<PAGE>
American General
Series Portfolio
Company 2
Annual Report
October 31, 1999
AMERICAN
GENERAL
FINANCIAL GROUP
<PAGE>
AMERICAN GENERAL SERIES PORTFOLIO COMPANY 2 - ANNUAL REPORT OCTOBER 31, 1999
TABLE OF CONTENTS
<TABLE>
<S> <C>
President's Letter.......................................................... 1
Stock Index Fund............................................................ 6
Mid Cap Index Fund.......................................................... 14
Small Cap Index Fund........................................................ 21
International Growth Fund................................................... 35
Large Cap Growth Fund....................................................... 38
Mid Cap Growth Fund......................................................... 43
Small Cap Growth Fund....................................................... 46
International Value Fund.................................................... 51
Large Cap Value Fund........................................................ 55
Mid Cap Value Fund.......................................................... 59
Small Cap Value Fund........................................................ 62
Socially Responsible Fund................................................... 73
Balanced Fund............................................................... 79
High Yield Bond Fund........................................................ 83
Strategic Bond Fund......................................................... 87
Domestic Bond Fund.......................................................... 90
Core Bond Fund.............................................................. 93
Municipal Bond Fund......................................................... 97
Money Market Fund........................................................... 100
Municipal Money Market Fund................................................. 103
Growth Lifestyle Fund....................................................... 106
Moderate Growth Lifestyle Fund.............................................. 108
Conservative Growth Lifestyle Fund.......................................... 110
Notes to Financial Statements............................................... 112
Financial Highlights........................................................ 116
Report of Independent Auditors.............................................. 124
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
PRESIDENT'S LETTER 1
Dear Valued Shareholders,
October 31, 1999 marks the end of the first fiscal year for the American
General Series Portfolio Company 2 (AGSPC 2). The 23 funds that make up AGSPC
2 were chosen to represent appropriate options necessary for you to build a
diversified portfolio. The funds you choose need to work together in order to
build an investment strategy appropriate for your individual financial time-
horizons. As an investor in AGSPC 2, you are able to tap into the expertise of
an elite group of investment managers and we are committed to providing strict
oversight to help keep your investment strategy on track. Disciplined
investment management is critical when building a diversified portfolio and
our commitment to providing consistent performance is reflected in the returns
for these 23 funds. The fund specific returns are presented in chart format on
pages 3-5 of the President's Letter.
MARKET CONDITIONS
As investment operations began last fall, world markets were barely beginning
to recover after being derailed by financial crises in Asia, Russia and parts
of Latin America. By early January, it was clear that the global economy would
not melt down and the broad U.S. stock market began to improve significantly.
Likewise, stock prices worldwide followed suit. Interest rates began to rise
in response to increases in actual and expected economic growth. This,
however, brought lower prices for bonds causing their total returns to
languish.
As the fiscal year drew to a close, the U.S. economy, adjusted for inflation,
continued to expand. The employment cost index, a key measure of wage and
benefit costs to employers, rose only slightly allaying analysts' fears that a
tight labor supply was creating inflationary pressure. The risk that wage
gains could outstrip productivity gains was a factor the Federal Reserve Board
cited in announcing its rate-tightening action. Additionally, consumer
confidence dropped to a nine-month low during October but remained at
historically high levels. Here analysts cited such factors as stock market
volatility, rising interest rates, and higher energy prices for the decline.
Even with the holiday season upon us, consumers are wary about both current
conditions and what the future might bring.
In the U.S. for the year, large-cap stocks performed better than small stocks,
and growth stocks outperformed value stocks. The Standard & Poor's (S&P) 500
Index, which is dominated by large-cap stocks, gained 25.67%, adjusted for
distributions, for the 12 months, while the small-cap Russell 2000 Index
trailed with a gain of 21.07%, adjusted for distributions. The Russell 1000
Growth Index, adjusted for distributions, returned 34.25% while the Russell
1000 Value Index, adjusted for distributions, lagged with a return of a mere
16.53%.
Though lackluster performance still haunts non-U.S. market places at the
fiscal year-end, the international economies seem to be poised for further
improvement. This could help non-U.S. equity markets next year. In Europe,
analysts expect continued industry consolidation and a stronger euro.
Inflation appears likely to remain low, but interest rates may rise modestly.
In Japan, exports may be hurt by the yen's strength, and government support
for the economy should be lower in the coming months. Analysts anticipate
seeing the Japanese market consolidate this year's gains. Elsewhere in Asia,
economies are expected to improve further, but macroeconomic and company
restructuring will probably occur at a slower pace. Latin America remains
sensitive to interest rates because of its high capital needs, but the
region's economic outlook is better.
The benchmarks which reflect the overall performance of the international
market are the Morgan Stanley Capital International EAFE Index and the Salomon
Brothers Primary Market Index. The EAFE returned 25.14% for the fiscal year,
adjusted for distributions, while the SBPM Index returned 25.58%, adjusted for
distributions, for the same period.
INVESTMENT OBJECTIVES RECAP
The end of the fiscal year offers the opportunity to recap the investment
objective of each fund within AGSPC 2 for our investors. Annually, we will
review the objectives that guide the investment teams in the day-to-day
business of investing your assets. As you are aware, the investment
professionals were carefully chosen and are regularly monitored in an effort
to present a complete array of investment options for your individual
portfolio asset allocation strategies. Listed below are the investment options
available through AGSPC 2. We begin with those that generally offer higher
performance results in exchange for higher inherent investment risks. We end
with those that generally have lower performance results but lower inherent
investment risks.
AGSPC 2 GROWTH FUNDS
American General International Growth Fund, sub-managed by an investment team
at Jacobs Asset Management, seeks to provide long-term capital appreciation by
investing in equity securities of non-U.S. companies, the majority of which
are expected to be in developed markets. The Fund may invest across the
capitalization spectrum, although it intends to emphasize smaller
capitalization stocks.
American General International Value Fund, sub-managed by an investment team
at Capital Guardian Trust Company, seeks to provide growth of capital and
future income through investments primarily in securities of non-U.S. issuers
and securities whose principal markets are outside of the United States.
American General Small Cap Index Fund, managed by an investment team at
American General Corporation's wholly-owned subsidiary--VALIC (VALIC), seeks
to replicate as closely as possible (before deduction of expenses) the total
return of the Russell 2000 Index by investing in the common stock of companies
included in the Index that are deemed representative of the diversification of
the entire Index.
American General Small Cap Value Fund, splits the investment management
responsibility between two investment management teams. An investment team at
VALIC, provides a passive index style management for a portion of the
portfolio while an investment team at Fiduciary Management Associates, Inc.
provides active management for a portion. Within this structure, the Fund
seeks maximum long-term return, consistent with reasonable risk to principal,
by investing primarily in equity securities of small capitalization companies
in terms of revenues and/or market capitalization.
American General Small Cap Growth Fund, sub-managed by an investment team at
J. P. Morgan Investment Management Inc., seeks to provide long-term growth
from a portfolio of equity securities of small capitalization growth
companies.
American General Mid Cap Growth Fund, sub-managed by an investment team at
Brown Capital Management, Inc., seeks capital appreciation principally through
investments in medium capitalization equity securities, such as common and
preferred stocks and securities convertible into common stocks. Current income
is a secondary objective.
American General Mid Cap Index Fund, managed by an investment team at VALIC,
seeks to provide investment results that are similar to the performance of the
S&P 400 Mid Cap Index. As a group, the investment results, before expenses,
are expected to approximate the total return (the combination of capital
changes and income) of selected common stocks that statistically reflect the
Index.
American General Mid Cap Value Fund, sub-managed by an investment team at
Neuberger Berman Management Inc., seeks capital growth through investment in
equity securities of medium capitalization companies using a value-oriented
investment approach.
- -------------------------------------------------------------------------------
<PAGE>
2 PRESIDENT'S LETTER CONTINUED
American General Large Cap Growth Fund, sub-managed by an investment team at
Goldman Sachs Asset Management, seeks long-term growth of capital through a
broadly diversified portfolio of equity securities of large cap U.S. issuers
that are expected to have better prospects for earnings growth than the growth
rate of the general domestic economy. Dividend income is a secondary
objective.
American General Stock Index Fund, managed by an investment team at VALIC,
seeks to provide investment results that, before expenses, correspond to the
total return (i.e., the combination of capital changes and income) of common
stocks publicly traded in the United States, as represented by the S&P 500
Index.
American General Large Cap Value Fund, sub-managed by an investment team at
State Street Global Advisers, seeks to provide total returns that exceed over
time the Russell 1000 Value Index through investment in equity securities.
American General Socially Responsible Fund, managed by an investment team at
VALIC, seeks to obtain growth of capital through investment, primarily in
equity securities, in companies which meet the social criteria established for
the Fund.
AGSPC 2 LIFESTYLE FUNDS
American General Growth Lifestyle Fund, managed by an investment team at
VALIC, seeks growth through investments in a combination of the AGSPC 2 funds.
This Fund is suitable for investors seeking the potential for capital growth
that a fund investing predominately in equity securities may offer.
American General Moderate Growth Lifestyle Fund, managed by an investment team
at VALIC, seeks growth and current income through investments in a combination
of the AGSPC 2 funds. This Fund is suitable for investors who wish to invest
in equity securities, but who are not willing to assume the substantial market
risks of the Growth Lifestyle Fund.
American General Conservative Growth Lifestyle Fund, managed by an investment
team at VALIC, seeks current income and low to moderate growth of capital
through investments in a combination of the AGSPC 2 funds. This Fund is
suitable for investors who wish to invest in equity securities, but who are
not willing to assume the market risks of either the Growth Lifestyle Fund or
the Moderate Growth Lifestyle Fund.
AGSPC 2 BALANCED FUND
American General Balanced Fund, sub-managed by an investment team at Capital
Guardian Trust Company, seeks a balance between conservation of principal and
long-term capital growth and income through investment in fixed-income and
equity securities.
AGSPC 2 INCOME FUNDS
American General High Yield Bond Fund, sub-managed by an investment team at
American General Corporation's wholly-owned subsidiary--American General
Investment Management, LP, (AGIM) seeks the highest possible total return and
income consistent with conservation of capital through investment in a
diversified portfolio of high yielding, high risk fixed-income securities.
American General Strategic Bond Fund, sub-managed by an investment team at
AGIM, seeks the highest possible total return and income consistent with
conservation of capital through investment in a diversified portfolio of
income producing securities.
American General Core Bond Fund, sub-managed by an investment team at AGIM,
seeks the highest possible total return consistent with conservation of
capital through investments in medium to high quality fixed-income securities.
American General Domestic Bond Fund, sub-managed by an investment team at
Capital Guardian Trust Company, seeks the highest possible total return
consistent with conservation of capital through investments primarily in
investment grade fixed-income securities and other income producing
securities.
American General Municipal Bond Fund, sub-managed by an investment team at
AGIM, seeks the highest possible total return consistent with conservation of
capital through investments in fixed-income securities that are exempt from
regular Federal income taxation.
AGSPC 2 STABILITY FUNDS
American General Money Market Fund, managed by an investment team at VALIC,
seeks liquidity, protection of capital and current income through investments
in short-term money market instruments.
American General Municipal Money Market Fund, sub-managed by an investment
team at AGIM, seeks liquidity, protection of capital and current income
through investments in short-term money market securities that are exempt from
regular Federal income taxation.
As market volatility persists, long-term opportunities exist in diversifying
investment portfolios. Momentum, confidence and liquidity can carry markets
typically well beyond what analysts determine to be "fair value" by
traditional value measures. History, however, also reminds investors that over
time, the value of an asset must bear some relationship to future cash flows
generated by that asset. While the timing of these changes is always
uncertain, diversification is a strategy well suited to exactly this type of
uncertainty. With this in mind, we pledge to continually monitor the
investment expertise represented in the AGSPC 2 options. In this way we hope
to supply you, the investor, with appropriate choices for every portfolio
asset allocation strategy.
Thank you for your continued confidence in our ability to help invest your
assets wisely.
Sincerely,
/s/ Alice T. Kane
Alice T. Kane, President
American General Series Portfolio Company 2
- -------------------------------------------------------------------------------
<PAGE>
PRESIDENT'S LETTER CONTINUED 3
FUND RETURNS AND TRACKING DIFFERENCES
For Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
CLASS A
-----------------------------------------------------
(3) (4)
Fund Total
Performance Index
Before Return
(1) (2) Subtracting Including Tracking
AGSPC 2 Fund/Relevant Fund Fund Expenses Reinvested Differences
Market Index Return(a) Expenses (1) + (2) Dividends (3) - (4)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Stock Index Fund / S&P
500 Index................ 24.36% 0.82% 25.18% 25.67% (0.49)
Mid Cap Index Fund /
S&P Mid Cap 400.......... 19.00 0.83 19.83 21.07 (1.24)
Small Cap Index Fund /
Russell 2000 Index....... 11.32 0.83 12.15 14.87 (2.72)
International Growth Fund
/ Salomon Smith Barney
Primary Market Index..... 15.03 1.40 16.43 25.58 (9.15)
Large Cap Growth Fund /
Russell 1000 Growth
Index.................... 36.00 1.10 37.10 34.25 2.85
Mid Cap Growth Fund /
Russell MidCap Growth
Index.................... 3.01 1.04 4.05 37.66 (33.61)
Small Cap Growth Fund /
Russell 2000 Growth
Index.................... 41.80 1.40 43.20 29.28 13.92
International Value Fund
/ Salomon Smith Barney
Primary Market Index..... 44.22 1.29 45.51 25.58 19.93
Large Cap Value Fund /
Russell 1000 Value
Index.................... 14.85 1.05 15.90 16.53 (0.63)
Mid Cap Value Fund /
Russell MidCap Value
Index.................... 20.23 1.29 21.52 5.70 15.82
Small Cap Value Fund /
Russell 2000 Value
Index.................... (6.29) 1.23 (5.06) 0.72 (5.78)
Socially Responsible Fund
/ S&P 500 Index.......... 22.53 0.80 23.33 25.67 (2.34)
Balanced Fund / Balanced
Blend(b)................. 15.72 1.07 16.79 14.64 2.15
High Yield Bond Fund /
Salomon Smith Barney High
Yield Market Index....... 2.28 1.25 3.53 4.24 (0.71)
Strategic Bond Fund /
Lehman Brothers
Aggregate................ 2.26 1.15 3.41 0.53 2.88
Domestic Bond Fund /
Lehman Brothers
Aggregate................ (1.34) 1.03 (0.31) 0.53 (0.84)
Core Bond Fund / Lehman
Brothers Aggregate....... (0.52) 1.05 0.53 0.53 -
Municipal Bond Fund /
Lehman Brothers Seven
Through Long Municipal
Bond Index............... (5.84) 1.05 (4.79) (2.79) (2.00)
Money Market Fund / 30
Day Certificate of
Deposit Primary Offering
Rate by New York City
Banks (NYC 30 Day CD
Rate).................... 4.54 0.80 5.34 4.38 0.96
Municipal Money Market
Fund..................... 2.18 1.05 3.23 N/A N/A
Growth Lifestyle
Fund(c).................. 19.65 0.10 19.75 18.54 1.21
Moderate Growth Lifestyle
Fund(d).................. 15.20 0.10 15.30 15.02 0.28
Conservative Growth
Lifestyle Fund(e)........ 12.30 0.10 12.40 12.32 0.08
</TABLE>
<TABLE>
<CAPTION>
CLASS B
-----------------------------------------------------
(3) (4)
Fund Total
Performance Index
Before Return
(1) (2) Subtracting Including Tracking
AGSPC 2 Fund/Relevant Fund Fund Expenses Reinvested Differences
Market Index Return(a) Expenses (1) + (2) Dividends (3) - (4)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Stock Index Fund / S&P
500 Index................ 22.55% 1.57% 24.12% 25.67% (1.55)%
Mid Cap Index Fund /
S&P Mid Cap 400.......... 18.05 1.58 19.63 21.07 (1.44)
Small Cap Index Fund /
Russell 2000 Index....... 10.53 1.58 12.11 14.87 (2.76)
International Growth Fund
/ Salomon Smith Barney
Primary Market Index..... 14.00 2.15 16.15 25.58 (9.43)
Large Cap Growth Fund /
Russell 1000 Growth
Index.................... 34.70 1.85 36.55 34.25 2.30
Mid Cap Growth Fund /
Russell MidCap Growth
Index.................... 2.10 1.79 3.89 37.66 (33.77)
Small Cap Growth Fund /
Russell 2000 Growth
Index.................... 40.40 2.15 42.55 29.28 13.27
International Value Fund
/ Salomon Smith Barney
Primary Market Index..... 42.70 2.04 44.74 25.58 19.16
Large Cap Value Fund /
Russell 1000 Value
Index.................... 13.92 .80 15.72 16.53 (0.81)
Mid Cap Value Fund /
Russell MidCap Value
Index.................... 18.71 2.04 20.75 5.70 15.05
Small Cap Value Fund /
Russell 2000 Value
Index.................... (7.09) 1.98 (5.11) 0.72 (5.83)
Socially Responsible Fund
/ S&P 500 Index.......... 21.50 1.55 23.05 25.67 (2.62)
Balanced Fund / Balanced
Blend(b)................. 14.42 1.82 16.24 14.64 1.60
High Yield Bond Fund /
Salomon Smith Barney High
Yield Market Index....... 1.53 2.00 3.53 4.24 (0.71)
Strategic Bond Fund /
Lehman Brothers
Aggregate................ 1.48 1.90 3.38 0.53 2.85
Domestic Bond Fund /
Lehman Brothers
Aggregate................ (1.89) 1.78 (0.11) 0.53 (0.64)
Core Bond Fund / Lehman
Brothers Aggregate....... (1.27) 1.80 0.53 0.53 -
Municipal Bond Fund /
Lehman Brothers Seven
Through Long Municipal
Bond Index............... (6.75) 1.80 (4.95) (2.79) (2.16)
Money Market Fund / 30
Day Certificate of
Deposit Primary Offering
Rate by New York City
Banks (NYC 30 Day CD
Rate).................... 3.93 1.55 5.48 4.38 1.10
Municipal Money Market
Fund..................... 1.42 1.80 3.22 N/A N/A
Growth Lifestyle
Fund(c).................. 19.52 0.10 19.62 18.54 1.08
Moderate Growth Lifestyle
Fund(d).................. 15.26 0.10 15.36 15.02 0.34
Conservative Growth
Lifestyle Fund(e)........ 12.21 0.10 12.31 12.32 (0.01)
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
4 PRESIDENT'S LETTER CONTINUED
FUND RETURNS AND TRACKING DIFFERENCES
For Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
CLASS I
-----------------------------------------------------
(3) (4)
Fund Total
Performance Index
Before Return
(1) (2) Subtracting Including Tracking
AGSPC 2 Fund/Relevant Fund Fund Expenses Reinvested Differences
Market Index Return(a) Expenses (1) + (2) Dividends (3) - (4)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Stock Index Fund / S&P
500 Index................ N/A N/A N/A N/A N/A
Mid Cap Index Fund /
S&P Mid Cap 400.......... N/A N/A N/A N/A N/A
Small Cap Index Fund /
Russell 2000 Index....... N/A N/A N/A N/A N/A
International Growth Fund
/ Salomon Smith Barney
Primary Market Index..... 15.16% 1.28% 16.44% 25.58% (9.14)%
Large Cap Growth Fund /
Russell 1000 Growth
Index.................... 36.14 0.98 37.12 34.25 2.87
Mid Cap Growth Fund /
Russell MidCap Growth
Index.................... 3.24 0.92 4.16 37.66 (33.50)
Small Cap Growth Fund /
Russell 2000 Growth
Index.................... 41.90 1.28 43.18 29.28 13.90
International Value Fund
/ Salomon Smith Barney
Primary Market Index..... 44.25 1.17 45.42 25.58 19.84
Large Cap Value Fund /
Russell 1000 Value
Index.................... 15.09 0.93 16.02 16.53 (0.51)
Mid Cap Value Fund /
Russell MidCap Value
Index.................... 20.18 1.17 21.35 5.70 15.65
Small Cap Value Fund /
Russell 2000 Value
Index.................... (6.16) 1.11 (5.05) 0.72 (5.77)
Socially Responsible Fund
/ S&P 500 Index.......... 22.73 0.68 23.41 25.67 (2.26)
Balanced Fund / Balanced
Blend(b)................. 15.92 0.95 16.87 14.64 2.23
High Yield Bond Fund /
Salomon Smith Barney High
Yield Market Index....... 2.44 1.13 3.57 4.24 (0.67)
Strategic Bond Fund /
Lehman Brothers
Aggregate................ 2.50 1.03 3.53 0.53 3.00
Domestic Bond Fund /
Lehman Brothers
Aggregate................ (1.12) 0.91 (0.21) 0.53 (0.74)
Core Bond Fund / Lehman
Brothers Aggregate....... (0.38) 0.93 0.55 0.53 0.02
Municipal Bond Fund /
Lehman Brothers Seven
Through Long Municipal
Bond Index............... N/A N/A N/A N/A N/A
Money Market Fund / 30
Day Certificate of
Deposit Primary Offering
Rate by New York City
Banks (NYC 30 Day CD
Rate).................... 4.63 0.68 5.31 4.38 0.93
Municipal Money Market
Fund..................... N/A N/A N/A N/A N/A
Growth Lifestyle
Fund(c).................. 19.71 0.10 19.81 18.54 1.27
Moderate Growth Lifestyle
Fund(d).................. 15.35 0.10 15.45 15.02 0.43
Conservative Growth
Lifestyle Fund(e)........ 12.24 0.10 12.34 12.32 0.02
</TABLE>
<TABLE>
<CAPTION>
CLASS II
-----------------------------------------------------
(3) (4)
Fund Total
Performance Index
Before Return
(1) (2) Subtracting Including Tracking
Fund Fund Expenses Reinvested Differences
Return(a) Expenses (1) + (2) Dividends (3) - (4)
----------------------------------------------------
<S> <C> <C> <C> <C> <C>
N/A N/A N/A N/A N/A
N/A N/A N/A N/A N/A
N/A N/A N/A N/A N/A
15.41% 1.03% 16.44% 25.58% (9.14)%
36.40 0.73 37.13 34.25 2.88
3.39 0.67 4.06 37.66 (33.60)
42.30 1.03 43.33 29.28 14.05
44.61 0.92 45.53 25.58 19.95
15.35 0.68 16.03 16.53 (0.50)
20.53 0.92 21.45 5.70 15.75
(5.92) 0.86 (5.06) 0.72 (5.78)
22.99 0.43 23.42 25.67 (2.25)
16.22 0.70 16.92 14.64 2.28
2.74 0.88 3.62 4.24 (0.62)
2.67 0.78 3.45 0.53 2.92
(0.92) 0.66 (0.26) 0.53 (0.79)
(0.25) 0.68 0.43 0.53 (0.10)
N/A N/A N/A N/A N/A
4.79 0.43 5.22 4.38 0.84
N/A N/A N/A N/A N/A
19.72 0.10 19.82 18.54 1.28
15.17 0.10 15.27 15.02 0.25
12.27 0.10 12.37 12.32 0.05
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
PRESIDENT'S LETTER CONTINUED 5
NOTES TO FUND RETURNS AND TRACKING DIFFERENCE
For Fiscal Year Ended October 31, 1999
- ----
(a) Fund Level Returns are net of investment management fees and other fund
expenses.
