TO THE SHAREHOLDERS OF ORCHARD SERIES FUND:
Higher interest rates, a cheaper Euro, and higher oil prices have been the main
influences over the markets during the fiscal year ending October 31, 2000.
Central bankers around the world have continued to bump up interest rates and
economies have cooled to the point that the next move is expected to be a drop
in rates. Europe has been hit with the double whammy of buying a more expensive
commodity (oil) with a less valuable currency (Euro). After a major run-up in
stock prices during the first six months of this time period, the Japanese
markets are coming back down to the reality of a stagnant economy.
Locally, inflation remains tame, outside of energy prices, as retailers look
towards a soft holiday shopping season. Weakening values for the Euro and Yen
have helped the U.S. by providing for a steady supply of cheap goods. Many of
the U.S. multinationals with operations in Europe have been hurt due to the
weakening Euro. Economic growth is slowing from 4-5% down to a predicted 1-2%
going forward.
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 and 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 six funds. A review of these funds, including their
independently audited financial statements and financial highlights for the
fiscal year, is provided with this annual report.
The investment adviser for Orchard Series Fund is GW Capital Management, LLC.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of Orchard Series Fund. This report is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
For more information on Orchard Series Fund, including charges and expenses,
please contact your registered representative to obtain a prospectus. Read it
carefully before investing.
ORCHARD S&P 500 INDEX FUND
The S&P 500 Index, after peaking at 1527.46 in March, dropped to as low as
1329.78 in October, ending the year on October 31, 2000 at 1429.40. Overall
performance for the index was relatively flat compared to recent years. The
index had a total return of 6.09% with dividends reinvested. After having
phenomenal returns during the late 1990's, large caps were particularly
vulnerable to the recent interest rate hikes. Retailers were hit hard as
investors worried that consumer spending would tail off.
Looking forward, large-caps could benefit assuming the Fed is finished raising
rates with an eye on a trend toward easing.
ORCHARD S&P 500 INDEX FUND
LINE GRAPH COMPARISON
ORCHARD INDEX S&P 500 INDEX
2/3/97 10,000.00 10,000.00
10/31/97 11,738.00 11,794.00
10/31/98 14,224.00 14,388.00
10/31/99 17,769.00 18,081.00
10/31/00 18,732.00 19,182.00
Orchard Index 500 Total Return - One Year: 5.42%
Since Inception: 18.22%
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 retrun and principal
value will fluctuate so that an investors shares, when redeemed, may be worth
more or less than their original cost.
ORCHARD INDEX 600 FUND
The S&P 600 Index closed at 218.54 on October 31, 2000. This was close to its
high of 225.12 in September. The low for the year was at the starting point of
175.67 on October 29, 1999. Small cap exploration, production and drilling
stocks were a big contributor to a total return of 25.26% return for the S&P 600
index. Also, while large-cap techs were tanking, a lot of the small-cap techs
helped support this index.
The value style portion of the index has done relatively well as growth stocks
had their P/E's trimmed. Going forward, one of the main questions will be
whether or not large-cap investors continue to look for alternatives. Or will
they go back home?
ORCHARD INDEX 600 FUND
LINE GRAPH COMPARISON
ORCHARD INDEX 600 S&P 600 INDEX
2/3/97 10,000.00 10,000.00
10/31/97 12,146.00 12,198.00
10/31/98 10,766.00 10,848.00
10/31/99 12,002.00 12,152.00
10/31/00 14,852.00 15,222.00
Orchard Index 600 Total Return - One Year: 23.75%
Since Inception: 11.13%
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 retrun and principal
value will fluctuate so that an investors shares, when redeemed, may be worth
more or less than their original cost.
ORCHARD DJIA INDEX FUND
With a high of 11,722.98 in January and a low of 9,796.03 in March, there was a
lot of volatility in the DJIA index for the year ending October 31, 2000. Even
so, the total return for the year was a paltry 3.8203%. Microsoft Corp was a
large contributor to holding the index back. Over the 12 month period, Microsoft
fell 25%. Industrials also put a damper on the DJIA index. Caterpillar Inc. was
down 36% for the time period.
ORCHARD NASDAQ-100 INDEX FUND
The total return for the Nasdaq 100 Index for the year ending October 31, 2000
was 24.50%. More notable was the drop from 4704.73 in March to the 3000 level in
October. All of the industries within the tech sector have fallen off as of
late. From the internet to semi-conductors to fiber optics to networking, there
has been a domino affect. Internet storage and software have been the only
bright spots in the sector.
ORCHARD VALUE FUND
The Orchard Value Fund outperformed its benchmark during the fiscal year 2000.
The Funds return was 7.77%, while the Russell 1000 Value Index returned 5.52%
during the fiscal year. The Fund was negatively impacted by what we perceive as
unique market conditions in the first half of the fiscal year. This market
environment has turned sharply as technology stocks have declined to distress
levels. The Funds conservative investment philosophy has allowed us to
significantly outperform during the last six months. During this time period,
the Fund returned 14.79% v. 6.58% for the Russell 1000 Value Index. Our deep
value approach is now being rewarded as the market continues to rotate out of
overvalued technology and telecommunication stocks and into cheap energy,
utility, and financial stocks which the Orchard Value Fund has overweighted.
Value has begun to outperform and the Funds strategy does best in this
environment. Class B shares have a date of inception of March 24, 2000. During
this time period, these shares outperformed their benchmark returning 17.79% vs.
5.83% for the Russell 1000 Value Index. Class B shares also significantly
outperformed their index over the last 6 months returning 14.65% v. 6.58% for
the Russell 1000 Value Index. We believe that technology and telecommunications
stocks, which have dominated all indices for the last 2 1/2 years, have entered
a deep bear market. We have been, and continue to be, underweight in these
overvalued sectors and believe that we will outperform our benchmark and the S&P
500 as money flows away from these groups and towards stocks with better
valuations.
ORCHARD VALUE CLASS A FUND
LINE GRAPH COMPARISON
ORCHARD S&P 500 RUSSELL 1000
VALUE VALUE
3/98 10,000.00 10,000.00 10,000.00
10/31/98 9,042.00 10,591.00 10,154.00
10/31/99 9,629.00 13,309.00 11,832.00
10/31/00 10,377.00 14,120.00 12,485.00
Orchard Value Total Return - One Year: 7.77%
Since Inception: 1.40%
Given the fundamental objectives of the Orchard Value Fund, the investment
advisor and sub-advisor have determined that the Russell 1000 Value Index is the
appropriate index to use as the benchmark for the Orchard Value Funds
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. 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 retrun and principal
value will fluctuate so that an investors shares, when redeemed, may be worth
more or less than their original cost.
ORCHARD VALUE CLASS B FUND
Line Graph Comparison
Orchard Value Fund S&P 500 Index Russell 1000 Value Index
3/24/00 $10,000 $10,000 $10,000
10/31/00 $11,779 $9,420 $10,583
Orchard Value Class A Total Return - One Year: N/A
Since Inception: 17.79%
Given the fundamental objectives of the Orchard Value Fund, the investment
advisor and sub-advisor have determined that the Russell 1000 Value Index is the
appropriate index to sue at the benchmark for the Orchard Value Class B Funds
performance.
This graph, prepared in accordance with SEC regulations, compares a $10,000
investment in the Orchard Value Class B Fund, made at its inception, with the
performance of the S&P 500 Index and Russell 1000 Value Index. Results include
the reinvestment of all dividends and capital gains distributions. Portfolio
inception: 3/24/00. Past performance is no guarantee of future results.
Investment return and principal value will fluctuate so that an investors
shares, when redeemed, may be worth more or less than their original cost.
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 the Orchard DJIASM Fund, Orchard Index 600
Fund, Orchard Money Market Fund, Orchard Nasdaq-100 Fund, and Orchard S&P 500
Index Fund) as of October 31, 2000, 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 Series 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 auditing standards generally accepted
in the United States of America. 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, 2000, 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, 2000, 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 1, 2000
<TABLE>
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THE ORCHARD SERIES FUND
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2000
ORCHARD ORCHARD ORCHARD ORCHARD ORCHARD S&P
DJIA sm INDEX INDEX 600 MONEY MARKET NASDAQ-100 500 INDEX
FUND FUND FUND INDEX FUND FUND
ASSETS:
Investments in securities, market value (1) $ 1,103,692 $ 160,569,357 $ 4,022,160 $ 1,728,018 $ 703,910,926
Cash 16,536 299,111 139,555 51,747 473,579
Dividends and interest receivable 713 49,340 481 37 476,586
Subscriptions receivable 0 0 0 421 0
Receivable for investments sold 63,006 5,510,403 0 19,222 0
Variation margin on futures contracts 0 0 0 0 221,735
Total assets 1,183,947 166,428,211 4,162,196 1,799,445 705,082,826
LIABILITIES:
Dividends payable 0 0 676 0 0
Due to investment adviser 522 79,923 1,735 741 362,013
Redemptions payable 0 0 0 23 0
Payable for investments purchased 78,290 5,942,475 0 70,030 0
Total liabilities 78,812 6,022,398 2,411 70,794 362,013
NET ASSETS $ 1,105,135 $ 160,405,813 $ 4,159,785 $ 1,728,651 $ 704,720,813
=============--==============--==============--=============---=============-
=============--==============--==============--=============---=============-
NET ASSETS REPRESENTED BY:
Capital stock, No par value $ 1,119,634 $ 128,423,010 $ 4,159,785 $ 1,969,859 $ 466,656,032
Net unrealized appreciation (depreciation) (5,033) 9,703,593 (228,254) 183,644,361
on investments and futures
Undistributed net investment income (loss) 1,543 53,200 (1,011) 1,254,551
Accumulated net realized gain (loss) (11,009) 22,226,010 (11,943) 53,165,869
on investments and futures
NET ASSETS $ 1,105,135 $ 160,405,813 $ 4,159,785 $ 1,728,651 $ 704,720,813
-------------------------------------------------=============--==============--==============--=============---=============------
-------------------------------------------------=============--==============--==============--=============---=============------
NET ASSET VALUE PER OUTSTANDING SHARE $ 9.8131 $ 13.5506 $ 1.0000 $ 8.3638 $ 17.5786
-------------------------------------------- =============--==============--==============--=============---=============----
----------------------------------------------------=============--==============--==============--=============---=============----
(Offering and Redemption Price)
SHARES OF CAPITAL STOCK OUTSTANDING 112,618 11,837,565 4,159,785 206,681 40,089,715
(1) Cost of investments in securities: $ 1,108,725 $ 150,865,764 $ 4,022,160 $ 1,956,272 $ 520,370,190
See notes to financial statements.
THE ORCHARD SERIES FUND
STATEMENTS OF OPERATIONS
YEAR ENDED OCTOBER 31, 2000
ORCHARD ORCHARD ORCHARD ORCHARD ORCHARD S&P
DJIA INDEX INDEX 600 MONEY MARKET NASDAQ-100 500 INDEX
FUND FUND FUND INDEX FUND FUND
INVESTMENT INCOME:
Interest $ 318 $ 214,506 $ 261,368 460 807,557
Dividends 2,277 1,051,401 0 46 8,350,941
Foreign withholding tax 0 (484) 0 0 (36,173)
Total income 2,595 1,265,423 261,368 506 9,122,325
EXPENSES:
Audit fees 7,093
Investment administration 131,738
Bank and custodial fees 8,240
Other expenses 40,818
Management fees 1,052 934,364 8,364 1,517 4,474,333
Total expenses 1,052 934,364 196,253 1,517 4,474,333
Less amount reimbursed by GW Capital Management 177,016
Net expenses 1,052 934,364 19,237 1,517 4,474,333
NET INVESTMENT INCOME (LOSS) 1,543 331,059 242,131 (1,011) 4,647,992
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investments (11,009) 23,169,082 (11,943) 53,053,196
Net realized gain (loss) on futures contracts 0 (202,178) 0 2,591,597
Change in net unrealized appreciation (5,033) 9,737,156 (228,254) (17,996,478)
(depreciation on investments)
Change in net unrealized appreciation 0 (124,623) 0 (1,156,398)
on futures contacts
Net realized and unrealized gain (loss) (16,042) 32,579,437 0 (240,197) 36,491,917
on investments and futures contracts
NET INCREASE (DECREASE) IN NET ASSETS RESULTING $ (14,499)$ 32,910,496 $ 242,131 (241,208) 41,139,909
FROM OPERATIONS
------------------------------------------------------=============--=============--=============-==============-==============
------------------------------------------------------=============--=============--=============-==============-==============
See notes to financial statements.
