
8,100 IDEC Pharmaceuticals Corp* 941,115
10,900 Incyte Pharmaceuticals Inc* 209,825
4,500 Insurance Auto Actions Inc* 69,188
25,490 Interim Services Inc* 418,979
16,900 Jones Pharmaceuticals Inc 523,900
16,650 Labor Ready Inc* 169,614
9,900 Laser Vision Centers Inc* 85,071
12,400 Magellan Health Services Inc* 75,169
14,000 Medquist Inc* 448,000
7,700 NCS HealthCare Inc Class A* 22,854
8,700 NFO Worldwide Inc* 96,788
12,800 North American Vaccine Inc* 67,994
18,700 Orthodontic Centers of America Inc* 257,125
5,500 Osteotech Inc* 71,841
6,000 Pediatrix Medical Group* 53,250
29,600 Phycor Inc* 74,000
12,500 Players International Inc* 92,188
20,100 Prime Hospitality Corp* 157,021
8,494 Priority Healthcare Corp* 170,407
15,050 Regis Corp 279,358
17,300 Renal Care Group Inc* 322,213
22,350 Rollins Truck Leasing Corp 215,119
10,450 Sierra Health Services Inc* 76,410
11,400 Staffmark Inc* 81,932
11,650 The Marcus Corp 163,822
11,700 Theragenics Corp* 124,313
33,300 US Oncology Inc* 148,784
12,300 Universal Health Services Inc Class B* 361,313
11,900 Varian Medical Systems Inc 250,638
6,700 Wesley Jessen Visioncare* 180,063
$10,118,196
CREDIT INSTITUTIONS --- 4.3%
9,900 Anchor Bancorp Wisconsin Inc 158,400
10,000 Carolina First Corp 206,870
15,528 Charter One Financial Inc* 381,399
10,808 Commerce Bancorp Inc 484,328
23,550 Commercial Federal Corp 462,169
20,800 Cullen/Frost Bankers Inc 600,600
11,300 First BanCorp 252,838
10,800 First Midwest Bancorp Inc 441,450
10,200 Premier Bancshares Inc 179,775
11,000 Riggs National Corp 166,375
14,350 Susquehanna Bancshares Inc 238,569
10,460 Trustco Bank Corp 309,219
7,200 US Trust Corp 584,100
16,600 UST Corp 514,600
16,800 United Bankshares Inc 413,700
8,900 Whitney Holding Corp 329,300
$5,723,692
ELECTRIC --- 1.2%
2,900 Bangor Hydro Electric Co 47,488
6,600 Central Hudson Gas & Electric Corp 247,084
4,500 Central Vermont Public Service Corp 58,217
8,000 Eastern Utilities Associates 242,000
11,600 Energen Corp 214,600
2,100 Green Mountain Power Corp 21,130
9,000 NorthWestern Corp 205,308
4,200 Pennsylvania Enterprises Inc 143,060
5,200 TNP Enterprises Inc 207,350
5,600 United Illuminating Co 289,800
$1,676,037
ELECTRONICS - HIGH TECH --- 16.8%
8,000 ADAC Laboratories* 69,496
4,100 Alliant Techsystems Inc* 252,150
7,500 Alpha Industries Inc* 414,375
4,900 Analogic Corp 128,625
14,000 Anixter International Inc* 292,250
14,600 Artesyn Technologies Inc* 288,350
18,500 Aspect Telecommunications Corp* 465,960
9,700 Aspen Technology Inc* 123,675
10,200 Auspex Systems Inc* 56,732
2,199 Avnet Inc* 119,432
14,133 Baldor Electric Co 274,703
6,300 Benchmark Electronics Inc* 100,800
6,900 Black Box Corp* 350,175
14,400 Burr Brown Corp* 566,093
4,800 C COR Electronics Inc* 188,400
15,600 C-Cube Microsystems Inc* 694,200
10,700 CTS Corp 605,213
10,950 Cable Design Technologies Co* 212,156
2,300 Centigram Communications Corp* 21,850
11,700 Checkpoint Systems Inc* 87,750
9,000 Clarify Inc* 695,250
16,000 Cognex Corp* 478,992
9,400 Coherent Inc* 193,283
11,200 Dallas Semiconductor Corp 659,400
5,800 Digi International Inc* 71,775
24,900 Digital Microwave Corp* 370,388
8,700 Dionex Corp* 386,602
5,100 Electro Scientific Industries Inc* 275,400
7,700 Electroglas Inc* 212,466
6,800 Esterline Technologies Corp* 93,500
8,300 Etec Systems Inc* 316,952
8,600 Exabyte Corp* 40,308
6,100 FactSet Research Systems Inc 405,266
14,300 General Semiconductor Inc* 150,150
9,400 HNC Software Inc* 375,408
5,300 Hadco Corp* 194,775
7,300 Hanger Orthopedic Group* 89,878
15,050 Harbinger Corp* 239,852
6,900 Harman International Industries Inc 282,038
4,350 Harmon Industries Inc 57,638
6,000 Hologic Inc* 21,000
9,600 Hutchinson Technology Inc* 244,800
19,700 Input/Output Inc* 103,425
10,100 Inter-Tel Inc 160,338
20,100 International Rectifier Corp* 390,684
