THE ORCHARD SERIES FUND
Financial Statements and Financial Highlights for
the Six Months Ended April 30, 2000 and the Year Ended October 31, 1999
(Section 1)
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------------------
THE ORCHARD SERIES FUND
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
APRIL 30, 2000
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
UNAUDITED
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD ORCHARD
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
INDEX 500 INDEX 600 MONEY MARKET
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
FUND FUND FUND
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
ASSETS:
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Investments in securities, market value (1) $ 743,597,571 $ 149,069,111 $ 3,762,939
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Cash 241,142 406,884 62,164
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Dividends and interest receivable 643,623 68,049 0
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Subscriptions receivable 696,037 758,729 146
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Receivable for investments sold 5,082,000 2,819,435 175,000
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Variation margin on futures contracts 141,600
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Total assets 750,260,373 153,263,808 4,000,249
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Dividends payable 580
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Due to GW Capital Management 342,745 66,774 1,353
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Redemptions payable 1,617,005 924,818 40
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Payable for investments purchased 5,169,397 2,657,295 174,502
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Variation margin on futures contracts 76,197 0 0
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Total liabilities 7,205,344 3,648,887 176,475
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 743,055,029 $ 149,614,921 $ 3,823,774
------------------------------------------------------------------------=============-----===============-----===============
------------------------------------------------------------------------=============-----===============-----===============
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Capital stock, No par value $ 493,052,425 $ 127,143,782 $ 3,823,774
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation on investments and futures contracts 218,910,742 14,497,847 0
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income 1,481,252 118,775 0
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Accumulated net realized gain on investments and futures contracts 29,610,610 7,854,517 0
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 743,055,029 $ 149,614,921 $ 3,823,774
------------------------------------------------------------------------=============-----===============-----===============
------------------------------------------------------------------------=============-----===============-----===============
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER OUTSTANDING SHARE $ 17.8691 $ 12.7771 $ 1.0000
------------------------------------------------------------------------=============-----===============-----===============
------------------------------------------------------------------------=============-----===============-----===============
(Offering and Redemption Price)
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
SHARES OF CAPITAL STOCK OUTSTANDING 41,583,245 11,709,657 3,823,774
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
(1) Cost of investments in securities: $ 524,789,174 $ 134,626,814 $ 3,762,939
-----------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
See notes to financial statements.
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------
<PAGE>
--------------------------------------------------------------------------------------------------------------------
THE ORCHARD SERIES FUND
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED APRIL 30, 2000
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
UNAUDITED
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD ORCHARD
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
INDEX 500 INDEX 600 MONEY MARKET
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
FUND FUND FUND
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
Interest $ 429,612 $ 140,947 $ 110,918
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
Dividends 4,332,832 513,427 0
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
Foreign withholding tax (3,566) (231) 0
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
Total income 4,758,878 654,143 110,918
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
EXPENSES:
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
Audit fees 4,440
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
Investment administration 69,096
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
Bank and custodial fees 2,838
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
Other expenses 22,754
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
Management fees 2,264,904 454,223 3,762
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
Total expenses 2,264,904 454,223 102,890
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
Less amount reimbursed by GW Capital Management 94,238
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
Net expenses 2,264,904 454,223 8,652
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 2,493,974 199,920 102,266
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
Net realized gain on investments 29,522,967 8,396,181 0
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
Net realized gain on futures contracts 2,566,567 199,230 0
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
Change in net unrealized appreciation on investments 17,271,183 14,475,860 0
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
Change in net unrealized appreciation on futures contracts (1,157,678) (69,073) 0
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain on investments and futures 48,203,039 23,002,198 0
contracts
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 50,697,013 $ 23,202,118 $ 102,266
--------------------------------------------------------------------============-----=============-----=============
--------------------------------------------------------------------============-----=============-----=============
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
See notes to financial statements.
--------------------------------------------------------------------------------------------------------------------
<PAGE>
-----------------------------------------------------------------------------------------------------------------------------------
THE ORCHARD SERIES FUND
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED APRIL 30, 2000 AND YEAR ENDED OCTOBER 31, 1999
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
ORCHARD ORCHARD ORCHARD
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
INDEX 500 FUND INDEX 600 FUND MONEY MARKET FUND
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
2000 1999 2000 1999 2000 1999
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
UNAUDITED UNAUDITED UNAUDITED
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS:
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 2,493,974 $ 5,413,179 $ 199,920 $ 365,155 $ 102,266 $ 159,458
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Net realized gain on investments 29,522,967 18,471,828 8,396,181 6,728,212 0
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Net realized gain on futures contracts 2,566,567 1,849,430 199,230 49,914 0 0
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Change in net unrealized appreciation on 17,271,183 125,441,376 14,475,860 175,433 0
investments
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Change in net unrealized appreciation on (1,157,678) 698,898 (69,073) 124,623
futures contracts
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from 50,697,013 151,874,711 23,202,118 7,443,337 102,266 159,458
operations
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
From net investment income (2,689,723) (5,460,884) (179,971) (270,470) (102,266) (159,458)
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
From net realized gains (22,081,374) (7,247,165) (7,519,020) (377,594)
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Total distributions (24,771,097) (12,708,049) (7,698,991) (648,064) (102,266) (159,458)
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Net proceeds from sales of shares 210,355,394 78,037,447 54,690,200 142,892,303 208,866 672,208
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Reinvestment of distributions 24,771,097 12,708,049 7,698,991 648,064 101,686 159,458
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Redemptions of shares (281,047,740) (71,949,186) (65,049,330) (18,447,304) (233,637) (359,055)
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets (45,921,249) 18,796,310 (2,660,139) 125,093,063 76,915 472,611
resulting from share transactions
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (19,995,333) 157,962,972 12,842,988 131,888,336 76,915 472,611
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Beginning of period 763,050,362 605,087,390 136,771,933 4,883,597 3,746,859 3,274,248
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
End of period (1) $ 743,055,029 $ 763,050,362 $ 149,614,921$ 136,771,933 $ 3,823,774 $ 3,746,859
----------------------------------------------------===========---==========-----==========---==========-----=========---==========
----------------------------------------------------===========---==========-----==========---==========-----=========---==========
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
OTHER INFORMATION:
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
SHARES:
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Sold 11,975,637 4,838,149 4,316,887 12,941,630 208,866 672,208
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Issued in reinvestment of distributions 1,409,963 816,633 666,497 57,340 101,686 159,458
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Redeemed (15,998,168) (4,431,531) (5,096,094) (1,644,828) (233,637) (359,055)
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) (2,612,568) 1,223,251 (112,710) 11,354,142 76,915 472,611
----------------------------------------------------===========---==========-----==========---==========-----=========---==========
----------------------------------------------------===========---==========-----==========---==========-----=========---==========
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
(1) Including undistributed net investment $ 1,481,252 $ 1,677,001 $ 118,775 $ 98,826 $ $
income
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements.
-----------------------------------------------------------------------------------------------------------------------------------
<PAGE>
----------------------------------------------------------------------------------------------------------------------------------
ORCHARD SERIES FUND
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
ORCHARD INDEX 500 FUND
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the six months ended
April 30, 2000, the years ended October 31, 1999
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
and 1998, and the period ended October 31, 1997 are as follows:
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Period Ended October 31,
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
April 30, 2000 1999 1998 1997
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
UNAUDITED (A)
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 17.2652 $ 14.0808 $ 11.6936 $ 10.0000
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Income from Investment Operations
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.0576 0.1221 0.1282 0.0388
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain 1.1077 3.3536 2.3471 1.6936
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Total Income From Investment Operations 1.1653 3.4757 2.4753 1.7324
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
From net investment income (0.0599) (0.1243) (0.0881) (0.0388)
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
From net realized gains (0.5015) (0.1670) 0.0000
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Total Distributions (0.5614) (0.2913) (0.0881) (0.0388)
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.8691 $ 17.2652 $ 14.0808 $ 11.6936
--------------------------------------------------===============-----================-----===============-----===============----
--------------------------------------------------===============-----================-----===============-----===============----
0.0000
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Total Return 6.82% # 24.92% 21.18% 17.38% #
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period $ 743,055,029 $ 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 0.66% * 0.75% 0.96% 1.67% *
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate 9.85% # 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.
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
<PAGE>
(Continued)
----------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
ORCHARD SERIES FUND
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
ORCHARD INDEX 600 FUND
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the six months ended
April 30, 2000, the years ended October 31, 1999
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
and 1998, and the period ended October 31, 1997 are as follows:
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Period Ended October 31,
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
April 30, 2000 1999 1998 1997
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
UNAUDITED
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
(A)
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 11.5689 $ 10.4300 $ 12.1191 $ 10.0000
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Income from Investment Operations
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.0159 0.0235 0.0255 0.0238
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) 1.8298 1.1728 (1.3719) 2.1191
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Investment Operations 1.8457 1.1963 (1.3464) 2.1429
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
From net investment income (0.0142) (0.0239) (0.0167) (0.0238)
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
From net realized gains (0.6233) (0.0335) (0.3260) 0.0000
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Total Distributions (0.6375) (0.0574) (0.3427) (0.0238)
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 12.7771 $ 11.5689 $ 10.4300 $ 12.1191
------------------------------------------------------===============----================----===============----===============
------------------------------------------------------===============----================----===============----===============
0.0000
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Total Return 16.55% # 11.48% (11.37%) 21.46%
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period $ 149,614,921 $ 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 0.26% * 0.30% 0.22% 0.30%*
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate 26.13% # 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)
-------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
ORCHARD SERIES FUND
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
<PAGE>
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
ORCHARD MONEY MARKET FUND
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the six months ended
April 30, 2000, the years ended October 31, 1999
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
and 1998, and the period ended October 31, 1997 are as follows:
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Period Ended October 31,
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
April 30, 2000 1999 1998 1997
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
UNAUDITED
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
(A)
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Income from Investment Operations
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.0268 0.0458 0.0513 0.0363
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Total Income From Investment Operations 0.0268 0.0458 0.0513 0.0363
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
From net investment income (0.0268) (0.0458) (0.0513) (0.0363)
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Total Distributions (0.0268) (0.0458) (0.0513) (0.0363)
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------------------------------------------------------==============------==============---=============---==============---
---------------------------------------------------------==============------==============---=============---==============---
0.0000
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Total Return 2.72% # 4.68% 5.26% 3.69% #
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period $ 3,823,774 $ 3,746,859 $ 3,274,248 $ 3,110,727
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Ratio of Expenses to Average Net Assets
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
- Before Reimbursement 5.45% * 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 0.43% * 2.42% 1.56% 3.34% *
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
- After Reimbursement ^ 5.42% * 4.60% 5.13% 4.88% *
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
# Based on operations for the period shown and, accordingly, are 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.
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(Concluded)
<PAGE>
--------------------------------------------------------------------------------
THE ORCHARD SERIES FUND
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 2000
--------------------------------------------------------------------------------
UNAUDITED
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 four funds. Interests in the Orchard Index 500, Orchard
Index 600 and Orchard Money Market 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 the total return of the common stocks that comprise
the Standard & Poor's (S&P) 500 Composite Stock Price Index for the
Orchard Index 500 Fund and the S&P SmallCap 600 Stock Index for the
Orchard Index 600 Fund 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. The Funds 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.