THE ORCHARD SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED OCTOBER 31, 2000 AND 1999
ORCHARD ORCHARD ORCHARD
DJIA INDEX FUND INDEX 600 FUND MONEY MARKET FUND
2000 2000 1999 2000 1999
(A)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 1,543 $ 331,059 $ 365,155 $ 242,131 $ 159,458
Net realized gain (loss) on investments (11,009) 23,169,082 6,728,212 0
Net realized gain (loss) on futures contracts 0 (202,178) 49,914 0 0
Change in net unrealized appreciation (5,033) 9,737,156 175,433 0
(depreciation) on investment
Change in net unrealized appreciation 0 (124,623) 124,623
on future contract
Net increase (decrease) in net assets (14,499) 32,910,496 7,443,337 242,131 159,458
resulting from operations
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income 0 (376,685) (270,470) (242,131) (159,458)
From net realized gains 0 (7,519,020) (377,594)
Total distributions 0 (7,895,705) (648,064) (242,131) (159,458)
SHARE TRANSACTIONS:
Net proceeds from sales of shares 1,137,540 117,576,001 142,892,303 6,761,990 672,208
Reinvestment of distributions 0 7,895,705 648,064 241,455 159,458
Redemptions of shares (17,906) (126,852,617) (18,447,304) (6,590,519) (359,055)
Net increase (decrease) in net assets 1,119,634 (1,380,911) 125,093,063 412,926 472,611
resulting from share transactions
Total increase in net assets 1,105,135 23,633,880 131,888,336 412,926 472,611
NET ASSETS:
Beginning of period 0 136,771,933 4,883,597 3,746,859 3,274,248
End of period (1) $ 1,105,135 $ 160,405,813 $ 136,771,933 $ 4,159,785 $ 3,746,859
----------------------------------------------------=============-------============---============-----===========---===========
----------------------------------------------------=============-------============---============-----===========---===========
OTHER INFORMATION:
SHARES:
Sold 114,492 9,152,928 12,941,630 6,761,990 672,208
Issued in reinvestment of distributions 0 681,332 57,340 241,455 159,458
Redeemed (1,874) (9,819,062) (1,644,828) (6,590,519) (359,055)
Net increase 112,618 15,198 11,354,142 412,926 472,611
-------------------------------------------=============-------============---============-----===========---===========---------
-------------------------------------------=============-------============---============-----===========---===========---------
(1) Including undistributed net investment income $ 1,543 $ 53,200 $ 98,826 $ 0 $
THE ORCHARD SERIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED OCTOBER 31, 2000 AND 1999
ORCHARD
NASDAQ-100 ORCHARD
INDEX FUND S&P 500 INDEX FUND
2000 2000 1999
(A)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ (1,011) $ 4,647,992 $ 5,413,179
Net realized gain (loss) on investments (11,943) 53,053,196 18,471,828
Net realized gain on futures contracts 0 2,591,597 1,849,430
Change in net unrealized appreciation (depreciation) on investments (228,254) (17,996,478) 125,441,376
Change in net unrealized appreciation on futures contracts 0 (1,156,398) 698,898
Net increase (decrease) in net assets resulting from operations (241,208) 41,139,909 151,874,711
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income 0 (5,070,442) (5,460,884)
From net realized gains 0 (22,081,374) (7,247,165)
Total distributions 0 (27,151,816) (12,708,049)
SHARE TRANSACTIONS:
Net proceeds from sales of shares 1,993,938 438,708,142 78,037,447
Reinvestment of distributions 0 27,151,816 12,708,049
Redemptions of shares (24,079) (538,177,600) (71,949,186)
Net increase (decrease) in net assets resulting from share transactions 1,969,859 (72,317,642) 18,796,310
Total increase (decrease) in net assets 1,728,651 (58,329,549) 157,962,972
NET ASSETS:
Beginning of period 0 763,050,362 605,087,390
End of period (1) $ 1,728,651 $ 704,720,813 $ 763,050,362
-----------------------------------------------------------------------------==============------------============-----============
-----------------------------------------------------------------------------==============------------============-----============
OTHER INFORMATION:
SHARES:
Sold 209,189 24,747,735 4,838,149
Issued in reinvestment of distributions 0 1,543,278 816,633
Redeemed (2,508) (30,397,111) (4,431,531)
Net increase (decrease) 206,681 (4,106,098) 1,223,251
-----------------------------------------------------------------------------==============------------============-----============
-----------------------------------------------------------------------------==============------------============-----============
(1) Including undistributed net investment income (loss) $ (1,011) $ 1,254,551 $ 1,677,001
(A) Fund commenced on August 28, 2000.
See notes to financial statements
THE ORCHARD SERIES FUND
ORCHARD DJIA INDEX FUND
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the fund for the period ended October 31, 2000 is as follows:
Period Ended
October 31,
2000
(A)
Net Asset Value, Beginning of Period $ 10.0000
Income from Investment Operations
Net investment income 0.0137
Net realized and unrealized loss (0.2006)
Total Loss From Investment Operations (0.1869)
Net Asset Value, End of Period $ 9.8131
-----------------------------------------------------------------------------------==============
-----------------------------------------------------------------------------------==============
0.0000
Total Return (1.87%)#
Net Assets, End of Period $ 1,105,135
Ratio of Expenses to Average Net Assets 0.60% *
Ratio of Net Investment Income to Average Net Assets 0.88% *
Portfolio Turnover Rate 12.27% #
# Based on operations for the period shown and, accordingly, are not representative of a full year.
*Annualized
(A) The portfolio commenced operations on August 28, 2000.
(Continued)
THE ORCHARD SERIES FUND
ORCHARD INDEX 600 FUND
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the fund for the years ended October 31, 2000, 1999 and 1998, and the period ended
October 31, 1997 are as follows:
Period Ended October 31,
2000 1999 1998 1997
(A)
Net Asset Value, Beginning of Period $ 11.5689 $ 10.4300 $ 12.1191 $ 10.0000
Income from Investment Operations
Net investment income 0.0263 0.0235 0.0255 0.0238
Net realized and unrealized gain (loss) 2.6089 1.1728 (1.3719) 2.1191
Total Income (Loss) From Investment Operations 2.6352 1.1963 (1.3464) 2.1429
Less Distributions
From net investment income (0.0302) (0.0239) (0.0167) (0.0238)
From net realized gains (0.6233) (0.0335) (0.3260) 0.0000
Total Distributions (0.6535) (0.0574) (0.3427) (0.0238)
Net Asset Value, End of Period $ 13.5506 $ 11.5689 $ 10.4300 $ 12.1191
----------------------------------------------=============--=============--=============---============---
----------------------------------------------=============--=============--=============---============---
0.0000
Total Return 23.75% 11.48% (11.37%) 21.46% #
Net Assets, End of Period $ 160,405,813 $ 136,771,933 $ 4,883,597 $ 5,469,919
Ratio of Expenses to Average Net Assets 0.60% 0.60% 0.60% 0.60% *
Ratio of Net Investment Income to
Average Net Assets 0.21% 0.30% 0.22% 0.30% *
Portfolio Turnover Rate 63.52% 40.90% 31.25% 21.58% #
# Based on operations for the period shown and, accordingly, are not representative of a full year.
*Annualized
(A) The portfolio commenced operations on February 3, 1997.
(Continued)
THE ORCHARD SERIES FUND
ORCHARD MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the fund for the years ended October 31, 2000, 1999 and 1998, and the period ended
October 31, 1997 are as follows:
Period Ended October 31,
2000 1999 1998 1997
(A)
Net Asset Value, Beginning of Period $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
Income from Investment Operations
Net investment income 0.0611 0.0458 0.0513 0.0363
Total Income From Investment Operations 0.0611 0.0458 0.0513 0.0363
Less Distributions
From net investment income (0.0611) (0.0458) (0.0513) (0.0363)
Total Distributions (0.0611) (0.0458) (0.0513) (0.0363)
Net Asset Value, End of Period $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
-------------------------------------------------============---===========---===========---===========---
-------------------------------------------------============---===========---===========---===========---
Total Return 6.29% 4.68% 5.26% 3.69% #
Net Assets, End of Period $ 4,159,785 $ 3,746,859 $ 3,274,248 $ 3,110,727
Ratio of Expenses to Average Net Assets
- Before Reimbursement ^ 4.71% 2.18% 3.57% 1.54% *
- After Reimbursement 0.46% 0.46% 0.46% 0.46% *
Ratio of Net Investment Income to Average Net Assets
- Before Reimbursement ^ 1.56% 2.88% 2.03% 3.79% *
- After Reimbursement 5.82% 4.60% 5.13% 4.88% *
# Based on operations for the period shown and, accordingly, is not representative of a full year.
^ Percentages are shown net of expenses reimbursed by GW Capital Management, LLC.
*Annualized
(A) The portfolio commenced operations on February 3, 1997.
(Continued)
THE ORCHARD SERIES FUND
ORCHARD NASDAQ-100 INDEX FUND
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the fund for the period ended October 31, 2000 is as follows:
Period Ended
October 31,
2000
(A)
Net Asset Value, Beginning of Period $ 10.0000
Income from Investment Operations
Net investment loss (0.0049)
Net realized and unrealized loss (1.6313)
Total Loss From Investment Operations (1.6362)
Net Asset Value, End of Period $ 8.3638
-------------------------------------------------------------------------------------=============---
-------------------------------------------------------------------------------------=============---
Total Return (16.36%)#
Net Assets, End of Period $ 1,728,651
Ratio of Expenses to Average Net Assets 0.60% *
Ratio of Net Investment Loss to Average Net Assets (0.40%)*
Portfolio Turnover Rate 13.52% #
# Based on operations for the period shown and, accordingly, are not representative of a full year.
*Annualized
(A) The portfolio commenced operations on August 28, 2000.
(Continued)
THE ORCHARD SERIES FUND
ORCHARD S&P 500 INDEX FUND
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the fund for the years ended October 31, 2000, 1999 and 1998, and the period ended
October 31, 1997 are as follows:
Period Ended October 31,
2000 1999 1998 1997
(A)
Net Asset Value, Beginning of Period $ 17.2652 $ 14.0808 $ 11.6936 $ 10.0000
Income from Investment Operations
Net investment income 0.1116 0.1221 0.1282 0.0388
Net realized and unrealized gain 0.8215 3.3536 2.3471 1.6936
Total Income From Investment Operations 0.9331 3.4757 2.4753 1.7324
Less Distributions
From net investment income (0.1182) (0.1243) (0.0881) (0.0388)
From net realized gains (0.5015) (0.1670) 0.0000
Total Distributions (0.6197) (0.2913) (0.0881) (0.0388)
Net Asset Value, End of Period $ 17.5786 $ 17.2652 $ 14.0808 $ 11.6936
------------------------------------------============----=============----=============----============---
------------------------------------------============----=============----=============----============---
Total Return 5.42% 24.92% 21.18% 17.38% #
Net Assets, End of Period $ 704,720,813 $ 763,050,362 $ 605,087,390 $ 492,866,332
Ratio of Expenses to Average Net Assets 0.60% 0.60% 0.60% 0.60% *
Ratio of Net Investment Income to
Average Net Assets 0.63% 0.75% 0.96% 1.67% *
Portfolio Turnover Rate 20.34% 17.09% 20.20% 0.45% #
# Based on operations for the period shown and, accordingly, are not representative of a full year.
*Annualized
(A) The portfolio commenced operations on February 3, 1997.
(Concluded)
</TABLE>
THE ORCHARD SERIES FUND
Financial Statements and Financial Highlights for
the Years Ended October 31, 2000 and 1999
(Section 1)
THE ORCHARD SERIES FUND
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2000
-------------------------------------------------------------------------------
1. ORGANIZATION & SIGNIFICANT ACCOUNTING POLICIES The Orchard Series Fund (the
Trust) is a Delaware business trust organized on July 23, 1996 under the
Investment Company Act of 1940 (the 1940 Act) as an open-end management
investment company and presently consists of six funds. Interests in the Orchard
DJIA Index, Orchard Index 600, Orchard Money Market, Orchard Nasdaq-100 Index,
and Orchard S&P 500 Index Funds (the Funds) are included herein and are
represented by separate classes of beneficial interest of the Trust. The
investment objective of each Fund is: to seek investment results that track as
closely as possible the total return of the common stocks that comprise its
benchmark index for each of the Index Funds and to seek as high a level of
current income as is consistent with the preservation of capital and liquidity
for the Orchard Money Market Fund. Each Fund is diversified as defined in the
1940 Act, with the exception of the Orchard DJIA Index and the Orchard
Nasdaq-100 Index Funds, which are non-diversified. The Trust is available only
as an investment option for certain variable annuity contracts, variable life
policies and certain qualified retirement plans issued by Great-West Life &
Annuity Insurance Company (GWL&A) and New England Financial.
Initial capitalization of $100,000 for the Orchard Index 600, Orchard Money
Market and Orchard S&P 500 Index Funds was received January 27, 1997 from GWL&A.
Additional capitalization of $2,900,000 was received from GWL&A on February 3,
1997 for the Orchard Money Market Fund. Initial capitalization of $1,000,000 for
the Orchard DJIA Index Fund and $1,500,000 for the Orchard Nasdaq-100 Index Fund
was received August 25, 2000 from GWL&A. At October 31, 2000, GWL&As investment
in the Funds totaled $6,214,614.
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 Trust, which are in accordance with
generally accepted accounting principles in the investment company industry:
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.
Financial Futures Contracts
The Orchard DJIA Index, Orchard Index 600, Orchard Nasdaq-100 Index, and Orchard
S&P 500 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 Fund is 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 Fund each day, depending on the
daily fluctuations in the fair value of the underlying security. The use of
futures contracts may involve risks such as the possibility of illiquid markets
or imperfect correlation between the value of the contracts and the underlying
securities, or that the counterparty will fail to perform its obligations.
Dividends
Dividends from net investment income of the Orchard Money Market Fund are
declared daily and paid monthly. Dividends from net investment income of the
Orchard DJIA Index, Orchard Index 600, Orchard Nasdaq-100 Index, and Orchard
S&P 500 Index Funds are declared and paid semi-annually. Income dividends are
reinvested in additional shares at net asset value. Dividends from capital gains
of the Funds, if any, are declared and 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). Dividend income for the Funds is accrued as
of the ex-dividend date and interest income, including amortization of discounts
and premiums, is recorded daily. The Orchard Money Market Fund amortizes
discounts and premiums paid on purchases of securities to the earliest put or
call date.
Federal Income Taxes
For federal income tax purposes, each Fund of
the Trust currently qualifies, and intends to remain qualified, 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
The
character of distributions made during the year from net investment income or
net realized gains are determined in accordance with income tax regulations that
may differ from generally accepted accounting principles. These differences are
primarily due to differing treatments of deferral of wash sales, net operating
losses and capital loss carryforwards. 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.
2. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES The
Trust has entered into an investment advisory agreement with GW Capital
Management, LLC, a wholly-owned subsidiary of the Company. As compensation for
its services to the Trust, the investment advisor receives monthly compensation
at the annual rate of .20% of the average daily net assets of the Orchard Money
Market Fund and .60% of the average daily net assets of the Orchard DJIA
Index, Orchard Index 600, Orchard Nasdaq-100 Index, and Orchard S&P 500 Index
Funds. However, the investment advisor shall pay any expenses which exceed an
annual rate, including management fees, of .46% for the Orchard Money Market
Fund. Expenses incurred by the Trust, which are not fund specific, are allocated
based on relative net assets or other appropriate allocation methods. For the
Orchard DJIA Index, Orchard Index 600, Orchard Nasdaq-100 Index, and Orchard
S&P 500 Index Funds, the management fee encompasses fund operation expenses. One
Orchard Equities, a wholly-owned subsidiary of One Corporation, which is a
wholly owned subsidiary of GWL&A, distributes and markets the Trusts 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.
3. CAPITAL STOCK
The Trust has authorized an unlimited number of shares with no stated par value
for each Fund 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.