12,500 Intervoice Inc* 154,688
11,100 Invacare Corp 231,713
15,300 Kemet Corp* 489,110
10,900 Kent Electronics Corp* 211,863
21,000 Komag Inc* 34,776
8,600 Kroll-O'Gara Co* 136,525
27,500 Lattice Semiconductor Corp* 972,813
16,700 Macromedia Inc* 1,076,098
9,500 Mentor Corp 223,839
13,800 Methode Electronics Inc Class A 220,800
16,000 Micrel Inc* 870,000
12,300 National Computer Systems Inc 465,088
8,300 Network Equipment Technologies Inc* 84,552
7,100 Oak Industries Inc* 291,100
25,000 P-Com Inc* 115,625
4,000 Park Electrochemical Corp 139,500
10,500 Pioneer-Standard Electronics Inc 137,151
6,600 Plantronics Inc* 386,509
6,800 Plexus Corp* 180,200
4,600 Proxim Inc* 215,335
19,300 Read-Rite Corp* 75,984
11,300 Remedy Corp* 485,900
11,900 Respironics Inc* 100,400
7,100 Royal Appliance Manufacturing Co* 40,825
21,600 Safeskin Corp* 180,900
3,700 Spacelabs Inc* 52,725
6,100 Standard Microsystems Corp* 55,278
18,100 Summit Technology Inc* 281,672
8,600 Sunrise Medical Inc* 48,375
5,800 Symmetricom Inc* 44,225
6,300 Technitrol Inc 229,163
6,300 Telxon Corp 72,841
6,200 Thomas Industries Inc 110,825
2,700 Three Five Systems Inc* 91,292
8,800 Trimble Navigation Ltd* 143,000
10,800 Valence Technology Inc* 54,000
16,100 Vicor Corp* 446,775
11,700 Visio Corp* 463,238
4,800 Vital Signs Inc 103,800
2,600 Watkins Johnson Co 96,200
8,300 X-Rite Inc 50,838
4,800 Xomed Surgical Products Inc* 291,898
12,200 Zebra Technologies Corp Class A* 663,375
$22,642,767
ENVIRONMENTAL SERVICES --- 0.2%
8,600 ABM Industries Inc 205,325
5,300 Tetra Technologies Inc* 44,054
$249,379
GAS --- 2.1%
12,100 Atmos Energy Corp 274,513
4,300 Cascade Natural Gas Corp 77,938
4,000 Connecticut Energy Corp 151,000
6,900 New Jersey Resources Corp 280,740
9,700 Northwest Natural Gas Co 250,988
12,100 Piedmont Natural Gas Company Inc 387,200
15,600 Pogo Producing Co 312,967
8,000 Public Service Company of North Carolina Inc 251,496
12,000 Southwest Gas Corp 279,000
9,700 Southwestern Energy Co 77,600
14,600 Wicor Inc 434,350
$2,777,792
HOLDING & INVEST. OFFICES --- 3.2%
9,100 Banknorth Group Inc 307,407
11,100 Centura Banks Inc 584,826
11,000 Chittenden Corp 339,625
20,100 Community First Bancshares Inc 382,523
4,800 Dain Rauscher Corp 257,698
14,000 Eaton Vance Corp 478,618
15,115 Hudson United Bancorp 475,170
17,724 Inacom Corp* 85,288
3,700 JSB Financial Inc 222,463
9,400 MAF Bancorp Inc 202,683
10,300 Pioneer Group Inc* 128,101
9,975 Provident Bankshares Corp 214,772
8,350 Queens County Bancorp Inc 262,499
8,100 Silicon Valley Bancshares* 264,263
6,500 WHX Corp* 59,716
$4,265,652
INDUSTRIAL SERVICES --- 9.5%
20,400 Advanced Tissue Sciences Inc* 68,850
8,200 Advo Inc* 145,033
16,400 American Management Systems Inc* 424,350
8,750 Analysts International Corp 102,261
8,000 Apex Inc* 136,000
9,200 Avid Technology Inc* 101,770
5,600 Barra Inc* 123,721
14,500 Billing Information Concepts* 72,500
10,500 Bisys Group Inc* 535,500
7,400 CDI Corp* 196,100
13,100 Cerner Corp* 195,675
5,700 ChoicePoint Inc* 352,328
22,800 Ciber Inc* 371,914
8,100 Computer Task Group Inc 102,263
5,500 Fair Isaac & Co Inc 212,438
12,600 Filenet Corp* 208,291
11,985 Hyperion Solutions Corp* 292,134
10,900 Information Resources Inc* 115,813
5,700 Itron Inc* 26,716
7,800 Jack Henry & Associates Inc 283,725
7,300 Lason Inc* 271,239
8,300 Maximus Inc* 192,452
14,800 Mercury Interactive Corp* 1,200,957
13,200 National Data Corp 316,800
19,400 National Instruments Corp* 583,203
9,600 Pharmaceutical Product Development Inc* 96,595
9,000 Prepaid Legal Services Inc* 218,250
8,000 Primark Corp* 203,000
6,700 Progress Software Corp* 224,450
5,200 QRS Corp* 289,250
15,100 RSA Security Inc* 536,050
28,500 S3 Inc* 285,000
6,900 SEI Investments Cos 672,529
6,900 Service Experts Inc* 41,400