(b) Balanced Blend consists of 40% Lehman Brothers Government and Corporate
Index and 60% S&P 500 Index.
(c) Benchmark for Growth Lifestyle consists of 15% EAFE, 15% Salomon Smith
Barney Primary Market Index, 13% S&P 500, 12% Russell 1000 Value, 10%
Russell 2000 Growth, 10% Russell 2000 Value, 10% Lehman Aggregate, 8%
Russell MidCap Value, and 7% Russell MidCap Growth.
(d) Benchmark for Moderate Growth Lifestyle consists of 7% EAFE, 8% Salomon
Smith Barney Primary Market Index, 15% S&P 500, 15% Russell 1000 Value, 7%
Russell 2000 Growth, 8% Russell 2000 Value, 25% Lehman Aggregate, 8%
Russell MidCap Value, and 7% Russell MidCap Growth.
(e) Benchmark for Conservative Growth Lifestyle consists of 5% EAFE, 5% Salomon
Smith Barney Primary Market Index, 15% S&P 500, 15% Russell 1000 Value, 5%
Russell 2000 Growth, 5% Russell 2000 Value, 40% Lehman Aggregate, 5%
Russell MidCap Value, and 5% Russell MidCap Growth.
- --------------------------------------------------------------------------------
<PAGE>
6 STOCK INDEX FUND October 31, 1999
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 84.93%
ADVERTISING - 0.21%
400 Interpublic Group Companies, Inc. .................... $ 16,249
300 Omnicom Group, Inc. .................................. 26,400
-----------
42,649
-----------
AEROSPACE/DEFENSE - 0.90%
1,500 Boeing Co. ........................................... 69,093
100 Crane Co. ............................................ 2,044
300 General Dynamics Corp. ............................... 16,631
200 Goodrich (B.F.) Co. .................................. 4,738
600 Lockheed Martin Corp. ................................ 12,000
100 Northrop Grumman Corp. ............................... 5,488
100 Perkinelmer, Inc. .................................... 4,081
500 Raytheon Co., Class B................................. 14,563
200 TRW, Inc. ............................................ 8,575
800 United Technologies Corp. ............................ 48,400
-----------
185,613
-----------
AIRLINES - 0.19%
200 * AMR Corp. ............................................ 12,699
200 Delta Air Lines, Inc. ................................ 10,888
750 Southwest Airlines Co. ............................... 12,609
100 * US Airways Group, Inc. ............................... 2,800
-----------
38,996
-----------
APPAREL & PRODUCTS - 0.02%
100 Liz Claiborne, Inc. .................................. 4,000
-----------
APPLIANCES/FURNISHINGS - 0.09%
300 Leggett & Platt, Inc. ................................ 6,655
100 Maytag Corp. ......................................... 4,006
100 Whirlpool Corp. ...................................... 6,969
-----------
17,630
-----------
AUTO - CARS - 0.92%
889 Delphi Automotive Systems Corp. ...................... 14,612
1,900 Ford Motor Co......................................... 104,263
1,000 General Motors Corp. ................................. 70,250
-----------
189,125
-----------
AUTO - ORIGINAL EQUIPMENT - 0.05%
200 Danaher Corp. ........................................ 9,663
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
AUTO - REPLACEMENT PARTS - 0.12%
200 * AutoZone, Inc. ....................................... $ 5,312
100 Cooper Tire & Tubber Co. ............................. 1,681
300 Genuine Parts Co. .................................... 7,819
200 Goodyear Tire & Rubber Co. ........................... 8,263
100 Pep Boys - Manny, Moe & Jack (The).................... 1,250
-----------
24,325
-----------
BANKS - NEW YORK CITY - 1.81%
1,200 Bank of New York Co., Inc. ........................... 50,249
5,250 Citigroup, Inc. ...................................... 284,156
300 J. P. Morgan & Co., Inc. ............................. 39,263
-----------
373,668
-----------
BANKS - OTHER - 2.59%
2,700 Bank of America Corp. ................................ 173,812
1,500 First Union Corp. .................................... 64,031
1,492 Fleet Financial Group, Inc. .......................... 65,089
800 Mellon Financial Corp. ............................... 29,550
1,000 National City Corp. .................................. 29,500
250 Providian Financial Corp. ............................ 27,250
200 Republic of New York Corp. ........................... 12,638
200 Union Planters Corp. ................................. 8,900
2,600 Wells Fargo Co. ...................................... 124,475
-----------
535,245
-----------
BANKS - REGIONAL - 2.50%
600 AmSouth Bancorporation................................ 15,449
1,800 BankOne Corp. ........................................ 67,613
1,300 Chase Manhattan Corp. ................................ 113,588
200 Comerica, Inc. ....................................... 11,888
400 Fifth Third Bancorp................................... 29,525
1,418 Firstar Corp. ........................................ 41,654
320 Huntington Bancshares, Inc. .......................... 9,480
700 KeyCorp. ............................................. 19,556
200 Northern Trust Corp. ................................. 19,313
500 PNC Bank Corp. ....................................... 29,813
300 Regions Financial Corp. .............................. 9,019
300 SouthTrust Corp. ..................................... 12,000
200 State Street Corp. ................................... 15,225
300 Summit Bancorporation................................. 10,388
500 SunTrust Banks, Inc. ................................. 36,594
400 Synovus Financial Corp. .............................. 8,575
1,100 U.S. Bancorp, Inc. ................................... 40,769
300 Wachovia Corp. ....................................... 25,875
-----------
516,324
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BEVERAGE - BREWERS/DISTRIBUTORS - 0.44%
700 Anheuser-Busch Companies, Inc. ....................... $ 50,268
100 Brown-Forman Corp., Class B........................... 6,750
700 Seagram Co., Ltd. .................................... 34,563
-----------
91,581
-----------
BEVERAGE - SOFT DRINKS - 1.59%
3,900 Coca-Cola Co. ........................................ 230,099
700 Coca Cola Enterprises, Inc. .......................... 17,894
2,300 PepsiCo, Inc. ........................................ 79,781
-----------
327,774
-----------
BROADCASTING - 1.48%
1,100 * CBS Corp. ............................................ 53,693
500 * Clear Channel Communications.......................... 40,188
1,200 Comcast Corp., Class A................................ 50,550
900 * Media One Group, Inc. ................................ 63,956
800 U.S. WEST, Inc. ...................................... 48,850
1,100 * Viacom, Inc., Class B................................. 49,225
-----------
306,462
-----------
BUILDING MATERIALS - 0.33%
100 Armstrong World Industries, Inc. ..................... 3,737
600 Lowe's Companies, Inc. ............................... 33,000
700 Masco Corp. .......................................... 21,350
300 Sherwin-Williams Co. ................................. 6,713
100 Vulcan Materials Co. ................................. 4,131
-----------
68,931
-----------
CHEMICAL - MAJOR - 1.07%
300 Dow Chemical Co. ..................................... 35,474
1,511 Du Pont (E.I.) de Nemours and Co. .................... 97,365
200 Hercules, Inc. ....................................... 4,813
1,000 Monsanto Co. ......................................... 38,500
300 PPG Industries, Inc. ................................. 18,188
373 Rohm and Haas Co. .................................... 14,268
200 Union Carbide Corp. .................................. 12,200
-----------
220,808
-----------
CHEMICAL - MISCELLANEOUS - 0.20%
300 Air Products and Chemicals, Inc. ..................... 8,249
100 Eastman Chemical Co. ................................. 3,856
200 Ecolab, Inc. ......................................... 6,763
100 Great Lakes Chemical Corp. ........................... 3,550
100 Millipore Corp. ...................................... 3,188
200 Praxair, Inc. ........................................ 9,350
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 STOCK INDEX FUND - CONTINUED 7
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CHEMICAL - MISCELLANEOUS - Continued
200 Sigma Aldrich Corp. .................................. $ 5,700
100 * W.R. Grace & Co. ..................................... 1,494
-----------
42,150
-----------
CONGLOMERATES - 0.92%
900 Allied Signal, Inc. .................................. 51,243
100 ITT Industries, Inc. ................................. 3,419
200 Loews Corp. .......................................... 14,175
300 Tenneco, Inc. ........................................ 4,800
200 Textron, Inc. ........................................ 15,438
2,506 Tyco International, Ltd. ............................. 100,083
-----------
189,158
-----------
CONSUMER FINANCE - 0.25%
300 Capital One Financial Corp. .......................... 15,899
1,300 MBNA Corp. ........................................... 35,913
-----------
51,812
-----------
CONTAINERS - METAL/GLASS - 0.21%
400 Corning, Inc. ........................................ 31,449
200 Crown Cork & Seal Co., Inc. .......................... 4,788
100 Owens Corning......................................... 2,050
200 * Owens-Illinois, Inc. ................................. 4,788
-----------
43,075
-----------
CONTAINERS - PAPER - 0.10%
100 Bemis Co., Inc. ...................................... 3,493
200 * Sealed Air Corp. ..................................... 11,075
100 Temple-Inland, Inc. .................................. 5,813
-----------
20,381
-----------
COSMETICS/TOILETRIES - 0.41%
100 Alberto-Culver Co., Class B........................... 2,355
400 Avon Products, Inc. .................................. 12,900
1,700 Gillette Co. ......................................... 61,519
200 International Flavors & Fragrances, Inc. ............. 7,650
-----------
84,424
-----------
DRUGS - 6.53%
100 Allergan, Inc. ....................................... 10,737
200 ALZA Corp. ........................................... 8,563
2,000 American Home Products Corp. ......................... 104,500
800 * Amgen, Inc. .......................................... 63,800
100 Bausch & Lomb, Inc. .................................. 5,400
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
DRUGS - Continued
3,100 Bristol Myers Squibb Co. ............................. $ 238,119
1,700 Eli Lilly and Co. .................................... 117,088
3,700 Merck & Co., Inc. .................................... 294,381
6,100 Pfizer, Inc. ......................................... 240,950
800 Pharmacia & Upjohn, Inc. ............................. 43,150
2,300 Schering-Plough Corp. ................................ 113,850
1,300 Warner-Lambert Co. ................................... 103,756
200 * Watson Pharmaceuticals, Inc. ......................... 6,350
-----------
1,350,644
-----------
ELECTRICAL EQUIPMENT - 3.63%
300 * Cabletron Systems, Inc. .............................. 4,968
700 Emerson Electric Co. ................................. 42,044
5,100 General Electric Co. ................................. 691,369
100 National Service Industries........................... 3,225
100 Thomas & Betts Corp. ................................. 4,488
100 W. W. Grainger, Inc. ................................. 4,238
-----------
750,332
-----------
ELECTRONIC INSTRUMENTS - 0.04%
100 Tektronix, Inc. ...................................... 3,374
300 * Thermo Electron Corp. ................................ 4,050
-----------
7,424
-----------
ENTERTAINMENT - 1.45%
1,000 Carnival Corp., Class A............................... 44,499
200 * Harrah's Entertainment, Inc. ......................... 5,788
350 Hasbro, Inc. ......................................... 7,219
100 * King World Productions, Inc. ......................... 3,875
600 Mattel, Inc. ......................................... 8,025
2,100 Time Warner, Inc. .................................... 146,344
3,200 * Walt Disney Co. ...................................... 84,400
-----------
300,150
-----------
FINANCE COMPANIES - 0.37%
1,100 Associates First Capital Corp. ....................... 40,149
800 Household International, Inc. ........................ 35,700
-----------
75,849
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES - 0.63%
700 American Express Co. ................................. $ 107,799
200 Countrywide Credit Industries, Inc. .................. 6,788
200 H & R Block, Inc. .................................... 8,513
200 T. Rowe Price Associates.............................. 7,100
-----------
130,200
-----------
FOODS - 1.24%
930 Archer Daniels Midland Co. ........................... 11,450
400 BestFoods............................................. 23,500
700 Campbell Soup Co. .................................... 31,500
800 ConAgra, Inc. ........................................ 20,850
200 General Mills, Inc. .................................. 17,438
600 H J Heinz Co. ........................................ 28,650
200 Hershey Foods Corp. .................................. 10,100
600 Kellogg Co. .......................................... 23,888
500 Nabisco Group Holdings Corp. ......................... 6,406
200 Quaker Oats Co. ...................................... 14,000
500 Ralston Purina Co. ................................... 15,719
1,400 Sara Lee Corp. ....................................... 37,888
200 Wm. Wrigley Jr. Co. .................................. 15,988
-----------
257,377
-----------
FOOTWEAR - 0.11%
400 NIKE, Inc., Class B................................... 22,574
100 * Reebok International, Ltd. ........................... 981
-----------
23,555
-----------
FREIGHT - 0.11%
500 * FDX Corp. ............................................ 21,530
100 Ryder System, Inc. ................................... 2,138
-----------
23,668
-----------
FUNERAL SERVICES - 0.02%
400 Service Corp. International........................... 3,825
-----------
GOLD MINING - 0.10%
600 Barrick Gold Corp. ................................... 10,987
400 Homestake Mining Co. ................................. 3,350
500 Placer Dome, Inc. .................................... 6,063
-----------
20,400
-----------
GOVERNMENT SPONSORED - 0.91%
1,100 Federal Home Loan Mortgage Corp. ..................... 59,468
1,600 Federal National Mortgage Association................. 113,200
300 SLM Holding Corp. .................................... 14,681
-----------
187,349
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
8 October 31, 1999
STOCK INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HARDWARE & TOOLS - 0.05%
100 Black & Decker Corp. ................................. $ 4,299
100 Snap-on, Inc. ........................................ 3,038
100 Stanley Works......................................... 2,775
-----------
10,112
-----------
HEALTHCARE - 0.34%
400 Cardinal Health, Inc. ................................ 17,249
200 * HCR Manor Care, Inc. ................................. 3,150
600 * HealthSouth Corp. .................................... 3,450
200 * Humana, Inc. ......................................... 1,375
500 IMS Health, Inc. ..................................... 14,500
411 McKesson HBOC, Inc. .................................. 8,246
300 United HealthCare Corp. .............................. 15,506
100 * Wellpoint Health Networks, Inc. ...................... 5,800
-----------
69,276
-----------
HEAVY DUTY TRUCKS/PARTS - 0.15%
100 Cummins Engine Co., Inc. ............................. 5,068
300 Dana Corp. ........................................... 8,869
100 Eaton Corp. .......................................... 7,525
100 * Navistar International Corp. ......................... 4,169
100 PACCAR, Inc. ......................................... 4,713
-----------
30,344
-----------
HOME BUILDERS - 0.03%
100 Centex Corp. ......................................... 2,680
100 Kaufman & Broad Home Corp. ........................... 2,006
100 Pulte Corp. .......................................... 2,013
-----------
6,699
-----------
HOSPITAL MANAGEMENT - 0.15%
900 Columbia/HCA Healthcare Corp. ........................ 21,712
500 Tenet Healthcare Corp. ............................... 9,719
-----------
31,431
-----------
HOSPITAL SUPPLIES - 2.18%
2,400 Abbott Laboratories................................... 96,899
500 Baxter International, Inc. ........................... 32,438
400 Becton, Dickinson and Co. ............................ 10,150
200 Biomet, Inc. ......................................... 6,025
600 * Boston Scientific Corp. .............................. 12,075
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HOSPITAL SUPPLIES - Continued
100 C.R. Bard, Inc. ...................................... $ 5,394
2,100 Johnson & Johnson..................................... 219,975
100 Mallinckrodt, Inc. ................................... 3,394
1,800 Medtronic, Inc. ...................................... 62,325
100 * St. Jude Medical, Inc. ............................... 2,738
-----------
451,413
-----------
HOUSEHOLD PRODUCTS - 2.12%
250 * Bed Bath & Beyond, Inc. .............................. 8,327
400 Clorox Co. ........................................... 16,375
900 Colgate-Palmolive Co. ................................ 54,450
600 Minnesota Mining and Manufacturing Co. ............... 57,038
478 Newell Rubbermaid, Inc. .............................. 16,551
2,100 Procter & Gamble Co. ................................. 220,238
100 Tupperware Corp. ..................................... 1,981
935 Unilever NV - ADR..................................... 62,353
-----------
437,313
-----------
INFORMATION PROCESSING - 0.09%
100* Comverse Technology, Inc. ............................ 11,349
400 * Parametric Technology Corp. .......................... 7,625
-----------
18,974
-----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 4.25%
400* BMC Software, Inc. ................................... 25,674
8,000* Microsoft Corp. ...................................... 740,500
2,250 * Oracle Corp. ......................................... 107,016
400* Peoplesoft, Inc. ..................................... 6,000
-----------
879,190
-----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 1.96%
150 * Adaptec, Inc. ........................................ 6,749
200 * Apple Computer, Inc. ................................. 16,025
2,700 Compaq Computer Corp. ................................ 51,300
4,000* Dell Computer Corp. .................................. 160,500
400 * Gateway, Inc. ........................................ 26,425
200 * Lexmark International Group........................... 15,613
300 * Silicon Graphics, Inc. ............................... 2,325
1,200 * Sun Microsystems, Inc. ............................... 126,975
-----------
405,912
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
COMPUTER SERVICES - 1.78%
1,700 * America Online, Inc. ................................. $ 220,468
1,000 Automatic Data Processing, Inc. ...................... 48,188
200* Ceridian Corp. ....................................... 4,388
800 Electronic Data Systems Corp. ........................ 46,800
700 First Data Corp. ..................................... 31,981
400 Paychex, Inc. ........................................ 15,750
-----------
367,575
-----------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 0.00%
4* Momentum Business Applications........................ 31
-----------
INFORMATION PROCESSING -
DATA SERVICES - 3.65%
200 Adobe Systems, Inc. .................................. 13,987
100 Autodesk, Inc. ....................................... 1,875
1,119 * Cendant Corp. ........................................ 18,463
800 Computer Associates International..................... 45,200
200 * Computer Sciences Corp. .............................. 13,738
600 * Compuware Corp. ...................................... 16,688
1,600* EMC Corp. ............................................ 116,800
1,600 Hewlett Packard Co. .................................. 118,500
200 Honeywell, Inc. ...................................... 21,088
2,800 International Business Machines....................... 275,450
100 * Network Appliance, Inc. .............................. 7,400
500 Novell, Inc. ......................................... 10,031
400 Pitney Bowes, Inc. ................................... 18,225
300 * Seagate Technology.................................... 8,831
400 * Solectron Corp. ...................................... 30,100
400 * Unisys Corp. ......................................... 9,700
1,000 Xerox Corp. .......................................... 28,000
-----------
754,076
-----------
INFORMATION PROCESSING -
NETWORKING - 1.99%
5,100* Cisco Systems, Inc. .................................. 377,399
300* General Instrument Corp. ............................. 16,144