Initial capitalization of $100,000 for each Fund was received January
27, 1997 from GWL&A. Additional capitalization of $2,900,000 was
received from GWL&A on February 3, 1997 for Orchard Money Market Fund.
At April 30, 2000, GWL&A's investment in the Funds totaled $3,850,122.
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 Index 500 and Orchard Index 600 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 Index 500 and Orchard Index 600 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 qualifies as a
regulated investment company under the provisions of the Internal
Revenue Code by distributing substantially all of its taxable net income
(both ordinary and capital gain) to its shareholders and complying with
other requirements for regulated investment companies. Accordingly, no
provision for federal income taxes has been made.
Classification of Distributions to Shareholders
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 Index 500 and Orchard Index 600
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 Index 500 and Orchard Index 600 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
Trust's Funds. Financial Administrative Services Corporation, a
wholly-owned subsidiary of GWL&A, performs transfer agent servicing
functions for the Funds.
Certain officers of the Trust are also directors and/or officers of
GWL&A or its subsidiaries. No officer of the Trust receives any
compensation directly from the Funds.
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 six months ended April 30, 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:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Purchases Sales
------------------ ------------------
Orchard Index 500 Fund $ 73,059,246 $ 127,308,756
Orchard Index 600 Fund 38,055,145 42,958,042
</TABLE>
For the six months ended April 30, 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 April 30. 2000, were as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Cost For
Income Net
Tax Gross Gross Unrealized
Purposes Appreciation Depreciation Appreciation
-------------- --------------- ------------------ ------------------
Orchard Index 500 Fund $ 527,178,711 $ 271,732,708 $ (55,313,847) $ 216,418,861
Orchard Index 600 Fund 136,379,634 36,793,88888 (24,104,412) 12,689,476
</TABLE>
6. FUTURES CONTRACTS
As of April 30, 2000, the Orchard Index 500 and Orchard Index 600 Funds
held open futures contracts as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Long Number of Expiration Unrealized
Contracts Long Contracts Date Appreciation
-------------- ------------------ ------------------ ------------------
Orchard Index 500 Fund S&P 500 16 June 2000 $ 102,345
Orchard Index 600 Fund Russell 2000 12 June 2000 55,550
</TABLE>
<PAGE>
The Orchard Series Fund
Orchard Index 500 Fund
COMMON STOCK
AEROSPACE & DEFENSE --- 0.9%
6,650 BF Goodrich Co 211,969
51,768 Boeing Co 2,054,517
11,940 General Dynamics Corp 698,490
23,720 Lockheed Martin Corp 590,035
4,200 Northrop Grumman Corp 297,675
20,350 Raytheon Co Class B 451,505
11,290 Rockwell International Corp 444,544
28,230 United Technologies Corp 1,755,539
$6,504,274
AGENCY --- 0.8%
61,040 Fannie Mae (nonvtg) 3,681,444
41,410 Freddie Mac 1,902,251
$5,583,695
AIRLINES --- 0.2%
8,750 AMR Corp 298,043
7,730 Delta Air Lines Inc 407,758
30,275 Southwest Airlines Co 656,574
4,320 US Airways Group Inc* 120,148
$1,482,523
AUTO PARTS & EQUIPMENT --- 0.2%
4,580 Cooper Tire & Rubber Co 61,830
33,842 Delphi Automotive Systems Corp 647,228
10,745 Genuine Parts Co 282,056
9,450 Goodyear Tire & Rubber Co 261,056
$1,252,170
AUTOMOBILES --- 1.0%
71,990 Ford Motor Co 3,936,917
38,080 General Motors Corp 3,565,240
$7,502,157
BANKS --- 4.6%
22,930 AmSouth Bancorp 333,907
20,890 BB&T Corp 556,196
68,298 Bank One Corp 2,083,089
101,761 Bank of America Corp 4,986,289
43,800 Bank of New York Co Inc 1,798,516
49,140 Chase Manhattan Corp 3,541,127
9,450 Comerica Inc 400,444
18,350 Fifth Third Bancorp 1,158,344
58,787 First Union Corp 1,873,836
58,423 Firstar Corp 1,453,272
54,521 FleetBoston Financial Corp 1,932,061
13,482 Huntington Bancshares Inc 246,047
10,260 JP Morgan & Co Inc 1,317,128
26,630 KeyCorp 492,655
30,230 Mellon Financial Corp 971,139
36,960 National City Corp 628,320
13,350 Northern Trust Corp 856,069
7,910 Old Kent Financial Corp 238,289
17,460 PNC Financial Services Group 761,693
12,810 Regions Financial Corp 261,798
9,840 SouthTrust Corp 234,930
9,470 State Street Corp 917,406
10,260 Summit Bancorp 260,348
19,030 SunTrust Banks Inc 965,773
16,410 Synovus Financial Corp 304,602
45,169 US Bancorp 917,473
8,220 Union Planters Corp 232,725
12,150 Wachovia Corp 761,647
98,340 Wells Fargo & Co 4,038,037
$34,523,160
BROADCAST/MEDIA --- 1.2%
45,370 CBS Corp* 2,665,488
20,150 Clear Channel Communications Inc* 1,450,800
55,230 Comcast Corp Class A* 2,212,624
36,480 MediaOne Group Inc* 2,758,800
$9,087,712
BUILDING MATERIALS --- 0.2%
26,810 Masco Corp 601,536
3,310 Owens Corning 60,199
10,020 Sherwin-Williams Co 249,248
5,840 Vulcan Materials Co 255,862
$1,166,845
CHEMICALS --- 1.1%
13,450 Air Products & Chemicals Inc 417,784
6,710 Avery Dennison Corp 440,344
13,050 Dow Chemical Co 1,474,650
62,219 EI du Pont de Nemours & Co 2,951,483
4,730 Eastman Chemical Co 247,436
7,600 Engelhard Corp 133,471
1,850 FMC Corp* 107,646
3,470 Great Lakes Chemical Corp 93,471
6,420 Hercules Inc 99,908
10,300 PPG Industries Inc 560,063
9,300 Praxair Inc 413,264
13,027 Rohm & Haas Co 464,087
6,100 Sigma-Aldrich Corp 179,188
7,890 Union Carbide Corp 465,510
4,340 WR Grace & Co* 56,420
$8,104,725
COMMUNICATIONS - EQUIPMENT --- 8.6%
20,350 3Com Corp* 802,543
17,880 ADC Telecommunications Inc* 1,086,210
4,960 Andrew Corp* 146,008
11,010 Cabletron Systems Inc* 251,854
407,808 Cisco Systems Inc* 28,272,513
9,020 Comverse Technology Inc* 804,467
16,440 Corning Inc 3,246,900
190,015 Lucent Technologies Inc 11,816,463
18,140 Network Appliance Inc* 1,341,217
86,008 Nortel Networks Corp 9,740,406
43,970 QUALCOMM Inc* 4,767,975
9,500 Scientific-Atlanta Inc 618,089
23,910 Tellabs Inc* 1,310,555
$64,205,200
COMPUTER HARDWARE & SYSTEMS --- 7.0%
9,620 Apple Computer Inc* 1,193,476
100,927 Compaq Computer Corp 2,952,115
152,830 Dell Computer Corp* 7,660,604
60,581 EMC Corp* 8,416,942
18,830 Gateway Inc* 1,040,358
59,870 Hewlett-Packard Co 8,082,450
107,420 International Business Machines Corp 11,990,758
7,620 Lexmark International Group Class A* 899,160
5,630 NCR Corp* 217,459
12,790 Seagate Technology Inc* 649,885
11,110 Silicon Graphics Inc* 79,848
94,090 Sun Microsystems Inc* 8,650,352
18,630 Unisys Corp* 431,974
$52,265,381
COMPUTER SOFTWARE & SERVICES --- 8.4%
7,060 Adobe Systems Inc 853,815
135,980 America Online Inc* 8,133,236
3,690 Autodesk Inc 141,604
37,570 Automatic Data Processing Inc 2,021,717
14,640 BMC Software Inc* 685,328
8,740 Ceridian Corp* 189,544
10,620 Citrix Systems Inc* 648,478
35,075 Computer Associates International Inc 1,957,606
9,960 Computer Sciences Corp* 812,358
21,620 Compuware Corp* 271,590
28,050 Electronic Data Systems Corp 1,928,438
8,550 Equifax Inc 208,936
24,920 First Data Corp 1,213,280
310,200 Microsoft Corp* 21,636,450
19,520 Novell Inc* 383,080
168,154 Oracle Corp* 13,441,726
16,470 Parametric Technology Corp* 134,329
14,800 Paychex Inc 778,850
16,120 PeopleSoft Inc* 224,664
7,623 Sabre Holdings Corp 266,325
1,620 Shared Medical Systems Corp 67,128
23,300 VERITAS Software Corp* 2,499,275
31,320 Yahoo! Inc* 4,079,430
$62,577,187
CONGLOMERATES --- 0.1%
8,790 Textron Inc 544,426
$544,426
CONTAINERS --- 0.1%
1,830 Ball Corp 57,645
3,160 Bemis Co Inc 116,326
7,760 Crown Cork & Seal Co Inc 126,100
9,070 Owens-Illinois Inc* 122,445
10,350 Pactiv Corp* 84,735
3,370 Temple-Inland Inc 168,921
$676,172
COSMETICS & PERSONAL CARE --- 0.4%
3,370 Alberto-Culver Co Class B 79,616
14,540 Avon Products Inc 603,410
63,920 Gillette Co 2,365,040
6,350 International Flavors & Fragrances Inc 218,675
$3,266,741
DISTRIBUTORS --- 0.3%
16,730 Cardinal Health Inc 921,187
16,511 McKesson HBOC Inc 278,623
8,430 SUPERVALU Inc 174,391
19,800 SYSCO Corp 744,975
$2,119,176
ELECTRIC COMPANIES --- 1.6%
7,990 Ameren Corp 293,129
11,630 American Electric Power Co Inc 425,949
7,000 CMS Energy Corp 133,000
9,340 Carolina Power & Light Co 341,489
12,850 Central & South West Corp 278,678
9,600 Cinergy Corp 256,800
13,250 Consolidated Edison Inc 466,228
8,740 Constellation Energy Group 288,962
8,460 DTE Energy Co 276,008
14,199 Dominion Resources Inc 638,955