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
For the year ended October 31, 2000, the aggregate cost of purchases and
proceeds from sales of investment securities (excluding all U.S. Government
securities and short-term securities) were as follows:
Purchases Sales
-------------- ------------
Orchard DJIA Index Fund 1,245,691 125,956
Orchard Index 600 Fund 96,049,399 95,821,527
Orchard Nasdaq-100 Index Fund 2,178,825 210,609
Orchard S&P 500 Index Fund 147,789,938 232,505,116
For the year ended October 31, 2000, there
were no purchases or sales of U.S.
Government securities.
5. UNREALIZED APPRECIATION (DEPRECIATION)
The aggregate cost of investments and the composition of unrealized appreciation
and depreciation of investment securities for federal income tax purposes as of
October 31, 2000, were as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Cost For Net
Income Unrealized
Tax Gross Gross Appreciation
Purposes Appreciation Depreciation (Depreciation)
------------- ------------- -------------- -------------
Orchard DJIA Index
Fund 1,138,031 $ 68,091 $ (102,430) $ (34,339)
Orchard Index 600 Fund 153,093,590 33,498,050 (26,022,283) 7,475,767
Orchard Nasdaq-100
Index Fund 1,959,563 52,364 (283,909) (231,545)
Orchard S&P 500 Index
Fund 523,265,433 233,527,580 (52,882,087) 180,645,493
</TABLE>
6. FUTURES CONTRACTS
As of October 31, 2000, the Orchard S&P 500 Index Fund held 30 open S&P 500
futures contracts. The contracts expire in December 2000, and the Fund has
recorded unrealized appreciation of $103,625 as of October 31, 2000.
The Orchard Series Fund Schedule of Investments October 31, 2000
Orchard DJIA Index Fund
COMMON STOCK
AEROSPACE & DEFENSE --- 7.5%
600 Boeing Co 40,687
600 United Technologies Corp 41,887
$82,574
AUTOMOBILES --- 3.4%
600 General Motors Corp 37,275
$37,275
BANKS --- 9.0%
600 JP Morgan & Co Inc 99,303
$99,303
CHEMICALS --- 2.5%
600 EI du Pont de Nemours & Co 27,225
$27,225
COMPUTER HARDWARE & SYSTEMS --- 7.9%
600 Hewlett-Packard Co 27,862
600 International Business Machines Corp 59,100
$86,962
COMPUTER SOFTWARE & SERVICES --- 3.7%
600 Microsoft Corp* 41,325
$41,325
ELECTRONIC INSTRUMENTS & EQUIP --- 3.0%
600 General Electric Co 32,887
$32,887
ELECTRONICS - SEMICONDUCTOR --- 2.4%
600 Intel Corp 27,000
$27,000
FINANCIAL SERVICES --- 6.1%
600 American Express Co 36,000
600 Citigroup Inc 31,575
$67,575
FOOD & BEVERAGES --- 3.3%
600 Coca-Cola Co 36,225
$36,225
GOLD, METALS & MINING --- 1.6%
600 Alcoa Inc 17,212
$17,212
HEALTH CARE RELATED --- 5.0%
600 Johnson & Johnson 55,275
$55,275
HOUSEHOLD GOODS --- 3.9%
600 Procter & Gamble Co 42,862
$42,862
LEISURE & ENTERTAINMENT --- 1.9%
600 Walt Disney Co 21,487
$21,487
MACHINERY --- 1.9%
600 Caterpillar Inc 21,037
$21,037
MANUFACTURING --- 2.9%
600 Honeywell International Inc 32,287
$32,287
MISCELLANEOUS --- 5.3%
600 Minnesota Mining & Mftg Co 57,975
$57,975
OIL & GAS --- 4.8%
600 Exxon Mobil Corp 53,512
$53,512
PAPER & FOREST PRODUCTS --- 2.0%
600 International Paper Co 21,975
$21,975
PHARMACEUTICALS --- 4.9%
600 Merck & Co Inc 53,962
$53,962
PHOTOGRAPHY/IMAGING --- 2.4%
600 Eastman Kodak Co 26,925
$26,925
RESTAURANTS --- 1.7%
600 McDonald's Corp 18,600
$18,600
RETAIL --- 4.8%
600 Home Depot Inc 25,800
600 Wal-Mart Stores Inc 27,225
$53,025
TELEPHONE & TELECOMMUNICATIONS --- 4.4%
600 AT&T Corp 13,912
600 SBC Communications Inc 34,612
$48,524
TOBACCO --- 2.0%
600 Philip Morris Cos Inc 21,975
$21,975
UNIT INVESTMENT TRUST --- 1.7%
171 DIAMONDS Trust Series I 18,708
$18,708
TOTAL COMMON STOCK --- 100.0% $1,103,692
(Cost $1,108,725)
TOTAL ORCHARD DJIA (SM) INDEX FUND --- 100.0% $1,103,692
(Cost $1,108,725)
The Orchard Series Fund
Orchard Index 600 Fund
COMMON STOCK
AEROSPACE & DEFENSE --- 0.7%
11,600 AAR Corp 138,469
3,900 Alliant Techsystems Inc* 350,754
10,900 BE Aerospace Inc* 179,850
16,200 Orbital Sciences Corp* 128,579
13,300 Teledyne Technologies Inc* 333,325
$1,130,977
AGRICULTURE --- 0.5%
15,200 Corn Products International Inc 381,900
19,200 DIMON Inc 58,790
16,566 Delta & Pine Land Co 404,823
$845,513
AIR FREIGHT --- 0.8%
22,100 Expeditors Int'l of Washington Inc 1,146,438
15,800 Fritz Cos Inc* 128,375
$1,274,813
AIRLINES --- 0.7%
9,100 Atlantic Coast Airlines Holdings Inc* 325,325
14,000 Mesa Air Group Inc* 82,250
6,000 Midwest Express Holdings Inc* 114,000
11,800 SkyWest Inc 595,900
$1,117,475
AUTO PARTS & EQUIPMENT --- 1.2%
8,700 Applied Industrial Technologies Inc 147,352
31,900 Gentex Corp* 789,525
10,900 Intermet Corp 81,750
19,300 MascoTech Inc 322,059
6,700 Midas Inc 92,963
7,700 Simpson Industries Inc 90,952
5,400 Standard Motor Products Inc 45,225
9,100 TBC Corp* 44,363
15,100 Tenneco Automotive Inc 65,111
20,400 Tower Automotive Inc* 224,400
$1,903,700
BANKS --- 4.6%
17,200 Centura Banks Inc 661,116
11,400 Chittenden Corp 302,807
13,368 Commerce Bancorp Inc 809,593
24,350 Commercial Federal Corp 426,125
19,300 Community First Bankshares Inc 299,150
22,400 Cullen/Frost Bankers Inc 746,189
11,600 First BanCorp 266,069
17,650 First Midwest Bancorp Inc 442,344
4,900 GBC Bancorp 156,188
20,883 Hudson United Bancorp 467,257
19,100 Imperial Bancorp* 464,359
11,858 Provident Bankshares Corp 224,555
12,200 Riggs National Corp 137,250
18,600 South Finanical Group Inc 189,478
12,300 Southwest Bancorp of Texas Inc* 448,950
16,950 Susquehanna Bancshares Inc 239,419
26,568 TrustCo Bank Corp NY 318,816
18,000 United Bankshares Inc 351,000
9,800 Whitney Holding Corp 361,983
$7,312,648
BIOTECHNOLOGY --- 3.5%
25,800 Advanced Tissue Sciences Inc* 183,825
20,300 Alliance Pharmaceutical Corp* 286,738
23,500 Bio-Technology General Corp* 246,750
10,100 Biomatrix Inc* 193,163
23,100 COR Therapeutics Inc* 1,305,093
17,800 Cephalon Inc* 954,525
11,020 Enzo Biochem Inc* 424,270
14,900 IDEXX Laboratories Inc* 357,600
11,800 Immune Response Corp* 71,532
14,700 Organogenesis Inc* 184,338
15,800 Regeneron Pharmaceuticals Inc* 422,650
8,800 Techne Corp* 992,200
$5,622,684
BUILDING MATERIALS --- 0.5%
12,000 Apogee Enterprises Inc 63,000
8,500 Elcor Corp 132,277
24,258 Lennox International Inc 192,536
5,200 Simpson Manufacturing Co Inc* 221,650
8,700 Universal Forest Products Inc 117,450
$726,913
CHEMICALS --- 1.7%
9,500 Arch Chemicals Inc 184,652
10,800 Cambrex Corp 431,320
6,550 ChemFirst Inc 150,650
13,100 Georgia Gulf Corp 175,213
10,000 Lilly Industries Inc Class A 300,000
13,400 MacDermid Inc 288,100
6,400 Material Sciences Corp* 64,800
11,300 Mississippi Chemical Corp 50,850
10,300 OM Group Inc 476,375
17,100 Omnova Solutions Inc 96,188
3,200 Penford Corp 40,800
41,700 PolyOne Corp* 328,388
3,800 Quaker Chemical Corp 65,311
$2,652,647
COMMUNICATIONS - EQUIPMENT --- 3.2%
16,100 Adaptive Broadband Corp* 258,598
12,000 Allen Telecom Inc* 224,244
16,000 Anixter International Inc* 388,000
22,300 Aspect Communications Corp* 367,593
9,700 Audiovox Corp Class* 132,764
24,000 Brightpoint Inc* 159,744
5,300 Brooktrout Inc* 76,516
18,575 Cable Design Technologies Corp* 428,377
31,600 DMC Stratex Networks Inc* 730,750
5,800 Davox Corp* 56,550
11,400 Inter-Tel Inc 131,807
33,300 P-Com Inc* 187,313
21,100 Plantronics Inc* 962,688
11,000 Proxim Inc* 666,875
9,750 SymmetriCom Inc* 124,313
9,400 ViaSat Inc* 206,800
$5,102,932
COMPUTER HARDWARE & SYSTEMS --- 1.0%
12,800 Auspex Systems Inc* 129,600
6,500 Digi International Inc* 47,125
21,700 National Instruments Corp* 1,013,108
9,300 Network Equipment Technologies Inc* 88,350
6,800 Standard Microsystems Corp* 163,200
7,500 Telxon Corp* 168,278
$1,609,661
COMPUTER SOFTWARE & SERVICES --- 6.5%
13,200 AVT Corp* 82,909
18,000 American Management Systems Inc* 389,250
9,750 Analysts International Corp 60,938
11,200 Aspen Technology Inc* 462,694
16,900 Avant! Corp* 284,123
10,900 Avid Technology Inc* 151,238
9,700 Aware Inc* 300,089
6,000 BARRA Inc* 366,750
4,900 CACI International Inc Class A* 101,063
25,700 CIBER Inc* 200,768
9,000 Computer Task Group Inc 47,250
7,100 Concord Communications Inc* 55,025
17,050 Dendrite International Inc* 370,838
17,900 Epicor Software Corp* 35,227
9,900 Exabyte Corp* 76,725
6,200 Fair Isaac & Co Inc 254,200
14,800 FileNET Corp* 392,200
9,500 Gerber Scientific Inc 76,000
8,600 Great Plains Software Inc* 334,858
13,900 HNC Software Inc 282,337
10,700 Hutchinson Technology Inc* 234,726
13,985 Hyperion Solutions Corp* 195,790
6,400 Innovex Inc 89,600
14,100 InterVoice-Brite Inc* 137,912
17,600 Jack Henry & Associates Inc 968,000
5,350 Kronos Inc* 194,938
7,400 MICROS Systems Inc* 146,150
10,700 NYFIX Inc* 422,650
11,300 Phoenix Technologies Ltd* 181,501
15,400 Progress Software Corp* 243,505
9,400 Project Software & Development Inc* 122,200
6,600 QRS Corp* 55,684
17,200 RSA Security Inc* 997,600
7,400 RadiSys Corp* 196,100
26,700 Read-Rite Corp* 198,568
13,600 Remedy Corp* 232,900
12,700 SAGA SYSTEMS Inc* 68,263
4,200 SPSS Inc* 94,500
14,100 Systems & Computer Tech Corp* 203,562
8,300 THQ Inc* 170,150
14,200 Verity Inc* 333,700
13,300 Visual Networks Inc* 49,037
12,900 Xircom Inc* 182,213
7,100 ZixIt Corp* 173,503
21,300 eLoyalty Corp* 205,013
10,200 ePresence Inc* 72,032
$10,494,279
COSMETICS & PERSONAL CARE --- 0.2%
29,500 NBTY Inc* 191,750
7,200 Nature's Sunshine Products Inc 50,846
$242,596
DISTRIBUTORS --- 1.9%
15,000 Bindley Western Industries Inc 539,055
17,100 Fleming Cos Inc 242,598
5,400 Morrison Management Specialists Inc 180,900
5,000 Nash-Finch Co 61,875
14,200 Owens & Minor Inc 214,775
29,000 Patterson Dental Co* 908,048
6,000 Performance Food Group Co* 243,000
9,794 Priority Healthcare Corp* 526,428
7,900 United Natural Foods Inc* 99,240
$3,015,919
ELECTRIC COMPANIES --- 1.3%
20,300 Avista Corp 455,471
3,200 Bangor-Hydro Electric Co 78,598
7,200 CH Energy Group Inc 283,500
5,000 Central Vermont Public Service Corp 50,310
2,300 Green Mountain Power Corp 17,825
10,000 NorthWestern Corp 221,250
15,100 RGS Energy Group Inc 445,450
6,200 UIL Holdings Corp 290,234
14,000 UniSource Energy Corp 209,118
$2,051,756
ELECTRONIC INSTRUMENTS & EQUIP --- 8.7%
10,050 AO Smith Corp 141,956
16,870 APW Ltd* 779,175
12,750 Aeroflex Inc* 758,625
18,500 Alpha Industries Inc* 737,688
5,500 Analogic Corp 194,216
16,300 Artesyn Technologies Inc* 662,188
14,533 Baldor Electric Co 288,843
10,500 Belden Inc 272,339
8,200 Benchmark Electronics Inc* 330,050
8,100 Black Box Corp* 533,588
11,300 C&D Technologies Inc 668,113
14,600 C-COR.net Corp* 228,125
13,000 Checkpoint Systems Inc* 103,181
11,600 Coherent Inc* 403,819
8,700 Cohu Inc 137,564
11,500 Electro Scientific Industries Inc* 401,776
14,700 Harman International Industries Inc 705,600
6,600 Itron Inc* 38,775
37,700 KEMET Corp* 1,050,888
12,300 Kent Electronics Corp* 229,088
9,200 Mercury Computer Systems Inc* 285,200
15,300 Methode Electronics Inc Class A 575,663
4,500 Park Electrochemical Corp 297,279
5,100 Photon Dynamics Inc* 183,600
11,700 Pioneer-Standard Electronics Inc 162,338
17,200 Plexus Corp* 1,084,666
15,200 Robotic Vision Systems Inc* 83,114
14,900 SLI Inc 122,925
7,100 Technitrol Inc 787,213