600* 3Com Corp. ........................................... 17,400
-----------
410,943
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 STOCK INDEX FUND - CONTINUED 9
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INSURANCE - CASUALTY - 0.21%
300 Chubb Corp. ........................................... $ 16,462
100 Progressive Corp. ..................................... 9,256
200 SAFECO Corp. .......................................... 5,500
400 St. Paul Companies, Inc. .............................. 12,800
-----------
44,018
-----------
INSURANCE - LIFE - 0.29%
200 Aetna, Inc. ........................................... 10,049
600 Conseco, Inc. ......................................... 14,588
200 Jefferson-Pilot Corp. ................................. 15,013
300 Lincoln National Corp. ................................ 13,838
200 Torchmark Corp. ....................................... 6,238
-----------
59,726
-----------
INSURANCE - MISCELLANEOUS - 0.11%
200 MBIA, Inc. ............................................ 11,412
200 MGIC Investment Corp. ................................. 11,950
-----------
23,362
-----------
INSURANCE - MULTILINE - 2.05%
400 AFLAC, Inc. ........................................... 20,449
1,300 Allstate Corp. ........................................ 37,375
2,456 American International Group, Inc. .................... 252,815
450 Aon Corp. ............................................. 15,975
300 CIGNA Corp. ........................................... 22,425
300 Cincinnati Financial Corp. ............................ 10,744
400 Hartford Financial Services Group...................... 20,725
400 Marsh & McLennan Companies, Inc. ...................... 31,625
373 UnumProvident Corp. ................................... 12,286
-----------
424,419
-----------
LEISURE TIME - 0.04%
100 Brunswick Corp. ....................................... 2,262
400* Mirage Resorts, Inc. .................................. 5,825
-----------
8,087
-----------
LODGING - 0.08%
400 Hilton Hotels Corp. ................................... 3,699
400 Marriott International, Inc. .......................... 13,475
-----------
17,174
-----------
MACHINERY - AGRICULTURE - 0.10%
100 Case Corp. ............................................ 5,299
400 Deere & Co. ........................................... 14,500
-----------
19,799
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MACHINERY -
CONSTRUCTION & CONTRACTS - 0.20%
600 Caterpillar, Inc. .................................... $ 33,149
200 Fluor Corp. .......................................... 7,975
-----------
41,124
-----------
MACHINERY - INDUSTRIAL/SPECIALTY - 0.40%
100 Cooper Industries, Inc. .............................. 4,305
300 Dover Corp. .......................................... 12,769
400 Illinois Tool Works, Inc. ............................ 29,300
300 Ingersoll-Rand Co. ................................... 15,675
100 Johnson Controls, Inc. ............................... 6,075
200 Pall Corp. ........................................... 4,388
200 Parker Hannifin Corp. ................................ 9,163
100 Timken Co. ........................................... 1,794
-----------
83,469
-----------
MEDICAL TECHNOLOGY - 0.18%
500 Guidant Corp. ........................................ 24,687
200 PE Corp PE Biosystems Group........................... 12,975
-----------
37,662
-----------
MERCHANDISE - DRUG - 0.35%
600 CVS Corp. ............................................ 26,062
100 Longs Drug Stores Corp. .............................. 2,725
400 Rite Aid Corp. ....................................... 3,500
1,600 Walgreen Co. ......................................... 40,300
-----------
72,587
-----------
MERCHANDISE - SPECIALTY - 1.95%
100 American Greetings Corp., Class A..................... 2,587
300 * Best Buy Co., Inc. ................................... 16,669
300 Circuit City Stores, Inc. ............................ 12,806
200 * Consolidated Stores Corp. ............................ 3,663
300 * Costco Wholesale Corp. ............................... 24,094
325 Dollar General Corp. ................................. 8,572
300 Fortune Brands, Inc. ................................. 10,631
1,300 Gap, Inc. ............................................ 48,263
2,300 Home Depot, Inc. ..................................... 173,650
200 Ikon Office Solutions, Inc. .......................... 1,375
300 * Kohl's Corp. ......................................... 22,444
292 Limited, Inc. ........................................ 12,009
200 Nordstrom, Inc. ...................................... 4,988
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISE - SPECIALTY - Continued
600 * Office Depot, Inc. ................................... $ 7,463
700 * Staples, Inc. ........................................ 15,531
300 Tandy Corp. .......................................... 18,881
500 TJX Companies, Inc. .................................. 13,563
400 * Toys "R" Us, Inc. .................................... 5,650
-----------
402,839
-----------
MERCHANDISING - DEPARTMENT - 0.38%
700 Dayton Hudson Corp. .................................. 45,237
200 Dillards, Inc., Class A............................... 3,775
300 * Federated Department Stores, Inc. .................... 12,806
500 May Department Stores Co.............................. 17,347
-----------
79,165
-----------
MERCHANDISING - FOOD - 0.54%
689 Albertsons, Inc. ..................................... 25,018
100 Great Atlantic Pacific Tea Co. ....................... 2,856
1,300 * Kroger Co. ........................................... 27,056
800 * Safeway, Inc. ........................................ 28,250
200 Supervalu, Inc. ...................................... 4,200
500 SYSCO Corp. .......................................... 19,219
200 Winn-Dixie Stores, Inc. .............................. 5,413
-----------
112,012
-----------
MERCHANDISING - MASS - 2.10%
400 J.C. Penney Co., Inc. ................................ 10,149
800 * Kmart Corp. .......................................... 8,050
600 Sears Roebuck and Co. ................................ 16,913
7,000 Wal-Mart Stores, Inc. ................................ 399,875
-----------
434,987
-----------
METALS - ALUMINUM - 0.25%
300 Alcan Aluminium, Ltd. ................................ 9,880
600 Alcoa, Inc. .......................................... 36,450
100 Reynolds Metals Co. .................................. 6,044
-----------
52,374
-----------
METALS - COPPER - 0.06%
300 Newmont Mining Corp. ................................. 6,580
112 Phelps Dodge Corp. ................................... 6,315
-----------
12,895
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
10 October 31, 1999
STOCK INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
METALS - MISCELLANEOUS - 0.06%
200 Engelhard Corp. ....................................... $ 3,524
200 * Freeport-McMoRan
Copper & Gold Inc., Class B............................ 3,338
300 Inco, Ltd. ............................................ 6,075
----------
12,937
----------
METALS - STEEL - 0.07%
300 Allegheny Teldyne, Inc. ............................... 4,555
200 * Bethlehem Steel Corp. ................................. 1,388
100 Nucor Corp. ........................................... 5,188
100 USX-US Steel Group, Inc. .............................. 2,556
100 Worthington Industries, Inc. .......................... 1,663
----------
15,350
----------
MISCELLANEOUS - 0.11%
500 BB&T Corp. ............................................ 18,187
200 Equifax, Inc. ......................................... 5,400
----------
23,587
----------
MULTIMEDIA - 0.02%
100 Meredith Corp. ........................................ 3,569
----------
NATURAL GAS - DIVERSIFIED - 0.14%
300 Coastal Corp. ......................................... 12,638
400 El Paso Energy Corp. .................................. 16,400
----------
29,038
----------
OIL - INTEGRATED DOMESTIC - 0.75%
100 Amerada Hess Corp. .................................... 5,738
100 Ashland Oil, Inc. ..................................... 3,300
500 Atlantic Richfield Co. ................................ 46,594
300 Burlington Resources, Inc. ............................ 10,463
957 Conoco, Inc., Class B.................................. 25,959
100 Kerr-McGee Corp. ...................................... 5,375
500 Occidental Petroleum Corp. ............................ 11,406
400 Phillips Petroleum Co. ................................ 18,600
400 Unocal Corp. .......................................... 13,800
500 USX-Marathon Group..................................... 14,563
----------
155,798
----------
OIL - INTEGRATED INTERNATIONAL - 3.59%
1,000 Chevron Corp. ......................................... 91,313
3,800 Exxon Corp. ........................................... 281,438
1,200 Mobil Corp. ........................................... 115,800
3,400 Royal Dutch Petroleum
Company New York....................................... 203,788
800 Texaco, Inc. .......................................... 49,100
----------
741,439
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
OIL - SERVICES - 0.48%
500 Baker Hughes, Inc. .................................... $ 13,969
700 Halliburton Co. ....................................... 26,381
100 McDermott International, Inc. ......................... 1,813
100 * Rowan Companies, Inc. ................................. 1,556
900 Schlumberger, Ltd. .................................... 54,506
----------
98,225
----------
OIL/GAS PRODUCERS - 0.12%
200 Anadarko Petroleum Corp. .............................. 6,163
200 Apache Corp. .......................................... 7,800
100 Helmerich & Payne, Inc. ............................... 2,381
100 Sunoco, Inc. .......................................... 2,413
400 Union Pacific Resources Group, Inc. ................... 5,800
----------
24,557
----------
PAPER/FOREST PRODUCTS - 0.80%
200 Avery Dennison Corp. .................................. 12,500
100 Boise Cascade Corp. ................................... 3,563
100 Champion International Corp. .......................... 5,781
300 Fort James Corp. ...................................... 7,894
300 Georgia-Pacific Corp. ................................. 11,906
648 International Paper Co. ............................... 34,101
800 Kimberly-Clark Corp. .................................. 50,500
200 Louisiana Pacific Corp. ............................... 2,538
200 Mead Corp. ............................................ 7,200
100 Westvaco Corp. ........................................ 2,969
300 Weyerhaeuser Co. ...................................... 17,906
200 Willamette Industries, Inc. ........................... 8,313
----------
165,171
----------
PHOTOGRAPHY - 0.18%
500 Eastman Kodak Co. ..................................... 34,469
100 Polaroid Corp. ........................................ 2,231
----------
36,700
----------
POLLUTION CONTROL - 0.11%
300 * Allied Waste Industries, Inc. ......................... 3,150
500 Laidlaw Inc. .......................................... 3,063
900 Waste Management, Inc. ................................ 16,538
----------
22,751
----------
PUBLISHING - NEWS - 0.45%
100 Dow Jones & Co., Inc. ................................. 6,150
400 Gannett Co., Inc. ..................................... 30,850
200 Knight-Ridder, Inc. ................................... 12,700
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PUBLISHING - NEWS - Continued
300 New York Times Co., Class A............................ $ 12,075
100 Times Mirror Co. ...................................... 7,213
400 Tribune Co. ........................................... 24,000
----------
92,988
----------
PUBLISHING/PRINTING - 0.18%
100 Deluxe Corp. .......................................... 2,825
300 Dunn & Bradstreet Corp. ............................... 8,813
100 Harcourt General, Inc. ................................ 3,850
300 McGraw-Hill, Inc. ..................................... 17,888
200 R. R. Donnelley and Sons Co. .......................... 4,850
----------
38,226
----------
RAILROAD - 0.39%
700 Burlington Northern Santa Fe........................... 22,313
300 CSX Corp. ............................................. 12,300
200 Kansas City Southern Industries, Inc. ................. 9,488
600 Norfolk Southern Corp. ................................ 14,663
400 Union Pacific Corp. ................................... 22,300
----------
81,064
----------
RESTAURANTS - 0.50%
200 Darden Restaurants, Inc. .............................. 3,813
2,100 McDonald's Corp. ...................................... 86,625
200 * Tricon Global Restaurants, Inc. ....................... 8,038
200 Wendy's International, Inc. ........................... 4,775
----------
103,251
----------
SAVINGS & LOAN - 0.21%
100 Golden West Financial Corp. ........................... 11,175
900 Washington Mutual, Inc. ............................... 32,344
----------
43,519
----------
SECURITIES RELATED - 1.17%
205 Bear Stearns Co., Inc. ................................ 8,738
1,300 Charles Schwab Corp. .................................. 50,619
400 Franklin Resources, Inc. .............................. 14,000
200 Lehman Brothers Holdings, Inc. ........................ 14,738
600 Merrill Lynch & Co., Inc. ............................. 47,100
900 Morgan Stanley Dean Witter Discover.................... 99,281
200 Paine Webber Group Inc. ............................... 8,150
----------
242,626
----------
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 STOCK INDEX FUND - CONTINUED 11
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT - 0.04%
100 * KLA-Tencor Corp. ...................................... $ 7,919
----------
SEMICONDUCTORS - 3.29%
200 * Advanced Micro Devices, Inc. .......................... 3,963
300 * Analog Devices, Inc. .................................. 15,938
5,200 Intel Corp. ........................................... 402,675
200 * LSI Logic Corp. ....................................... 10,638
400 * Micron Technology, Inc. ............................... 28,525
900 Motorola, Inc. ........................................ 87,694
300 * National Semiconductor Corp. .......................... 8,981
300 Rockwell International Corp. .......................... 14,531
1,200 Texas Instruments, Inc. ............................... 107,700
----------
680,645
----------
TELECOMMUNICATIONS - 5.63%
200 * ADC Communications, Inc. .............................. 9,538
500 ALLTEL Corp. .......................................... 41,625
200 * Andrew Corp. .......................................... 2,575
4,948 AT&T Corp. ............................................ 231,319
300 CenturyTel, Inc. ...................................... 12,131
1,215 * Global Crossing, Ltd. ................................. 42,069
100 Harris Corp. .......................................... 2,244
4,730 Lucent Technologies, Inc. ............................. 303,903
2,900 * MCI Worldcom, Inc. .................................... 248,856
600 * Nextel Communications, Inc., Class A................... 51,713
2,100 Nortel Networks Corp. ................................. 130,069
200 * QUALCOMM, Inc. ........................................ 44,550
100 Scientific-Atlanta, Inc. .............................. 5,725
600 * Tellabs, Inc. ......................................... 37,950
----------
1,164,267
----------
TEXTILE - PRODUCTS - 0.03%
200 V. F. Corp. ........................................... 6,013
----------
TOBACCO - 0.49%
133 RJ Reynolds Tobacco Holdings........................... 2,884
3,600 Philip Morris Companies, Inc. ......................... 90,675
300 UST, Inc. ............................................. 8,306
----------
101,865
----------
UTILITIES - COMMUNICATION - 4.27%
600 * Applied Materials, Inc. ............................... 53,888
2,400 Bell Atlantic Corp. ................................... 155,850
3,000 BellSouth Corp. ....................................... 135,000
1,500 GTE Corp. ............................................. 112,500
5,337 SBC Communications, Inc. .............................. 271,853
1,300 Sprint Corp., FON Group................................ 96,606
700 * Sprint Corp., PCS Group................................ 58,056
----------
883,753
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES - ELECTRIC - 1.71%
300 * AES Corp. ............................................ $ 16,931
200 Ameren Corp. ......................................... 7,563
300 American Electric Power, Inc. ........................ 10,350
200 Carolina Power & Light Co. ........................... 6,900
300 Central & South West Corp. ........................... 6,656
300 Cinergy Corp. ........................................ 8,475
200 CMS Energy Corp. ..................................... 7,375
400 Consolidated Edison, Inc. ............................ 15,275
200 Constellation Energy Group, Inc. ..................... 6,138
300 Dominion Resources, Inc. ............................. 14,438
200 DTE Energy Co. ....................................... 6,638
600 Duke Energy Corp. .................................... 33,900
500 Edison International.................................. 14,813
400 Entergy Corp. ........................................ 11,975
400 FirstEnergy Corp. .................................... 10,425
100 Florida Progress Corp. ............................... 4,581
300 FPL Group, Inc. ...................................... 15,094
200 GPU, Inc. ............................................ 6,788
200 New Century Energies, Inc. ........................... 6,513
300 * Niagara Mohawk Holdings, Inc. ........................ 4,763
200 Northern States Power Co. ............................ 4,300
600 PG&E Corp. ........................................... 13,763
500 PacifiCorp............................................ 10,313
300 Peco Energy Co. ...................................... 11,456
100 Pinnacle West Capital Corp. .......................... 3,688
300 PP&L Resources, Inc. ................................. 8,119
300 Public Service Enterprise Group, Inc. ................ 11,869
500 Reliant Energy, Inc. ................................. 13,625
1,100 Southern Co. ......................................... 29,219
400 Texas Utilities Co. .................................. 15,500
400 Unicom Corp. ......................................... 15,325
-----------
352,768
-----------
UTILITIES - GAS, DISTRIBUTION - 0.08%
100 NICOR, Inc. .......................................... 3,875
500 Tosco Corp. .......................................... 12,656
-----------
16,531
-----------
UTILITIES - GAS, PIPELINE - 0.49%
100 Columbia Energy Group................................. 6,500
200 Consolidated Natural Gas Co. ......................... 12,800
1,100 Enron Corp. .......................................... 43,931
100 Peoples Energy Corp. ................................. 3,800
400 Sempra Energy......................................... 8,175
700 Williams Companies, Inc. ............................. 26,250
-----------
101,456
-----------
TOTAL COMMON STOCK
(Cost $16,188,744).................................... 17,559,568
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE SHORT-TERM - REPURCHASE AGREEMENT - 13.84%
BANKS - OTHER - 13.84%
$2,860,000 State Street Bank Repurchase Agreement, 5.15%, dated
10/31/99, to be repurchased at $2,861,227 on
11/01/99 collateralized by U.S. Treasury Note,
5.38%, 07/31/00, with a par value of $2,885,000
(Cost $2,860,000)................................... $ 2,860,000
-----------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $2,860,000)................................... 2,860,000
-----------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.84%
U.S. TREASURY BILLS - 0.84%
United States Treasury Bills:
75,000 4.51% due 12/09/99.................................. 74,642
50,000 4.50% due 12/09/99.................................. 49,762
50,000 4.48% due 11/12/99.................................. 49,932
-----------
174,336
-----------
TOTAL UNITED STATES GOVERNMENT -
SHORT TERM
(Cost $174,336)..................................... 174,336
-----------
TOTAL INVESTMENTS
(Cost $19,223,080) - 99.61%......................... $20,593,904
-----------
* Non-income producing
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
<C> <S> <C>
- -------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED(1)
8(2)(Delivery)month/Value at 10/31/99)
S&P 500 Index Futures
(December/$1,376.20).................................... $ 102,217
-----------
</TABLE>
(1) U.S. Treasury Bills with a market value of approximately $174,000 were
maintained in a segregated account with a portion placed as collateral
for futures contracts.
(2) Per 250.
- -------------------------------------------------------------------------------