21,794 Duke Energy Corp 1,253,155
20,680 Edison International 394,202
14,410 Entergy Corp 366,547
10,630 FPL Group Inc 480,338
13,680 FirstEnergy Corp 347,978
5,730 Florida Progress Corp 280,770
7,460 GPU Inc 209,343
6,980 New Century Energies Inc 227,723
10,620 Niagara Mohawk Holdings Inc* 147,353
9,350 Northern States Power Co 203,942
11,030 PECO Energy Co 459,808
22,800 PG&E Corp 591,364
8,677 PPL Corp 207,163
5,120 Pinnacle West Capital Corp 179,840
13,010 Public Service Enterprise Group Inc 466,734
17,764 Reliant Energy Inc 472,967
40,370 Southern Co 1,006,707
16,401 Texas Utilities Co 552,500
12,940 Unicom Corp 514,365
$11,761,997
ELECTRONIC INSTRUMENTS & EQUIP --- 4.8%
5,690 Cooper Industries Inc 195,235
25,650 Emerson Electric Co 1,407,544
195,560 General Electric Co 30,751,776
11,787 Molex Inc 647,542
2,930 PerkinElmer Inc 160,418
35,300 Solectron Corp* 1,652,464
2,850 Tektronix Inc 164,944
3,490 Thomas & Betts Corp 107,534
5,440 WW Grainger Inc 235,960
$35,323,417
ELECTRONICS - SEMICONDUCTOR --- 7.4%
6,270 Adaptec Inc* 169,290
8,690 Advanced Micro Devices Inc* 762,548
4,700 Altera Corp* 480,575
20,780 Analog Devices Inc* 1,596,153
45,540 Applied Materials Inc* 4,636,518
12,866 Conexant Systems Inc* 770,352
199,080 Intel Corp 25,245,733
10,870 KLA-Tencor Corp* 813,891
17,680 LSI Logic Corp* 1,105,000
18,600 Linear Technology Corp 1,062,525
16,100 Micron Technology Inc* 2,241,925
42,250 Motorola Inc 5,030,370
10,160 National Semiconductor Corp* 617,220
10,130 Teradyne Inc* 1,114,300
48,460 Texas Instruments Inc 7,892,923
19,070 Xilinx Inc* 1,396,878
$54,936,201
ENGINEERING & CONSTRUCTION --- 0.0%
4,660 Fluor Corp 156,399
$156,399
FINANCIAL SERVICES --- 3.5%
15,780 AFLAC Inc 770,253
26,650 American Express Co 3,999,152
14,832 American General Corp 830,592
43,606 Associates First Capital Corp Class A 967,486
200,938 Citigroup Inc 11,943,152
14,930 Franklin Resources Inc 481,493
5,820 MBIA Inc 287,723
47,752 MBNA Corp 1,268,389
67,912 Morgan Stanley Dean Witter & Co 5,212,246
9,310 SLM Holding Corp 291,515
7,230 T Rowe Price Associates Inc 275,644
$26,327,645
FOOD & BEVERAGES --- 2.9%
2,230 Adolph Coors Co Class B 113,730
27,710 Anheuser-Busch Cos Inc 1,955,273
16,750 Bestfoods 841,688
4,140 Brown-Forman Corp Class B 225,887
25,550 Campbell Soup Co 664,300
147,150 Coca-Cola Co 6,925,173
25,510 Coca-Cola Enterprises Inc 543,669
29,240 ConAgra Inc 551,905
18,060 General Mills Inc 656,933
21,250 HJ Heinz Co 722,500
8,360 Hershey Foods Corp 379,335
24,300 Kellogg Co 593,819
19,710 Nabisco Group Holdings Corp 253,766
86,760 PepsiCo Inc 3,182,964
7,880 Quaker Oats Co 513,674
18,140 Ralston-Ralston Purina Group 320,842
54,410 Sara Lee Corp 816,150
34,036 Unilever NV NY Shrs 1,550,748
6,890 Wm Wrigley Jr Co 498,664
$21,311,020
GOLD, METALS & MINING --- 0.5%
13,040 Alcan Aluminium Ltd 427,060
21,840 Alcoa Inc 1,416,870
5,655 Allegheny Technologies Inc 136,777
23,120 Barrick Gold Corp 388,693
7,620 Bethlehem Steel Corp* 40,958
9,880 Freeport-McMoRan Copper & Gold Inc Class B* 95,095
15,730 Homestake Mining Co 94,380
11,600 Inco Ltd* 181,250
9,823 Newmont Mining Corp 230,222
5,070 Nucor Corp 218,010
4,694 Phelps Dodge Corp 217,098
19,670 Placer Dome Inc 159,819
3,820 Reynolds Metals Co 254,030
5,340 USX-US Steel Group 133,831
5,380 Worthington Industries Inc 66,578
$4,060,671
HARDWARE & TOOLS --- 0.1%
5,250 Black & Decker Corp 220,826
3,540 Snap-on Inc 93,587
5,400 Stanley Works 159,300
$473,713
HEALTH CARE RELATED --- 4.7%
5,970 ALZA Corp* 263,050
91,590 Abbott Laboratories 3,520,445
8,440 Aetna Inc 488,465
7,740 Allergan Inc 455,693
77,800 American Home Products Corp 4,371,349
60,820 Amgen Inc* 3,405,920
8,880 Biogen Inc* 522,251
118,170 Bristol-Myers Squibb Co 6,196,480
33,740 Columbia/HCA Healthcare Corp 959,464
23,040 HEALTHSOUTH Corp* 185,748
10,120 Humana Inc* 77,792
82,920 Johnson & Johnson 6,840,900
4,200 Mallinckrodt Inc 112,875
6,230 Manor Care Inc* 74,368
6,950 Quintiles Transnational Corp* 99,468
18,710 Tenet Healthcare Corp 477,105
10,060 UnitedHealth Group Inc 670,871
51,180 Warner-Lambert Co 5,824,898
3,840 Wellpoint Health Networks Inc* 283,200
$34,830,342
HEAVY TRUCKS & PARTS --- 0.2%
2,500 Cummins Engine Co Inc 88,905
9,943 Dana Corp 302,019
4,450 Eaton Corp 373,800
5,310 ITT Industries Inc 167,594
3,840 Navistar International Corp* 134,400
4,730 PACCAR Inc 224,968
$1,291,686
HOMEBUILDING --- 0.0%
3,580 Centex Corp 86,368
2,880 Kaufman & Broad Home Corp 55,440
2,610 Pulte Corp 56,115
$197,923
HOTELS/MOTELS --- 0.2%
36,980 Carnival Corp 919,878
7,770 Harrah's Entertainment Inc* 159,767
22,280 Hilton Hotels Corp 189,380
14,730 Marriott International Inc Class A 471,360
$1,740,385
HOUSEHOLD GOODS --- 1.5%
2,420 Armstrong World Industries Inc 47,340
14,180 Clorox Co 521,115
34,700 Colgate-Palmolive Co 1,982,238
12,670 Fort James Corp 303,282
9,610 Fortune Brands Inc 240,250
33,090 Kimberly-Clark Corp 1,921,272
11,860 Leggett & Platt Inc 253,508
5,100 Maytag Corp 175,629
16,739 Newell Rubbermaid Inc 421,605
78,410 Procter & Gamble Co 4,675,196
3,480 Tupperware Corp 65,685
4,500 Whirlpool Corp 293,063
$10,900,183
INSURANCE RELATED --- 2.5%
47,970 Allstate Corp 1,133,291
92,248 American International Group Inc 10,118,406
15,410 Aon Corp 417,025
10,040 CIGNA Corp 800,690
10,430 Chubb Corp 663,609
9,620 Cincinnati Financial Corp 387,801
19,161 Conseco Inc 104,178
13,190 Hartford Financial Services Group Inc 688,347
6,325 Jefferson-Pilot Corp 421,005
11,610 Lincoln National Corp 404,167
6,210 Loews Corp 342,326
6,390 MGIC Investment Corp 305,519
15,820 Marsh & McLennan Cos Inc 1,559,251
4,420 Progressive Corp 289,232
7,860 SAFECO Corp 173,903
13,328 St Paul Cos Inc 474,810
7,950 Torchmark Corp 199,243
14,506 UnumProvident Corp 246,602
$18,729,405
INVESTMENT BANK/BROKERAGE FIRM --- 0.8%
6,698 Bear Stearns Cos Inc 287,177
48,850 Charles Schwab Corp 2,173,825
7,150 Lehman Brothers Holdings Inc 586,743
22,000 Merrill Lynch & Co Inc 2,242,614
8,620 Paine Webber Group Inc 378,203
$5,668,562
LEISURE & ENTERTAINMENT --- 2.3%
5,550 Brunswick Corp 106,488
17,880 Harley-Davidson Inc 711,839
11,670 Mirage Resorts Inc* 237,776
25,790 Seagram Co Ltd 1,392,660
76,640 Time Warner Inc 6,892,772
41,510 Viacom Inc Class B* 2,257,106
123,320 Walt Disney Co 5,341,236
$16,939,877
MACHINERY --- 0.3%
1,400 Briggs & Stratton Corp 53,725
21,180 Caterpillar Inc 835,276
14,020 Deere & Co 566,058
9,880 Ingersoll-Rand Co 463,738
2,130 Milacron Inc 38,873
530 NACCO Industries Inc Class A 23,784
9,260 Thermo Electron Corp* 179,413
3,740 Timken Co 69,190
$2,230,057
MANUFACTURING --- 1.5%
3,985 Crane Co 107,097
8,600 Danaher Corp 491,275
12,100 Dover Corp 614,825
47,136 Honeywell International Inc 2,639,616
17,860 Illinois Tool Works Inc 1,144,147
5,150 Johnson Controls Inc 326,057
2,730 Millipore Corp 195,706
7,500 Pall Corp 167,340
6,565 Parker-Hannifin Corp 305,273
5,042 Sealed Air Corp* 280,461
100,740 Tyco International Ltd 4,627,693
$10,899,490
MEDICAL PRODUCTS --- 1.1%
3,490 Bausch & Lomb Inc 210,709
17,280 Baxter International Inc 1,125,360
15,120 Becton Dickinson & Co 387,450
6,820 Biomet Inc 243,385
24,860 Boston Scientific Corp* 658,790
3,090 CR Bard Inc 134,607
18,270 Guidant Corp* 1,048,241
71,120 Medtronic Inc 3,693,759
12,260 PE Corp-PE Biosystems Group 735,600
5,085 St Jude Medical Inc* 158,586
$8,396,487
MISCELLANEOUS --- 0.9%
12,370 AES Corp* 1,112,521
3,900 American Greetings Corp Class A 70,688
35,755 Archer-Daniels-Midland Co 355,297
2,020 Jostens Inc 49,868
23,750 Minnesota Mining & Mftg Co 2,054,375
21,660 Nextel Communications Inc Class A* 2,370,405
7,250 TRW Inc 424,125
$6,437,279
OFFICE EQUIPMENT & SUPPLIES --- 0.2%
15,930 Pitney Bowes Inc 651,139
39,540 Xerox Corp 1,045,319
$1,696,458
OIL & GAS --- 6.1%
5,480 Amerada Hess Corp 348,665
7,400 Anadarko Petroleum Corp 321,434
6,690 Apache Corp 324,044
4,360 Ashland Inc 148,785
19,788 Baker Hughes Inc 629,496
13,040 Burlington Resources Inc 512,628
39,050 Chevron Corp 3,324,131
12,810 Coastal Corp 642,895
4,910 Columbia Energy Group 308,103
37,545 Conoco Inc Class B 933,932
1,630 Eastern Enterprises 99,226
13,700 El Paso Energy Corp 582,250
42,640 Enron Corp 2,971,454
205,781 Exxon Mobil Corp 15,986,509
26,290 Halliburton Co 1,161,676
5,722 Kerr-McGee Corp 296,114
3,540 McDermott International Inc 28,763
2,840 NICOR Inc 96,205
1,910 ONEOK Inc 48,228
22,010 Occidental Petroleum Corp 471,828
2,140 Peoples Energy Corp 66,473
15,000 Phillips Petroleum Co 711,555
5,530 Rowan Cos Inc* 154,492