9,299 Three-Five Systems Inc* 320,816
10,100 Trimble Navigation Ltd* 239,875
18,200 Vicor Corp* 982,800
11,600 Watsco Inc 109,272
9,200 X-Rite Inc 62,100
$13,962,458
ELECTRONICS - SEMICONDUCTOR --- 3.5%
9,150 AXT Inc* 352,275
10,300 Actel Corp* 377,238
17,800 Alliance Semiconductor Corp* 356,000
21,200 C-Cube Microsystems Inc* 413,400
26,000 Dallas Semiconductor Corp 1,030,250
18,700 ESS Technology Inc* 289,850
9,000 Electroglas Inc* 126,558
16,300 General Semiconductor Inc* 186,423
9,700 Helix Technology Corp 270,388
21,000 Kulicke & Soffa Industries Inc* 308,427
10,500 Pericom Semiconductor Corp* 278,250
12,700 Photronics Inc* 286,537
39,700 S3 Inc* 358,531
14,600 Silicon Valley Group Inc* 480,880
12,800 SpeedFam-IPEC Inc* 121,600
7,900 TelCom Semiconductor Inc* 111,090
9,100 Ultratech Stepper Inc* 213,850
$5,561,547
ENGINEERING & CONSTRUCTION --- 1.1%
2,800 Butler Manufacturing Co 68,950
18,075 Dycom Industries Inc* 680,072
8,000 Florida Rock Industries Inc 311,000
17,600 Foster Wheeler Corp 129,800
9,100 Texas Industries Inc 212,144
7,000 URS Corp* 89,684
22,600 Washington Group International Inc* 237,300
$1,728,950
FINANCIAL SERVICES --- 1.8%
32,700 AmeriCredit Corp* 878,813
11,100 Cash America International Inc 57,576
15,200 Eaton Vance Corp 757,142
12,800 Investors Financial Services Corp 917,594
17,800 Mutual Risk Management Ltd 322,625
$2,933,750
FOOD & BEVERAGES --- 2.1%
4,200 Agribrands International Inc* 182,700
7,900 American Italian Pasta Co Class A* 158,490
28,700 Chiquita Brands International Inc 55,592
3,800 Coca-Cola Bottling Co Consolidated 136,800
7,900 Constellation Brands Inc Class A* 385,125
18,200 Earthgrains Co 368,550
12,500 Hain Celestial Group Inc* 496,088
8,100 International Multifoods Corp 137,190
3,700 J&J Snack Foods Corp* 49,717
7,900 Michael Foods Inc 212,802
12,900 Ralcorp Holdings Inc* 181,400
24,300 Smithfield Foods Inc* 697,094
9,500 Triarc Cos Inc* 236,902
$3,298,450
GOLD, METALS & MINING --- 0.8%
6,100 AM Castle & Co 60,238
13,400 Birmingham Steel Corp* 32,656
4,500 Cleveland-Cliffs Inc 92,813
6,100 Commercial Metals Co 166,225
7,100 Commonwealth Industries Inc 41,265
6,600 IMCO Recycling Inc 36,709
5,900 Quanex Corp 116,891
20,100 Steel Dynamics Inc* 241,200
4,600 Steel Technologies Inc 25,300
16,650 Stillwater Mining Co* 482,850
$1,296,147
HARDWARE & TOOLS --- 0.5%
12,100 Scotts Co Class A* 432,575
5,500 Toro Co 192,500
6,700 WD-40 Co 146,563
$771,638
HEALTH CARE RELATED --- 3.4%
10,800 Advance Paradigm Inc* 527,850
25,500 Coventry Health Care Inc* 465,375
3,600 Curative Health Services Inc* 19,800
8,200 Hanger Orthopedic Group Inc* 26,650
28,700 Hooper Holmes Inc 272,363
9,100 MAXIMUS Inc* 223,514
20,400 Mid Atlantic Medical Services Inc* 346,800
20,900 Orthodontic Centers of America Inc* 697,538
10,900 PAREXEL International Corp* 95,375
6,800 Pediatrix Medical Group Inc* 108,372
10,800 Pharmaceutical Product Development Inc* 338,170
13,100 Province Healthcare Co* 551,838
19,800 Renal Care Group Inc* 465,300
11,750 Sierra Health Services Inc* 63,885
39,900 US Oncology Inc* 214,463
12,900 Universal Health Services Inc Class B* 1,081,988
$5,499,281
HEAVY TRUCKS & PARTS --- 0.3%
7,200 Oshkosh Truck Corp 296,100
4,900 Spartan Motors Inc 12,250
8,900 Titan International Inc 40,602
9,900 Wabash National Corp 79,200
$428,152
HOMEBUILDING --- 1.5%
20,400 Champion Enterprises Inc* 79,050
29,031 DR Horton Inc 537,074
14,100 Fleetwood Enterprises Inc 185,937
9,200 MDC Holdings Inc 251,850
3,800 NVR Inc* 392,920
5,600 Ryland Group Inc 180,600
3,700 Skyline Corp 80,242
12,800 Standard Pacific Corp 240,000
15,600 Toll Brothers Inc* 507,000
$2,454,673
HOTELS/MOTELS --- 0.2%
12,750 Marcus Corp 180,884
19,400 Prime Hospitality Corp* 184,300
$365,184
HOUSEHOLD GOODS --- 0.9%
9,900 Applica Inc* 50,114
5,100 Bassett Furniture Industries Inc 64,388
17,050 Ethan Allen Interiors Inc 498,713
15,300 Fedders Corp 65,025
26,100 La-Z-Boy Inc 411,075
6,600 Libbey Inc 179,850
3,000 National Presto Industries Inc 91,125
6,500 Royal Appliance Manufacturing Co* 37,375
4,900 Salton Inc* 112,088
$1,509,753
INSURANCE RELATED --- 3.3%
16,400 Arthur J Gallagher & Co 1,035,250
8,635 Delphi Financial Group Inc Class A* 319,495
5,600 EW Blanch Holdings Inc 105,700
16,400 Enhance Financial Services Group Inc 190,650
29,012 Fidelity National Financial Inc 712,593
27,400 First American Financial Corp 573,674
30,200 Fremont General Corp 109,475
5,700 Hilb Rogal & Hamilton Co 225,863
4,200 RLI Corp 164,325
16,300 Radian Group Inc 1,155,263
4,000 SCPIE Holdings Inc 76,000
11,000 Selective Insurance Group Inc 189,750
13,750 Trenwick Group Ltd 269,844
7,400 Zenith National Insurance Corp 168,350
$5,296,232
INVESTMENT BANK/BROKERAGE FIRM --- 1.6%
5,600 Dain Rauscher Corp 525,347
10,500 Jefferies Group Inc 286,125
12,300 Morgan Keegan Inc 245,225
9,100 National Discount Brokers Group Inc* 443,052
19,875 Raymond James Financial Inc 672,014
6,810 Southwest Securities Group Inc 192,383
9,800 Tucker Anthony Sutro Corp 226,625
$2,590,771
LEISURE & ENTERTAINMENT --- 1.6%
5,000 Anchor Gaming* 424,685
10,400 Arctic Cat Inc 133,245
17,500 Aztar Corp* 264,688
6,700 Coachmen Industries Inc 56,113
4,400 Huffy Corp* 44,000
8,400 JAKKS Pacific Inc* 74,021
7,700 K2 Inc* 73,150
7,100 Meade Instruments Corp* 130,015
16,279 Midway Games Inc* 126,162
8,200 Monaco Coach Corp* 139,908
11,400 Pinnacle Entertainment Inc* 260,057
10,300 Polaris Industries Inc 357,925
7,300 SCP Pool Corp* 188,888
11,600 Sturm Ruger & Co Inc 97,869
5,250 Thor Industries Inc 105,000
9,200 Winnebago Industries Inc 105,800
$2,581,526
MACHINERY --- 0.4%
6,600 Gardner Denver Inc* 121,275
10,600 Manitowoc Co Inc 288,182
15,000 Milacron Inc 239,055
$648,512
MANUFACTURING --- 6.2%
3,600 Amcast Industrial Corp 36,000
15,400 AptarGroup Inc 318,580
8,300 Astec Industries Inc* 85,590
11,800 BMC Industries Inc 70,057
8,000 Barnes Group Inc 154,000
9,800 Brady Corp Class A 303,800
7,100 Brush Engineered Materials Inc 145,103
10,500 CLARCOR Inc 200,813
12,000 CTS Corp 515,244
7,000 CUNO Inc* 177,625
18,700 Cognex Corp* 626,450
9,500 Dionex Corp* 308,152
7,500 Esterline Technologies Corp* 167,340
6,400 Flow International Corp* 80,000
18,300 GenCorp Inc 153,263
8,700 Graco Inc 312,652
12,800 Griffon Corp* 97,600
13,000 IDEX Corp 419,250
10,700 Insituform Technologies Inc Class A* 381,851
3,500 Insteel Industries Inc 12,030
5,873 Intermagnetics General Corp* 150,496
7,000 Ionics Inc* 146,559
18,800 JLG Industries Inc 262,016
10,000 Kaman Corp Class A 145,000
4,200 Lawson Products Inc 113,925
5,025 Lindsay Manufacturing Co 105,525
6,800 Lydall Inc* 71,822
14,900 Mueller Industries Inc* 347,349
9,256 Myers Industries Inc 122,642
18,900 Paxar Corp* 154,734
9,000 RTI International Metals Inc* 130,500
9,000 Regal-Beloit Corp 150,750
12,000 Reliance Steel & Aluminum Co 285,000
4,700 Robbins & Myers Inc 113,679
13,100 Roper Industries Inc 458,500
5,500 SPS Technologies Inc* 283,938
7,300 Scott Technologies Inc* 167,900
8,500 Shaw Group Inc* 692,750
8,400 Specialty Equipment Cos Inc* 254,621
5,400 Standex International Corp 98,885
6,700 Thomas Industries Inc 140,700
16,400 Tredegar Corp 312,617
16,300 Valence Technology Inc* 227,173
10,000 Valmont Industries Inc 203,750
11,400 Watts Industries Inc Class A 127,532
5,200 Wolverine Tube Inc* 70,850
$9,904,613
MEDICAL PRODUCTS --- 2.5%
9,000 ADAC Laboratories* 117,000
6,600 CONMED Corp* 96,934
6,100 Cooper Cos Inc 218,075
11,300 Cygnus Inc* 100,988
6,400 Datascope Corp 221,600
5,900 Diagnostic Products Corp 269,188
6,600 Hologic Inc* 43,725
13,000 Invacare Corp 370,500
10,900 Laser Vision Centers Inc* 44,276
10,100 Mentor Corp 178,013
6,000 Osteotech Inc* 33,000
5,700 PolyMedica Corp* 327,750
13,200 ResMed Inc* 336,600
12,700 Respironics Inc* 249,238
10,400 Sola International Inc* 44,845
4,100 Spacelabs Medical Inc* 43,563
9,600 Sunrise Medical Inc* 89,395
10,300 Syncor International Corp* 264,576
12,700 Theragenics Corp* 59,525
13,600 Varian Medical Systems Inc* 664,700
5,300 Vital Signs Inc 164,963
$3,938,454
OFFICE EQUIPMENT & SUPPLIES --- 0.4%
2,500 Nashua Corp 14,530
5,800 New England Business Service Inc 100,775
11,400 Standard Register Co 136,800
14,700 United Stationers Inc* 441,911
$694,016
OIL & GAS --- 5.2%
6,000 Atwood Oceanics Inc* 201,372
14,200 Barrett Resources Corp* 516,525
12,450 Cabot Oil & Gas Corp Class A 244,331
6,800 Cal Dive International Inc* 338,300
29,975 Cross Timbers Oil Co 563,890
7,400 Dril-Quip Inc* 244,200
21,012 Friede Goldman Halter Inc* 120,819
7,900 HS Resources Inc* 245,888
21,800 Input/Output Inc* 183,927
18,600 Louis Dreyfus Natural Gas Corp* 596,353
18,300 Newfield Exploration Co* 690,825
7,600 Nuevo Energy Co* 137,750
9,900 Oceaneering International Inc* 139,214
9,100 Offshore Logistics Inc* 156,975
7,300 Patina Oil & Gas Corp 128,203
7,700 Plains Resources Inc* 147,263
17,400 Pogo Producing Co 435,000
28,300 Pride International Inc* 716,330
9,300 Remington Oil & Gas Corp* 85,439
7,300 SEACOR SMIT Inc* 305,688
10,400 Seitel Inc* 156,000
9,700 St Mary Land & Exploration Co 227,339
8,000 Stone Energy Corp* 409,600
9,600 Swift Energy Co* 312,000
5,800 TETRA Technologies Inc* 83,735
12,000 Veritas DGC Inc* 360,000
27,100 Vintage Petroleum Inc 572,488
$8,319,454
PAPER & FOREST PRODUCTS --- 0.5%
15,100 Buckeye Technologies Inc* 258,588
11,100 Caraustar Industries Inc 111,688
6,600 Chesapeake Corp 129,525
5,300 Deltic Timber Corp 103,016
6,100 Pope & Talbot Inc 94,928
5,120 Republic Group Inc 96,317
$794,062
PHARMACEUTICALS --- 2.3%
17,150 Alpharma Inc Class A 665,626
14,900 Barr Laboratories Inc* 940,563
19,200 Dura Pharmaceuticals Inc* 661,190
12,600 Medicis Pharmaceutical Corp Class A* 927,675
9,500 Noven Pharmaceuticals Inc* 423,339
$3,618,393
PHOTOGRAPHY/IMAGING --- 0.5%
21,600 Pinnacle Systems Inc* 272,700
13,100 Zebra Technologies Corp Class A* 573,937
$846,637
PRINTING & PUBLISHING --- 0.5%
14,500 Bowne & Co Inc 121,438
5,600 Consolidated Graphics Inc* 60,200
12,300 John H Harland Co 170,663
13,700 Penton Media Inc 418,699
6,100 Thomas Nelson Inc 40,791
$811,791
RESTAURANTS --- 1.9%
11,500 Applebee's International Inc 347,335
11,550 CEC Entertainment Inc* 368,156
13,300 Cheesecake Factory Inc* 589,350
12,597 Consolidated Products Inc* 95,259
8,600 IHOP Corp* 181,675
16,500 Jack In The Box Inc* 404,250
9,600 Landry's Seafood Restaurants Inc 77,395
9,700 Luby's Inc 56,988
5,400 Panera Bread Co Class A* 111,375
26,400 Ruby Tuesday Inc 358,037
14,000 Ryan's Family Steak Houses Inc* 117,250
7,600 Sonic Corp* 277,400
5,000 Taco Cabana Inc Class A* 42,030
$3,026,500
RETAIL --- 5.3%
14,533 99 Cents Only Stores* 326,077
12,700 Ames Department Stores Inc* 50,000
12,400 AnnTaylor Stores Corp* 372,000
14,500 Bombay Co Inc* 36,250
7,800 Books-A-Million Inc* 19,500
5,500 Building Materials Holding Corp* 48,125
19,100 Burlington Coat Factory Warehouse Corp 300,825
21,300 Casey's General Stores Inc 266,250
10,700 Cato Corp Class A 128,400
7,500 Chicos FAS Inc* 242,813