5,100 Stone & Webster Inc 79,050
16,300 Technology Solutions Co* 334,150
14,850 Tetra Tech Inc* 235,744
18,500 The Profit Recovery Group International Inc* 761,960
18,600 True North Communications Inc 749,803
10,700 US Bioscience Inc* 172,538
10,500 Vantive Corp* 122,063
5,900 Volt Information Sciences Inc* 116,525
3,900 Wall Data Inc* 31,929
21,100 Whittman Hart Inc* 811,021
5,900 Zixit Corp* 234,525
$12,847,865
INSURANCE --- 3.3%
7,100 Arthur J Gallagher & Co 367,425
14,200 Capital RE Corp 200,575
7,872 Delphi Financial Group Inc Class A* 251,904
5,100 EW Blanch Holdings 330,225
14,800 Enhance Financial Services Group Inc 270,100
11,812 Fidelity National Financial Inc 185,295
25,400 First American Financial Corp 376,225
27,300 Fremont General Corp 235,463
13,550 Frontier Insurance Group Inc 120,256
5,100 Hilb Rogal & Hamilton Co 127,816
16,900 Mutual Risk Management Ltd 255,613
10,400 Orion Capital Corp 508,300
14,400 Radian Group Inc 760,493
10,800 Selective Insurance Group Inc 201,820
4,150 Trenwick Group Inc 84,295
6,700 Zenith National Insurance Corp 149,490
$4,425,295
MFTG - CONSUMER PRODS. --- 7.7%
6,600 Action Performance Companies Inc* 134,264
5,400 Ashworth Inc* 22,610
9,000 Authentic Fitness Corp 174,933
4,900 Bassett Furniture Industries Inc 88,200
14,400 Bowne & Company Inc 160,200
7,000 Canandaigua Wine Co Inc Class B* 423,500
7,200 Catalina Marketing Corp* 674,100
18,800 Champion Enterprises Inc* 171,550
25,600 Chiquita Brands International Inc 121,600
3,400 Coca-Cola Bottling Co 178,925
9,900 Cone Mills Corp* 45,788
6,100 Consolidated Graphics Inc* 122,000
14,500 Corn Products International Inc 472,149
6,100 Cyrk Inc* 39,839
9,100 Delta Woodside Industries Inc 21,039
17,300 Dimon Inc 60,550
16,600 Earthgrains Co 378,679
7,600 Elcor Corp 187,150
15,950 Ethan Allen Interiors Inc 567,214
4,500 Galey & Lord Inc* 6,750
6,200 Gibson Greetings Inc* 30,225
8,600 Guilford Mills Inc 75,783
9,500 Gymboree Corp* 61,152
2,800 Haggar Corp 30,537
12,600 Hartmarx Corp* 55,125
5,800 Innovex Inc 46,400
20,700 Interface Inc Class A 84,083
3,500 J&J Snack Foods Corp* 67,375
12,100 John H Harland Co 229,900
12,200 Just For Feet Inc* 16,775
9,900 Justin Industries Inc 138,600
4,400 K-Swiss Inc 56,650
7,100 K2 Inc 56,800
10,800 Kellwood Co 191,020
20,300 La-Z-Boy Inc 370,475
15,400 Linens 'N Things Inc* 612,150
6,100 Lydall Inc* 44,988
6,300 Merrill Corp 129,938
7,900 Michael Foods Inc 201,450
2,900 National Presto Industries Inc 107,300
6,800 Nature's Sunshine Products Inc 50,150
5,600 New England Business Service Inc 145,600
18,400 Oakwood Homes Corp 54,041
6,400 Oshkosh B'Gosh Inc Class A 131,200
3,200 Oxford Industries Inc 68,800
4,700 Panera Bread Co* 32,313
9,800 ParExel International Corp* 93,708
5,400 Performance Food Group Co* 146,475
10,600 Phillips-Van Heusen Corp 84,800
5,526 Pillowtex Corp 18,650
8,700 Quicksilver Inc* 122,888
11,900 Ralcorp Holdings Inc* 232,050
6,200 Schweitzer-Mauduit International Inc 74,009
17,900 Smithfield Foods Inc* 407,225
9,700 Sola International Inc* 135,800
18,100 Stride Rite Corp 118,772
3,100 Swiss Army Brands Inc* 25,188
4,400 The Dixie Group Inc* 29,700
8,200 The Timberland Co Class A* 404,875
8,000 Titan International Inc 57,496
5,300 USA Detergents Inc* 28,154
8,100 Universal Forest Products Inc 117,450
21,900 Valassis Communications Inc* 941,700
16,100 Wolverine World Wide Inc 165,025
$10,343,835
MFTG - INDUSTRIAL PRODS --- 14.2%
6,500 AT Cross Co Class A* 30,063
16,900 Alliance Pharmaceutical Corp* 73,397
10,750 Alpharma Inc Class A 378,260
3,600 Amcast Industrial Corp 48,823
15,170 Applied Power Inc Class A 440,871
14,200 Aptargroup Inc 381,625
7,400 Astec Industries Inc* 173,434
10,700 BMC Industries Inc 62,188
8,900 Barr Labs Inc* 269,777
9,500 Belden Inc 174,563
20,500 Bio-Technology General Corp* 199,875