<PAGE>
12 October 31, 1999
STOCK INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $19,223,080).......................... $20,593,904
Receivables for:
Fund shares sold.................................................. 409,718
Dividends and interest............................................ 15,654
Other assets....................................................... 86,212
-----------
TOTAL ASSETS....................................................... 21,105,488
-----------
LIABILITIES:
Payable for:
Investments purchased............................................. 10,856
Fund shares redeemed.............................................. 321,342
Payable to affiliates:
Advisory fees..................................................... 29,869
Distribution fees for Class A & B................................. 10,569
Other............................................................. 58,398
Accrued expenses and other liabilities............................. 201
-----------
TOTAL LIABILITIES.................................................. 431,235
-----------
NET ASSETS......................................................... $20,674,253
-----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized, 1,686,788 shares outstanding...... $ 16,868
Additional paid in capital..................................... 19,128,026
Undistributed net realized gain on securities.................. 54,301
Undistributed net investment income............................ 2,017
Unrealized appreciation of:
Investments........................................ $1,370,824
Futures contracts.................................. 102,217 1,473,041
---------- -----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.......................................... $20,674,253
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
<S> <C>
- --------------------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($5,633,775 divided by 457,472 shares)....................... $ 12.32
----------
Offering price per Class A share (100/94.25 of $12.32)*............ $ 13.07
----------
Net asset value and offering price per Class B
share ($15,040,478 divided by 1,229,316 shares)**................... $ 12.23
----------
* Offering price includes sales charge of 5.75%. The sales charge is reduced for
purchases of $25,000 and over.
** Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charge.
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
STOCK INDEX FUND - CONTINUED 13
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $1,333).............. $ 122,282
Interest.......................................................... 90,543
----------
Total investment income.......................................... 212,825
----------
EXPENSES:
Advisory fees..................................................... 29,869
Transfer agent fees............................................... 28,946
Custodian fees.................................................... 13,876
Distribution fees:
Class A.......................................................... 9,224
Class B.......................................................... 65,092
Registration and filing fees...................................... 36,028
Audit fees and tax services....................................... 6,298
Accounting services............................................... 3,323
Trustees' fees and expenses....................................... 1,397
Report to shareholders............................................ 473
Miscellaneous..................................................... 6,770
----------
Total expenses................................................... 201,296
Expense reimbursement (see Note 3)............................... (57,204)
----------
Net expenses..................................................... 144,092
----------
NET INVESTMENT INCOME............................................. 68,733
----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities:
Investments............................................ $ 29,243
Futures contracts...................................... 25,058 54,301
---------
Net unrealized appreciation of securities during the
period:
Investments............................................ 1,370,824
Futures contracts...................................... 102,217 1,473,041
--------- ----------
Net realized and unrealized gain on securities during the
period.......................................................... 1,527,342
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................. $1,596,075
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
<S> <C> <C>
-----------------------------------
OPERATIONS:
Net investment income..................... $ 68,733 $ -
Net realized gain on securities........... 54,301 -
Net unrealized appreciation of securities
during the period......................... 1,473,041 -
-----------------------------------
Increase in net assets resulting from
operations............................... 1,596,075 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A.................................. (41,597) -
Class B.................................. (25,119) -
-----------------------------------
Total distributions to shareholders from
net investment income................... (66,716) -
-----------------------------------
Net realized gain on securities
Class A.................................. - -
Class B.................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (66,716) -
-----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A.................................. 5,005,041 2,500
Class B.................................. 14,134,853 2,500
-----------------------------------
Total increase in net assets resulting
from share transactions................... 19,139,894 5,000
-----------------------------------
TOTAL INCREASE IN NET ASSETS.............. 20,669,253 5,000
NET ASSETS:
Beginning of year........................ 5,000 -
-----------------------------------
End of period (including undistributed
net investment income of ($2,017
and $0).................................. $20,674,253 $5,000
-----------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING ----------------------------------------- --------------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------- -------------------- ---------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------- -------------------- ---------------------- --------------------
Shares sold..... 463,951 $5,084,388 250 $ 2,500 1,247,810 $14,353,724 250 $ 2,500
Shares issued
for
distributions
reinvested...... 3,454 41,504 - - 2,069 24,958 - -
Shares
repurchased..... (10,183) (120,851) - - (20,813) (243,829) - -
------------------- -------------------- ---------------------- --------------------
Increase in
shares
outstanding..... 457,222 5,005,041 250 2,500 1,229,066 14,134,853 250 2,500
Shares
outstanding:
Beginning of
period.......... 250 2,500 - - 250 2,500 - -
------------------- -------------------- ---------------------- --------------------
End of period... 457,472 $5,007,541 250 $ 2,500 1,229,316 $14,137,353 250 $ 2,500
------------------- -------------------- ---------------------- --------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
14 MID CAP INDEX FUND October 31, 1999
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 76.93%
ADVERTISING - 0.31%
500 Harte-Hanks, Inc. ..................................... $ 9,906
300 * Westwood One, Inc. .................................... 13,838
----------
23,744
----------
AEROSPACE/DEFENSE - 0.41%
500 * SCI Systems, Inc. ..................................... 24,688
200 Teleflex, Inc. ........................................ 6,813
----------
31,501
----------
AIRLINES - 0.35%
200 * Alaska Air Group, Inc. ................................ 7,950
800 Comair Holdings, Inc. ................................. 18,463
----------
26,413
----------
APPAREL & PRODUCTS - 1.46%
700 * Abercrombie and Fitch Co. ............................. 19,075
100 * American Eagle Outfitters, Inc. ....................... 4,281
700 Cintas Corp. .......................................... 42,175
400 Claire's Stores, Inc. ................................. 7,050
200 * Land's End, Inc. ...................................... 15,388
800 Ross Stores, Inc. ..................................... 16,500
500 Warnaco Group, Inc., Class A........................... 7,125
----------
111,594
----------
APPLIANCES/FURNISHINGS - 0.42%
400 * Furniture Brands International......................... 7,750
300 Heilig-Meyers Co. ..................................... 1,313
600 Herman Miller, Inc. ................................... 13,013
300 Lancaster Colony Corp. ................................ 10,481
----------
32,557
----------
AUTO - CARS - 0.94%
1,100 Harley-Davidson, Inc. ................................. 65,244
400 Meritor Automotive, Inc. .............................. 6,775
----------
72,019
----------
AUTO - ORIGINAL EQUIPMENT - 0.81%
200 Arvin Industries, Inc. ................................ 5,700
200 Carlisle Companies, Inc. .............................. 6,650
300 Donaldson Co, Inc. .................................... 6,975
500 Federal-Mogul Corp. ................................... 12,563
500 * Lear Corp. ............................................ 16,875
300 Mark IV Industries, Inc. .............................. 5,775
200 Modine Manufacturing Co. .............................. 4,975
100 Superior Industries International, Inc................. 2,669
----------
62,182
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
AUTO - REPLACEMENT PARTS - 0.29%
200 Kaydon Corp. .......................................... $ 4,963
200 * SPX Corp. ............................................. 16,950
----------
21,913
----------
BANKS - OTHER - 0.53%
900 First Tennessee National Corp. ........................ 30,600
1,100 Sovereign Bancorp, Inc. ............................... 9,694
----------
40,294
----------
BANKS - REGIONAL - 5.31%
500 Associated Banc-Corp. ................................. 19,234
300 CCB Financial Corp. ................................... 13,800
300 City National Corp. ................................... 11,625
900 Compass Bancshares, Inc. .............................. 24,019
1,300 First Security Corp. .................................. 33,313
300 First Virginia Banks, Inc. ............................ 14,363
600 FirstMerit Corp. ...................................... 15,863
700 GreenPoint Financial Corp. ............................ 19,950
1,300 Hibernia Corp., Class A................................ 18,444
700 Marshall & Ilsley Corp. ............................... 46,988
500 Mercantile Bankshares Corp. ........................... 18,000
700 National Commerce Bancorp.............................. 17,500
1,000 North Fork Bancorporation, Inc. ....................... 20,688
735 Old Kent Financial Corp. .............................. 29,951
500 Pacific Century Financial Corp. ....................... 11,406
300 Provident Financial Group, Inc. ....................... 12,881
500 TCF Financial Corp. ................................... 14,750
250 Webster Financial Corp. ............................... 7,156
300 Westamerica Bankcorporation............................ 10,331
200 Wilmington Trust Corp ................................. 10,850
600 Zions Bancorporation................................... 35,363
----------
406,475
----------
BEVERAGE - SOFT DRINKS - 0.13%
800 Whitman Corp. ......................................... 10,400
----------
BROADCASTING - 1.39%
800 A.H. Belo Corp. ....................................... 16,300
206 * Chris-Craft Industries, Inc. .......................... 14,369
1 Cox Communications, Inc., Class A...................... 36
300 * Hispanic Broadcasting Corp., Class A................... 24,300
600 * Univision Communications, Inc. ........................ 51,038
----------
106,043
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BUILDING MATERIALS - 0.97%
300 Fastenal Co. .......................................... $ 10,875
400 Hon Industries, Inc. .................................. 7,850
400 Martin Marietta Materials, Inc. ....................... 15,575
700 RPM, Inc. ............................................. 8,356
300 Southdown, Inc. ....................................... 14,494
350 USG Corp. ............................................. 17,347
----------
74,497
----------
CHEMICAL - MAJOR - 0.30%
300 Albemarle Corp. ....................................... 5,325
100 Borg-Warner Automotive, Inc. .......................... 3,950
800 Solutia, Inc. ......................................... 13,750
----------
23,025
----------
CHEMICAL - MISCELLANEOUS - 1.05%
300 A. Schulman, Inc. ..................................... 4,669
400 * Airgas, Inc. .......................................... 3,800
777 CK Witco Corp. ........................................ 7,284
300 * Cytec Industries, Inc. ................................ 7,744
200 Dexter Corp. .......................................... 7,013
400 Ethyl Corp. ........................................... 1,650
200 Ferro Corp. ........................................... 4,075
200 Georgia Gulf Corp. .................................... 4,313
100 H.B. Fuller Co. ....................................... 5,475
400 Lubrizol Corp. ........................................ 10,250
800 Lyondell Chemical Co. ................................. 9,700
400 M. A. Hanna Co. ....................................... 4,275
100 Minerals Technologies, Inc. ........................... 4,313
300 Olin Corp. ............................................ 4,144
100 Rollins, Inc. ......................................... 1,569
----------
80,274
----------
CONGLOMERATES - 0.76%
300 Alexander & Baldwin, Inc. ............................. 7,200
800 Dial Corp. ............................................ 18,700
300 * Litton Industries, Inc. ............................... 14,081
400 Ogden Corp. ........................................... 3,625
600 Viad Corp. ............................................ 14,738
----------
58,344
----------
CONTAINERS - PAPER - 0.30%
200 Chesapeake Corp. ...................................... 6,000
700 Sonoco Products Co. ................................... 16,800
----------
22,800
----------
DRUGS - 3.41%
1,000 Bergen Brunswig Corp., Class A......................... 7,125
1,000 * Biogen, Inc. .......................................... 74,124
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 MID CAP INDEX FUND - CONTINUED 15
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
DRUGS - Continued
200 Carter-Wallace, Inc. .................................. $ 3,613
1,200 * Chiron Corp. .......................................... 34,275
500 * Covance, Inc. ......................................... 4,844
600 * Forest Laboratories, Inc. ............................. 27,525
600 Genzyme Corp. ......................................... 22,950
89 * Genzyme Surgical Products.............................. 478
500 ICN Pharmaceuticals, Inc. ............................. 11,500
700 * IVAX Corp. ............................................ 12,294
300 * Millennium Pharmaceuticals, Inc. ...................... 21,038
900 Mylan Laboratories, Inc. .............................. 16,144
300 * Sepracor, Inc. ........................................ 24,956
----------
260,866
----------
ELECTRIC PRODUCTS -
MISCELLANEOUS - 0.10%
300 CMP Group, Inc. ....................................... 7,988
----------
ELECTRICAL EQUIPMENT - 1.76%
1,400 * American Power Conversion Corp......................... 31,412
200 AMETEK, Inc. .......................................... 3,950
400 Hubbell, Inc., Class B................................. 11,075
1,000 Molex, Inc. ........................................... 36,500
1,200 * Teradyne, Inc. ........................................ 46,200
300 * UCAR International, Inc. .............................. 5,869
----------
135,006
----------
ELECTRONIC INSTRUMENTS - 1.90%
700 * Arrow Electronics, Inc. ............................... 15,269
1,350 * Concord EFS, Inc. ..................................... 36,533
300 * Imation Corp. ......................................... 9,206
200 * MagnaTek, Inc. ........................................ 1,375
300 Pittston Brink's Group................................. 5,756
500 * Sensormatic Electronics Corp. ......................... 7,563
700 Symbol Technologies, Inc. ............................. 27,825
625 * Vishay Intertechnology, Inc. .......................... 15,273
500 * Waters Corp. .......................................... 26,563
----------
145,363
----------
ENTERTAINMENT - 0.20%
200 * GTECH Holdings Corp. .................................. 4,025
600 * Mandalay Resort Group.................................. 11,175
----------
15,200
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FERTLIIZERS - 0.15%
900 IMC Global, Inc. ...................................... $ 11,475
----------
FINANCE COMPANIES - 0.33%
400 Finova Group, Inc. .................................... 17,624
300 Keystone Financial, Inc. .............................. 7,519
----------
25,143
----------
FINANCIAL SERVICES - 0.76%
400 Allamerica Financial Corp. ............................ 22,874
1,000 * Convergys Corp. ....................................... 21,519
200 Investment Technology Group, Inc. ..................... 5,275
200 * NCO Group, Inc. ....................................... 8,475
----------
58,143
----------
FOODS - 2.35%
300 Dean Foods Co. ........................................ 13,874
400 Dole Food Co., Inc. ................................... 7,175
100 Dreyer's Grand Ice Cream, Inc. ........................ 1,706
800 Flowers Industries, Inc. .............................. 13,500
500 Hormel Foods Corp. .................................... 21,562
700 IBP, Inc. ............................................. 16,756
100 International Multifoods Corp. ........................ 2,113
600 Interstate Bakeries Corp. ............................. 12,150
200 J.M. Smucker Co., Class A.............................. 3,975
100 Lance, Inc. ........................................... 1,206
500 McCormick & Co., Inc. ................................. 15,688
300 * Suiza Foods Corp. ..................................... 10,819
400 Trinity Industries, Inc. .............................. 11,925
1,600 Tyson Foods, Inc., Class A............................. 24,400
800 * U.S. Foodservice....................................... 15,350
300 Universal Foods Corp. ................................. 5,738
300 * Vlasic Foods International, Inc. ...................... 2,306
----------
180,243
----------
FOOTWEAR - 0.12%
200 * Payless ShoeSource, Inc. .............................. 9,163
----------
FREIGHT - 0.18%
400 Airborne Freight Corp. ................................ 8,600
200 J.B. Hunt Transport Services, Inc. .................... 2,575
200 Overseas Shipholding Group, Inc. ...................... 2,575
----------
13,750
----------
FUNERAL SERVICES - 0.05%
900 Stewart Enterprises, Inc. ............................. 4,275
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HEALTHCARE - 2.00%
300 * Apria Healthcare Group, Inc. .......................... $ 4,744
400 * First Health Group Corp. .............................. 9,300
800 * Foundation Health Systems, Inc., Class A............... 5,300
1,900 * Health Management Associates, Inc. .................... 16,862
500 * Lincare Holdings, Inc. ................................ 14,063
700 Omnicare, Inc. ........................................ 6,475
500 * Oxford Health Plans, Inc. ............................. 5,906
300 * PacifiCare Health System, Inc., Class B................ 11,831
800 * Quintiles Transnational Corp. ......................... 14,850
500 * Quorum Health Group, Inc. ............................. 4,000
500 * Steris Corp. .......................................... 6,656
600 * Sybron International Corp. ............................ 14,288
500 * Total Renal Care Holdings, Inc. ....................... 3,656
300 * Trigon Healthcare, Inc. ............................... 8,513
200 * Ventiv Health, Inc. ................................... 1,425
400 * VISX, Inc. ............................................ 25,024
----------
152,893
----------
HEAVY DUTY TRUCKS/PARTS - 0.16%
200 Bandag, Inc. .......................................... 5,000
400 Federal Signal Corp. .................................. 7,525
----------
12,525
----------
HOME BUILDERS - 0.11%
850 Clayton Homes, Inc. ................................... 8,606
----------
HOSPITAL MANAGEMENT - 0.03%
600 * Beverly Enterprises, Inc. ............................. 2,363
----------
HOSPITAL SUPPLIES - 1.25%
100 * Acuson Corp. .......................................... 1,038
200 Beckman Coulter, Inc. ................................. 9,200
400 DENTSPLY International, Inc. .......................... 9,275