8,900 Cost Plus Inc* 249,200
2,500 DAMARK International Inc Class A* 31,875
7,200 Discount Auto Parts Inc* 51,746
7,700 Dress Barn Inc* 192,977
5,400 Factory 2-U Stores Inc* 172,460
8,400 Footstar Inc* 301,350
14,000 Goody's Family Clothing Inc* 50,302
5,400 Gottschalks Inc* 26,325
16,500 Great Atlantic & Pacific Tea Co Inc 165,000
9,200 Group 1 Automotive Inc* 91,420
10,500 Gymboree Corp* 93,839
7,800 Hancock Fabrics Inc 34,125
10,200 Hughes Supply Inc 191,250
17,650 Insight Enterprises Inc* 573,625
6,100 J Baker Inc 23,827
7,800 Jo-Ann Stores Inc Class A* 50,700
3,800 Lillian Vernon Corp 35,150
17,100 Linens 'n Things Inc* 525,825
17,850 Men's Wearhouse Inc* 522,113
15,600 Michaels Stores Inc* 379,267
22,100 O'Reilly Automotive Inc* 397,800
13,700 Pacific Sunwear of California Inc* 280,850
23,000 Pep Boys - Manny Moe & Jack 103,500
41,675 Pier 1 Imports Inc 552,194
7,500 School Specialty Inc* 115,313
12,800 ShopKo Stores Inc* 81,600
18,500 Stein Mart Inc* 286,750
6,000 Wet Seal Inc Class A* 112,500
11,300 Whole Foods Market Inc* 522,625
15,200 Zale Corp* 514,900
$8,520,648
SAVINGS & LOANS --- 1.3%
10,000 Anchor Bancorp Wisconsin Inc 154,370
12,141 Downey Financial Corp 579,733
10,000 MAF Bancorp Inc 240,000
8,950 Queens County Bancorp Inc 250,600
15,600 Staten Island Bancorp Inc 301,267
22,400 Washington Federal Inc 499,789
$2,025,759
SHOES --- 0.9%
7,900 Brown Shoe Co Inc 77,515
4,400 K-Swiss Inc 121,000
18,600 Stride Rite Corp 99,975
17,300 Timberland Co Class A* 893,113
17,900 Wolverine World Wide Inc 193,535
$1,385,138
SPECIALIZED SERVICES --- 7.6%
5,200 4Kids Entertainment Inc* 75,072
9,700 ABM Industries Inc 270,989
8,800 ADVO Inc* 323,946
7,400 AT Cross Co Class A* 35,609
8,500 Aaron Rents Inc 142,375
7,100 Action Performance Cos Inc* 16,863
11,700 Administaff Inc* 415,350
3,700 Angelica Corp 32,838
23,900 BISYS Group Inc* 1,126,288
18,200 Billing Concepts Corp* 54,600
8,200 CDI Corp* 130,175
3,300 CPI Corp 66,617
23,800 Catalina Marketing Corp* 934,150
15,750 Central Parking Corp 302,195
14,600 Cerner Corp* 904,280
4,300 Chemed Corp 141,363
17,400 ChoicePoint Inc* 890,654
23,300 Copart Inc* 350,945
6,900 Cyrk Inc* 26,738
6,200 Department 56 Inc* 87,959
12,700 Edgewater Technology Inc* 62,306
5,900 Enesco Group Inc 39,825
6,700 FYI Inc* 268,838
14,000 FactSet Research Systems Inc 530,180
13,800 Fossil Inc* 180,256
8,900 Franklin Covey Co* 71,200
8,900 G&K Services Inc Class A 245,863
27,650 HA-LO Industries Inc* 107,144
5,600 Hall Kinion & Associates Inc* 148,047
8,300 Heidrick & Struggles International Inc* 513,040
12,500 Information Resources Inc* 66,400
5,000 Insurance Auto Auctions Inc* 60,000
9,600 Kroll-O'Gara Co* 56,400
18,050 Labor Ready Inc* 54,150
8,500 Mayor's Jewelers Inc* 30,813
7,000 MemberWorks Inc* 240,625
14,100 National Data Corp 537,563
9,900 On Assignment Inc* 249,351
10,500 Pegasus Solutions Inc* 179,151
9,700 Pre-Paid Legal Services Inc* 425,588
21,400 Profit Recovery Group International Inc* 115,025
17,550 Regis Corp 265,444
8,600 Russ Berrie & Co Inc 195,108
27,490 Spherion Corp* 326,444
6,000 StarTek Inc* 152,622
17,150 Tetra Tech Inc* 595,963
6,500 Volt Information Sciences Inc* 141,375
$12,187,727
TELEPHONE & TELECOMMUNICATIONS --- 0.3%
22,400 General Communication Inc Class A* 174,989
15,500 Pac-West Telecomm* 134,649
33,820 TALK.com Inc* 104,605
$414,243
TEXTILES --- 0.8%
5,800 Ashworth Inc* 42,775
11,000 Cone Mills Corp* 46,057
4,800 Dixie Group Inc* 15,298
2,800 Haggar Corp 36,400
12,700 Hartmarx Corp* 33,338
22,000 Interface Inc 200,750
10,300 Kellwood Co 200,201
13,500 Nautica Enterprises Inc* 170,438
5,200 OshKosh B'Gosh Inc Class A 83,200
3,300 Oxford Industries Inc 57,750
11,800 Phillips-Van Heusen Corp 140,125
9,700 Quiksilver Inc* 185,513
$1,211,845
TOBACCO --- 0.1%
6,600 Schweitzer-Mauduit International Inc 106,834
$106,834
TRANSPORTATION --- 1.5%
14,000 American Freightways Corp* 225,750
8,500 Arkansas Best Corp* 136,000
9,100 Forward Air Corp* 374,238
6,800 Frozen Food Express Industries Inc* 14,872
10,900 Heartland Express Inc* 189,388
10,600 Kirby Corp* 195,432
3,800 Landstar System Inc* 179,550
4,800 MS Carriers Inc* 75,000
8,300 Roadway Express Inc 170,665
25,050 Rollins Truck Leasing Corp 131,513
11,300 USFreightways Corp 290,975
20,250 Werner Enterprises Inc 283,500
10,600 Yellow Corp* 190,800
$2,457,683
UNIT INVESTMENT TRUST --- 0.4%
5,443 iShares S&P SmallCap 600 Index Fund* 594,474
$594,474
UTILITIES --- 2.0%
13,700 Atmos Energy Corp 316,813
4,800 Cascade Natural Gas Corp 88,498
13,000 Energen Corp 372,125
8,100 Laclede Gas Co 177,188
5,600 NUI Corp 174,647
7,600 New Jersey Resources Corp 303,521
10,900 Northwest Natural Gas Co 255,463
13,600 Piedmont Natural Gas Co Inc 414,800
21,331 Southern Union Co* 401,279
13,500 Southwest Gas Corp 281,813
10,800 Southwestern Energy Co 86,400
11,700 UGI Corp 271,288
$3,143,835
WATER --- 0.3%
3,900 American States Water Co 121,629
17,668 Philadelphia Suburban Corp 414,085
$535,714
TOTAL COMMON STOCK --- 100.0% $160,569,357
(Cost $150,865,764)
TOTAL ORCHARD INDEX 600 FUND --- 100.0% $160,569,357
(Cost $150,865,764)
The Orchard Series Fund
Orchard Money Market Fund
SHORT-TERM INVESTMENTS
CHEMICALS --- 5.6%
224,000 EI du Pont de Nemours & Co 223,435
$223,435
ELECTRIC COMPANIES --- 18.8%
224,000 Duke Energy Corp 222,345
143,000 Pacific Gas & Electric Co 142,485
190,000 South Carolina Electric & Gas 189,484
200,000 Southern California Edison Co 199,927
$754,241
FINANCIAL SERVICES --- 42.6%
185,000 American Express Credit Corp 184,298
150,000 CIT Group Inc 148,124
225,000 Ciesco LP 224,960
185,000 Ford Motor Credit Co 183,866
190,000 Morgan Stanley Dean Witter & Co 188,629
194,000 PACCAR Financial Corp 191,296
225,000 Prudential Funding Corp 224,755
197,000 Salomon Smith Barney Holdings 194,573
175,000 TransAmerica Financial Corp 173,894
$1,714,395
FOOD & BEVERAGES --- 5.2%
100,000 Campbell Soup Co 99,745
110,000 HJ Heinz Co 109,821
$209,566
INSURANCE RELATED --- 8.1%
160,000 American General Capital Services 159,649
165,000 American General Finance Corp 164,578
$324,227
INVESTMENT BANK/BROKERAGE FIRM --- 7.4%
200,000 Caisse Central Desjardins 198,694
100,000 Merrill Lynch & Co Inc 99,763
$298,457
PRINTING & PUBLISHING --- 3.7%
150,000 McGraw-Hill Cos Inc 149,671
$149,671
TELEPHONE & TELECOMMUNICATIONS --- 3.7%
150,000 AT&T Corp 149,204
$149,204
TRANSPORTATION --- 4.9%
200,000 DaimlerChrysler 198,964
$198,964
TOTAL SHORT-TERM INVESTMENTS --- 100.0% $4,022,160
(Cost $4,022,160)
TOTAL ORCHARD MONEY MARKET FUND --- 100.0% $4,022,160
(Cost $4,022,160)
The Orchard Series Fund
Orchard Nasdaq - 100 Index (R) Fund
COMMON STOCK
AIRLINES --- 0.1%
56 Northwest Airlines Corp* 1,596
$1,596
BIOTECHNOLOGY --- 2.4%
217 Chiron Corp* 9,399
91 Genzyme Corp* 6,461
597 Immunex Corp* 25,410
$41,270
BROADCAST/MEDIA --- 3.7%
107 Adelphia Communications Corp Class A* 3,551
365 Comcast Corp Class A* 14,874
209 EchoStar Communications Corp Class A* 9,457
365 Gemstar-TV Guide International Inc* 25,025
174 PanAmStat Corp* 5,829
296 USA Networks Inc* 5,994
$64,730
CHEMICALS --- 0.1%
67 Sigma-Aldrich Corp 2,395
$2,395
COMMUNICATIONS - EQUIPMENT --- 18.0%
836 ADC Telecommunications Inc* 17,870
2,190 Cisco Systems Inc* 117,982
143 Comverse Technology Inc* 15,980
760 JDS Uniphase Corp* 61,892
282 Network Appliance Inc* 33,558
774 QUALCOMM Inc* 50,394
150 RF Micro Devices Inc* 2,991
195 Tellabs Inc* 9,738
$310,405
COMPUTER HARDWARE & SYSTEMS --- 5.8%
148 3Com Corp 2,627
392 Apple Computer Inc* 7,668
823 Dell Computer Corp* 24,279
590 Sun Microsystems Inc* 65,416
$99,990
COMPUTER SOFTWARE & SERVICES --- 29.2%
196 Adobe Systems Inc 14,908
170 Ariba Inc* 21,484
251 At Home Corp* 2,588
154 BMC Software Inc* 3,128
250 BroadVision Inc* 7,438
276 CMGI Inc* 4,658
125 CNET Networks Inc* 3,938
186 Citrix Systems Inc* 4,115
188 Compuware Corp* 1,481
106 Electronic Arts Inc* 5,300
219 Intuit Inc* 13,455
180 Juniper Networks Inc* 35,100
73 Legato Systems Inc* 650
1,564 Microsoft Corp* 107,721
116 Network Associates Inc* 2,233
333 Novell Inc* 2,997
2,024 Oracle Corp* 66,792
319 Parametric Technology Corp* 3,928
304 Paychex Inc 17,233
339 PeopleSoft Inc* 14,794
127 RealNetworks Inc* 2,617
422 Siebel Systems Inc* 44,283
64 Synopsys Inc* 2,232
351 VERITAS Software Corp* 49,496
151 VeriSign Inc* 19,932
224 Yahoo! Inc* 13,132
170 eBay Inc* 8,755
178 i2 Technologies Inc* 30,260
$504,648
CONTAINERS --- 0.2%
199 Smurfit - Stone Container Corp* 2,687
$2,687
ELECTRONIC INSTRUMENTS & EQUIP --- 2.8%
219 American Power Conversion Corp* 2,833
300 Atmel Corp* 4,481
86 Microchip Technology Inc* 2,720
84 Molex Inc 4,536
71 QLogic Corp* 6,869
137 Sanmina Corp* 15,661
169 Vitesse Semiconductor Corp* 11,819
$48,919
ELECTRONICS - SEMICONDUCTOR --- 16.4%
67 Adaptec Inc* 1,059
482 Altera Corp* 19,732
358 Applied Materials Inc* 19,019
288 Applied Micro Circuits Corp* 21,888
95 Broadcom Corp Class A* 21,126
210 Conexant Systems Inc* 5,526
2,030 Intel Corp 91,350
190 KLA-Tencor Corp* 6,424
358 Linear Technology Corp 23,113
343 Maxim Integrated Products Inc* 22,745
147 PMC-Sierra Inc* 24,917
377 Xilinx Inc* 27,309
$284,208
HEALTH CARE RELATED --- 2.7%
408 Amgen Inc* 23,638
151 Biogen Inc* 9,088
189 MedImmune Inc* 12,356
21 PacifiCare Health Systems Inc* 219
137 Quintiles Transnational Corp* 1,909
$47,210
HEAVY TRUCKS & PARTS --- 0.2%
67 PACCAR Inc 2,818
$2,818
MEDICAL PRODUCTS --- 0.4%
199 Biomet Inc 7,201
$7,201
MISCELLANEOUS --- 1.8%
809 Nextel Communications Inc Class A* 31,096
$31,096
OFFICE EQUIPMENT & SUPPLIES --- 0.1%
51 Herman Miller Inc 1,332
$1,332
RESTAURANTS --- 0.6%
222 Starbucks Corp* 9,921
$9,921
RETAIL --- 1.7%
205 Amazon.com Inc* 7,508
323 Bed Bath & Beyond Inc* 8,337
196 Costco Wholesale Corp* 7,179
82 Dollar Tree Stores Inc* 3,208
260 Staples Inc* 3,705
$29,937
SPECIALIZED SERVICES --- 1.5%
57 Apollo Group Inc Class A* 2,230
174 Cintas Corp 8,069
209 Concord EFS Inc* 8,634
132 Fiserv Inc* 6,922
$25,855
TELEPHONE & TELECOMMUNICATIONS --- 9.6%
292 CIENA Corp* 30,697
820 Global Crossing Ltd* 19,373
1,011 LM Ericsson AB 14,028
219 Level 3 Communications Inc* 10,443
401 McLeodUSA Inc Class A* 7,719
447 Metromedia Fiber Network Inc Class A* 8,493
69 SDL Inc* 17,888
211 VoiceStream Wireless Corp* 27,747
885 WorldCom Inc* 21,019
244 XO Communications Inc Class A* 8,231
$165,638
UNIT INVESTMENT TRUST --- 2.7%
565 Nasdaq-100 Shares* 46,162
$46,162
TOTAL COMMON STOCK --- 100.0% $1,728,018
(Cost $1,956,272)
TOTAL ORCHARD NASDAQ - 100 INDEX (R) FUND --- 100.0% $1,728,018
(Cost $1,956,272)
The Orchard Series Fund
Orchard S&P 500 Index (R) Fund
COMMON STOCK
AEROSPACE & DEFENSE --- 1.2%
5,650 BF Goodrich Co 231,294
49,368 Boeing Co 3,347,743
10,840 General Dynamics Corp 775,732
23,520 Lockheed Martin Corp 843,192
3,900 Northrop Grumman Corp 327,600
18,650 Raytheon Co Class B 637,588
10,290 Rockwell International Corp 404,520
25,730 United Technologies Corp 1,796,263
$8,363,932
AIRLINES --- 0.2%
8,350 AMR Corp 273,463
6,830 Delta Air Lines Inc 322,718