11,500 Birmingham Steel Corp 81,213
6,400 Brush Wellman Inc 84,800
13,800 Buckeye Technologies Inc* 208,725
2,800 Butler Manufacturing Co 69,124
5,000 C&D Technologies Inc 160,625
9,600 COR Therapeutics Inc* 193,795
9,600 Cambrex Corp 290,400
9,700 Caraustar Industries Inc 234,013
12,000 Cephalon Inc* 195,000
4,100 Chemed Corp 122,742
7,100 Chemfirst Inc 190,813
9,300 Clarcor Inc 158,677
6,200 Commonwealth Industries Inc 62,000
9,400 Cygnus Inc* 93,408
17,200 Dura Pharmaceuticals Inc* 219,833
14,000 Fedders Corp 86,618
7,400 Florida Rock Industries Inc 249,750
5,700 Flow International Corp* 64,838
12,400 Fossil Inc* 342,550
5,800 Gardner Denver Machinery Inc* 69,960
8,700 Gerber Scientific Inc 164,213
8,700 Global Industries Technologies Inc* 106,575
7,900 Graco Inc 264,650
11,800 Griffon Corp* 87,025
8,700 Helix Technology Corp 350,714
11,500 IDEX Corp 283,188
15,400 IDEXX Laboratories Inc* 232,925
6,400 IMCO Recycling Inc 93,600
9,700 Immune Response Corp* 36,676
3,300 Insteel Industries Inc 24,542
4,808 Intermagnetics General Corp* 28,247
9,900 Intermet Corp 100,238
6,300 Ionics Inc* 185,850
17,200 JLG Industries Inc 220,366
4,950 Kronos Inc* 222,131
9,100 Kulicke & Soffa Industries Inc* 267,877
6,300 Libbey Inc 166,950
9,000 Lilly Industries Inc Class A 120,933
4,925 Lindsay Manufacturing Co 100,037
15,200 Liposome Company Inc* 119,700
9,800 MacDermid Inc 331,975
5,900 Material Sciences Corp* 73,378
5,600 Maxxim Medical Inc* 134,400
4,000 McWhorter Technologies Inc* 54,748
6,300 Micros Systems Inc* 291,570
10,200 Mississippi Chemical Corp 56,732
14,000 Mueller Industries Inc* 447,118
7,833 Myers Industries Inc 110,148
26,100 NBTY Inc* 210,418
2,300 Nashua Corp* 19,263
8,400 Noven Pharmaceuticals Inc* 82,421
9,300 OM Group Inc 348,750
11,900 Organogenesis Inc* 89,250
18,100 Paxar Corp* 168,547
2,900 Penford Corp 39,782
9,300 Photronics Inc* 194,714
9,700 Polaris Industries Inc 338,889
5,200 Pope & Talbot Inc 75,400
7,800 Powerwave Technologies Inc* 507,484
7,300 Protein Design Labs Inc* 292,453
3,500 Quaker Chemical Corp 56,438
5,500 Quanex Corp 119,279
8,100 RTI International Metals Inc* 58,725
3,600 RailTex Inc* 57,600
8,200 Regal-Beloit Corp 178,350
12,200 Regeneron Pharmaceuticals Inc* 97,600
10,800 Reliance Steel & Aluminum Co 226,800
4,620 Republic Group Inc 79,695
4,300 Robbins & Myers Inc 69,604
12,400 Roberts Pharmaceutical Corp* 399,900
11,800 Roper Industries Inc 364,325
8,100 Russ Berrie & Company Inc 155,925
13,900 SLI Inc* 149,425
4,900 SPS Technologies Inc* 151,900
7,100 Scott Technologies Inc* 134,900
7,100 Scotts Co Class A* 284,888
10,750 Shorewood Packaging Corp* 136,385
12,900 Silicon Valley Group Inc* 161,250
7,200 Specialty Equipment Companies Inc* 150,300
11,400 SpeedFam-IPEC Inc* 126,107
5,000 Standex International Corp 103,435
4,300 Steel Technologies Inc 50,254
10,500 Sturm Ruger Company Inc 93,188
8,200 Texas Industries Inc 293,663
10,100 The Manitowoc Company Inc 301,738
5,600 Thomas Nelson Inc 53,900
5,000 Toro Co 179,375
18,200 Tower Automotive Inc* 296,878
14,500 Tredegar Industries Inc 318,087
8,300 Ultratech Stepper Inc* 131,763
9,400 Valmont Industries Inc 163,325
9,900 Vertex Pharmaceuticals Inc* 283,388
6,100 WD-40 Co 141,825
8,800 WH Brady Co Class A 255,200
10,500 Watts Industries Inc Class A 143,714
5,200 Wolverine Tube Inc* 71,500
7,300 Wynn's International Inc 113,603
9,400 Xircom Inc* 474,108
$19,083,977
MINING --- 0.4%
10,450 AMCOL International Corp 128,013
8,400 Coeur D'Alene Mines Co* 36,750
26,000 Hecla Mining Co* 63,362
14,750 Stillwater Mining Co* 296,844
$524,969
OIL & GAS --- 2.5%
12,600 Barrett Resources Corp* 422,881
11,300 Benton Oil & Gas Co* 19,063
9,600 Cabot Oil & Gas Corp 154,800
18,950 Cross Timbers Oil Co 210,819
6,700 Dril-Quip Inc* 156,613
7,300 HS Resources Inc* 114,063