400 Hillenbrand Industries, Inc. .......................... 13,250
200 * MiniMed, Inc. ......................................... 15,163
600 * PSS World Medical, Inc. ............................... 4,650
700 Stryker Corp. ......................................... 43,224
----------
95,800
----------
HOUSEHOLD PRODUCTS - 0.43%
200 Church & Dwight Co., Inc. ............................. 5,213
500 Premark International, Inc. ........................... 27,374
----------
32,587
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
16 October 31, 1999
MID CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HUMAN RESOURCES - 0.75%
200 Kelly Services, Inc., Class A.......................... $ 5,863
600 Manpower, Inc. ........................................ 21,074
700 * Modis Professional Services, Inc. ..................... 7,831
600 Olsten Corp. .......................................... 6,038
600 * Robert Half International, Inc. ....................... 16,237
----------
57,043
----------
INFORMATION PROCESSING - 0.13%
600 * Acxiom Corp. .......................................... 9,900
----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 2.66%..............................
600 * Citrix Systems, Inc. .................................. 38,474
400 * DST Systems, Inc. ..................................... 25,475
1,300 * Informix Corp. ........................................ 9,913
1,200 * Veritas Software Corp. ................................ 129,449
----------
203,311
----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 0.63%
500 * Jabil Circut, Inc. .................................... 26,124
1,200 Quantum Corp.-DLT & Storage Systems.................... 18,525
600 * Quantum Corp.-Hard Disk Drive.......................... 3,675
----------
48,324
----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 1.00%
500 * Cambridge Technology Partners, Inc. ................... 5,531
700 * Gartner Group, Inc., Class B........................... 6,563
600 * Rationale Software Corp. .............................. 25,649
700 * Sterling Commerce, Inc. ............................... 16,406
900 * SunGard Data Systems, Inc. ............................ 21,994
----------
76,143
----------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 0.70%
1,200 * Intuit, Inc. .......................................... 34,949
1,000 * Networks Associates, Inc. ............................. 18,313
----------
53,262
----------
INFORMATION PROCESSING -
DATA SERVICES - 4.73%
400 * ACNielson Corp. ....................................... 8,800
400 * Affiliated Computer Services, Inc., Class A............ 15,199
1,000 Comdisco, Inc. ........................................ 20,188
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
DATA SERVICES - Continued
500 Diebold, Inc. ......................................... $ 13,125
500 * Electronic Arts, Inc. ................................. 40,405
750 * Fiserv, Inc. .......................................... 24,000
600 * Keane, Inc. ........................................... 14,100
600 * Legato Systems, Inc. .................................. 32,250
600 * Mentor Graphics Corp. ................................. 4,838
700 * NCR Corp. ............................................. 23,188
600 * NOVA Corp. ............................................ 15,600
300 * Policy Management Systems Corp. ....................... 5,756
500 Reynolds and Reynolds Co., Class A..................... 9,094
600 * Siebel Systems, Inc. .................................. 65,887
500 * Sterling Software, Inc. ............................... 10,969
700 * Storage Technology Corp. .............................. 11,025
200 * Structural Dynamic Research............................ 1,975
300 * Sykes Enterprises, Inc. ............................... 9,263
400 * Symantec Corp. ........................................ 19,100
400 * Tech Data Corp. ....................................... 7,525
300 * Transaction Systems Architects, Inc., Class A.......... 9,225
----------
361,512
----------
INSURANCE - CASUALTY - 0.26%
400 American Financial Group, Inc. ........................ 11,850
300 Everest Reinsurance Holdings, Inc. .................... 7,725
----------
19,575
----------
INSURANCE - LIFE - 0.19%
400 Protective Life Corp. ................................. 14,475
----------
INSURANCE - MISCELLANEOUS - 0.73%
400 Ambac Financial Group, Inc. ........................... 23,900
200 HSB Group, Inc. ....................................... 7,650
500 Ohio Casualty Corp. ................................... 8,344
300 PMI Group, Inc. ....................................... 15,562
----------
55,456
----------
INSURANCE - MULTILINE - 0.94%
200 Horace Mann Educators Corp. ........................... 5,638
1,000 Old Republic International Corp. ...................... 13,688
700 Reliastar Financial Corp. ............................. 30,055
600 Unitrin, Inc. ......................................... 22,463
----------
71,844
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
LEISURE TIME - 0.62%
400 * Blyth Industries, Inc. ................................ $ 10,025
500 Callaway Golf Co. ..................................... 6,719
700 International Game Technology.......................... 13,038
600 * Premier Parks, Inc. ................................... 17,362
----------
47,144
----------
LODGING - 0.58%
1,800 * Park Place Entertainment Corp. ........................ 23,624
600 * Promus Hotel Corp. .................................... 20,550
----------
44,174
----------
MACHINE - TOOLS - 0.17%
200 * Gilead Sciences, Inc. ................................. 12,638
----------
MACHINERY - AGRICULTURE - 0.06%
400 AGCO Corp. ............................................ 4,300
----------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.45%
400 * Calpine Corp. ......................................... 23,050
200 Granite Construction, Inc. ............................ 4,138
200 * Jacobs Engineering Group, Inc. ........................ 7,100
----------
34,288
----------
MACHINERY - INDUSTRIAL/SPECIALTY - 0.92%
202 * Albany International Corp., Class A.................... 3,068
400 * American Standard Companies............................ 15,274
300 Cordant Technologies, Inc. ............................ 9,356
200 Flowserve Corp. ....................................... 3,375
300 Newport News Shipbuilding, Inc. ....................... 9,113
100 Nordson Corp. ......................................... 4,431
300 Stewart & Stevenson Services, Inc. .................... 3,975
200 Tecumseh Products Co., Class A......................... 9,588
400 Tidewater, Inc. ....................................... 12,000
----------
70,180
----------
MERCHANDISE - DRUG - 0.64%
400 * Medimmune, Inc. ....................................... 44,799
500 * Perrigo Co. ........................................... 3,781
----------
48,580
----------
MERCHANDISE - SPECIALTY - 1.19%
400 * Barnes & Noble, Inc. .................................. 8,325
500 * BJ's Wholesale Club, Inc. ............................. 15,405
800 * CompUSA, Inc. ......................................... 4,550
200 * Micro Warehouse, Inc. ................................. 2,425
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 MID CAP INDEX FUND - CONTINUED 17
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISE - SPECIALTY - Continued
700 * OfficeMax, Inc. ....................................... $ 3,544
400 Sotheby's Holdings, Inc., Class A...................... 11,500
400 Tiffany & Co. ......................................... 23,800
400 * Williams-Sonoma, Inc. ................................. 21,500
----------
91,049
----------
MERCHANDISING - DEPARTMENT - 0.33%
600 * Borders Group, Inc. ................................... 7,800
1,000 * Saks, Inc. ............................................ 17,187
----------
24,987
----------
MERCHANDISING - FOOD - 0.34%
300 Hannaford Bros. Co. ................................... 21,019
300 Ruddick Corp. ......................................... 5,119
----------
26,138
----------
MERCHANDISING - MASS - 0.61%
500 * Dollar Tree Stores, Inc. .............................. 21,781
1,200 Family Dollar Stores, Inc. ............................ 24,750
----------
46,531
----------
METALS - MISCELLANEOUS - 0.19%
300 Kennametal, Inc. ...................................... 8,625
200 Precision Castparts Corp. ............................. 5,900
----------
14,525
----------
METALS - STEEL - 0.34%
500 AK Steel Holding Corp. ................................ 8,656
100 Carpenter Technology Corp. ............................ 2,438
100 Cleveland-Cliffs, Inc. ................................ 2,988
300 Harsco Corp. .......................................... 8,831
100 Oregon Steel Mills, Inc. .............................. 844
100 Ryerson Tull, Inc. .................................... 2,050
----------
25,807
----------
MISCELLANEOUS - 0.32%
600 * Apollo Group, Inc., Class A............................ 15,788
300 * Navigant Consulting Co. ............................... 8,569
----------
24,357
----------
MULTIMEDIA - 0.73%
1,600 * Cadence Design Systems, Inc. .......................... 24,300
500 * Synopsys, Inc. ........................................ 31,155
----------
55,455
----------
NATURAL GAS - DIVERSIFIED - 0.44%
200 * Hanover Compressor Co. ................................ 7,400
850 K N Energy, Inc. ...................................... 17,106
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
NATURAL GAS - DIVERSIFIED - Continued
500 Questar Corp. .......................................... $ 9,000
----------
33,506
----------
OIL - INTEGRATED DOMESTIC - 0.09%
610 Pennzoil-Quaker State Co. .............................. 7,206
----------
OIL - INTEGRATED INTERNATIONAL - 0.22%
300 Murphy Oil Corp. ....................................... 16,819
----------
OIL - SERVICE - PRODUCTS - 1.18%
600 * BJ Services Co. ........................................ 20,588
900 * Noble Drilling Corp. ................................... 19,969
1,100 * Ocean Energy, Inc. ..................................... 10,106
1,300 * Santa Fe Snyder Corp. .................................. 11,213
400 * Varco International, Inc. .............................. 4,225
700 Weatherford International, Inc. ........................ 23,713
----------
89,814
----------
OIL - SERVICES - 1.43%
400 Devon Energy Corp. ..................................... 15,550
1,000 ENSCO International, Inc. .............................. 19,375
1,200 * Global Marine, Inc. .................................... 18,224
700 * Nabors Industries, Inc. ................................ 15,881
400 * Smith International, Inc. .............................. 13,825
700 Transocean Offshore, Inc. .............................. 19,031
300 York International Corp. ............................... 7,069
----------
108,955
----------
OIL/GAS PRODUCERS - 0.69%
400 Cabot Corp. ............................................ 7,450
500 Noble Affiliates, Inc. ................................. 12,655
700 * Pioneer Natural Resources Corp. ........................ 6,563
700 Ultramar Diamond Shamrock Corp. ........................ 17,150
500 Valero Energy Corp. .................................... 9,188
----------
53,006
----------
PAPER/FOREST PRODUCTS - 1.15%
400 Bowater, Inc. .......................................... 21,000
600 Consolidated Papers, Inc. .............................. 18,788
600 Georgia-Pacific Corp. (Timber Group).................... 14,324
300 Longview Fibre Co. ..................................... 3,413
300 Pentair, Inc. .......................................... 11,288
200 P.H. Glatfelter Co. .................................... 2,925
200 Rayonier, Inc. ......................................... 8,200
200 Standard Register Co. .................................. 4,375
300 Wausau-Mosinee Paper Corp. ............................. 3,788
----------
88,101
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PUBLISHING - NEWS - 0.56%
200 Lee Enterprises, Inc. ................................. $ 5,900
200 Media General, Inc., Class A........................... 10,925
800 Reader's Digest Association, Inc., Class A............. 25,800
----------
42,625
----------
PUBLISHING/PRINTING - 0.32%
200 Banta Corp. ........................................... 4,525
200 Houghton Mifflin Co. .................................. 8,474
100 * Scholastic Corp. ...................................... 4,650
300 Wallace Computer Services, Inc. ....................... 6,638
----------
24,287
----------
RAILROAD - 0.23%
400 GATX Corp. ............................................ 13,275
300 * Wisconsin Central Transportation Corp. ................ 4,163
----------
17,438
----------
RESTAURANTS - 1.05%
400 Bob Evans Farms, Inc. ................................. 5,500
400 * Brinker International, Inc. ........................... 9,325
200 * Buffets, Inc. ......................................... 1,863
500 CBRL Group, Inc. ...................................... 6,688
300 * Lone Star Steakhouse & Saloon.......................... 2,400
450 * Outback Steakhouse, Inc. .............................. 10,350
300 * Papa Johns International, Inc. ........................ 11,213
1,200 * Starbucks Corp. ....................................... 32,625
----------
79,964
----------
SAVINGS & LOAN - 0.87%
500 Astoria Financial Corp. ............................... 18,000
1,460 Charter One Financial, Inc. ........................... 35,860
700 Dime Bancorp, Inc. .................................... 12,513
----------
66,373
----------
SCHOOLS - 0.21%
500 * DeVry, Inc. ........................................... 10,531
400 * Sylvan Learning Systems, Inc. ......................... 5,175
----------
15,706
----------
SECURITIES RELATED - 0.96%
700 A.G. Edwards, Inc. .................................... 21,043
1,600 * E*Trade Group, Inc. ................................... 38,100
400 Legg Mason, Inc. ...................................... 14,550
----------
73,693
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
18 October 31, 1999
MID CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT - 0.87%
400 * Microchip Technology, Inc. ............................ $ 26,650
250 * Novellus Systems, Inc. ................................ 19,374
200 * QLogic Corp. .......................................... 20,825
----------
66,849
----------
SEMICONDUCTORS - 5.60%
1,300 * Altera Corp. .......................................... 63,212
700 * Atmel Corp. ........................................... 28,000
300 Avnet, Inc. ........................................... 16,294
500 * Cirrus Logic, Inc. .................................... 4,969
800 * Cypress Semiconductor Corp. ........................... 20,450
700 * Integrated Device Technology, Inc. .................... 14,394
1,100 Linear Technology Corp. ............................... 76,930
900 * Maxim Integrated Products, Inc. ....................... 71,044
1,000 * Vitesse Semiconductor Corp. ........................... 45,875
1,100 * Xilinx, Inc. .......................................... 86,487
----------
427,655
----------
TELECOMMUNICATIONS - 0.66%
300 * Adtran, Inc. .......................................... 11,138
181 COMSAT Corp. .......................................... 3,382
400 * Sanmina Corp. ......................................... 36,024
----------
50,544
----------
TEXTILE - PRODUCTS - 0.87%
300 * Burlington Industries, Inc. ........................... 1,106
800 * Jones Apparel Group, Inc. ............................. 25,300
400 * Mohawk Industries, Inc. ............................... 9,175
900 Shaw Industries, Inc. ................................. 13,893
400 * Unifi, Inc. ........................................... 4,800
300 Wellman, Inc. ......................................... 4,519
400 WestPoint Stevens, Inc., Class A....................... 7,575
----------
66,368
----------
TOBACCO - 0.29%
700 R.J. Reynolds Tobacco Holdings, Inc. .................. 15,181
200 Universal Corp. ....................................... 7,050
----------
22,231
----------
TRUCKERS - 0.30%
100 Arnold Industries, Inc. ............................... 1,003
400 CNF Transportation, Inc. .............................. 13,225
500 * Swift Transportion Co., Inc. .......................... 8,719
----------
22,947
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES - COMMUNICATION - 0.85%
900 Cincinnati Bell, Inc. ................................. $ 18,731
400 Telephone and Data Systems, Inc. ...................... 46,100
----------
64,831
----------
UTILITIES - ELECTRIC - 5.79%
900 Allegheny Energy, Inc. ................................ 28,630
500 Alliant Energy Corp. .................................. 13,594
100 Black Hills Corp. ..................................... 2,250
100 Cleco Corp. ........................................... 3,313
750 Conectiv, Inc. ........................................ 14,625
1,200 DPL, Inc. ............................................. 24,300
500 DQE, Inc. ............................................. 19,969
800 Energy East Corp. ..................................... 20,100
200 Hawaiian Electric Industries, Inc. .................... 6,763
300 Idacorp, Inc. ......................................... 9,056
600 Illinova Corp. ........................................ 19,088
100 Indiana Energy, Inc. .................................. 2,019
600 IPALCO Enterprises, Inc. .............................. 12,263
400 Kansas City Power & Light Co. ......................... 9,800
1,000 LG&E Energy Corp. ..................................... 22,000
400 * Midamerican Energy Holdings Co. ....................... 13,450
400 Minnesota Power, Inc. ................................. 7,400
800 Montana Power Co. ..................................... 22,750
400 New England Electric System............................ 20,825
1,000 Nisource, Inc. ........................................ 20,500
800 * Northeast Utilities.................................... 16,650
500 OGE Energy Corp. ...................................... 11,344
900 Potomac Electric Power Co. ............................ 24,694
300 Public Service Co. of New Mexico....................... 5,363
500 Puget Sound Energy, Inc. .............................. 11,063
800 Scana Corp. ........................................... 19,900
1,100 TECO Energy, Inc. ..................................... 24,269
600 UtiliCorp United, Inc. ................................ 12,975
300 Washington Gas Light Co. .............................. 8,156
700 Wisconsin Energy Corp. ................................ 15,663
----------
442,772
----------
UTILITIES - GAS, DISTRIBUTION - 0.84%
500 AGL Resources, Inc. ................................... 8,719
1,100 Keyspan Corp. ......................................... 30,938
600 MCN Energy Group, Inc. ................................ 14,663
200 National Fuel Gas Co. ................................. 9,775
----------
64,095
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
WATER SERVICES - 0.23%
600 American Water Works Co., Inc. ....................... $ 17,513
----------
TOTAL COMMON STOCK
(Cost $5,726,556)..................................... 5,879,760
----------
<CAPTION>
PAR
VALUE
----------
<C> <S> <C>
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 21.72%
BANKS - OTHER - 21.72%
$1,660,000 State Street Bank Repurchase Agreement, 5.15%, dated
10/31/99, to be repurchased at $1,660,712 on 11/01/99,
collateralized by U.S. Treasury Note, 5.38%, 07/31/00,
with a par value of $1,675,000
(Cost $1,660,000)..................................... 1,660,000
----------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $1,660,000)..................................... 1,660,000
----------
UNITED STATES GOVERNMENT -
SHORT TERM - 1.44%
U.S. TREASURY BILLS - 1.44%
United States Treasury Bills:
50,000 4.51% due 12/09/99.................................... 49,762
10,000 4.45% due 11/12/99.................................... 9,986
50,000 4.44% due 12/09/99.................................... 49,765
----------
109,513
----------
TOTAL UNITED STATES GOVERNMENT - SHORT TERM
(Cost $109,513)....................................... 109,513
----------
TOTAL INVESTMENTS
(Cost $7,496,069) - 100.09%........................... $7,649,273
----------
*Non-income producing
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 MID CAP INDEX FUND - CONTINUED 19
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
<S> <C>
- -------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED(1)
8(2)(Delivery month/Value at 10/31/99) MidCap 400 Index
Futures (December/$401.25).................................... $62,725
--------
</TABLE>
(1) U.S. Treasury Bills with a market value of approximately $110,000 were
maintained in a segregated account with a portion placed as collateral for
futures contracts.