127,770 Royal Dutch Petroleum Co NY Shrs 7,330,804
32,720 Schlumberger Ltd 2,505,109
12,235 Sempra Energy 227,106
5,450 Sunoco Inc 165,200
32,920 Texaco Inc 1,629,540
8,400 Tosco Corp 269,321
12,526 Transocean Sedco Forex Inc 588,722
18,670 USX-Marathon Group 435,235
15,230 Union Pacific Resources Group Inc 292,218
14,550 Unocal Corp 470,140
25,870 Williams Cos Inc 965,261
$45,047,542
PAPER & FOREST PRODUCTS --- 0.4%
3,450 Boise Cascade Corp 112,339
5,610 Champion International Corp 368,858
10,030 Georgia-Pacific Group 368,603
24,824 International Paper Co 912,282
6,430 Louisiana-Pacific Corp 86,001
6,200 Mead Corp 215,834
1,750 Potlatch Corp 69,015
6,060 Westvaco Corp 187,103
14,090 Weyerhaeuser Co 752,927
6,540 Willamette Industries Inc 249,743
$3,322,705
PERSONAL LOANS --- 0.4%
11,810 Capital One Financial Corp 516,688
6,840 Countrywide Credit Industries Inc 188,955
28,009 Household International Inc 1,169,376
8,375 Providian Financial Corp 737,519
$2,612,538
PHARMACEUTICALS --- 4.3%
64,990 Eli Lilly & Co 5,024,507
139,340 Merck & Co Inc 9,684,130
230,720 Pfizer Inc 9,719,080
74,437 Pharmacia Corp 3,717,160
87,570 Schering-Plough Corp 3,530,122
5,600 Watson Pharmaceuticals Inc* 251,647
$31,926,646
PHOTOGRAPHY/IMAGING --- 0.2%
18,770 Eastman Kodak Co 1,049,937
9,010 IKON Office Solutions Inc 52,934
2,690 Polaroid Corp 54,303
$1,157,174
POLLUTION CONTROL --- 0.1%
11,410 Allied Waste Industries Inc* 69,886
36,836 Waste Management Inc 584,772
$654,658
PRINTING & PUBLISHING --- 0.6%
4,430 Deluxe Corp 111,578
5,410 Dow Jones & Co Inc 350,974
16,540 Gannett Co Inc 1,056,493
4,300 Harcourt General Inc 160,713
4,870 Knight-Ridder Inc 238,932
11,750 McGraw-Hill Cos Inc 616,875
3,120 Meredith Corp 86,773
10,150 New York Times Co Class A 418,048
7,640 RR Donnelley & Sons Co 162,350
3,620 Times Mirror Co Class A 353,174
14,060 Tribune Co 546,583
$4,102,493
RAILROADS --- 0.3%
27,410 Burlington Northern Santa Fe Corp 661,266
12,790 CSX Corp 267,784
6,580 Kansas City Southern Industries Inc 472,938
22,900 Norfolk Southern Corp 403,613
14,720 Union Pacific Corp 620,080
$2,425,681
RESTAURANTS --- 0.5%
7,640 Darden Restaurants Inc 140,859
80,720 McDonald's Corp 3,077,450
8,977 Tricon Global Restaurants Inc* 306,340
7,220 Wendy's International Inc 161,548
$3,686,197
RETAIL --- 5.8%
25,397 Albertson's Inc 826,977
8,220 AutoZone Inc* 188,542
8,450 Bed Bath & Beyond Inc* 310,005
12,100 Best Buy Co Inc* 977,075
23,480 CVS Corp 1,021,380
12,190 Circuit City Stores-Circuit City Group 716,918
6,690 Consolidated Stores Corp* 83,204
26,510 Costco Wholesale Corp* 1,433,184
6,190 Dillard's Inc Class A 86,270
15,566 Dollar General Corp 356,072
12,480 Federated Department Stores Inc* 424,320
50,640 Gap Inc 1,861,020
2,320 Great Atlantic & Pacific Tea Co Inc 42,484
137,220 Home Depot Inc 7,692,828
15,720 JC Penney Co Inc 217,125
28,930 Kmart Corp* 235,056
19,300 Kohl's Corp* 926,400
49,970 Kroger Co* 927,543
12,873 Limited Inc 581,692
2,370 Longs Drug Stores Corp 55,103
22,790 Lowe's Cos Inc 1,128,105
19,985 May Department Stores Co 549,588
7,970 Nordstrom Inc 221,662
19,890 Office Depot Inc* 210,078
15,640 Rite Aid Corp 78,200
30,240 Safeway Inc* 1,334,340
22,640 Sears Roebuck & Co 829,190
28,160 Staples Inc* 536,786
18,140 TJX Cos Inc 348,052
11,480 Tandy Corp 654,360
26,030 Target Corp 1,732,609
14,290 Toys R Us Inc* 217,923
265,500 Wal-Mart Stores Inc 14,702,063
59,940 Walgreen Co 1,685,813
8,680 Winn-Dixie Stores Inc 143,758
$43,335,725
SAVINGS & LOANS --- 0.2%
9,460 Golden West Financial Corp 322,823
34,583 Washington Mutual Inc 884,011
$1,206,834
SHOES --- 0.1%
16,420 NIKE Inc Class B 713,236
3,340 Reebok International Ltd* 56,780
$770,016
SPECIALIZED SERVICES --- 0.5%
42,359 Cendant Corp* 653,896
9,420 Dun & Bradstreet Corp 283,778
7,530 Ecolab Inc 294,137
5,710 H&R Block Inc 238,747
18,510 IMS Health Inc 315,818
16,660 Interpublic Group of Cos Inc 683,060
2,460 National Service Industries Inc 52,890
10,520 Omnicom Group Inc 957,972
4,210 Young & Rubicam Inc 234,442
$3,714,740
TELEPHONE & TELECOMMUNICATIONS --- 6.9%
18,670 ALLTEL Corp 1,243,889
190,480 AT&T Corp 8,892,940
92,526 Bell Atlantic Corp 5,482,166
112,140 BellSouth Corp 5,459,760
8,140 CenturyTel Inc 199,430
57,920 GTE Corp 3,924,080
46,451 Global Crossing Ltd* 1,463,207
169,109 MCI WorldCom Inc* 7,683,806
203,333 SBC Communications Inc 8,908,425
51,860 Sprint Corp 3,189,390
51,380 Sprint Corp (PCS Group)* 2,825,900
30,036 US WEST Inc 2,138,173
$51,411,166
TEXTILES --- 0.1%
3,570 Liz Claiborne Inc 165,334
2,130 Russell Corp 41,801
1,110 Springs Industries Inc Class A 45,579
7,140 VF Corp 201,705
$454,419
TOBACCO --- 0.4%
140,970 Philip Morris Cos Inc 3,083,719
10,340 UST Inc 155,100
$3,238,819
TOYS --- 0.1%
10,705 Hasbro Inc 170,606
24,620 Mattel Inc 301,595
$472,201
TRANSPORTATION --- 0.1%
17,438 FedEx Corp* 657,186
3,580 Ryder System Inc 79,429
$736,615
TOTAL COMMON STOCK --- 98.9% $735,446,910
(Cost $516,638,513)
SHORT-TERM INVESTMENTS
FINANCIAL SERVICES --- 0.7%
5,172,000 Associates Corp of North America 5,170,264
$5,170,264
U.S. GOVERNMENTS --- 0.4%
3,000,000 United States of America (1) 2,980,397
$2,980,397
TOTAL SHORT-TERM INVESTMENTS --- 1.1% $8,150,661
(Cost $8,150,661)
TOTAL ORCHARD INDEX 500 FUND --- 100.0% $743,597,571
(Cost $524,789,174)
The Orchard Series Fund
Orchard Index 600 Fund
COMMON STOCK
AEROSPACE & DEFENSE --- 0.6%
10,300 AAR Corp 155,139
3,700 Alliant Techsystems Inc* 257,613
9,500 BE Aerospace Inc* 70,063
14,200 Orbital Sciences Corp* 179,275
10,300 Teledyne Technologies Inc* 180,250
$842,340
AGRICULTURE --- 0.5%
14,200 Corn Products International Inc 340,800
16,900 DIMON Inc 40,138
14,766 Delta & Pine Land Co 310,086
$691,024
AIR FREIGHT --- 0.9%
6,600 Circle International Group Inc 175,309
11,000 EGL Inc* 252,307
19,200 Expeditors International of Washington Inc 820,800
13,900 Fritz Cos Inc* 133,788
$1,382,204
AIRLINES --- 0.6%
7,000 Atlantic Coast Airlines Holdings Inc* 209,125
13,000 Mesa Air Group Inc* 84,500
5,400 Midwest Express Holdings Inc* 136,685
9,400 SkyWest Inc 395,975
$826,285
AUTO PARTS & EQUIPMENT --- 1.4%
7,900 Applied Industrial Technologies Inc 137,263
27,900 Gentex Corp* 899,775
9,600 Intermet Corp 70,800
16,900 MascoTech Inc 195,398
6,200 Midas Inc 156,934
6,800 Simpson Industries Inc 70,122
4,900 Standard Motor Products Inc 54,816
8,000 TBC Corp* 44,000
12,800 Tenneco Automotive Inc 113,600
17,800 Tower Automotive Inc* 278,125
7,100 Wynn's International Inc 98,513
$2,119,346
BANKS --- 4.0%
8,900 Banknorth Group Inc 212,488
15,000 Centura Banks Inc 619,680
10,800 Chittenden Corp 286,870
11,168 Commerce Bancorp Inc 443,224
21,950 Commercial Federal Corp 341,586
19,000 Community First Bankshares Inc 320,625
20,200 Cullen/Frost Bankers Inc 498,677
10,800 First BanCorp 191,020
15,650 First Midwest Bancorp Inc 389,294
19,183 Hudson United Bancorp 432,807
10,159 Provident Bankshares Corp 151,741
10,800 Riggs National Corp 146,470
8,500 Silicon Valley Bancshares* 524,875
9,800 South Finanical Group Inc 135,975
10,600 Southwest Bancorp of Texas Inc* 207,357
14,050 Susquehanna Bancshares Inc 194,059
20,320 TrustCo Bank Corp NY 242,560
16,200 United Bankshares Inc 353,354
8,600 Whitney Holding Corp 299,925
$5,992,587
BIOTECHNOLOGY --- 4.4%
21,500 Advanced Tissue Sciences Inc* 123,625
17,900 Alliance Pharmaceutical Corp* 142,072
20,100 Bio-Technology General Corp* 282,646
8,700 Biomatrix Inc* 165,839
9,600 COR Therapeutics Inc* 731,395
12,300 Cephalon Inc* 691,875
9,520 Enzo Biochem Inc* 385,560
16,100 IDEC Pharmaceuticals Corp* 1,030,400
13,900 IDEXX Laboratories Inc* 364,875
9,900 Immune Response Corp* 82,913
14,900 Liposome Co Inc* 260,750
12,500 North American Vaccine Inc* 46,875
11,500 Organogenesis Inc* 131,526
7,100 Protein Design Labs Inc* 720,650
12,900 Regeneron Pharmaceuticals Inc* 368,450
7,700 Techne Corp* 547,663
9,800 Vertex Pharmaceuticals Inc* 512,050
$6,589,164
BUILDING MATERIALS --- 0.4%
10,500 Apogee Enterprises Inc 37,401
7,500 Elcor Corp 238,590
4,600 Simpson Manufacturing Co Inc* 208,150
7,700 Universal Forest Products Inc 103,950
$588,091
CHEMICALS --- 1.4%
8,600 Arch Chemicals Inc 169,850
9,400 Cambrex Corp 385,400
6,900 ChemFirst Inc 133,688
9,000 Geon Co 196,875
8,800 Lilly Industries Inc Class A 95,700
11,800 MacDermid Inc 276,557
5,800 Material Sciences Corp* 61,625
3,800 McWhorter Technologies Inc* 57,475
9,900 Mississippi Chemical Corp 76,101
9,000 OM Group Inc 414,000
15,900 Omnova Solutions Inc 95,400