16,200 Newfield Exploration Co* 476,879
8,800 Oceaneering International Inc* 119,346
6,600 Plains Resources Inc* 113,434
8,300 Pool Energy Services Co* 181,040
21,900 Pride International Inc* 301,125
8,300 Remington Oil & Gas Corp* 40,463
9,500 Seitel Inc 75,402
4,300 St Mary Land & Exploration Co 109,650
7,100 Stone Energy Corp* 345,238
17,300 Tuboscope Vetco International Corp* 192,463
24,300 Vintage Petroleum Inc 264,263
$3,297,542
OTHER TRANS. SERVICES --- 2.0%
12,400 American Freightways Corp* 255,750
7,700 Arkansas Best Corp* 106,838
20,800 Brightpoint Inc* 163,134
19,500 Expeditors International of Washington Inc 728,813
14,200 Fritz Companies Inc* 158,855
6,300 Frozen Food Express Industries Inc 31,500
11,700 Heartland Express Inc* 158,675
4,000 Landstar System Inc* 162,000
4,800 MS Carriers Inc* 135,600
5,700 Rural/Metro Corp* 34,200
10,300 USFreightways Corp 466,714
18,450 Werner Enterprises Inc 294,038
$2,696,117
REAL ESTATE --- 0.0%
19,000 Amresco Inc* 55,803
$55,803
RETAIL TRADE --- 8.5%
28,000 AmeriCredit Corp* 486,500
11,100 Ames Department Stores Inc* 351,726
12,500 AnnTaylor Stores Corp* 532,025
11,200 Applebee's International Inc 322,694
14,200 Bombay Company Inc* 58,575
7,000 Books-A-Million Inc* 63,000
7,100 Brown Shoe Co 126,465
4,900 Builders Material Holding Corp* 54,204
10,550 CEC Entertainment Inc* 338,254
20,246 CKE Restaurants Inc 136,661
20,500 Casey's General Stores Inc 263,938
10,000 Cash America International Inc 94,370
10,300 Cato Corp Class A 118,450
7,800 Cheesecake Factory Inc* 238,875
10,343 Consolidated Products Inc* 118,945
10,600 Copart Inc* 243,800
3,200 Cost Plus Inc* 116,800
2,300 Danmark International Inc* 23,501
6,500 Discount Auto Parts Inc* 92,625
5,500 Enesco Group Inc 69,438
15,000 Express Scripts Inc* 736,875
8,300 Footstar Inc* 290,500
16,500 Gencorp Inc 187,688
13,000 Goody's Family Clothing Inc* 131,625
4,900 Gottschalks Inc* 43,791
8,400 Group 1 Automotive Inc* 140,700
7,400 Hancock Fabrics Inc 30,525
7,800 IHOP Corp* 140,884
10,000 Insight Enterprises Inc* 373,750
5,400 J Baker Inc 30,035
14,900 Jack In The Box Inc* 358,524
10,600 Jan Bell Marketing Inc* 29,150
7,100 Jo-Ann Stores Inc Class A* 98,953
10,000 Landry's Seafood Restaurant Co* 75,000
3,600 Lillian Vernon Corp 45,673
8,700 Luby's Cafeterias Inc 103,313
11,200 Michaels Stores Inc* 375,894
14,779 Midway Games Inc* 294,649
9,900 O'Reilly Automotive Inc* 431,888
16,500 Omnova Solutions Inc* 115,500
12,000 Pacific Sunwear of California Inc* 362,244
37,575 Pier 1 Imports Inc 223,083
12,500 Ruby Tuesday Inc 238,275
14,400 Ryan's Family Steak Houses Inc* 150,739
11,600 ShopKo Stores Inc* 290,719
7,300 Sonic Corp* 204,400
17,400 Stein Mart Inc* 115,275
8,900 TCBY Enterprises Inc 37,264
6,000 TJ International Inc 186,000
5,200 Taco Cabana Inc* 45,172
7,700 The Dress Barn Inc* 136,914
16,350 The Men's Wearhouse Inc* 358,670
12,400 The Sports Authority Inc* 27,119
10,000 Triarc Companies Inc Class A* 198,750
10,200 Whole Foods Market Inc* 346,800
14,200 Zale Corp* 594,270
$11,401,457
SECURITIES & COMMODITIES --- 1.0%
10,941 Downey Financial Corp 242,070
9,500 Hambrecht & Quist Group* 469,063
9,300 Jefferies Group Inc 198,202
18,475 Raymond James Financial Inc 374,119
$1,283,454
TRANSPORTATION EQUIPMENT --- 2.1%
10,700 AAR Corp 178,551
9,050 AO Smith Corp 219,463
10,000 Arctic Cat Inc 95,000
5,800 Aviation Sales Co* 100,775
9,600 BE Aerospace Inc* 96,595
6,500 Coachmen Industries Inc 95,466
28,500 Gentex Corp* 489,830
4,100 Huffy Corp 40,742
17,400 Mascotech Inc 253,379
7,300 Monaco Coach Corp* 171,550
14,600 Orbital Sciences Corp* 215,350
7,000 Simpson Industries Inc 73,276
3,500 Skyline Corp 87,063
4,800 Spartan Motors Inc 21,000
5,100 Standard Motor Products Inc 82,238
4,750 Thor Industries Inc 119,938