(2) Per 500.
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $7,496,069)............................ $7,649,273
Receivable for:
Investments sold................................................... 8,504
Fund shares sold................................................... 3,987
Dividends and interest............................................. 5,202
Other assets........................................................ 49,042
----------
TOTAL ASSETS........................................................ 7,716,008
----------
LIABILITIES:
Payable for investments purchased................................... 15,863
Payable to affiliates:
Advisory fees...................................................... 17,492
Distribution fees for Class A & B.................................. 4,058
Other.............................................................. 35,173
Accrued expenses and other liabilities.............................. 900
----------
TOTAL LIABILITIES................................................... 73,486
----------
NET ASSETS.......................................................... $7,642,522
----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 648,219 shares outstanding....................... $ 6,482
Additional paid in capital.......................................... 6,708,333
Undistributed net realized gain on securities....................... 710,646
Undistributed net investment income................................. 1,132
Unrealized appreciation of:
Investments.............................................. $ 153,204
Futures contracts........................................ 62,725 215,929
--------- ----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................... $7,642,522
----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- ------------------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($3,209,408 divided by 272,054 shares)....................... $ 11.80
----------
Offering price per Class A share
(100/94.25 of $11.80)*............................................. $ 12.52
----------
Net asset value and offering price per Class B
share ($4,433,114 divided by 376,165 shares)**..................... $ 11.79
----------
* Offering price includes sales charge of 5.75%.
The sales charge is reduced for purchases
of $25,000 and over.
** Redemption price per share is equal to net asset value less any
applicable contingent deferred sales charge.
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
20
MID CAP INDEX FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends........................................................ $ 65,072
Interest......................................................... 44,405
--------
Total investment income......................................... 109,477
--------
EXPENSES:
Advisory fees.................................................... 17,492
Transfer agent fees.............................................. 17,009
Custodian fees................................................... 8,623
Distribution fees:
Class A......................................................... 7,078
Class B......................................................... 32,282
Registration and filing fees..................................... 33,785
Audit fees and tax services...................................... 3,747
Accounting services.............................................. 1,878
Trustees' fees and expenses...................................... 1,058
Report to shareholders........................................... 308
Miscellaneous.................................................... 2,229
--------
Total expenses.................................................. 125,489
Expense reimbursement (see Note 3).............................. (48,160)
--------
Net expenses.................................................... 77,329
--------
NET INVESTMENT INCOME............................................ 32,148
--------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities:
Investments............................................ $703,327
Futures contracts...................................... 7,319 710,646
--------
Net unrealized appreciation of securities during the period:
Investments............................................ 153,204
Futures contracts...................................... 62,725 215,929
-------- --------
Net realized and unrealized gain on securities during the
period......................................................... 926,575
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................. $958,723
--------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
<S> <C> <C>
-----------------------------------
OPERATIONS:
Net investment income..................... $ 32,148 $ -
Net realized gain on securities........... 710,646 -
Net unrealized appreciation of securities
during the period......................... 215,929 -
-----------------------------------
Increase in net assets resulting from
operations............................... 958,723 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A.................................. (25,613) -
Class B.................................. (5,403) -
-----------------------------------
Total distributions to shareholders from
net investment income................... (31,016) -
-----------------------------------
Net realized gain on securities
Class A.................................. - -
Class B.................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (31,016) -
-----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A.................................. 2,752,112 2,500
Class B.................................. 3,957,703 2,500
-----------------------------------
Total increase in net assets resulting
from share transactions................... 6,709,815 5,000
-----------------------------------
TOTAL INCREASE IN NET ASSETS.............. 7,637,522 5,000
NET ASSETS:
Beginning of year........................ 5,000 -
-----------------------------------
End of period (including undistributed
net investment income of $1,132 and $0).. $7,642,522 $5,000
-----------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING ----------------------------------------- -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------- -------------------- ------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------- -------------------- ------------------- --------------------
Shares sold............. 270,376 $2,735,113 250 $ 2,500 376,417 $3,963,754 250 $ 2,500
Shares issued for
distributions
reinvested.............. 2,190 25,612 - - 464 5,390 - -
Shares repurchased...... (762) (8,613) - - (966) (11,441) - -
------------------- -------------------- ------------------- --------------------
Increase in shares
outstanding............. 271,804 2,752,112 250 2,500 375,915 3,957,703 250 2,500
Shares outstanding:
Beginning of period..... 250 2,500 - - 250 2,500 - -
------------------- -------------------- ------------------- --------------------
End of period........... 272,054 $2,754,612 250 $ 2,500 376,165 $3,960,203 250 $2,500
------------------- -------------------- ------------------- --------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 SMALL CAP INDEX FUND 21
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 85.95%
ADVERTISING - 0.61%
100 * ADVO, Inc. ............................................ $ 1,769
100 * Direct Focus, Inc. .................................... 2,288
28 * Doubleclick, Inc. ..................................... 3,920
200 * E4L, Inc. ............................................. 525
200 * Getty Images, Inc. .................................... 6,163
350 * HA-LO Industries, Inc. ................................ 1,706
100 * Marketing Services Group, Inc. ........................ 1,138
100 * Network Event Theater, Inc. ........................... 2,300
200 * NFO Worldwide, Inc. ................................... 2,225
200 Penton Media, Inc. .................................... 3,700
200 True North Communications, Inc. ....................... 8,062
100 * Westwood One, Inc. .................................... 4,613
----------
38,409
----------
AEROSPACE/DEFENSE - 0.68%
200 * Aviall, Inc. .......................................... 1,788
200 * Be Aerospace, Inc. .................................... 2,013
224 B.F. Goodrich Co. ..................................... 5,306
200 * Fairchild Corp., Class A............................... 1,625
200 Gencorp, Inc. ......................................... 2,275
200 * Orbital Sciences Corp. ................................ 2,950
300 Perkinelmer, Inc. ..................................... 12,243
100 * Remec, Inc. ........................................... 1,044
100 * Sequa Corp., Class A................................... 4,925
300 * Titan Corp. ........................................... 5,025
200 * Trimble Navigation, Ltd. .............................. 3,250
----------
42,444
----------
AIRLINES - 0.60%
500 * Airtran Holdings, Inc. ................................ 2,281
200 * Alaska Air Group, Inc. ................................ 7,949
300 * American West Holdings Corp., Class B.................. 6,205
100 * Atlantic Coast Airlines Holdings, Inc. ................ 2,325
150 * Atlas Air, Inc. ....................................... 4,050
200 Circle International Group, Inc. ...................... 4,400
100 * Frontier Airlines, Inc. ............................... 994
100 * Midwest Express Holdings, Inc. ........................ 2,931
200 SkyWest, Inc. ......................................... 4,963
400 * Transport World Airlines, Inc. ........................ 1,325
----------
37,423
----------
APPAREL & PRODUCTS - 1.22%
100 * Ann Taylor Stores Corp. ............................... 4,256
200 Authentic Fitness Corp. ............................... 3,888
200 Brown Shoe Company, Inc. .............................. 3,563
100 * Children's Place, Inc. ................................ 2,606
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
APPAREL & PRODUCTS - Continued
100 * Columbia Sportsware Company............................ $ 2,025
200 * Donna Karan International, Inc. ....................... 1,675
200 * Dress Barn, Inc. ...................................... 3,556
200 * Footstar, Inc. ........................................ 7,000
200 * Goodys Family Clothing, Inc. .......................... 2,025
100 * Guess?, Inc. .......................................... 1,300
200 * Gymboree Corp. ........................................ 1,288
200 * Jo-ann Stores, Inc. ................................... 2,788
200 Kellwood Co. .......................................... 3,538
100 * Land's End, Inc. ...................................... 7,694
200 * Men's Wearhouse, Inc. ................................. 4,388
100 Movado Group, Inc. .................................... 2,200
300 * Nautica Enterprises, Inc. ............................. 4,518
200 * Oakley, Inc. .......................................... 1,300
150 * Pacific Sunwear of California, Inc. ................... 4,528
150 * Quicksilver, Inc. ..................................... 2,119
100 * Shoe Carnival, Inc. ................................... 1,063
100 Talbots, Inc. ......................................... 4,705
100 * United Retail Group, Inc. ............................. 1,000
100 * Urban Outfitters, Inc. ................................ 2,200
100 * Wet Seal, Inc. ........................................ 1,400
----------
76,623
----------
APPLIANCES/FURNISHINGS - 0.79%
100 Bassett Furniture Industries, Inc. .................... 1,800
100 * CORT Business Services Corp. .......................... 2,031
200 Ethan Allen Interiors, Inc. ........................... 7,112
300 * Furniture Brands International, Inc. .................. 5,813
300 * Griffon Corp. ......................................... 2,213
200 Haverty Furniture Companies, Inc. ..................... 2,750
300 Heilig-Meyers Co. ..................................... 1,313
300 Hussmann International, Inc. .......................... 4,800
200 Kimball International, Inc., Class B................... 3,200
300 La-Z-Boy Chair Co. .................................... 5,475
300 * Metromedia International Group, Inc. .................. 1,106
100 National Presto Industries, Inc. ...................... 3,700
100 Oneida, Ltd. .......................................... 2,368
100 * SLI, Inc. ............................................. 1,075
500 * Sunbeam Corp .......................................... 2,375
200 * Windmere Corp. ........................................ 2,600
----------
49,731
----------
AUTO - CARS - 0.21%
200 * Avis Rent A Car, Inc. ................................. 3,575
200 * Budget Group, Inc. .................................... 1,400
100 * Lithia Motors, Inc. ................................... 1,994
200 * Rent-A-Center, Inc. ................................... 3,662
200 * United Auto Group, Inc. ............................... 2,338
----------
12,969
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
AUTO - ORIGINAL EQUIPMENT - 0.67%
300 * Allen Telecom, Inc. ................................... $ 2,719
200 Arvin Industries, Inc. ................................ 5,700
300 Donaldson Co., Inc. ................................... 6,974
200 * Hayes Lemmerz International, Inc. ..................... 4,325
300 Mark IV Industries, Inc. .............................. 5,775
400 * Miller Industries, Inc. ............................... 975
200 Modine Manufacturing Co. .............................. 4,975
200 Superior Industries International, Inc. ............... 5,337
300 * Tower Automotive, Inc. ................................ 4,894
----------
41,674
----------
AUTO - REPLACEMENT PARTS - 0.70%
100 * Aftermarket Technology Corp. .......................... 944
200 A.O. Smith Corp. ...................................... 4,849
500 Collins & Aikman Corp. ................................ 2,968
200 * CSK Auto Corp. ........................................ 3,575
100 * Discount Auto Parts, Inc. ............................. 1,425
200 * Dura Automotive Systems, Inc. ......................... 3,750
200 Gentek, Inc. .......................................... 1,763
200 Kaydon Corp. .......................................... 4,962
100 Midas, Inc. ........................................... 2,350
220 Myers Industries, Inc. ................................ 3,094
100 * O'Reilly Automotive, Inc. ............................. 4,363
300 Pep Boys - Manny, Moe & Jack (The)..................... 3,750
100 Standard Motor Products, Inc. ......................... 1,613
300 * Tyler Corp. ........................................... 1,406
300 * Valance Technology, Inc. .............................. 1,500
100 Wynn's International, Inc. ............................ 1,556
----------
43,868
----------
BANKS - OTHER - 0.77%
100 First Bancorp.......................................... 2,238
165 First Union Corp ...................................... 7,043
300 Hudson United Bancorp.................................. 9,430
100 Irwin Financial Corp. ................................. 2,050
100 * Net.B@nk, Inc. ........................................ 2,213
100 * Prism Financial Co. ................................... 1,281
200 Republic Security Financial Co. ....................... 1,688
595 Sky Financial Group, Inc. ............................. 14,280
300 Sterling Bancshares, Inc. ............................. 3,750
300 Westernbank Puerto Rico................................ 4,163
----------
48,136
----------
BANKS - REGIONAL - 4.87%
100 AMCORE Financial, Inc. ................................ 2,363
200 Anchor BanCorp Wisconsin, Inc. ........................ 3,200
100 BancFirst Ohio Corp. .................................. 2,213
200 Banco Santander Puerto Rico............................ 3,575
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
22 October 31, 1999
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKS - REGIONAL - Continued
300 BancorpSouth, Inc. .................................... $ 5,213
200 BancWest Corporation................................... 8,362
45 Bank Atlantic Bancorp., Class A........................ 228
300 Bank Atlantic Bancorp., Class B........................ 1,875
100 Bank United Corp ...................................... 3,900
100 Banknorth Group, Inc. ................................. 3,377
120 Brenton Banks, Inc. ................................... 1,530
100 BSB Bancorp, Inc. ..................................... 2,206
100 BT Financial Corp. .................................... 2,213
200 Carolina First Corp. .................................. 4,138
126 * Centennial Bancorp..................................... 1,425
125 Chemical Financial Corp. .............................. 4,078
200 Citizens Banking Corp. ................................ 5,550
211 City Holding Co. ...................................... 3,350
105 Commerce Bancorp, Inc. ................................ 4,704
200 Commonwealth Bancorp, Inc. ............................ 3,375
400 Community First Bankshares............................. 7,613
100 F&M Bancorporation, Inc. .............................. 3,619
103 F&M National Corp. .................................... 3,090
300 First American Financial Corp., Class A................ 4,444
100 First Charter Corp. ................................... 1,900
100 First Citizens BancShares, Inc., Class A............... 7,600
100 First Commerce Bancshares, Inc., Class B............... 2,050
200 First Commonwealth Financial Corp. .................... 5,675
310 First Financial Bancorp................................ 7,518
100 First Midwest Bancorp, Inc. ........................... 4,088
100 * First Republic Bank.................................... 2,500
200 First United Bancshares................................ 3,212
105 FNB Corp. ............................................. 2,691
200 * Friedman, Billings, Ramsey Group, Inc., Class A........ 1,038
85 GBC Bancorp............................................ 1,737
110 Grand Premier Financial, Inc. ......................... 1,760
100 Greater Bay Bancorp.................................... 3,674
100 * Hamilton Bancorp, Inc. ................................ 1,588
208 * Imperial Bancorp....................................... 5,161
400 Independence Community Bank............................ 4,775
100 Independent Bank Corp. ................................ 1,338
125 International Bancshares Corp. ........................ 5,671
100 InterWest Bancorp, Inc. ............................... 1,850
100 JeffBanks, Inc. ....................................... 2,969
200 Merchants New York Bancorp............................. 3,500
100 Midwest Banc Holdings, Inc. ........................... 1,563
100 National Bancorp of Alaska............................. 2,600
105 National City Bancshares, Inc. ........................ 2,939
200 National Penn Bancshares, Inc. ........................ 5,263
110 NBT Bancorp, Inc. ..................................... 2,056
100 Omega Financial Corp. ................................. 3,225
200 One Valley Bancorp, Inc. .............................. 7,300
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKS - REGIONAL - Continued
200 Pacific Capital Bancorp................................ $ 6,624
100 Peoples Holding Company ............................... 3,225
200 PFF Bancorp, Inc. ..................................... 4,075
200 Premier Bancshares, Inc. .............................. 3,525
200 Republic Bancorp, Inc. ................................ 1,875
100 * Republic Bancshares, Inc. ............................. 1,494
200 Riggs National Corp. .................................. 3,025