2,800 Penford Corp 47,250
3,400 Quaker Chemical Corp 57,161
$2,067,082
COMMUNICATIONS - EQUIPMENT --- 4.0%
12,800 Adaptive Broadband Corp* 416,000
10,500 Allen Telecom Inc* 186,375
13,700 Anixter International Inc* 461,512
18,500 Aspect Communications Corp* 656,750
8,200 Audiovox Corp Class A* 281,358
20,300 Brightpoint Inc* 239,784
10,750 Cable Design Technologies Corp* 368,188
19,300 CommScope Inc* 916,750
26,500 Digital Microwave Corp* 978,831
9,800 Inter-Tel Inc 198,450
27,400 P-Com Inc* 296,249
6,100 Plantronics Inc* 539,850
4,500 Proxim Inc* 346,217
5,700 SymmetriCom Inc* 67,688
$5,954,002
COMPUTER HARDWARE & SYSTEMS --- 1.2%
7,900 Apex Inc* 233,540
10,400 Auspex Systems Inc* 79,300
5,700 Digi International Inc* 30,991
8,000 Mercury Computer Systems Inc* 307,496
19,000 National Instruments Corp* 926,250
8,100 Network Equipment Technologies Inc* 66,825
5,900 Standard Microsystems Corp* 76,700
6,200 Telxon Corp* 91,450
$1,812,552
COMPUTER SOFTWARE & SERVICES --- 9.7%
15,500 American Management Systems Inc* 573,500
8,550 Analysts International Corp 95,119
9,600 Aspen Technology Inc* 339,600
9,100 Avid Technology Inc* 125,125
5,300 BARRA Inc* 223,263
9,300 Banyan Systems Inc* 129,038
22,500 CIBER Inc* 406,395
2,300 Centigram Communications Corp* 35,505
7,900 Computer Task Group Inc 67,150
5,500 Concord Communications Inc* 154,000
7,350 Cybex Computer Products Corp* 201,206
14,850 Dendrite International Inc* 339,694
15,500 Epicor Software Corp* 62,000
8,600 Exabyte Corp* 40,850
5,300 Fair Isaac & Co Inc 224,254
12,300 FileNET Corp* 361,313
8,400 Gerber Scientific Inc 116,550
6,000 Great Plains Software Inc* 253,872
9,300 HNC Software Inc* 460,350
14,750 Harbinger Corp* 278,406
9,400 Hutchinson Technology Inc* 119,850
12,185 Hyperion Solutions Corp* 369,547
17,324 InaCom Corp* 27,060
5,600 Innovex Inc 49,000
12,200 InterVoice-Brite Inc* 194,431
15,400 Jack Henry & Associates Inc 608,300
20,800 Komag Inc* 61,090
4,750 Kronos Inc* 152,594
6,300 MICROS Systems Inc* 253,575
54,600 MarchFirst Inc* 1,163,635
29,200 Mercury Interactive Corp* 2,627,966
7,600 MicroAge Inc* 14,250
9,500 Phoenix Technologies Ltd* 186,438
13,300 Progress Software Corp* 266,000
8,200 Project Software & Development Inc* 250,100
5,100 QRS Corp* 168,300
14,700 RSA Security Inc* 862,699
6,200 RadiSys Corp* 256,525
19,000 Read-Rite Corp* 57,000
11,000 Remedy Corp* 584,375
10,900 SAGA SYSTEMS Inc* 203,013
12,300 Systems & Computer Tech Corp* 289,813
7,000 THQ Inc* 108,500
11,800 Verity Inc* 382,757
11,300 Xircom Inc* 445,638
16,300 eLoyalty Corp* 267,923
$14,457,569
COSMETICS & PERSONAL CARE --- 0.3%
25,100 NBTY Inc* 445,525
6,500 Nature's Sunshine Products Inc 55,250
$500,775
DISTRIBUTORS --- 1.3%
12,800 Bindley Western Industries Inc 223,194
14,800 Fleming Cos Inc 243,268
4,300 Nash-Finch Co 31,713
12,400 Owens & Minor Inc 148,800
12,850 Patterson Dental Co* 618,406
5,400 Performance Food Group Co* 142,425
8,294 Priority Healthcare Corp* 459,280
6,900 United Natural Foods Inc* 104,363
$1,971,449
ELECTRIC COMPANIES --- 0.7%
2,800 Bangor Hydro-Electric Co 46,200
6,400 CH Energy Group Inc 210,797
4,400 Central Vermont Public Service Corp 47,850
2,200 Green Mountain Power Corp 16,500
8,800 NorthWestern Corp 202,400
12,400 UniSource Energy Corp 201,500
5,400 United Illuminating Co 248,400
$973,647
ELECTRONIC INSTRUMENTS & EQUIP --- 7.5%
8,850 AO Smith Corp 181,974
15,200 Alpha Industries Inc* 790,400
4,900 Analogic Corp 199,366
14,100 Artesyn Technologies Inc* 341,925
13,633 Baldor Electric Co 253,056
9,300 Belden Inc 276,089
6,200 Benchmark Electronics Inc* 249,159
7,400 Black Box Corp* 569,334
4,900 C&D Technologies Inc 315,741
12,200 C-COR.net Corp* 477,325
11,500 Checkpoint Systems Inc* 102,776
9,400 Coherent Inc* 543,433
7,500 Cohu Inc 285,465
10,000 Electro Scientific Industries Inc* 630,620
5,200 Hadco Corp* 428,022
6,500 Harman International Industries Inc 424,938
4,350 Harmon Industries Inc 76,125
5,700 Itron Inc* 32,775
16,500 KEMET Corp* 1,229,250
10,700 Kent Electronics Corp* 312,301
13,700 Methode Electronics Inc Class A 570,893
4,000 Park Electrochemical Corp 102,500
10,300 Pioneer-Standard Electronics Inc 157,714
6,600 Plexus Corp* 505,725
13,600 SLI Inc 193,800
6,200 Technitrol Inc 421,600
4,633 Three-Five Systems Inc* 403,071
8,600 Trimble Navigation Ltd* 237,575
15,700 Vicor Corp* 408,200
11,100 Watsco Inc 142,913
8,100 X-Rite Inc 92,640
5,800 ZixIt Corp* 214,235
$11,170,940
ELECTRONICS - SEMICONDUCTOR --- 6.2%
8,300 Actel Corp* 305,540
7,100 American Xtal Technology Inc* 173,169
21,150 Burr-Brown Corp* 1,440,844
15,400 C-Cube Microsystems Inc* 989,450
22,000 Dallas Semiconductor Corp 944,614
7,600 Electroglas Inc* 294,500
14,000 General Semiconductor Inc* 280,000
8,500 Helix Technology Corp 434,027
23,200 International Rectifier Corp* 1,139,700
9,000 Kulicke & Soffa Industries Inc* 704,808
18,200 Lattice Semiconductor Corp* 1,226,225
9,100 Photronics Inc* 303,139
28,900 S3 Inc* 406,392
12,700 Silicon Valley Group Inc* 361,950
11,200 SpeedFam-IPEC Inc* 177,094
8,100 Ultratech Stepper Inc* 120,990
$9,302,442
ENGINEERING & CONSTRUCTION --- 1.2%
2,700 Butler Manufacturing Co 63,617
14,675 Dycom Industries Inc* 763,100
7,000 Florida Rock Industries Inc 226,625
15,500 Foster Wheeler Corp 142,399
19,900 Morrison Knudsen Corp* 182,821
5,000 Stone & Webster Inc 65,935
8,000 Texas Industries Inc 261,000
6,000 URS Corp* 76,500
$1,781,997
FINANCIAL SERVICES --- 2.7%
28,400 AmeriCredit Corp* 530,711
9,600 Cash America International Inc 86,400
13,400 Eaton Vance Corp 566,981
5,500 Investors Financial Services Corp 448,938
16,600 Mutual Risk Management Ltd 260,404
10,100 Pioneer Group Inc* 282,800
6,700 SEI Investments Co 799,813
7,100 US Trust Corp 1,092,513
$4,068,560
FOOD & BEVERAGES --- 1.8%
3,900 Agribrands International Inc* 146,004
7,000 American Italian Pasta Co Class A* 173,250
7,500 Beringer Wine Estates Holdings Inc Class B* 270,938
6,900 Canandaigua Brands Inc Class A* 347,588
25,000 Chiquita Brands International Inc 96,875
3,300 Coca-Cola Bottling Co Consolidated 168,300
16,100 Earthgrains Co 226,398
6,900 Hain Food Group Inc* 185,003
3,400 J&J Snack Foods Corp* 54,186
7,700 Michael Foods Inc 165,065
11,600 Ralcorp Holdings Inc* 160,219
21,500 Smithfield Foods Inc* 458,208
9,000 Triarc Cos Inc* 185,625
$2,637,659
GOLD, METALS & MINING --- 0.8%
5,300 AM Castle & Co 64,925
11,500 Birmingham Steel Corp 48,875
11,100 Coeur d'Alene Mines Corp* 27,750
5,500 Commercial Metals Co 161,563
6,300 Commonwealth Industries Inc 47,250
6,300 IMCO Recycling Inc 64,966
5,400 Quanex Corp 88,425
18,200 Steel Dynamics Inc* 207,025
4,100 Steel Technologies Inc 33,054
14,350 Stillwater Mining Co* 401,800
5,500 WHX Corp* 38,154
$1,183,787
HARDWARE & TOOLS --- 0.4%
10,600 Scotts Co Class A* 382,925
4,800 Toro Co 147,600
5,900 WD-40 Co 117,628
$648,153
HEALTH CARE RELATED --- 2.0%
8,200 Advance Paradigm Inc* 102,500
22,500 Coventry Health Care Inc* 239,063
3,700 Curative Health Services Inc* 22,082
7,300 Hanger Orthopedic Group Inc* 36,500
24,600 Hooper Holmes Inc 427,425
8,000 MAXIMUS Inc* 188,496
12,200 Magellan Health Services Inc* 45,750
18,300 Orthodontic Centers of America Inc* 387,722
9,500 PAREXEL International Corp* 85,500
5,900 Pediatrix Medical Group Inc* 48,675
9,400 Pharmaceutical Product Dev Inc* 158,033
17,000 Renal Care Group Inc* 379,304
10,250 Sierra Health Services Inc* 36,511
32,600 US Oncology Inc* 112,046
11,700 Universal Health Services Inc Class B* 640,575
$2,910,182
HEAVY TRUCKS & PARTS --- 0.3%
6,300 Oshkosh Truck Corp 198,450
4,600 Spartan Motors Inc 19,550
7,900 Titan International Inc 54,313
8,700 Wabash National Corp 126,689
$399,002
HOMEBUILDING --- 1.1%
18,100 Champion Enterprises Inc* 127,822
23,525 DR Horton Inc 304,343
12,400 Fleetwood Enterprises Inc 181,350
8,500 MDC Holdings Inc 162,027
17,900 Oakwood Homes Corp 52,572
5,400 Ryland Group Inc 108,675
3,300 Skyline Corp 67,238
11,200 Standard Pacific Corp 112,694
13,900 Toll Brothers Inc* 301,449
5,200 US Home Corp* 186,222
$1,604,392
HOTELS/MOTELS --- 0.2%
11,350 Marcus Corp 121,297
18,600 Prime Hospitality Corp* 172,050
$293,347
HOUSEHOLD GOODS --- 1.0%
8,600 Applica Inc* 138,133
4,700 Bassett Furniture Industries Inc 62,566
15,550 Ethan Allen Interiors Inc 414,983
13,700 Fedders Corp 80,488
23,300 La-Z-Boy Inc 365,507
6,100 Libbey Inc 186,050
2,800 National Presto Industries Inc 96,600
6,400 Royal Appliance Manufacturing Co* 32,800
4,300 Salton Inc* 184,629
$1,561,756