27,675 Southwest Airlines Co 788,738
3,720 US Airways Group Inc* 140,430
$1,525,349
AUTO PARTS & EQUIPMENT --- 0.1%
3,980 Cooper Tire & Rubber Co 43,529
31,142 Delphi Automotive Systems Corp 488,525
9,645 Genuine Parts Co 205,554
8,750 Goodyear Tire & Rubber Co 161,875
7,206 Visteon Corp 127,453
$1,026,936
AUTOMOBILES --- 0.6%
104,290 Ford Motor Co 2,724,576
29,480 General Motors Corp 1,831,445
$4,556,021
BANKS --- 5.0%
20,930 AmSouth Bancorp 291,701
21,990 BB&T Corp 700,931
63,698 Bank One Corp 2,324,977
90,461 Bank of America Corp 4,347,737
40,600 Bank of New York Co Inc 2,337,017
72,060 Chase Manhattan Corp 3,278,730
8,550 Comerica Inc 515,668
25,575 Fifth Third Bancorp 1,313,916
54,287 First Union Corp 1,645,548
52,723 Firstar Corp 1,037,958
49,721 FleetBoston Financial Corp 1,889,398
14,060 Huntington Bancshares Inc 202,113
8,760 JP Morgan & Co Inc 1,449,780
23,930 KeyCorp 590,760
26,830 Mellon Financial Corp 1,294,548
33,760 National City Corp 721,620
12,150 Northern Trust Corp 1,037,306
7,685 Old Kent Financial Corp 212,775
15,860 PNC Financial Services Group 1,060,638
12,110 Regions Financial Corp 285,336
9,440 SouthTrust Corp 305,620
8,870 State Street Corp 1,106,444
9,660 Summit Bancorp 362,250
16,530 SunTrust Banks Inc 806,862
15,910 Synovus Financial Corp 343,051
41,069 US Bancorp 993,336
7,520 Union Planters Corp 254,266
11,250 Wachovia Corp 607,500
90,740 Wells Fargo & Co 4,202,351
$35,520,137
BROADCAST/MEDIA --- 0.6%
32,250 Clear Channel Communications Inc* 1,937,000
49,830 Comcast Corp Class A* 2,030,573
$3,967,573
BUILDING MATERIALS --- 0.1%
25,510 Masco Corp 476,705
9,120 Sherwin-Williams Co 197,785
5,640 Vulcan Materials Co 236,880
$911,370
CHEMICALS --- 1.0%
12,750 Air Products & Chemicals Inc 475,728
6,210 Avery Dennison Corp 313,605
37,350 Dow Chemical Co 1,143,844
57,419 EI du Pont de Nemours & Co 2,605,387
4,230 Eastman Chemical Co 181,361
7,100 Engelhard Corp 148,213
1,650 FMC Corp* 125,400
2,870 Great Lakes Chemical Corp 95,786
6,020 Hercules Inc 110,238
9,700 PPG Industries Inc 432,863
8,800 Praxair Inc 327,800
12,127 Rohm & Haas Co 364,562
4,400 Sigma-Aldrich Corp 157,300
7,490 Union Carbide Corp 322,070
3,640 WR Grace & Co* 13,876
$6,818,033
COMMUNICATIONS - EQUIPMENT --- 7.1%
42,460 ADC Telecommunications Inc* 907,583
4,460 Andrew Corp* 117,352
15,492 Avaya Inc* 208,166
10,310 Cabletron Systems Inc* 279,659
391,108 Cisco Systems Inc* 21,070,944
8,520 Comverse Technology Inc* 952,110
48,520 Corning Inc 3,711,780
51,500 JDS Uniphase Corp* 4,194,006
184,015 Lucent Technologies Inc 4,289,758
17,140 Network Appliance Inc* 2,039,660
164,616 Nortel Networks Corp 7,490,028
40,970 QUALCOMM Inc* 2,667,516
8,700 Scientific-Atlanta Inc 595,402
22,510 Tellabs Inc* 1,124,082
$49,648,046
COMPUTER HARDWARE & SYSTEMS --- 6.6%
18,140 Apple Computer Inc* 354,855
93,627 Compaq Computer Corp 2,847,197
142,530 Dell Computer Corp* 4,204,635
120,162 EMC Corp* 10,701,868
17,730 Gateway Inc* 915,045
109,740 Hewlett-Packard Co 5,095,996
97,020 International Business Machines Corp 9,556,470
7,020 Lexmark International Group Inc Class A* 287,820
5,330 NCR Corp* 229,856
31,096 Palm Inc* 1,665,564
12,690 Seagate Technology Inc* 886,714
87,390 Sun Microsystems Inc* 9,689,366
17,330 Unisys Corp* 220,958
$46,656,344
COMPUTER SOFTWARE & SERVICES --- 7.9%
13,120 Adobe Systems Inc 997,933
127,180 America Online Inc* 6,413,687
3,290 Autodesk Inc 72,584
34,570 Automatic Data Processing Inc 2,257,836
13,640 BMC Software Inc* 277,056
8,140 Ceridian Corp* 203,500
10,320 Citrix Systems Inc* 228,330
32,475 Computer Associates International Inc 1,035,141
9,260 Computer Sciences Corp* 583,380
20,320 Compuware Corp* 160,020
25,650 Electronic Data Systems Corp 1,203,934
7,850 Equifax Inc 270,825
22,320 First Data Corp 1,118,790
4,400 Mercury Interactive Corp* 488,400
290,000 Microsoft Corp* 19,973,750
18,020 Novell Inc* 162,180
310,308 Oracle Corp* 10,240,164
15,070 Parametric Technology Corp* 185,542
20,500 Paychex Inc 1,162,084
15,320 PeopleSoft Inc* 668,565
7,223 Sabre Holdings Corp 241,515
6,600 Sapient Corp* 234,709
22,900 Siebel Systems Inc* 2,403,057
22,100 VERITAS Software Corp* 3,116,432
30,220 Yahoo! Inc* 1,771,648
$55,471,062
CONGLOMERATES --- 0.1%
7,990 Textron Inc 402,992
$402,992
CONTAINERS --- 0.1%
1,630 Ball Corp 57,254
2,960 Bemis Co Inc 76,590
6,960 Crown Cork & Seal Co Inc 63,510
8,170 Owens-Illinois Inc* 48,505
9,450 Pactiv Corp* 99,225
2,770 Temple-Inland Inc 123,958
$469,042
COSMETICS & PERSONAL CARE --- 0.4%
3,070 Alberto-Culver Co Class B 103,035
13,040 Avon Products Inc 632,440
58,020 Gillette Co 2,023,448
5,550 International Flavors & Fragrances Inc 92,963
$2,851,886
DISTRIBUTORS --- 0.4%
15,230 Cardinal Health Inc 1,443,043
15,611 McKesson HBOC Inc 438,076
7,330 SUPERVALU Inc 112,699
18,300 SYSCO Corp 955,022
$2,948,840
ELECTRIC COMPANIES --- 1.9%
7,690 Ameren Corp 305,678
17,660 American Electric Power Co Inc 732,890
6,700 CMS Energy Corp 180,900
8,940 CP&L Energy Inc 360,389
8,900 Cinergy Corp 272,563
11,850 Consolidated Edison Inc 416,966
8,340 Constellation Energy Group 347,670
7,960 DTE Energy Co 287,555
13,099 Dominion Resources Inc 780,203
20,194 Duke Energy Corp 1,745,509
18,080 Edison International 431,660
12,310 Entergy Corp 471,621
17,753 Exelon Corp 1,067,369
9,730 FPL Group Inc 642,180
12,680 FirstEnergy Corp 328,095
5,530 Florida Progress Corp 294,124
6,760 GPU Inc 223,499
8,920 Niagara Mohawk Holdings Inc* 142,720
21,200 PG&E Corp 571,064
8,077 PPL Corp 332,667
4,720 Pinnacle West Capital Corp 205,023
11,810 Public Service Enterprise Group Inc 490,115
16,264 Reliant Energy Inc 671,898
35,670 Southern Co 1,047,806
14,701 TXU Corp 544,848
18,794 Xcel Energy Inc 480,412
$13,375,424
ELECTRONIC INSTRUMENTS & EQUIP --- 5.3%
24,943 Agilent Technologies Inc* 1,155,160
10,800 American Power Conversion Corp* 139,720
5,190 Cooper Industries Inc 198,518
23,450 Emerson Electric Co 1,722,098
545,880 General Electric Co 29,920,745
10,887 Molex Inc 587,898
2,730 PerkinElmer Inc 326,235
4,100 Power-One Inc* 290,842
8,300 Sanmina Corp* 948,790
33,100 Solectron Corp* 1,456,400
2,650 Tektronix Inc 188,813
3,190 Thomas & Betts Corp 48,249
5,240 WW Grainger Inc 167,350
$37,150,818
ELECTRONICS - SEMICONDUCTOR --- 5.5%
5,470 Adaptec Inc* 86,492
17,380 Advanced Micro Devices Inc* 393,223
21,900 Altera Corp* 896,520
19,580 Analog Devices Inc* 1,272,700
44,640 Applied Materials Inc* 2,371,500
12,200 Broadcom Corp Class A* 2,712,975
12,766 Conexant Systems Inc* 335,899
370,060 Intel Corp 16,652,700
10,370 KLA-Tencor Corp* 350,630
17,280 LSI Logic Corp* 568,080
17,100 Linear Technology Corp 1,104,010
15,500 Maxim Integrated Products Inc* 1,027,836
31,100 Micron Technology Inc* 1,080,725
120,150 Motorola Inc 2,996,181
9,860 National Semiconductor Corp* 256,360
7,300 Novellus Systems Inc* 298,840
9,630 Teradyne Inc* 300,938
95,220 Texas Instruments Inc 4,671,684
18,070 Xilinx Inc* 1,308,937
$38,686,230
ENGINEERING & CONSTRUCTION --- 0.0%
4,260 Fluor Corp 149,100
$149,100
FINANCIAL SERVICES --- 5.3%
14,580 AFLAC Inc 1,065,244
73,350 American Express Co 4,401,000
13,832 American General Corp 1,113,476
40,106 Associates First Capital Corp Class A 1,488,935
14,700 CIT Group Inc Class A 256,324
247,917 Citigroup Inc 13,046,632
55,440 Fannie Mae (nonvtg) 4,268,880
13,530 Franklin Resources Inc 579,625
38,310 Freddie Mac 2,298,600
5,320 MBIA Inc 386,695
46,852 MBNA Corp 1,759,855
9,020 Moody's Corp 237,334
62,012 Morgan Stanley Dean Witter & Co 4,980,308
12,460 Stilwell Financial Inc 558,358
6,730 T Rowe Price Associates Inc 315,045
8,510 USA Education Inc 475,496
$37,231,807
FOOD & BEVERAGES --- 3.3%
2,030 Adolph Coors Co Class B 129,285
49,920 Anheuser-Busch Cos Inc 2,283,840
3,840 Brown-Forman Corp Class B 233,760
23,350 Campbell Soup Co 682,988
136,450 Coca-Cola Co 8,238,169
23,210 Coca-Cola Enterprises Inc 426,484
29,640 ConAgra Foods Inc 633,555
15,860 General Mills Inc 662,155
19,250 HJ Heinz Co 807,287
7,460 Hershey Foods Corp 405,168
22,600 Kellogg Co 573,475
17,910 Nabisco Group Holdings Corp 517,151
79,460 PepsiCo Inc 3,848,804
7,280 Quaker Oats Co 593,771
17,040 Ralston Purina Group 413,220
47,910 Sara Lee Corp 1,033,035
31,436 Unilever NV NY Shrs 1,597,326
6,190 Wm Wrigley Jr Co 490,168
$23,569,641
GOLD, METALS & MINING --- 0.5%
18,640 Alcan Aluminium Ltd 588,316
47,678 Alcoa Inc 1,367,739
4,455 Allegheny Technologies Inc 90,214
22,020 Barrick Gold Corp 294,518
7,320 Bethlehem Steel Corp* 21,045
8,480 Freeport-McMoRan Copper & Gold Inc Class B* 67,306
14,730 Homestake Mining Co* 60,761
10,100 Inco Ltd* 155,914
9,423 Newmont Mining Corp 127,795
4,470 Nucor Corp 155,051
4,394 Phelps Dodge Corp 205,420
18,270 Placer Dome Inc 148,444
4,940 USX-US Steel Group 78,729
4,780 Worthington Industries Inc 45,706
$3,406,958
HARDWARE & TOOLS --- 0.1%
4,550 Black & Decker Corp 171,194
3,240 Snap-on Inc 82,821
4,900 Stanley Works 130,463
$384,478
HEALTH CARE RELATED --- 4.6%
6,270 ALZA Corp* 507,475
85,390 Abbott Laboratories 4,509,617
7,840 Aetna Inc 453,246
7,240 Allergan Inc 608,609
71,800 American Home Products Corp 4,559,300
56,620 Amgen Inc* 3,280,393
8,080 Biogen Inc* 486,311
108,270 Bristol-Myers Squibb Co 6,597,649
30,740 HCA - The Healthcare Co 1,227,663
21,440 HEALTHSOUTH Corp* 257,280
9,320 Humana Inc* 113,005
76,620 Johnson & Johnson 7,058,618
5,630 Manor Care Inc* 93,948
11,600 MedImmune Inc* 758,350
6,450 Quintiles Transnational Corp* 89,894
17,310 Tenet Healthcare Corp 680,491
8,860 UnitedHealth Group Inc 969,063
3,440 Wellpoint Health Networks Inc* 402,263
$32,653,175
HEAVY TRUCKS & PARTS --- 0.1%
2,300 Cummins Engine Co Inc 78,200
8,243 Dana Corp 182,887
4,050 Eaton Corp 275,651
3,240 Navistar International Corp* 107,121
4,230 PACCAR Inc 177,922
$821,781
HOMEBUILDING --- 0.0%
3,280 Centex Corp 121,360
2,680 Kaufman & Broad Home Corp 79,730
2,310 Pulte Corp 76,951
$278,041
HOTELS/MOTELS --- 0.2%
32,480 Carnival Corp 805,894
6,470 Harrah's Entertainment Inc* 185,204
20,480 Hilton Hotels Corp 194,560
13,330 Marriott International Inc Class A 539,865
$1,725,523
HOUSEHOLD GOODS --- 1.6%
2,220 Armstrong Holdings Inc 6,383
13,080 Clorox Co 583,695
31,600 Colgate-Palmolive Co 1,856,816
11,470 Fort James Corp 377,787
8,810 Fortune Brands Inc 259,340
29,590 Kimberly-Clark Corp 1,952,940
10,960 Leggett & Platt Inc 179,470
4,400 Maytag Corp 125,950
14,839 Newell Rubbermaid Inc 284,716
72,010 Procter & Gamble Co 5,144,178
3,180 Tupperware Corp 54,458
3,900 Whirlpool Corp 169,650
$10,995,383
INSURANCE RELATED --- 3.3%
40,470 Allstate Corp 1,628,918
127,522 American International Group Inc 12,497,156
14,210 Aon Corp 588,820
8,740 CIGNA Corp 1,065,843
9,630 Chubb Corp 813,128
8,920 Cincinnati Financial Corp 327,810
18,161 Conseco Inc 125,983
12,290 Hartford Financial Services Group Inc 914,831
5,725 Jefferson-Pilot Corp 393,594
10,510 Lincoln National Corp 508,421
5,510 Loews Corp 501,063
5,890 MGIC Investment Corp 401,256
14,920 Marsh & McLennan Cos Inc 1,950,790
4,020 Progressive Corp 394,965