5 Roslyn Bancorp, Inc. .................................. 97
100 S&T Bancorp, Inc. ..................................... 2,325
100 Sandy Spring Bancorp, Inc. ............................ 2,800
125 Shoreline Financial Corp. ............................. 2,461
200 * Silicon Valley Bancshares.............................. 6,525
200 * Southwest Bancorporation of Texas, Inc. ............... 3,474
67 Summit Banccorp. ...................................... 2,320
200 Susquehanna Bancshares, Inc. .......................... 3,325
100 Texas Regional Bancshares, Class A..................... 2,794
300 Triangle Bancorp, Inc. ................................ 6,900
200 Trust Co. of New Jersey................................ 4,625
300 TrustCo Bank Corp. NY.................................. 8,868
200 U.S. Bancorp, Inc. .................................... 2,650
200 U.S.B. Holding Co., Inc. .............................. 3,000
100 UMB Financial Corp. ................................... 4,063
300 United Bankshares, Inc. ............................... 7,388
300 UST Corp. ............................................. 9,300
200 Webster Financial Corp. ............................... 5,724
220 West Coast Bancorp..................................... 3,039
200 Western Bancorp........................................ 9,375
200 Whitney Holding Corp. ................................. 7,400
----------
305,178
----------
BEVERAGE -
BREWERS/DISTRIBUTORS - 0.16%
100 * Beringer Wine Estates Holdings, Inc.,
Class B................................................ 3,974
100 * Canandaigua Brands, Inc., Class A...................... 6,050
----------
10,024
----------
BROADCASTING - 0.57%
200 Ackerley Group, Inc. .................................. 3,338
300 * ACTV, Inc. ............................................ 4,744
100 * CD Radio, Inc. ........................................ 2,550
100 * Citadel Communications Corp. .......................... 4,831
100 * Cumulus Media, Inc. ................................... 3,588
100 * Emmis Communications Corp., Class A.................... 7,212
100 * Entercom Communications Corp. ......................... 4,980
200 * Paxson Communications Corp. ........................... 2,350
100 * Sinclair Broadcast Group, Inc. ........................ 1,000
100 * Source Media, Inc. .................................... 766
----------
35,359
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BUILDING MATERIALS - 0.66%
300 Apogee Enterprises, Inc. .............................. $ 1,894
200 * Comfort Systems USA, Inc. ............................. 1,450
200 Cooper Companies, Inc. ................................ 5,000
300 * Dal-Tile International, Inc. .......................... 2,793
150 Elcor Corp. ........................................... 3,694
400 Fedders USA, Inc. ..................................... 2,475
100 Florida Rock Industries, Inc. ......................... 3,375
100 * Giant Cement Holding, Inc. ............................ 1,913
400 Interface, Inc., Class A............................... 1,624
100 * Mestek, Inc. .......................................... 1,956
200 * NCI Building Systems, Inc. ............................ 3,162
100 * Nortek, Inc. .......................................... 3,063
200 Texas Industries, Inc. ................................ 7,162
200 Watsco, Inc. .......................................... 2,025
----------
41,586
----------
CHEMICAL - MAJOR - 0.14%
200 Albemarle Corp. ....................................... 3,550
100 * Invitrogen Corp. ...................................... 2,500
100 Spartech Corp. ........................................ 2,862
----------
8,912
----------
CHEMICAL - MISCELLANEOUS - 1.79%
300 * Agribiotech, Inc. ..................................... 956
400 * Airgas, Inc. .......................................... 3,800
100 Arch Chemicals, Inc. .................................. 1,474
200 Brady Corp. ........................................... 5,800
200 Cambrex Corp. ......................................... 6,050
200 ChemFirst, Inc. ....................................... 5,375
869 CK Witco Corp. ........................................ 8,147
300 * Cytec Industries, Inc. ................................ 7,743
100 Dexter Corp. .......................................... 3,506
200 Ethyl Corp. ........................................... 825
200 Ferro Corp. ........................................... 4,075
300 * Fisher Scientific International., Inc. ................ 7,444
200 Geon, Co. ............................................. 5,250
300 Georgia Gulf Corp. .................................... 6,469
300 M.A. Hanna Co. ........................................ 3,206
100 MacDermid, Inc. ....................................... 3,387
100 Minerals Technologies, Inc. ........................... 4,313
100 * Octel Corp. ........................................... 1,225
300 Olin Corp. ............................................ 4,144
200 OM Group, Inc. ........................................ 7,500
200 * Omnova Solutions, Inc. ................................ 1,400
300 Procurenet, Inc. ...................................... 45
200 Rollins, Inc. ......................................... 3,138
300 Schulman, A., Inc. .................................... 4,669
100 Stepan Co. ............................................ 2,394
200 * Thermo Optek Corp. .................................... 1,700
100 WD-40 Co. ............................................. 2,325
400 * W.R. Grace & Co. ...................................... 5,975
----------
112,335
----------
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 SMALL CAP INDEX FUND - CONTINUED 23
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONGLOMERATES - 0.20%
400 Alexander & Baldwin, Inc. ............................. $ 9,600
300 Ogden Corp. ........................................... 2,719
----------
12,319
----------
CONSUMER FINANCE - 0.54%
400 * AmeriCredit Corp. ..................................... 6,950
400 * Arcadia Financial, Ltd. ............................... 1,600
207 Chittenden Corp. ...................................... 6,391
200 Eaton Vance Corp. ..................................... 6,838
200 Metris Companies, Inc. ................................ 6,887
200 WesBanco, Inc. ........................................ 5,250
----------
33,916
----------
CONTAINERS - METAL/GLASS - 0.24%
200 AptarGroup, Inc. ...................................... 5,375
200 CLARCOR, Inc. ......................................... 3,412
100 Greif Brothers Corp., Class A.......................... 2,850
100 * Silgan Holdings, Inc. ................................. 1,538
100 * U.S. Can Corp. ........................................ 1,950
----------
15,125
----------
CONTAINERS - PAPER - 0.15%
100 Chesapeake Corp. ...................................... 3,000
300 * Gaylord Container Corp., Class A....................... 1,688
200 * Ivex Packaging Corp. .................................. 1,888
200 * Shorewood Packaging Corp. ............................. 2,538
----------
9,114
----------
COSMETICS/TOILETRIES - 0.04%
200 * Playtex Products, Inc. ................................ 2,400
----------
DRUGS - 2.51%
100 * Abgenix, Inc. ......................................... 4,438
100 * Algos Pharmaceuticals Corp. ........................... 988
200 * Alkermes, Inc. ........................................ 7,063
200 ALPharma Inc., Class A................................. 7,038
200 * AmeriSource Health Corp., Class A...................... 3,000
100 * Anesta Corp. .......................................... 1,112
100 * Barr Laboratories, Inc. ............................... 3,031
133 Bindley Western Industries, Inc. ...................... 1,671
100 Carter-Wallace, Inc. .................................. 1,806
200 * Cephalon, Inc. ........................................ 3,250
100 * Chirex, Inc. .......................................... 2,825
200 * Columbia Laboratories, Inc. ........................... 1,363
200 * Coulter Pharmaceutical, Inc. .......................... 3,400
400 * Covance, Inc. ......................................... 3,874
400 * Dura Pharmaceuticals, Inc. ............................ 5,113
100 * GelTex Pharmaceuticals, Inc. .......................... 1,231
100 Herbalife International, Inc., Class A................. 1,475
100 * Human Genome Sciences, Inc. ........................... 8,737
100 * IDEC Pharmaceuticals Corp. ............................ 11,617
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
DRUGS - Continued
100 * Incyte Pharmaceuticals, Inc. .......................... $ 1,925
100 * Inhale Therapeutic Systems, Inc. ...................... 2,756
300 Jones Pharmaceutical, Inc. ............................ 9,300
100 * K V Pharmaceutical Co., Class B........................ 1,719
100 * King Pharmaceuticals, Inc. ............................ 3,025
300 * Ligand Pharmaceuticals, Inc., Class B.................. 2,456
150 * Medicis Pharmaceutical, Class A........................ 4,575
300 * Millennium Pharmaceuticals, Inc. ...................... 21,036
200 Natures Sunshine Products, Inc. ....................... 1,475
100 * Neurogen Corp. ........................................ 1,600
200 * Parexel International Corp. ........................... 1,913
200 * Pathogenesis Corp. .................................... 3,000
400 * P-Com, Inc. ........................................... 1,850
60 Pharmacia & Upjohn, Inc. .............................. 3,236
100 * Pharmacyclics, Inc. ................................... 3,538
200 * Roberts Pharmaceutical Corp. .......................... 6,450
100 * SangStat Medical Corp. ................................ 2,162
700 * Sicor, Inc. ........................................... 3,325
100 * SuperGen, Inc. ........................................ 2,813
200 * Vertex Pharmaceuticals, Inc. .......................... 5,725
----------
156,911
----------
ELECTRIC PRODUCTS -
MISCELLANEOUS - 0.83%
100 * Aavid Thermal Technologies, Inc. ...................... 2,250
100 * Alpha Industries, Inc. ................................ 5,524
200 CMP Group, Inc. ....................................... 5,325
100 * DSP Group, Inc. ....................................... 4,775
200 * Emulex Corp. .......................................... 31,186
200 Harmon Industries, Inc. ............................... 2,650
----------
51,710
----------
ELECTRICAL EQUIPMENT - 2.06%
300 AMETEK, Inc. .......................................... 5,925
500 * AMKOR Technology, Inc. ................................ 10,094
100 * Amphenol Corp., Class A................................ 5,913
200 * ANTEC Corp. ........................................... 9,699
300 Avista Corp. .......................................... 5,400
200 Belden, Inc. .......................................... 3,675
100 * Benchmark Electronics, Inc. ........................... 1,600
100 C&D Technologies, Inc. ................................ 3,213
200 * Cable Design Technologies Corp. ....................... 3,874
400 * Digital Microwave Corp. ............................... 5,950
100 * Electro Scientific Industries, Inc. ................... 5,400
200 * Esterline Technologies Corp............................ 2,750
300 General Cable Corp. ................................... 2,212
300 * General Semiconductor, Inc. ........................... 3,150
200 * GenRad, Inc. .......................................... 3,825
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - Continued
200 * Identix, Inc. ......................................... $ 1,513
300 * Integraph Corp. ....................................... 1,163
5 * Juno Lighting, Inc. ................................... 53
300 * Kemet Corp. ........................................... 9,590
300 * Kent Electronics Corp. ................................ 5,831
200 * Littelfuse, Inc. ...................................... 4,450
200 * Mail-Well, Inc. ....................................... 2,675
200 * NeoMagic Corp. ........................................ 1,594
100 * Northeast Optic Network, Inc. ......................... 3,637
100 * Pinnacle Holdings, Inc. ............................... 2,400
100 * Plexus Corp. .......................................... 2,650
100 * Power-One, Inc. ....................................... 2,000
100 Standex International Corp. ........................... 2,069
100 * Triumph Group, Inc. ................................... 2,406
400 * UCAR International, Inc. .............................. 7,824
200 * Vicor Corp. ........................................... 5,550
100 * WESCO International, Inc. ............................. 788
----------
128,873
----------
ELECTRONIC INSTRUMENTS - 2.62%
400 * Ampex Corp., Class A................................... 975
100 * Arguss Holdings, Inc. ................................. 1,475
300 BMC Industries, Inc. .................................. 1,743
100 * BriteSmile, Inc. ...................................... 650
300 * C-Cube Microsystems, Inc. ............................. 13,348
200 * Checkpoint Systems, Inc. .............................. 1,500
300 * Commscope, Inc. ....................................... 11,963
200 CTS Corp. ............................................. 11,312
200 * Dionex Corp. .......................................... 8,888
200 Gerber Scientific, Inc. ............................... 3,775
100 * Hadco Corp. ........................................... 3,675
200 Harman International Industries........................ 8,175
300 * Imation Corp. ......................................... 9,206
400 * InterDigital Communication Corp. ...................... 2,225
100 * ITI Technologies, Inc. ................................ 2,713
200 * Lattice Semiconductor Corp. ........................... 7,075
200 * LTX Corp. ............................................. 3,162
100 * MagnaTek, Inc. ........................................ 688
200 Methode Electronics, Inc., Class A..................... 3,200
235 * Metromedia Fiber Network, Inc. ........................ 7,770
300 * Mettler-Toledo International, Inc. .................... 8,944
100 * Performance Food Group Co. ............................ 2,713
300 Pioneer-Standard Electronics, Inc. .................... 3,919
200 Pittston BAX Group..................................... 1,475
200 Pittston Brink's Group................................. 3,837
300 * Read-Rite Corp. ....................................... 1,181
100 * Rogers Corp. .......................................... 3,624
200 * Sawtek, Inc. .......................................... 8,200
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
24 October 31, 1999
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ELECTRONIC INSTRUMENTS - Continued
500 * Sensormatic Electronics Corp. ......................... $ 7,562
100 Technitrol, Inc. ...................................... 3,637
300 Tektronix, Inc. ....................................... 10,125
300 * Thermedics, Inc. ...................................... 1,594
200 * ThermoQuest Corp. ..................................... 2,100
100 * Varian, Inc. .......................................... 1,888
----------
164,317
----------
ENTERTAINMENT - 0.76%
100 * AMC Entertainment, Inc. ............................... 1,238
300 * Argosy Gaming Co. ..................................... 3,713
300 * Ascent Entertainment Group............................. 5,213
300 * Aztar Corp. ........................................... 2,905
100 * Carmike Cinemas, Inc., Class A......................... 1,206
100 Dover Downs Entertainment, Inc. ....................... 1,588
200 * Florida Panthers Holdings, Inc. ....................... 1,937
100 Gaylord Entertainment Co. ............................. 3,256
300 * GTECH Holdings Corp. .................................. 6,038
200 * Hollywood Entertainment Corp. ......................... 2,825
200 * Marvel Enterprises, Inc. .............................. 1,025
200 * Midway Games, Inc. .................................... 3,987
200 * Playboy Enterprises, Inc. ............................. 5,125
100 * THQ, Inc. ............................................. 4,113
300 * Trans World Entertainment Corp. ....................... 3,112
----------
47,281
----------
FERTILIZERS - 0.10%
200 Delta & Pine Land Co. ................................. 5,849
100 Mississippi Chemical Corp. ............................ 556
----------
6,405
----------
FINANCE COMPANIES - 0.35%
200 Charter Municipal Mortgage
Acceptance Co. ........................................ 2,475
200 * Contifinancial Corp. .................................. 81
300 * Credit Acceptance Corp. ............................... 1,688
200 Doral Financial Corp. ................................. 2,562
100 * First Sierra Financial, Inc. .......................... 1,475
200 * Franchise Mortgage Acceptance Co. ..................... 1,525
100 Freedom Securities Corp. .............................. 1,488
300 * Imperial Credit Industries, Inc. ...................... 1,613
100 Oriental Financial Group............................... 2,263
300 Phoenix Investment Partners, Ltd. ..................... 2,530
300 Resource Bancshares Mortgage Group, Inc. .............. 1,688
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCE COMPANIES - Continued
500 * UniCapital Corp. ...................................... $ 813
100 WFS Financial, Inc. ................................... 2,013
----------
22,214
----------
FINANCIAL SERVICES - 0.63%
100 Advest Group, Inc. .................................... 1,931
100 * Affiliated Managers Group, Inc. ....................... 2,674
100 * Charles River Associates, Inc. ........................ 2,525
100 * Coinstar, Inc. ........................................ 763
100 Conning Corp. ......................................... 869
18 Heller Financial, Inc. ................................ 428
200 * International Telecommunication
Data Systems, Inc. .................................... 1,987
200 Jefferies Group, Inc. ................................. 4,263
200 Leucadia National Corp. ............................... 4,688
100 Medallion Financial Corp. ............................. 2,044
100 * New Century Financial Corp. ........................... 1,369
200 Resource America, Inc. ................................ 1,450
300 Richmond Count Financial Corp. ........................ 5,513
110 Southwest Securities Group, Inc. ...................... 2,619
300 United Asset Management Corp. ......................... 6,224
----------
39,347
----------
FOODS - 1.41%
100 * Agribrands International, Inc. ........................ 4,425
100 * American Italian Pasta Co., Class A.................... 2,513
100 * Aurora Foods, Inc. .................................... 1,288
400 Chiquita Brands International, Inc. ................... 1,900
200 Corn Products International, Inc. ..................... 6,513
500 * Del Monte Foods Co. ................................... 6,968
100 Dreyer's Grand Ice Cream, Inc. ........................ 1,706
300 Earthgrains Co. ....................................... 6,844
200 Imperial Sugar Co. .................................... 1,063
100 * International Home Foods, Inc. ........................ 1,913
100 International Multifoods Corp. ........................ 2,113
100 * J & J Snack Foods Corp. ............................... 1,924
200 J.M. Smucker Co., Class A.............................. 3,975
300 Lance, Inc. ........................................... 3,619
100 Michael Foods, Inc. ................................... 2,550
300 * NBTY, Inc. ............................................ 2,419
255 * Ralcorp Holdings, Inc. ................................ 4,973
100 Riviana Foods, Inc. ................................... 1,875