INSURANCE RELATED --- 2.3%
14,000 Arthur J Gallagher & Co 521,500
7,835 Delphi Financial Group Inc Class A* 225,742
5,000 EW Blanch Holdings Inc 111,250
14,500 Enhance Financial Services Group Inc 146,813
25,512 Fidelity National Financial Inc 376,302
24,800 First American Financial Corp 382,838
26,600 Fremont General Corp 154,599
5,000 Hilb Rogal & Hamilton Co 141,560
3,800 RLI Corp 122,075
14,100 Radian Group Inc 718,212
4,600 SCPIE Holdings Inc 135,985
10,400 Selective Insurance Group Inc 196,945
7,050 Trenwick Group Inc 99,581
6,500 Zenith National Insurance Corp 159,250
$3,492,652
INVESTMENT BANK/BROKERAGE FIRM --- 0.8%
4,700 Dain Rauscher Corp 291,104
9,100 Jefferies Group Inc 200,764
11,000 Morgan Keegan Inc 175,307
6,500 National Discount Brokers Group Inc* 189,716
17,475 Raymond James Financial Inc 351,684
$1,208,575
LEISURE & ENTERTAINMENT --- 1.4%
4,600 Anchor Gaming* 185,150
9,500 Arctic Cat Inc 95,589
16,600 Aztar Corp* 198,154
4,200 Carmike Cinemas Inc Class A* 24,150
6,000 Coachmen Industries Inc 92,622
3,000 GC Cos Inc* 97,500
3,800 Huffy Corp 16,150
7,200 JAKKS Pacific Inc* 132,300
6,800 K2 Inc* 48,450
14,479 Midway Games Inc* 95,923
7,200 Monaco Coach Corp* 117,900
9,900 Pinnacle Entertainment Inc* 198,614
9,300 Polaris Industries Inc 284,813
4,300 SCP Pool Corp* 158,292
10,200 Sturm Ruger & Co Inc 102,000
4,650 Thor Industries Inc 125,257
8,300 Winnebago Industries Inc 141,100
$2,113,964
MACHINERY --- 0.6%
14,870 Applied Power Inc Class A 425,654
5,700 Gardner Denver Inc* 99,391
9,900 Manitowoc Co Inc 328,551
$853,596
MANUFACTURING --- 5.9%
10,150 AMCOL International Corp 166,206
3,300 Amcast Industrial Corp 28,667
13,900 AptarGroup Inc 396,150
7,300 Astec Industries Inc* 183,413
10,400 BMC Industries Inc 52,000
7,200 Barnes Group Inc 121,946
8,600 Brady Corp Class A 252,625
6,200 Brush Wellman Inc 114,700
9,100 CLARCOR Inc 163,800
10,500 CTS Corp 662,151
6,200 CUNO Inc* 168,175
15,700 Cognex Corp* 892,938
8,400 Dionex Corp* 305,550
6,600 Esterline Technologies Corp* 80,850
5,600 Flow International Corp* 63,000
15,900 GenCorp Inc 159,986
7,800 Graco Inc 264,225
11,300 Griffon Corp* 76,275
11,300 IDEX Corp 353,125
9,600 Insituform Technologies Inc Class A* 322,195
3,100 Insteel Industries Inc 18,017
4,908 Intermagnetics General Corp* 59,814
6,100 Ionics Inc* 143,350
16,900 JLG Industries Inc 160,550
8,800 Kaman Corp Class A 93,500
3,900 Lawson Products Inc 94,088
4,725 Lindsay Manufacturing Co 84,459
6,000 Lydall Inc* 53,250
13,300 Mueller Industries Inc* 438,062
7,633 Myers Industries Inc 106,862
17,800 Paxar Corp* 181,329
7,900 RTI International Metals Inc* 83,440
8,000 Regal-Beloit Corp 144,496
10,600 Reliance Steel & Aluminum Co 243,800
4,200 Robbins & Myers Inc 102,375
11,500 Roper Industries Inc 362,250
4,800 SPS Technologies Inc* 150,600
6,800 Scott Technologies Inc* 132,600
7,300 Specialty Equipment Cos Inc* 150,563
4,900 Standex International Corp 80,541
6,000 Thomas Industries Inc 120,750
14,200 Tredegar Corp 366,530
13,100 Valence Technology Inc* 202,225
8,900 Valmont Industries Inc 176,888
10,100 Watts Industries Inc Class A 135,088
4,800 Wolverine Tube Inc* 72,000
$8,785,404
MEDICAL PRODUCTS --- 2.3%
7,800 ADAC Laboratories* 117,000
5,800 CONMED Corp* 151,525
5,300 Cooper Cos Inc 178,213
5,700 Datascope Corp 188,813
5,200 Diagnostic Products Corp 159,572
5,800 Hologic Inc* 45,310
11,400 Invacare Corp 304,950
9,600 Laser Vision Centers Inc* 38,995
9,200 Mentor Corp 162,720
5,400 Osteotech Inc* 38,475
11,400 ResMed Inc* 387,600
11,100 Respironics Inc* 180,375
9,500 Sola International Inc* 42,750
3,600 Spacelabs Medical Inc* 42,750
17,800 Summit Technology Inc* 157,975
8,400 Sunrise Medical Inc* 44,100
4,500 Syncor International Corp* 185,625
11,200 Theragenics Corp* 111,294
11,700 Varian Medical Systems Inc* 468,000
4,700 Vital Signs Inc 94,000
6,600 Wesley Jessen VisionCare Inc* 259,875
$3,359,917
OFFICE EQUIPMENT & SUPPLIES --- 0.4%
2,400 Nashua Corp* 19,200
5,100 New England Business Service Inc 84,150
12,900 United Stationers Inc* 430,538
$533,888
OIL & GAS --- 5.6%
12,000 Atmos Energy Corp 190,500
5,200 Atwood Oceanics Inc* 315,250
12,400 Barrett Resources Corp* 393,700
9,500 Cabot Oil & Gas Corp Class A 176,339
5,900 Cal Dive International Inc* 293,525
4,200 Cascade Natural Gas Corp 67,725
18,550 Cross Timbers Oil Co 267,806
6,600 Dril-Quip Inc* 268,125
11,500 Energen Corp 210,588
15,112 Friede Goldman Halter Inc* 93,498
7,100 HS Resources Inc* 171,728
19,300 Input/Output Inc* 142,338
7,200 Laclede Gas Co 141,300
15,300 Louis Dreyfus Natural Gas Corp* 428,400
6,800 New Jersey Resources Corp 273,700
15,800 Newfield Exploration Co* 641,875
9,500 Northwest Natural Gas Co 209,000
8,600 Oceaneering International Inc* 148,350
8,000 Offshore Logistics Inc* 97,000
11,900 Piedmont Natural Gas Co Inc 336,175
6,800 Plains Resources Inc* 96,472
15,300 Pogo Producing Co 392,063
23,000 Pride International Inc* 520,375
8,100 Remington Oil & Gas Corp* 35,438
4,300 SEACOR SMIT Inc* 263,375
9,200 Seitel Inc 57,500
18,178 Southern Union Co* 312,425
11,700 Southwest Gas Corp 223,025
9,500 Southwestern Energy Co 80,750
4,200 St Mary Land & Exploration Co 141,750
7,000 Stone Energy Corp* 330,750
17,000 Tuboscope Inc* 295,375
9,800 Veritas DGC Inc* 235,200
23,700 Vintage Petroleum Inc 471,038
$8,322,458
PAPER & FOREST PRODUCTS --- 0.5%
13,300 Buckeye Technologies Inc* 254,363
9,700 Caraustar Industries Inc 147,314
4,700 Deltic Timber Corp 103,400
5,700 Pope & Talbot Inc 120,766
4,520 Republic Group Inc 51,695
$677,538
PHARMACEUTICALS --- 1.6%
11,250 Alpharma Inc Class A 434,531
8,700 Barr Laboratories Inc* 375,727
9,400 Cygnus Inc* 117,500
16,800 Dura Pharmaceuticals Inc* 218,400
24,750 Jones Pharma Inc 713,097
11,100 Medicis Pharmaceutical Corp Class A* 485,625
8,200 Noven Pharmaceuticals Inc* 96,350
$2,441,230
PHOTOGRAPHY/IMAGING --- 0.8%
7,200 Lason Inc* 32,400
18,400 Pinnacle Systems Inc* 441,600
11,900 Zebra Technologies Corp Class A* 678,300
$1,152,300
POLLUTION CONTROL --- 0.4%
8,500 ABM Industries Inc 214,625
5,100 TETRA Technologies Inc* 72,675
14,650 Tetra Tech Inc* 345,183
$632,483
PRINTING & PUBLISHING --- 0.3%
14,000 Bowne & Co Inc 161,000
5,400 Consolidated Graphics Inc* 63,785
11,500 John H Harland Co 176,813
5,400 Thomas Nelson Inc 37,800
$439,398
RESTAURANTS --- 1.7%
10,300 Applebee's International Inc 375,301
10,350 CEC Entertainment Inc* 310,500
19,146 CKE Restaurants Inc 70,591
7,600 Cheesecake Factory Inc* 311,121
11,197 Consolidated Products Inc* 102,173
7,600 IHOP Corp* 123,500
14,500 Jack In The Box Inc* 355,250
9,400 Landry's Seafood Restaurants Inc 81,075
8,500 Luby's Inc 76,500
4,600 Panera Bread Co Class A* 37,085
11,800 Ruby Tuesday Inc 247,057
13,700 Ryan's Family Steak Houses Inc* 134,000
6,900 Sonic Corp* 191,903
8,700 TCBY Enterprises Inc 51,652
4,900 Taco Cabana Inc Class A* 29,704
$2,497,412
RETAIL --- 4.7%
12,733 99 Cents Only Stores* 479,079
11,100 Ames Department Stores Inc* 199,101
12,000 AnnTaylor Stores Corp* 248,244
13,800 Bombay Co Inc* 50,025
6,900 Books-A-Million Inc* 28,028
4,800 Building Materials Holding Corp* 48,000
20,000 Casey's General Stores Inc 233,740
10,100 Cato Corp Class A 106,676
7,800 Cost Plus Inc* 238,384
2,100 DAMARK International Inc Class A* 54,600
6,300 Discount Auto Parts Inc* 67,328
7,200 Dress Barn Inc* 141,300
7,900 Footstar Inc* 293,777
12,600 Goody's Family Clothing Inc* 81,900
4,800 Gottschalks Inc* 28,498
8,100 Group 1 Automotive Inc* 96,188
9,300 Gymboree Corp* 33,713
7,100 Hancock Fabrics Inc 27,953
8,900 Hughes Supply Inc 135,725
9,800 Insight Enterprises Inc* 409,758
5,300 J Baker Inc 34,450
6,800 Jo-Ann Stores Inc Class A* 63,322
3,400 Lillian Vernon Corp 32,300
15,000 Linens 'n Things Inc* 463,125
11,700 Michaels Stores Inc* 461,413
19,300 O'Reilly Automotive Inc* 260,550
11,900 Pacific Sunwear of California Inc* 405,338
20,200 Pep Boys - Manny Moe & Jack 127,502
37,875 Pier 1 Imports Inc 430,828
11,600 ShopKo Stores Inc* 207,350
12,200 Sports Authority Inc* 34,306
16,900 Stein Mart Inc* 151,830
15,950 The Men's Wearhouse Inc* 341,920
5,200 Wet Seal Inc Class A* 92,300
9,900 Whole Foods Market Inc* 421,364
13,300 Zale Corp* 548,625
$7,078,540
SAVINGS & LOANS --- 0.7%
9,400 Anchor Bancorp Wisconsin Inc 148,050
10,741 Downey Financial Corp 320,887
9,100 MAF Bancorp Inc 170,625
8,050 Queens County Bancorp Inc 163,512
15,100 Staten Island Bancorp Inc 259,524
$1,062,598
SHOES --- 0.8%
6,900 Brown Shoe Co Inc 70,725
9,700 Justin Industries Inc 177,025