8,900 Wabash National Corp 141,288
8,600 Winnebago Industries Inc 149,425
9,700 Yellow Corp* 164,900
$2,795,829
UTILITIES --- 0.2%
5,554 NStar 211,396
$211,396
WATER --- 1.2%
3,500 American States Water Co 120,092
4,400 Aquarion Co 159,773
11,250 Halter Marine Group Inc* 61,166
7,800 Kirby Corp* 141,375
15,868 Philadelphia Suburban Corp 364,964
4,700 Seacor Holdings Inc* 215,025
15,100 United Water Resources Inc 509,625
$1,572,020
WHOLESALE TRADE - INDL --- 1.0%
5,500 AM Castle & Co 68,063
8,300 Applied Industrial Technology Inc 130,725
13,100 Bindley Western Industries Inc 164,562
4,000 Lawson Products Inc 91,000
7,800 MicroAge Inc* 17,550
13,500 Nautica Enterprises Inc* 203,337
13,150 Patterson Dental Co* 592,565
8,200 TBC Corp* 56,113
$1,323,915
WHOLESALE TRADE -CONSUMER --- 1.2%
7,600 Barnes Group Inc 154,371
5,700 Commercial Metals Co 185,963
6,900 Department 56 Inc* 131,100
15,100 Fleming Companies Inc 180,249
9,200 Hughes Supply Inc 199,520
9,200 Kaman Corp Class A 101,200
4,400 Nash Finch Co 28,873
12,700 Owens & Minor Inc 119,063
4,600 Simpson Manufacturing Company Inc* 186,585
4,600 Syncor International Corp* 168,475
7,100 United Natural Foods Inc* 62,565
11,200 Watsco Inc 113,400
$1,631,364
TOTAL COMMON STOCK --- 94.8% $127,512,142
(Cost $127,545,705)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 4.5%
6,039,000 Associates Corporation of North America 6,037,218
$6,037,218
U.S. GOVERNMENTS --- 0.7%
1,000,000 United States of America (1) 1,002,479
$1,002,479
TOTAL SHORT-TERM INVESTMENTS --- 5.2% $7,039,697
(Cost $7,039,697)
TOTAL ORCHARD INDEX 600 FUND --- 100.0% $134,551,839
(Cost $134,585,402)
The Orchard Series Fund
Orchard Money Market Fund
SHORT-TERM INVESTMENTS
CONSUMER SERVICES --- 4.0%
150,000 United Parcel Service 149,319
$149,319
CREDIT INSTITUTIONS --- 26.4%
180,000 American Express Credit Corp 177,648
150,000 Associates Corporation of North America 149,626
200,000 Ford Motor Credit Co 199,420
150,000 PACCAR Financial Corp 149,890
150,000 Toyota Motor Credit Corp 149,191
150,000 TransAmerica Financial Corp 149,956
$975,731
ELECTRIC --- 2.7%
100,000 Duke Energy Corp 99,839
$99,839
ELECTRONICS - HIGH TECH --- 8.1%
150,000 General Electric Co 148,854
150,000 Sharp Electronics Corp 149,643
$298,497
FINANCIAL SERVICES --- 12.1%
150,000 Ciesco LP 149,755
150,000 Household Finance Corp 147,765
150,000 KFW International Finance 149,313
$446,833
HOLDING & INVEST. OFFICES --- 4.0%
150,000 American General Finance Corp 149,030
$149,030
INDUSTRIAL SERVICES --- 5.4%
200,000 First Data Corp 198,881
$198,881
INSURANCE --- 4.1%
150,000 Metlife Funding Inc 149,757
$149,757
MFTG - CONSUMER PRODS. --- 9.5%
200,000 Campbell Soup Co 199,855
150,000 McGraw-Hill Companies Inc 149,470
$349,325
MFTG - INDUSTRIAL PRODS --- 4.8%
180,000 EI du Pont de Nemours & Co 177,643
$177,643
OIL & GAS --- 4.1%
150,000 Chevron USA Inc 149,802
$149,802
SECURITIES & COMMODITIES --- 6.7%
150,000 Merrill Lynch & Co Inc 149,868
100,000 Morgan Stanley Dean Witter & Co 98,780
$248,648
TELEPHONE --- 4.1%
150,000 AT&T Corp 149,650
$149,650
TRANSPORTATION EQUIPMENT --- 4.1%
150,000 Daimler-Benz 149,956
$149,956
TOTAL SHORT-TERM INVESTMENTS --- 100.0% $3,692,911
(Cost $3,692,911)
TOTAL ORCHARD MONEY MARKET FUND --- 100.0% $3,692,911
(Cost $3,692,911)
The Orchard Series Fund
Orchard Value Fund
COMMON STOCK
COMMUNICATIONS --- 2.8%
1,540 AT&T Corp 71,995
$71,995
CREDIT INSTITUTIONS --- 3.8%
970 Household International Inc 43,286
1,485 Washington Mutual Inc 53,366
$96,652
ELECTRONICS - HIGH TECH --- 10.2%
2,810 Compaq Computer Corp 53,390
985 Eastman Kodak Co 67,903
1,060 Emerson Electric Co 63,666
760 Motorola Inc 74,052
$259,011
FORESTRY --- 2.7%
1,310 International Paper Co 68,939
$68,939
HOLDING & INVEST. OFFICES --- 10.5%
1,190 Bank One Corp 44,699
1,070 Bank of America Corp 68,881