7,160 SAFECO Corp 173,179
12,228 St Paul Cos Inc 626,685
7,150 Torchmark Corp 238,181
13,406 UnumProvident Corp 378,720
$23,529,343
INVESTMENT BANK/BROKERAGE FIRM --- 1.1%
5,898 Bear Stearns Cos Inc 357,566
76,025 Charles Schwab Corp 2,670,378
13,300 Lehman Brothers Holdings Inc 857,850
44,200 Merrill Lynch & Co Inc 3,094,000
8,120 Paine Webber Group Inc 578,550
$7,558,344
LEISURE & ENTERTAINMENT --- 2.4%
4,850 Brunswick Corp 94,269
16,580 Harley-Davidson Inc 798,940
23,990 Seagram Co Ltd 1,370,429
72,940 Time Warner Inc 5,536,875
83,536 Viacom Inc Class B* 4,751,110
114,820 Walt Disney Co 4,111,934
$16,663,557
MACHINERY --- 0.3%
1,200 Briggs & Stratton Corp 42,824
19,180 Caterpillar Inc 672,489
13,020 Deere & Co 479,292
8,980 Ingersoll-Rand Co 338,995
9,660 Thermo Electron Corp* 280,140
3,440 Timken Co 48,373
$1,862,113
MANUFACTURING --- 1.5%
3,385 Crane Co 88,643
7,900 Danaher Corp 498,688
11,300 Dover Corp 479,538
44,136 Honeywell International Inc 2,375,046
4,910 ITT Industries Inc 159,879
16,560 Illinois Tool Works Inc 920,107
4,750 Johnson Controls Inc 283,219
2,530 Millipore Corp 132,825
6,900 Pall Corp 148,778
6,265 Parker-Hannifin Corp 259,214
4,642 Sealed Air Corp* 223,396
92,840 Tyco International Ltd 5,262,821
$10,832,154
MEDICAL PRODUCTS --- 1.3%
2,990 Bausch & Lomb Inc 115,300
16,180 Baxter International Inc 1,329,786
14,020 Becton Dickinson & Co 469,670
9,930 Biomet Inc 359,337
22,560 Boston Scientific Corp* 359,539
2,790 CR Bard Inc 116,831
16,870 Guidant Corp* 893,047
66,020 Medtronic Inc 3,585,678
11,460 PE Corp-PE Biosystems Group 1,340,820
4,685 St Jude Medical Inc* 257,675
$8,827,683
MISCELLANEOUS --- 1.1%
25,140 AES Corp* 1,420,410
3,600 American Greetings Corp Class A 65,473
35,232 Archer-Daniels-Midland Co 387,552
21,750 Minnesota Mining & Mftg Co 2,101,594
41,920 Nextel Communications Inc Class A* 1,611,279
51,080 Sprint Corp PCS Group* 1,947,425
6,850 TRW Inc 287,700
$7,821,433
OFFICE EQUIPMENT & SUPPLIES --- 0.1%
14,130 Pitney Bowes Inc 419,477
37,140 Xerox Corp 313,350
$732,827
OIL & GAS --- 5.7%
4,880 Amerada Hess Corp 302,560
13,311 Anadarko Petroleum Corp 852,570
6,790 Apache Corp 375,568
3,960 Ashland Inc 129,690
18,388 Baker Hughes Inc 632,088
11,840 Burlington Resources Inc 426,240
35,950 Chevron Corp 2,952,394
34,245 Conoco Inc Class B 931,019
7,100 Devon Energy Corp 357,840
191,981 Exxon Mobil Corp 17,122,209
24,490 Halliburton Co 907,648
5,222 Kerr-McGee Corp 341,059
3,340 McDermott International Inc 32,355
8,100 Nabors Industries Inc* 412,290
20,510 Occidental Petroleum Corp 407,636
14,100 Phillips Petroleum Co 870,675
5,230 Rowan Cos Inc* 131,728
118,170 Royal Dutch Petroleum Co NY Shrs 7,016,344
31,320 Schlumberger Ltd 2,384,235
4,750 Sunoco Inc 142,201
30,320 Texaco Inc 1,790,760
8,100 Tosco Corp 231,863
11,526 Transocean Sedco Forex Inc 610,878
17,370 USX-Marathon Group 472,238
13,550 Unocal Corp 462,394
$40,296,482
PAPER & FOREST PRODUCTS --- 0.4%
3,150 Boise Cascade Corp 90,364
9,530 Georgia-Pacific Group 256,119
26,591 International Paper Co 973,895
5,730 Louisiana-Pacific Corp 48,705
5,800 Mead Corp 167,835
1,550 Potlatch Corp 51,925
5,660 Westvaco Corp 161,310
12,190 Weyerhaeuser Co 572,162
6,140 Willamette Industries Inc 222,956
$2,545,271
PERSONAL LOANS --- 0.4%
10,810 Capital One Financial Corp 682,381
6,340 Countrywide Credit Industries Inc 237,351
26,009 Household International Inc 1,308,565
7,775 Providian Financial Corp 808,600
$3,036,897
PHARMACEUTICALS --- 5.8%
62,190 Eli Lilly & Co 5,558,231
9,200 King Pharmaceuticals Inc* 412,270
126,740 Merck & Co Inc 11,398,615
347,965 Pfizer Inc 15,027,565
71,437 Pharmacia Corp 3,929,035
80,670 Schering-Plough Corp 4,169,590
5,700 Watson Pharmaceuticals Inc* 356,603
$40,851,909
PHOTOGRAPHY/IMAGING --- 0.1%
17,070 Eastman Kodak Co 766,016
2,490 Polaroid Corp 25,054
$791,070
POLLUTION CONTROL --- 0.1%
11,010 Allied Waste Industries Inc* 101,843
34,236 Waste Management Inc 684,720
$786,563
PRINTING & PUBLISHING --- 0.5%
4,030 Deluxe Corp 90,925
4,910 Dow Jones & Co Inc 289,076
14,640 Gannett Co Inc 849,120
4,000 Harcourt General Inc 224,200
4,170 Knight-Ridder Inc 209,543
10,650 McGraw-Hill Cos Inc 683,592
2,820 Meredith Corp 89,535
9,250 New York Times Co Class A 339,938
6,840 RR Donnelley & Sons Co 147,060
16,960 Tribune Co 628,572
$3,551,561
RAILROADS --- 0.3%
22,410 Burlington Northern Santa Fe Corp 595,254
12,190 CSX Corp 308,553
21,300 Norfolk Southern Corp 300,863
13,620 Union Pacific Corp 638,438
$1,843,108
RESTAURANTS --- 0.5%
6,740 Darden Restaurants Inc 151,650
72,720 McDonald's Corp 2,254,320
10,300 Starbucks Corp* 460,276
8,177 Tricon Global Restaurants Inc* 245,310
6,320 Wendy's International Inc 137,460
$3,249,016
RETAIL --- 5.0%
23,597 Albertson's Inc 558,942
7,020 AutoZone Inc* 188,220
15,700 Bed Bath & Beyond Inc* 405,248
11,300 Best Buy Co Inc* 567,113
21,480 CVS Corp 1,137,087
11,490 Circuit City Stores-Circuit City Group 152,243
6,190 Consolidated Stores Corp* 73,506
24,610 Costco Wholesale Corp* 901,341
5,190 Dillard's Inc Class A 54,495
18,357 Dollar General Corp 284,534
11,480 Federated Department Stores Inc* 373,812
46,840 Gap Inc 1,209,034
127,620 Home Depot Inc 5,487,660
14,520 JC Penney Co Inc 169,695
26,630 Kmart Corp* 158,102
18,100 Kohl's Corp* 980,785
45,470 Kroger Co* 1,025,894
2,170 Longs Drug Stores Corp 47,469
21,090 Lowe's Cos Inc 963,539
16,585 May Department Stores Co 435,356
7,170 Nordstrom Inc 117,853
16,990 Office Depot Inc* 141,221
10,180 RadioShack Corp 606,983
27,340 Safeway Inc* 1,495,143
19,040 Sears Roebuck & Co 566,059
25,260 Staples Inc* 359,955
16,240 TJX Cos Inc 442,540
50,060 Target Corp 1,382,908
23,946 The Limited Inc 604,637
8,100 Tiffany & Co 345,765
11,390 Toys R Us Inc* 195,760
246,100 Wal-Mart Stores Inc 11,166,788
55,640 Walgreen Co 2,538,575
7,780 Winn-Dixie Stores Inc 149,765
$35,288,027
SAVINGS & LOANS --- 0.3%
11,685 Charter One Financial Inc 268,019
8,760 Golden West Financial Corp 491,103
29,683 Washington Mutual Inc 1,306,052
$2,065,174
SHOES --- 0.1%
14,920 NIKE Inc Class B 595,860
3,140 Reebok International Ltd* 67,705
$663,565
SPECIALIZED SERVICES --- 0.5%
40,459 Cendant Corp* 485,508
8,500 Convergys Corp* 370,277
7,030 Ecolab Inc 275,485
5,110 H&R Block Inc 182,361
16,610 IMS Health Inc 392,411
16,960 Interpublic Group of Cos Inc 728,212
2,260 National Service Industries Inc 46,188
9,720 Omnicom Group Inc 896,670
$3,377,112
TELEPHONE & TELECOMMUNICATIONS --- 5.9%
17,370 ALLTEL Corp 1,119,271
206,986 AT&T Corp 4,799,384
103,240 BellSouth Corp 4,987,731
7,840 CenturyTel Inc 301,840
48,451 Global Crossing Ltd* 1,144,655
91,539 Qwest Communications Int'l Inc* 4,451,084
186,733 SBC Communications Inc 10,772,067
48,760 Sprint Corp 1,243,380
149,728 Verizon Communications 8,656,075
158,309 WorldCom Inc* 3,759,839
$41,235,326
TEXTILES --- 0.0%
2,870 Liz Claiborne Inc 121,975
1,830 Russell Corp 29,280
1,010 Springs Industries Inc Class A 23,798
6,340 VF Corp 173,158
$348,211
TOBACCO --- 0.7%
124,070 Philip Morris Cos Inc 4,544,064
9,040 UST Inc 228,260
$4,772,324
TOYS --- 0.1%
9,505 Hasbro Inc 102,179
23,720 Mattel Inc 306,866
$409,045
TRANSPORTATION --- 0.1%
15,838 FedEx Corp* 742,169
3,280 Ryder System Inc 64,780
$806,949
UTILITIES --- 1.1%
11,810 Coastal Corp 890,911
4,310 Columbia Energy Group 310,048
17,000 Dynegy Inc Class A 787,304
1,530 Eastern Enterprises 98,494
12,800 El Paso Energy Corp 802,394
40,640 Enron Corp 3,335,000
7,500 KeySpan Corp 263,903
2,540 NICOR Inc 89,692
1,610 ONEOK Inc 63,796
1,940 Peoples Energy Corp 66,688
11,335 Sempra Energy 234,487
24,370 Williams Cos Inc 1,018,958
$7,961,675
TOTAL COMMON STOCK --- 98.5% $693,272,661
(Cost $509,731,925)
SHORT-TERM INVESTMENTS
FINANCIAL SERVICES --- 1.1%
7,646,000 Associates Corp of North America 7,646,000
$7,646,000
U.S. GOVERNMENTS --- 0.4%
3,000,000 United States of America (1) 2,992,265
$2,992,265
TOTAL SHORT-TERM INVESTMENTS --- 1.5% $10,638,265
(Cost $10,638,265)
TOTAL ORCHARD S&P 500 INDEX (R) FUND --- 100.0% $703,910,926
(Cost $520,370,190)
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 the Orchard Value Fund as of October 31, 2000,
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 Series 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 auditing standards generally accepted
in the United States of America. 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, 2000, 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, 2000, 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 1, 2000
THE ORCHARD SERIES FUND
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2000
ORCHARD
VALUE
FUND
ASSETS:
Investments in securities, market value (1) $ 3,517,757
Cash 53,635
Dividends and interest receivable 2,269
Receivable for investments sold 50,365
Total assets 3,624,026
LIABILITIES:
Due to investment adviser 3,255
Payable for investments purchased 83,972
Total liabilities 87,227
NET ASSETS $ 3,536,799
------------------------------------------------------------------==============
------------------------------------------------------------------==============
NET ASSETS REPRESENTED BY:
Capital stock, No par value $ 3,526,912
Net unrealized appreciation on investments 511,508
Undistributed net investment income 9,401
Accumulated net realized loss on investments (511,022)
NET ASSETS
Class A $ 3,296,033
------------------------------------------------------------------==============
------------------------------------------------------------------==============
Class B $ 240,766
------------------------------------------------------------------==============
------------------------------------------------------------------==============
NET ASSET VALUE PER OUTSTANDING SHARE
(Offering and Redemption Price)
Class A $ 9.9884
------------------------------------------------------------------==============
------------------------------------------------------------------==============
Class B $ 11.7368
------------------------------------------------------------------==============
------------------------------------------------------------------==============
SHARES OF CAPITAL STOCK OUTSTANDING
Class A 329,986
Class B 20,514
(1) Cost of investments in securities: 3,006,249
See notes to financial statements
THE ORCHARD SERIES FUND
STATEMENT OF OPERATIONS
YEAR ENDED OCTOBER 31, 2000
ORCHARD
VALUE
FUND
INVESTMENT INCOME:
Interest $ 5,306
Dividends 57,765
Total income 63,071
EXPENSES:
Management fees 27,216
Distribution fees - Class B 325
Total expenses 27,541
NET INVESTMENT INCOME 35,530
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized loss on investments (311,785)
Change in net unrealized appreciation on investments 499,025
Net realized and unrealized gain on investments 187,240
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 222,770
---------------------------------------------------------------==============
---------------------------------------------------------------==============
See notes to financial statements.