4,100 K-Swiss Inc 60,729
16,900 Stride Rite Corp 142,585
7,900 Timberland Co Class A* 548,063
15,700 Wolverine World Wide Inc 188,400
$1,187,527
SPECIALIZED SERVICES --- 7.3%
7,800 ADVO Inc* 234,000
6,500 AT Cross Co Class A* 34,938
7,600 Aaron Rents Inc 110,200
6,200 Action Performance Cos Inc* 57,350
5,000 Administaff Inc* 201,250
3,200 Angelica Corp 21,200
10,500 BISYS Group Inc* 656,901
16,100 Billing Concepts Corp* 86,280
7,200 CDI Corp* 162,000
3,400 CPI Corp 81,175
7,000 Catalina Marketing Corp* 708,750
14,050 Central Parking Corp 360,031
12,800 Cerner Corp* 282,394
4,000 Chemed Corp 119,500
11,200 ChoicePoint Inc* 425,600
20,400 Copart Inc* 351,900
6,000 Cyrk Inc* 52,872
7,300 DBT Online Inc* 143,715
6,600 Department 56 Inc* 60,225
5,000 Enesco Group Inc 22,500
5,500 FYI Inc* 147,466
12,000 FactSet Research Systems Inc 345,000
12,200 Fossil Inc* 253,150
7,700 Franklin Covey Co* 70,263
7,800 G&K Services Inc Class A 191,100
18,550 HA-LO Industries Inc* 135,638
10,700 Information Resources Inc* 67,538
4,400 Insurance Auto Auctions Inc* 73,150
24,190 Interim Services Inc* 414,254
8,400 Jan Bell Marketing Inc* 24,671
8,400 Kroll-O'Gara Co* 64,571
16,250 Labor Ready Inc* 147,258
21,758 Lennox International Inc 183,572
13,600 MedQuist Inc* 481,943
12,200 National Computer Systems Inc 627,531
12,500 National Data Corp 346,875
6,000 Pegasus Solutions Inc* 106,500
8,600 Pre-Paid Legal Services Inc* 275,200
7,600 Primark Corp* 205,200
18,500 Profit Recovery Group Intl Inc* 324,897
15,450 Regis Corp 180,564
7,800 Russ Berrie & Co Inc 145,275
27,200 Snyder Communications Inc 646,000
11,200 StaffMark Inc* 73,494
5,300 StarTek Inc* 272,288
2,900 Swiss Army Brands Inc* 16,130
18,300 True North Communications Inc 753,722
5,700 Volt Information Sciences Inc* 197,003
$10,943,034
TELEPHONE & TELECOMMUNICATIONS --- 0.2%
19,200 General Communication Inc Class A* 96,000
24,620 TALK.com Inc* 240,045
$336,045
TEXTILES --- 0.7%
5,200 Ashworth Inc* 25,350
9,700 Cone Mills Corp* 52,739
4,300 Dixie Group Inc* 17,738
7,300 Guilford Mills Inc 60,225
2,600 Haggar Corp 33,961
11,000 Hartmarx Corp* 27,500
20,000 Interface Inc 72,500
10,600 Kellwood Co 181,525
13,200 Nautica Enterprises Inc* 148,500
4,900 OshKosh B'Gosh Inc Class A 79,013
2,900 Oxford Industries Inc 49,300
10,400 Phillips-Van Heusen Corp 87,745
5,326 Pillowtex Corp 27,962
8,500 Quiksilver Inc* 160,438
$1,024,496
TOBACCO --- 0.1%
6,000 Schweitzer-Mauduit International Inc 87,372
$87,372
TRANSPORTATION --- 1.5%
12,200 American Freightways Corp* 227,225
7,500 Arkansas Best Corp* 97,028
6,100 Frozen Food Express Industries Inc 20,966
11,400 Heartland Express Inc* 192,375
9,300 Kirby Corp* 192,389
3,600 Landstar System Inc* 206,100
4,700 MS Carriers Inc* 111,625
21,550 Rollins Truck Leasing Corp 214,142
10,100 USFreightways Corp 470,913
18,050 Werner Enterprises Inc 338,438
9,500 Yellow Corp* 181,089
$2,252,290
WATER --- 0.7%
3,400 American States Water Co 102,425
15,568 Philadelphia Suburban Corp 373,632
14,800 United Water Resources Inc 514,300
$990,357
TOTAL COMMON STOCK --- 97.8% $145,803,408
(Cost $131,361,111)
SHORT-TERM INVESTMENTS
FINANCIAL SERVICES --- 1.5%
2,273,000 Associates Corp of North America 2,272,237
$2,272,237
U.S. GOVERNMENTS --- 0.7%
1,000,000 United States of America (1) 993,466
$993,466
TOTAL SHORT-TERM INVESTMENTS --- 2.2% $3,265,703
(Cost $3,265,703)
TOTAL ORCHARD INDEX 600 FUND --- 100.0% $149,069,111
(Cost $134,626,814)
The Orchard Series Fund
Orchard Money Market Fund
SHORT-TERM INVESTMENTS
CHEMICALS --- 4.0%
150,000 EI du Pont de Nemours & Co 149,042
$149,042
ELECTRIC COMPANIES --- 13.3%
175,000 Baltimore Gas & Electric Co 174,533
150,000 Duke Energy Corp 149,726
175,000 Pacific Gas & Electric Co 174,913
$499,172
ELECTRONIC INSTRUMENTS & EQUIP --- 4.6%
175,000 Motorola Credit Corp 174,858
$174,858
FINANCIAL SERVICES --- 39.5%
175,000 American Express Credit Corp 174,090
150,000 Associates Corp of North America 149,425
170,000 Ford Motor Credit Co 169,858
175,000 General Electric Capital Corp 174,472
175,000 Household Finance Corp 172,997
150,000 PACCAR Financial Corp 149,682
150,000 Prudential Funding Corp 149,754
175,000 Toyota Motor Credit Corp 174,718
175,000 TransAmerica Financial Corp 172,454
$1,487,450
FOOD & BEVERAGES --- 7.9%
150,000 General Mills Inc 149,550
150,000 HJ Heinz Co 149,525
$299,075
INSURANCE RELATED --- 8.9%
175,000 AIG Funding Inc 173,104
160,000 Metlife Funding Inc 159,920
$333,024
INVESTMENT BANK/BROKERAGE FIRM --- 8.6%
175,000 American General Finance Corp 173,649
150,000 Merrill Lynch & Co Inc 149,066
$322,715
OIL & GAS --- 4.6%
175,000 Chevron USA Inc 174,210
$174,210
TELEPHONE & TELECOMMUNICATIONS --- 4.6%
175,000 AT&T Corp 174,531
$174,531
TRANSPORTATION --- 4.0%
150,000 Daimler-Benz 148,862
$148,862
TOTAL SHORT-TERM INVESTMENTS --- 100.0% $3,762,939
(Cost $3,762,939)
TOTAL ORCHARD MONEY MARKET FUND --- 100.0% $3,762,939
(Cost $3,762,939)
<PAGE>
THE ORCHARD SERIES FUND
Financial Statements and Financial Highlights for
the Six Months Ended April 30, 2000 and the Year Ended October 31, 1999
(Section 2)
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------------
THE ORCHARD SERIES FUND
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
APRIL 30, 2000
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
UNAUDITED
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
ORCHARD
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
VALUE
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
FUND
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
ASSETS:
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Investments in securities, market value (1) $ 3,354,785
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Cash 15,922
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Dividends and interest receivable 4,133
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Subscriptions receivable 1,951
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Total assets 3,376,791
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
LIABILITIES:
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Due to GW Capital Management 2,482
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
NET ASSETS $ 3,374,309
--------------------------------------------------------------------------------------==============
--------------------------------------------------------------------------------------==============
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Capital stock, No par value $ 3,742,616
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Net unrealized depreciation on investments (144,620)
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Undistributed net investment income 16,353
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Accumulated net realized loss on investments (240,040)
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
NET ASSETS
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Class A $ 3,168,832
--------------------------------------------------------------------------------------==============
--------------------------------------------------------------------------------------==============
Class B $ 205,477
--------------------------------------------------------------------------------------==============
--------------------------------------------------------------------------------------==============
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
NET ASSET VALUE PER OUTSTANDING SHARE
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
(Offering and Redemption Price)
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Class A $ 8.7992
--------------------------------------------------------------------------------------==============
--------------------------------------------------------------------------------------==============
Class B $ 10.2739
--------------------------------------------------------------------------------------==============
--------------------------------------------------------------------------------------==============
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
SHARES OF CAPITAL STOCK OUTSTANDING
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Class A 360,128
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Class B 20,000
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
(1) Cost of investments in securities: 3,499,405
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
See notes to financial statements.