870 Chase Manhattan Corp 76,016
1,400 Citigroup Inc 75,775
$265,371
INDUSTRIAL SERVICES --- 2.3%
1,050 Computer Associates International Inc 59,325
$59,325
INSURANCE --- 9.3%
610 Cigna Corp 45,598
2,190 Conseco Inc 53,243
865 Marsh & McLennan Companies Inc 68,389
2,150 St Paul Companies Inc 68,800
$236,030
MFTG - CONSUMER PRODS. --- 5.4%
2,645 ConAgra Inc 68,934
1,400 HJ Heinz Co 66,850
$135,784
MFTG - INDUSTRIAL PRODS --- 5.1%
1,000 EI du Pont de Nemours & Co 64,437
1,040 Kimberly-Clark Corp 65,650
$130,087
MINING --- 7.5%
990 Alcoa Inc 60,143
3,620 Barrick Gold Corp 66,289
1,145 Phelps Dodge Corp 64,549
$190,981
OIL & GAS --- 18.0%
810 Chevron Corp 73,963
1,265 Exxon Corp 93,688
1,315 Kerr-McGee Corp 70,681
3,520 Occidental Petroleum Corp 80,298
1,350 Phillips Petroleum Co 62,775
1,220 Texaco Inc 74,878
$456,283
RAILROADS --- 2.9%
1,335 Union Pacific Corp 74,426
$74,426
RETAIL TRADE --- 2.0%
1,405 Albertson's Inc 51,018
$51,018
SECURITIES & COMMODITIES --- 7.0%
1,305 Lehman Brothers Holdings Inc 96,162
740 Morgan Stanley Dean Witter & Co 81,631
$177,793
TELEPHONE --- 5.2%
1,090 Bell Atlantic Corp 70,781
1,330 BellSouth Corp 59,850
$130,631
TRANSPORTATION EQUIPMENT --- 5.1%
1,165 Ford Motor Co 63,929
1,400 The Boeing Co 64,488
$128,417
TOTAL COMMON STOCK --- 100.0% $2,532,743
(Cost $2,520,260)
TOTAL ORCHARD VALUE FUND --- 100.0% $2,532,743
(Cost $2,520,260)
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
Orchard Series Fund
</LEGEND>
<CIK> 0001019977
<NAME> uuem9i@m
<SERIES>
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<NAME> Money Market Fund
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<INVESTMENTS-AT-COST> 3693
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<DISTRIBUTIONS-OF-INCOME> 159
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<SHARES-REINVESTED> 159
<NET-CHANGE-IN-ASSETS> 473
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<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 7
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 75
<AVERAGE-NET-ASSETS> 3465
<PER-SHARE-NAV-BEGIN> 1.000
<PER-SHARE-NII> 0.046
<PER-SHARE-GAIN-APPREC> 0.000
<PER-SHARE-DIVIDEND> (0.046)
<PER-SHARE-DISTRIBUTIONS> 0.000
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<PER-SHARE-NAV-END> 1.000
<EXPENSE-RATIO> 0.46
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
Orchard Series Fund
</LEGEND>
<CIK> 0001019977
<NAME> uuem9i@m
<SERIES>
<NUMBER> 3
<NAME> Index 500 Fund
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<CURRENCY> U.S. Dollar
<S> <C>
<PERIOD-TYPE> 12-MOS
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<PERIOD-START> NOV-1-1998
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<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 559754
<INVESTMENTS-AT-VALUE> 761291
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<OTHER-ITEMS-LIABILITIES> 347
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<SHARES-COMMON-STOCK> 44196
<SHARES-COMMON-PRIOR> 42973
<ACCUMULATED-NII-CURRENT> 1677
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 19602
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 202797
<NET-ASSETS> 763050
<DIVIDEND-INCOME> 9438
<INTEREST-INCOME> 386
<OTHER-INCOME> (124)
<EXPENSES-NET> 4286
<NET-INVESTMENT-INCOME> 5414
<REALIZED-GAINS-CURRENT> 20321
<APPREC-INCREASE-CURRENT> 126140
<NET-CHANGE-FROM-OPS> 151875
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 5461
<DISTRIBUTIONS-OF-GAINS> 7247
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 4838
<NUMBER-OF-SHARES-REDEEMED> (4432)
<SHARES-REINVESTED> 817
<NET-CHANGE-IN-ASSETS> 157963
<ACCUMULATED-NII-PRIOR> 1725
<ACCUMULATED-GAINS-PRIOR> 6528
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 4286
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 4286
<AVERAGE-NET-ASSETS> 717661