THE ORCHARD SERIES FUND
STATEMENT OF CHANGES IN NET ASSETS
YEARS ENDED OCTOBER 31, 2000 AND 1999
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
ORCHARD
VALUE FUND
2000 (A) 1999
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 35,530 $ 30,924
Net realized loss on investments (311,785) (199,237)
Change in net unrealized appreciation on investments 499,025 232,925
Net increase in net assets resulting from operations 222,770 64,612
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A (34,853) (29,048)
Class B (733)
From net realized gains - Class A 0 (13,415)
Total distributions (35,586) (42,463)
SHARE TRANSACTIONS:
Net proceeds from sales of shares
Class A 3,395,023 924,120
Class B 205,000
Reinvestment of distributions
Class A 34,853 42,463
Class B 733
Redemptions of shares - Class A (2,867,143) (244,504)
Net increase in net assets resulting 768,466 722,079
from share transactions
Total increase in net assets 955,650 744,228
NET ASSETS:
Beginning of period 2,581,149 1,836,921
End of period (1) $ 3,536,799 $ 2,581,149
------------------------------------------------------------------==============------===============----------
------------------------------------------------------------------==============------===============----------
OTHER INFORMATION:
SHARES:
Sold
Class A 372,259 90,656
Class B 20,443
Issued in reinvestment of distributions
Class A 3,938 4,457
Class B 71
Redeemed - Class A (320,550) (24,657)
Net increase 76,161 70,456
------------------------------------------------------------------==============------===============----------
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(1) Including undistributed net investment income $ 9,401 $ 9,457
(A) Class B Shares commenced operations on March 24, 2000.
See notes to financial statements.
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THE ORCHARD SERIES FUND
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ORCHARD VALUE FUND
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FINANCIAL HIGHLIGHTS
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Selected data for a share of capital stock of the fund for the years ended October 31, 2000 and 1999, and the period ended
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October 31, 1998, are as follows:
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Class A Class B
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Period Ended October 31, Period Ended
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2000 1999 1998 October 31, 2000
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(A) (B)
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Net Asset Value, Beginning of Period $ 9.4086 $ 9.0097 $ 10.0000 $ 10.0000
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Income from Investment Operations
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Net investment income 0.1263 0.1186 0.0730 0.0632
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Net realized and unrealized gain (loss) 0.5875 0.4667 (1.0275) 1.7102
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Total Income (Loss) From Investment Operations 0.7138 0.5853 (0.9545) 1.7734
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Less Distributions
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From net investment income (0.1340) (0.1213) (0.0358) (0.0366)
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From net realized gains 0.0000 (0.0651) 0.0000
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Total Distributions (0.1340) (0.1864) (0.0358) (0.0366)
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Net Asset Value, End of Period $ 9.9884 $ 9.4086 $ 9.0097 $ 11.7368
------------------------------------------============---============---============-----============----
------------------------------------------============---============---============-----============----
0.0000 0.0000
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Total Return 7.77% 6.49% (9.58%) # 17.79% #
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Net Assets, End of Period $ 3,296,033 $ 2,581,149 $ 1,836,921 $ 240,766
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Ratio of Expenses to Average Net Assets 1.00% 1.00% 1.00% * 1.25% *
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Ratio of Net Investment Income to
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Average Net Assets 1.33% 1.34% 1.15% * 0.98% *
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Portfolio Turnover 175.74% 153.77% 79.58% # 175.74% +
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# Based on operations for the period shown and, accordingly, are not representative of a full year.
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*Annualized
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+ Portfolio turnover is calculated at the Fund level, and therefore represents a twelve-month period.
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(A) The portfolio commenced operations on March 2, 1998.
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(B) Class B Shares commenced operations on March 24, 2000.
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</TABLE>
THE ORCHARD SERIES FUND
Financial Statements and Financial Highlights for
the Years Ended October 31, 2000 and 1999
(Section 2)
THE ORCHARD SERIES FUND
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2000
1. ORGANIZATION & SIGNIFICANT ACCOUNTING POLICIES The Orchard Series Fund (the
Trust) is a Delaware business trust organized on July 23, 1996 under the
Investment Company Act of 1940 (the 1940 Act) as an open-end management
investment company and presently consists of six funds. Interests in the Orchard
Value Fund (the Fund) is included herein and is represented by a separate class
of beneficial interest of the Trust. The investment objective of the Fund is to
seek long-term capital appreciation by investing primarily in common stocks
issued by U.S. companies when it is believed that such stocks are undervalued.
The Fund is diversified as defined in the 1940 Act. Class A shares are available
only as an investment option for certain variable annuity contracts, variable
life policies and certain qualified retirement plans issued by Great-West Life &
Annuity Insurance Company (GWL&A) and New England Financial.
The Fund received $2,000,000 of initial capitalization from GWL&A on February
26, 1998 for Orchard Value A shares. Additional capitalization in the amount of
$5,000 was received from GWL&A on October 25, 2000 for Orchard Value B shares.
At October 31, 2000, GWL&As investment in the Fund totaled $2,080,849. The Fund
offers two classes of shares, referred to as Class A and Class B shares. Class A
shares are not subject to any distribution fees, while Class B shares are
subject to an annual distribution fee of 0.25% of the Funds annual average net
assets attributable to Class B shares. Income, expenses (other than those
attributable to a specific class) and gains and losses are allocated daily to
each class of shares based on the relative proportion of net assets represented
by such class. Operating expenses directly attributable to a specific class are
charged against operations of that class. 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 Trust, which are in accordance with generally accepted accounting principles
in the investment company industry:
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.
Dividends
Dividends from net
investment income of the Fund are declared and paid semi-annually. Income
dividends are reinvested in additional shares at net asset value. Dividends from
capital gains of the Fund, if any, are declared and 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). Dividend income for the Fund is accrued as of
the ex-dividend date and interest income, including amortization of discounts
and premiums, is recorded daily.
Federal Income Taxes
For federal income tax
purposes, the Fund currently qualifies, and intends to remain qualified, 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
The
character of distributions made during the year from net investment income or
net realized gains are determined in accordance with income tax regulations that
may differ from generally accepted accounting principles. These differences are
primarily due to differing treatments of deferral of wash sales, net operating
losses and capital loss carryforwards. 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.
2. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES The
Trust has entered into an investment advisory agreement with GW Capital
Management, LLC, a wholly-owned subsidiary of the Company. As compensation for
its services to the Trust, the investment advisor receives monthly compensation
at the annual rate of 1.00% of the average daily net assets of the Fund. A plan
of distribution pursuant to Rule 12b-1 of the 1940 Act (the Plan) provides for
compensation of marketing and advertising expenditures to the Funds
distributors to a maximum of 0.25% of the average daily net assets of the Fund.
One Orchard Equities, a wholly-owned subsidiary of One Corporation, which is a
wholly owned subsidiary of GWL&A, distributes and markets the Fund. Financial
Administrative Services Corporation, a wholly-owned subsidiary of GWL&A,
performs transfer agent servicing functions for the Fund. 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 Fund.
3.
CAPITAL STOCK The Trust has authorized an unlimited number of shares with no
stated par value for each Fund and each class of shares 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.
4. PURCHASES AND SALES OF INVESTMENT SECURITIES For the year ended October 31,
2000, the aggregate cost of purchases and proceeds from sales of investment
securities (excluding all U.S. Government securities and short-term securities)
were $5,436,579 and $4,638,806, respectively. For the year ended October 31,
2000, there were no purchases and or sales of U.S. Government securities.
5.
UNREALIZED APPRECIATION (DEPRECIATION) At October 31, 2000, the U.S. Federal
income tax cost basis was $3,036,872. The Fund had gross appreciation of
securities in which there was an excess of value over tax cost of $507,098 and
gross depreciation of securities in which there was an excess of tax cost over
value of $26,213, resulting in net appreciation of $480,885.
The Orchard Series Fund Schedule of Investments October 31, 2000
Orchard Value Fund
COMMON STOCK
AEROSPACE & DEFENSE --- 3.5%
1,790 Boeing Co 121,383
$121,383
BANKS --- 10.4%
1,710 Comerica Inc 103,134
4,770 Firstar Corp 93,907
2,155 FleetBoston Financial Corp 81,890
1,865 Wells Fargo & Co 86,372
$365,303
CHEMICALS --- 2.5%
2,315 Air Products & Chemicals Inc 86,377
$86,377
COMPUTER HARDWARE & SYSTEMS --- 3.1%
3,550 Compaq Computer Corp 107,956
$107,956
ELECTRIC COMPANIES --- 7.0%
1,610 Dominion Resources Inc 95,895
1,315 Duke Energy Corp 113,665
1,270 Southern Co 37,306
$246,866
ELECTRONIC INSTRUMENTS & EQUIP --- 2.8%
1,345 Emerson Electric Co 98,773
$98,773
FINANCIAL SERVICES --- 16.0%
1,220 American General Corp 98,210
2,665 Citigroup Inc 140,246
1,320 Fannie Mae (nonvtg) 101,640
1,620 Freddie Mac 97,200
2,235 USA Education Inc 124,881
$562,177
HEALTH CARE RELATED --- 5.7%
2,155 Abbott Laboratories 113,810
950 Johnson & Johnson 87,519
$201,329
INSURANCE RELATED --- 14.7%
3,160 Allstate Corp 127,190
1,215 CIGNA Corp 148,166
1,235 Chubb Corp 104,280
2,715 St Paul Cos Inc 139,144
$518,780
OIL & GAS --- 18.6%
2,240 Baker Hughes Inc 77,000
1,730 Halliburton Co 64,117
1,400 Kerr-McGee Corp 91,437
1,625 Phillips Petroleum Co 100,344
1,365 Schlumberger Ltd 103,911
2,401 Transocean Sedco Forex Inc 127,253
3,380 USX-Marathon Group 91,892
$655,954
PERSONAL LOANS --- 2.7%
1,915 Household International Inc 96,347
$96,347
PHARMACEUTICALS --- 2.9%
1,145 Merck & Co Inc 102,978
$102,978
SAVINGS & LOANS --- 2.3%
1,825 Washington Mutual Inc 80,300
$80,300
TELEPHONE & TELECOMMUNICATIONS --- 7.8%
1,980 BellSouth Corp 95,658
1,570 SBC Communications Inc 90,569
1,505 Verizon Communications 87,007
$273,234
TOTAL COMMON STOCK --- 100.0% $3,517,757
(Cost $3,006,249)
TOTAL ORCHARD VALUE FUND --- 100.0% $3,517,757
(Cost $3,006,249)