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
<PAGE>
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
THE ORCHARD SERIES FUND
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED APRIL 30, 2000
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
UNAUDITED
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
ORCHARD
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
VALUE
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
FUND
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Interest $ 908
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Dividends 28,548
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Total income 29,456
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
EXPENSES:
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Management fees 12,580
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Distribution fees - Class B 49
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Total expenses 12,629
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 16,827
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Net realized loss on investments (40,803)
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Change in net unrealized depreciation on investments (157,103)
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized loss on investments (197,906)
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (181,079)
----------------------------------------------------------------------------------------------------------==================
----------------------------------------------------------------------------------------------------------==================
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
See notes to financial statements.
----------------------------------------------------------------------------------------------------------------------------
<PAGE>
-------------------------------------------------------------------------------------------------------------
THE ORCHARD SERIES FUND
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
PERIOD ENDED APRIL 30, 2000 AND YEAR ENDED OCTOBER 31, 1999
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
ORCHARD
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
VALUE FUND
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
2000 (A) 1999
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
UNAUDITED
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS:
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
OPERATIONS:
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Net investment income $ 16,827 $ 30,924
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Net realized loss on investments (40,803) (199,237)
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Change in net unrealized appreciation (depreciation) on investments (157,103) 232,925
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from operations (181,079) 64,612
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
From net investment income - Class A (9,931) (29,048)
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
From net realized gains - Class A 0 (13,415)
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Total distributions (9,931) (42,463)
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Net proceeds from sales of shares
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Class A 1,898,570 924,120
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Class B 200,000
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Reinvestment of distributions - Class A 9,931 42,463
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Redemptions of shares - Class A (1,124,331) (244,504)
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from share transactions 984,170 722,079
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Total increase in net assets 793,160 744,228
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
NET ASSETS:
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Beginning of period 2,581,149 1,836,921
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
End of period (1) $ 3,374,309 $ 2,581,149
-----------------------------------------------------------------------================-------===============
-----------------------------------------------------------------------================-------===============
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
OTHER INFORMATION:
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
SHARES:
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Sold
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Class A 213,254 90,656
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Class B 20,000
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Issued in reinvestment of distributions - Class A 1,084 4,457
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Redeemed - Class A (128,549) (24,657)
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Net increase 105,789 70,456
-----------------------------------------------------------------------================-------===============
-----------------------------------------------------------------------================-------===============
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
(1) Including undistributed net investment income $ 16,353 $ 9,457
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
(A) Class B Shares commenced operations on March 24, 2000.
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
See notes to financial statements.
-------------------------------------------------------------------------------------------------------------
<PAGE>
----------------------------------------------------------------------------------------------------------------------------------
ORCHARD SERIES FUND
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
ORCHARD VALUE FUND
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Selected data for a share of capital stock of the fund for the period ended
April 30, 2000, the year ended October 31, 1999
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
and the period ended October 31, 1998, are as follows:
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Class A Class B
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Period Ended October 31, Period Ended
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
April 30, 2000 1999 1998 April 30, 2000
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
UNAUDITED UNAUDITED
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
(A) (B)
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 9.4086 $ 9.0097 $ 10.0000 $ 10.0000
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Income from Investment Operations
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.0467 0.1186 0.0730 0.0055
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) (0.6200) 0.4667 (1.0275) 0.2684
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Investment Operations (0.5733) 0.5853 (0.9545) 0.2739
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
From net investment income (0.0361) (0.1213) (0.0358) 0.0000
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
From net realized gains 0.0000 (0.0651)
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Total Distributions (0.0361) (0.1864) (0.0358) 0.0000
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 8.7992 $ 9.4086 $ 9.0097 $ 10.2739
---------------------------------------------------===============----===============----===============------===============-----
---------------------------------------------------===============----===============----===============------===============-----
0.0000 0.0000
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Total Return (6.11%) # 6.49% (9.58%) # 2.74% #
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period $ 3,168,832 $ 2,581,149 $ 1,836,921 $ 205,477
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Ratio of Expenses to Average Net Assets 1.00% * 1.00% 1.00% * 1.15% *
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Ratio of Net Investment Income to
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Average Net Assets 1.34% * 1.34% 1.15% * 0.52% *
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Portfolio Turnover 69.56% # 153.77% 79.58% # 69.56% # +
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
# Based on operations for the period shown and, accordingly, are not
representative of a full year.
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
+ Portfolio turnover is calculated at the Fund level, and therefore represents a
six-month period.
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
*Annualized
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
(A) The portfolio commenced operations on March 2, 1998.
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
(B) Class B Shares commenced operations on March 24, 2000.
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
<PAGE>
</TABLE>
THE ORCHARD SERIES FUND
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 2000
--------------------------------------------------------------------------------
UNAUDITED
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 four 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. At April 30, 2000, GWL&A's investment in the Fund
totaled $1,808,267.
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
Fund's 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 qualifies as a regulated
investment company under the provisions of the Internal Revenue Code by
distributing substantially all of its taxable net income (both ordinary
and capital gain) to its shareholders and complying with other
requirements for regulated investment companies. Accordingly, no
provision for federal income taxes has been made.
Classification of Distributions to Shareholders
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 Fund's distributors to a maximum of 0.25% of the average daily net
assets of the Fund.
Expenses incurred by the Trust, which are not fund specific, are
allocated based on relative net assets or other appropriate allocation
methods.
One Orchard Equities, a wholly-owned subsidiary of One Corporation,
which is a wholly owned subsidiary of GWL&A, distributes and markets the
Trust's Funds. Financial Administrative Services Corporation, a
wholly-owned subsidiary of GWL&A, performs transfer agent servicing
functions for the Funds.
Certain officers of the Trust are also directors and/or officers of
GWL&A or its subsidiaries. No officer of the Trust receives any
compensation directly from the Funds.
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 six months ended April 30, 2000, the aggregate cost of purchases
and proceeds from sales of investment securities (excluding all U.S.
Government securities and short-term securities) were $2,779,273 and
$1,759,325, respectively. For the six months ended April 30, 2000, there
were no purchases and or sales of U.S. Government securities.
5. UNREALIZED APPRECIATION (DEPRECIATION)
At April 30, 2000, the U.S. Federal income tax cost basis was
$3,522,663. The Fund had gross appreciation of securities in which there
was an excess of value over tax cost of $100,777 and gross depreciation
of securities in which there was an excess of tax cost over value of
$268,655, resulting in net depreciation of $167,878.
<PAGE>
The Orchard Series Fund
Orchard Value Fund
COMMON STOCK
AEROSPACE & DEFENSE --- 2.4%
2,000 Boeing Co 79,374
$79,374
AGENCY --- 0.9%
505 Fannie Mae (nonvtg) 30,458
$30,458
BANKS --- 11.2%
1,515 Bank of America Corp 74,235
1,245 Chase Manhattan Corp 89,717
2,415 FleetBoston Financial Corp 85,580
1,260 Wachovia Corp 78,986
1,190 Wells Fargo & Co 48,864
$377,382
CHEMICALS --- 4.4%
1,440 EI du Pont de Nemours & Co 68,309
1,455 PPG Industries Inc 79,116
$147,425
COMPUTER HARDWARE & SYSTEMS --- 3.5%
3,970 Compaq Computer Corp 116,123
$116,123
ELECTRONIC INSTRUMENTS & EQUIP --- 2.5%
1,510 Emerson Electric Co 82,861
$82,861
FINANCIAL SERVICES --- 4.2%
2,345 Citigroup Inc 139,377
$139,377
FOOD & BEVERAGES --- 4.1%
3,740 ConAgra Inc 70,593
1,980 HJ Heinz Co 67,320
$137,913
GOLD, METALS & MINING --- 4.9%
1,410 Alcoa Inc 91,474
1,585 Phelps Dodge Corp 73,306
$164,780
HOUSEHOLD GOODS --- 2.6%
1,490 Kimberly-Clark Corp 86,512
$86,512
INSURANCE RELATED --- 6.5%
1,355 CIGNA Corp 108,061
3,045 St Paul Cos Inc 108,478
$216,539
MACHINERY --- 2.6%
2,190 Deere & Co 88,421
$88,421
MANUFACTURING --- 2.8%
1,650 Honeywell International Inc 92,400
$92,400
MEDICAL PRODUCTS --- 2.5%
3,330 Becton Dickinson & Co 85,331
$85,331
OIL & GAS --- 28.0%
1,120 Chevron Corp 95,340
880 Exxon Mobil Corp 68,365
1,565 Kerr-McGee Corp 80,989
4,840 Occidental Petroleum Corp 103,755
1,935 Phillips Petroleum Co 91,791
1,530 Schlumberger Ltd 117,140
1,695 Texaco Inc 83,903
2,686 Transocean Sedco Forex Inc 126,242
3,785 USX-Marathon Group 88,236
2,635 Unocal Corp 85,142
$940,903
PAPER & FOREST PRODUCTS --- 5.0%
1,530 Champion International Corp 100,598
1,860 International Paper Co 68,355
$168,953
PERSONAL LOANS --- 2.7%
2,145 Household International Inc 89,554
$89,554
PHOTOGRAPHY/IMAGING --- 2.3%
1,385 Eastman Kodak Co 77,473
$77,473
RAILROADS --- 2.2%
1,780 Union Pacific Corp 74,983
$74,983
SAVINGS & LOANS --- 1.6%
2,045 Washington Mutual Inc 52,274
$52,274
TELEPHONE & TELECOMMUNICATIONS --- 3.2%
150 AT&T Corp 7,003
1,190 Bell Atlantic Corp 70,508
580 BellSouth Corp 28,238
$105,749
TOTAL COMMON STOCK --- 100.0% $3,354,785
(Cost $3,499,405)
TOTAL ORCHARD VALUE FUND --- 100.0% $3,354,785
(Cost $3,499,405)