<PER-SHARE-NAV-BEGIN> 14.081
<PER-SHARE-NII> 0.122
<PER-SHARE-GAIN-APPREC> 3.353
<PER-SHARE-DIVIDEND> (0.124)
<PER-SHARE-DISTRIBUTIONS> (0.167)
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 17.265
<EXPENSE-RATIO> 0.60
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
Orchard Series Fund
</LEGEND>
<CIK> 0001019977
<NAME> uuem9i@m
<SERIES>
<NUMBER> 4
<NAME> Index 600 Fund
<MULTIPLIER> 1000
<CURRENCY> U.S. Dollar
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> OCT-31-1999
<PERIOD-START> NOV-1-1998
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<INVESTMENTS-AT-COST> 134585
<INVESTMENTS-AT-VALUE> 134552
<RECEIVABLES> 1855
<ASSETS-OTHER> 739
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 137146
<PAYABLE-FOR-SECURITIES> 310
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 64
<TOTAL-LIABILITIES> 374
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 129804
<SHARES-COMMON-STOCK> 11822
<SHARES-COMMON-PRIOR> 468
<ACCUMULATED-NII-CURRENT> 99
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 6778
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 91
<NET-ASSETS> 136772
<DIVIDEND-INCOME> 938
<INTEREST-INCOME> 146
<OTHER-INCOME> (1)
<EXPENSES-NET> 718
<NET-INVESTMENT-INCOME> 365
<REALIZED-GAINS-CURRENT> 6778
<APPREC-INCREASE-CURRENT> 300
<NET-CHANGE-FROM-OPS> 7443
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 270
<DISTRIBUTIONS-OF-GAINS> 378
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 12942
<NUMBER-OF-SHARES-REDEEMED> (1645)
<SHARES-REINVESTED> 57
<NET-CHANGE-IN-ASSETS> 131888
<ACCUMULATED-NII-PRIOR> 4
<ACCUMULATED-GAINS-PRIOR> 378
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 718
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 718
<AVERAGE-NET-ASSETS> 120924
<PER-SHARE-NAV-BEGIN> 10.430
<PER-SHARE-NII> 0.024
<PER-SHARE-GAIN-APPREC> 1.173
<PER-SHARE-DIVIDEND> (0.024)
<PER-SHARE-DISTRIBUTIONS> (0.034)
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 11.569
<EXPENSE-RATIO> 0.60
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
Orchard Series Fund
</LEGEND>
<CIK> 0001019977
<NAME> uuem9i@m
<SERIES>
<NUMBER> 7
<NAME> Value Fund
<MULTIPLIER> 1000
<CURRENCY> U.S. Dollar
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> OCT-31-1999
<PERIOD-START> NOV-1-1998
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<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 2520
<INVESTMENTS-AT-VALUE> 2533
<RECEIVABLES> 0
<ASSETS-OTHER> 50
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 2583
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2
<TOTAL-LIABILITIES> 2
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2759
<SHARES-COMMON-STOCK> 274
<SHARES-COMMON-PRIOR> 204
<ACCUMULATED-NII-CURRENT> 9
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (199)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 12
<NET-ASSETS> 2581
<DIVIDEND-INCOME> 49
<INTEREST-INCOME> 5
<OTHER-INCOME> 0
<EXPENSES-NET> 23
<NET-INVESTMENT-INCOME> 31
<REALIZED-GAINS-CURRENT> (199)
<APPREC-INCREASE-CURRENT> 233
<NET-CHANGE-FROM-OPS> 65
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 29
<DISTRIBUTIONS-OF-GAINS> 13
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 91
<NUMBER-OF-SHARES-REDEEMED> (25)
<SHARES-REINVESTED> 4
<NET-CHANGE-IN-ASSETS> 744
<ACCUMULATED-NII-PRIOR> 8
<ACCUMULATED-GAINS-PRIOR> 13
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 23
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 23
<AVERAGE-NET-ASSETS> 2301
<PER-SHARE-NAV-BEGIN> 9.010
<PER-SHARE-NII> 0.119
<PER-SHARE-GAIN-APPREC> 0.467
<PER-SHARE-DIVIDEND> (0.121)
<PER-SHARE-DISTRIBUTIONS> (0.065)
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 9.410
<EXPENSE-RATIO> 1.00
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0
</TABLE>
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