200 * Suiza Foods Corp. ..................................... 7,212
300 Trinity Industries, Inc. .............................. 8,944
100 * United Natural Foods, Inc. ............................ 881
400 Universal Foods Corp. ................................. 7,650
200 * Vlasic Foods International, Inc. ...................... 1,538
100 * Wild Oats Markets, Inc. ............................... 3,524
----------
88,330
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FOOTWEAR - 0.17%
200 * Genesco, Inc. ......................................... $ 2,650
300 * Just For Feet, Inc. ................................... 413
200 * Reebok International, Ltd. ............................ 1,963
400 Stride Rite Corp. ..................................... 2,624
300 Wolverine World Wide, Inc. ............................ 3,075
----------
10,725
----------
FREIGHT - 0.40%
200 Air Express International Corp. ....................... 5,325
300 Airborne Freight Corp. ................................ 6,450
200 J.B. Hunt Transport Services, Inc. .................... 2,574
200 * Kirby Corp. ........................................... 3,625
200 Overseas Shipholding Group, Inc. ...................... 2,575
100 * SEACOR SMIT, Inc. ..................................... 4,574
----------
25,123
----------
FUNERAL SERVICES - 0.01%
100 * Carriage Services, Inc. ............................... 681
----------
GOLD MINING - 0.04%
900 * Battle Mountain Gold Co. .............................. 2,419
----------
HARDWARE & TOOLS - 0.03%
100 Barnes Group, Inc. .................................... 2,031
----------
HEALTHCARE - 1.79%
100 * Advance Paradigm, Inc. ................................ 4,263
100 * Alterra Healthcare Corp. .............................. 588
100 * AmeriPath, Inc. ....................................... 741
300 * Apria Healthcare Group, Inc. .......................... 4,743
103 Block Drug Co., Inc., Class A.......................... 3,592
1,200 * Caremark Rx, Inc. ..................................... 5,850
100 * CareMatrix Corporation................................. 200
300 * First Health Group Corp. .............................. 6,974
100 * Hanger Orthopedic Group, Inc. ......................... 1,231
100 * Henry Schein, Inc. .................................... 1,300
300 Hooper Holmes, Inc. ................................... 8,063
200 * ImClone Systems, Inc. ................................. 5,575
500 * Integrated Health Services, Inc. ...................... 141
200 Invacare Corp. ........................................ 4,174
100 * MAXIMUS, Inc. ......................................... 2,319
62 * Medical Manager Corp. ................................. 3,108
300 * Medquist, Inc. ........................................ 9,600
200 Mentor Corp. .......................................... 4,713
100 * Ocular Sciences, Inc. ................................. 1,837
200 * Onhealth Network Co. .................................. 1,288
200 * Patterson Dental Co. .................................. 9,013
200 * Pharmaceutical Product
Development, Inc. ..................................... 2,013
600 * PhyCor, Inc. .......................................... 1,500
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 SMALL CAP INDEX FUND - CONTINUED 25
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HEALTHCARE - Continued
400 * Quorum Health Group, Inc. ............................. $ 3,200
300 * Renal Care Group, Inc. ................................ 5,588
300 * Respironics, Inc. ..................................... 2,531
200 * Sierra Health Services, Inc. .......................... 1,463
400 * Steris Corp. .......................................... 5,325
500 * Sun Healthcare Group, Inc. ............................ 50
200 * Sunrise Medical, Inc. ................................. 1,125
400 * Total Renal Care Holdings.............................. 2,924
200 * United Payors & Providers, Inc ........................ 3,363
388 * US Oncology, Inc. ..................................... 1,734
100 Vital Signs, Inc. ..................................... 2,163
----------
112,292
----------
HEAVY DUTY TRUCKS/PARTS - 0.33%
200 Bandag, Inc. .......................................... 5,000
100 Detroit Diesel Corp. .................................. 1,819
200 Federal Signal Corp. .................................. 3,763
200 * Terex Corp. ........................................... 5,288
200 Titan International, Inc. ............................. 1,437
200 Wabash National Corp. ................................. 3,174
----------
20,481
----------
HOME BUILDERS - 0.60%
300 D.R. Horton, Inc. ..................................... 3,544
100 * Del Webb Corp. ........................................ 2,206
300 * Fairfield Communities, Inc. ........................... 3,675
300 Kaufman & Broad Home Corp. ............................ 6,019
100 M.D.C. Holdings, Inc. ................................. 1,562
100 * NVR, Inc. ............................................. 4,100
100 * Palm Harbor Homes, Inc. ............................... 1,687
200 Pulte Corp. ........................................... 4,025
100 Ryland Group, Inc. .................................... 2,063
200 Standard Pacific Corp. ................................ 2,150
200 * Toll Brothers, Inc. ................................... 3,499
100 * U.S. Home Corp. ....................................... 2,800
----------
37,330
----------
HOSPITAL MANAGEMENT - 0.28%
500 * Beverly Enterprises, Inc. ............................. 1,969
500 * Coventry Health Care, Inc. ............................ 2,875
100 * DVI, Inc. ............................................. 1,349
100 * Eclipsys Corp. ........................................ 1,588
100 * Lifepoint Hospitals, Inc. ............................. 1,181
300 * Orthodontic Centers of America, Inc. .................. 4,124
100 * Pediatrix Medical Group, Inc. ......................... 888
100 * Sunrise Assisted Living, Inc. ......................... 1,100
100 * Triad Hospitals, Inc. ................................. 975
300 Ventas, Inc. .......................................... 1,463
----------
17,512
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HOSPITAL SUPPLIES - 0.61%
100 * Acuson Corp. .......................................... $ 1,038
100 Arrow International, Inc. ............................. 2,713
300 * Bio-Technology General Corp. .......................... 2,925
100 * Coherent, Inc. ........................................ 2,056
100 * CONMED Corp. .......................................... 2,493
100 * Datascope Corp. ....................................... 3,600
100 Diagnostic Products Corp. ............................. 2,325
100 * Isis Pharmaceuticals, Inc. ............................ 1,156
200 Owens & Minor, Inc. ................................... 1,874
500 * PSS World Medical, Inc. ............................... 3,875
300 * Safeskin Corp. ........................................ 2,513
300 * Summit Technology, Inc. ............................... 4,669
100 * TECHNE Corp. .......................................... 3,938
300 * Theragenics Corp. ..................................... 3,187
----------
38,362
----------
HOUSEHOLD PRODUCTS - 0.50%
200 Church & Dwight Co., Inc.. ............................ 5,213
100 * Coleman Company, Inc. ................................. 906
150 * Cost Plus, Inc. ....................................... 5,475
100 Libbey, Inc. .......................................... 2,649
200 Mikasa, Inc. .......................................... 2,288
200 Pittway Corp., Class A................................. 6,600
400 Tupperware Corp. ...................................... 7,924
----------
31,055
----------
HUMAN RESOURCES - 0.59%
100 * Cornell Corrections, Inc. ............................. 1,294
580 * Interim Services, Inc. ................................ 9,534
200 Kelly Services, Inc., Class A.......................... 5,862
300 * Labor Ready, Inc. ..................................... 3,056
200 * Metamor Worldwide, Inc. ............................... 3,775
500 Olsten Corp. .......................................... 5,031
300 * Personnel Group of America, Inc. ...................... 2,006
100 * Probusiness Services, Inc. ............................ 2,512
200 * Staff Leasing, Inc. ................................... 1,738
300 * Staffmark, Inc. ....................................... 2,156
----------
36,964
----------
INFORMATION PROCESSING - 1.50%
150 * Advent Software, Inc. ................................. 9,019
300 * American Management Systems, Inc. ..................... 7,762
100 * CACI International, Inc. .............................. 2,144
100 * CAIS Internet, Inc. ................................... 1,188
100 * ChoicePoint, Inc. ..................................... 6,180
500 * CHS Electronics, Inc. ................................. 438
200 * Complete Business Solutions, Inc. ..................... 2,900
200 * Edify Corp. ........................................... 2,588
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING - Continued
100 * F.Y.I., Inc. .......................................... $ 3,300
200 * Fritz Companies, Inc. ................................. 2,237
100 * Go2Net, Inc............................................ 7,038
100 * Intraware, Inc. ....................................... 1,838
300 * Learn2.com, Inc. ...................................... 909
100 * Mapquest.com........................................... 1,550
100 * Maxwell Technologies, Inc. ............................ 1,062
200 * Micrel, Inc. .......................................... 10,874
200 * Quanta Services, Inc. ................................. 5,575
200 * Rare Medium Group, Inc. ............................... 2,950
200 * Security First Technologies............................ 8,038
200 * Sipex Corp. ........................................... 2,300
200 * Spyglass, Inc. ........................................ 3,213
600 * Sybase, Inc. .......................................... 8,100
300 * Systemax, Inc. ........................................ 2,455
----------
93,658
----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 2.48%
100 * 24/7 Media, Inc. ...................................... 4,319
100 * Appliedtheory Corp. ................................... 1,225
100 * Aspect Development, Inc. .............................. 3,538
200 * Aspen Technology, Inc. ................................ 2,550
200 * AXENT Technologies, Inc. .............................. 2,962
100 * Beyond.com Corp. ...................................... 925
200 * Bindview Development Corp. ............................ 6,000
100 * Brio Technology, Inc. ................................. 2,425
200 * Cerner Corp. .......................................... 2,987
300 * Ciber, Inc. ........................................... 4,894
200 * Clarify, Inc. ......................................... 15,450
100 * Concur Technologies, Inc. ............................. 1,113
100 * Engineering Animation, Inc. ........................... 900
158 * Epicor Software Corp. ................................. 760
100 * Exchange Applications, Inc. ........................... 2,725
300 * Harbinger Corp. ....................................... 4,780
200 * HNC Software, Inc. .................................... 7,988
200 * Infocure Corp. ........................................ 3,150
1,100 * Informix Corp. ........................................ 8,388
200 * ISS Group, Inc. ....................................... 7,625
100 * Mede America Corp. .................................... 2,225
100 * Mediconsult.com, Inc. ................................. 594
100 * Metro Information Services, Inc. ...................... 1,362
100 * Micromuse, Inc. ....................................... 10,686
200 * Microstrategy, Inc. ................................... 19,325
200 * Navarre Corp. ......................................... 1,300
100 * Net Perceptions, Inc. ................................. 1,600
100 * Onyx Software Corp. ................................... 2,238
200 * Peregrine Systems, Inc. ............................... 8,774
200 * Private Business, Inc. ................................ 425
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
26 October 31, 1999
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - Continued
200 * Quadramed Corp. ....................................... $ 1,125
200 * SAGA Systems, Inc. .................................... 2,900
100 * SS&C Technologies, Inc. ............................... 450
100 * TSI International Software, Ltd. ...................... 2,400
100 * Verity, Inc. .......................................... 6,887
200 * Visio Corp. ........................................... 7,919
----------
154,914
----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 0.64%
300 * Artesyn Technologies, Inc. ............................ 5,925
400 * Concurrent Computer Corp. ............................. 4,600
200 * Hutchinson Technology, Inc. ........................... 5,100
2,000 * Iomega Corp. .......................................... 6,124
400 * Komag, Inc. ........................................... 663
200 * MEMC Electronic Materials, Inc. ....................... 2,850
900 * Merisel, Inc. ......................................... 1,209
300 * Micron Electronics, Inc. .............................. 3,075
100 * MIPS Technologies, Inc., Class A....................... 2,887
200 OEA, Inc. ............................................. 1,375
200 * PubliCARD, Inc. ....................................... 1,538
200 * Radiant Systems, Inc. ................................. 3,149
500 * Western Digital Corp. ................................. 1,594
----------
40,089
----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 1.14%
200 * AnswerThink Consulting Group, Inc. .................... 3,300
300 * Cambridge Technology Partners, Inc. ................... 3,319
100 * Catapult Communications Corp. ......................... 1,588
300 * Computer Horizons Corp. ............................... 3,337
200 Computer Task Group, Inc. ............................. 2,525
200 * Cotelligent, Inc. ..................................... 600
100 Creative Computers, Inc. .............................. 613
100 * Customtracks Corp. .................................... 3,974
200 * Datastream Systems, Inc. .............................. 2,050
100 * Digital River, Inc. ................................... 2,269
100 Factset Research Systems, Inc. ........................ 6,644
100 * iVillage, Inc. ........................................ 2,556
100 * Latitude Communications, Inc. ......................... 3,200
300 * Mastech Corp. ......................................... 5,138
200 * Messagemedia, Inc. .................................... 2,362
100 * Nichols Research Corp. ................................ 2,856
200 * OneMain.com, Inc. ..................................... 3,250
100 * Pegasus Systems, Inc. ................................. 4,275
200 * Presstek, Inc. ........................................ 1,613
200 * Sagent Technology, Inc. ............................... 2,662
100 * Source Information Management Co. ..................... 1,200
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
COMPUTER SERVICES - Continued
100 * Syntel, Inc. .......................................... $ 825
200 * Verticalnet, Inc. ..................................... 11,200
----------
71,356
----------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 0.77%
100 * 3DFX Interactive, Inc. ................................ 963
300 * BroadVision, Inc. ..................................... 21,898
200 * Caprock Communications Corp. .......................... 5,763
100 * Imrglobal Corp. ....................................... 1,025
100 * Intervu, Inc. ......................................... 5,488
100 * Mpath Interactive, Inc. ............................... 1,125
200 * MTI Technology Corp. .................................. 3,387
200 * Open Market, Inc. ..................................... 3,550
100 * SCM Microsystems, Inc. ................................ 4,725
----------
47,924
----------
INFORMATION PROCESSING -
DATA SERVICES - 3.86%
100 * Anacomp, Inc. ......................................... 1,744
200 Analysts International Corp. .......................... 2,338
200 * Anixter International, Inc. ........................... 4,175
200 * Applied Graphics Technologies, Inc. ................... 1,425
100 * Ardent Software........................................ 2,205
46 * At Home Corp. ......................................... 1,719
200 * Auspex Systems, Inc. .................................. 1,113
300 * Avant! Corp. .......................................... 3,863
100 * Barra, Inc. ........................................... 2,209
100 * Bell & Howell Co. ..................................... 2,813
100 * Black Box Corp. ....................................... 5,075
100 * CCC Information Services Group, Inc. .................. 1,100
200 * Computer Network Technology Corp. ..................... 3,212
200 * Cybercash, Inc. ....................................... 1,650
100 * Data Transmission Network Corp. ....................... 2,456
200 * Documentum, Inc. ...................................... 5,675
93 * EMC Corp. ............................................. 6,789
100 * Excalibur Technologies Corp............................ 925
100 Fair Issac & Co., Inc.................................. 3,863
300 * FileNet Corp. ......................................... 4,958
300 * GT Interactive Software Corp. ......................... 825
200 * Hyperion Solutions Corp. .............................. 4,874
100 * IDX Systems Corp. ..................................... 1,825
300 * Information Resources, Inc. ........................... 3,188
200 Innovex, Inc. ......................................... 1,600
100 * INSpire Insurance Solutions, Inc. ..................... 638
200 * Integrated Systems, Inc. .............................. 3,363
100 Jack Henry & Associates, Inc. ......................... 3,638
200 * JDA Software Group, Inc. .............................. 1,800
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
DATA SERVICES - Continued
100 * Kronos, Inc. .......................................... $ 4,488
100 * Learning Tree International, Inc. ..................... 1,838
200 * Manugistics Group, Inc. ............................... 2,300
200 * Mapics, Inc. .......................................... 1,700
400 * Mentor Graphics Corp. ................................. 3,224
200 * Mercury Interactive Corp. ............................. 16,223
100 * MICROS Systems, Inc. .................................. 4,628
200 National Computer Systems, Inc. ....................... 7,563
150 * National Instruments Corp. ............................ 4,509
200 * Nvidia Corp. .......................................... 4,425
200 * Paxar Corp. ........................................... 1,863
200 * Phoenix Technologies, Ltd. ............................ 2,300
100 * Pinnacle Systems, Inc. ................................ 2,775
200 * Policy Management Systems Corp. ....................... 3,838
150 * Profit Recovery Group International, Inc. ............. 6,178
200 * Progress Software Corp. ............................... 6,700
200 * ProxyMed, Inc. ........................................ 2,500
300 * S3, Inc. .............................................. 3,000
200 * Sandisk Corp. ......................................... 12,124
300 * Santa Cruz Operation, Inc. ............................ 3,956
200 * SMART Modular Technologies, Inc. ...................... 7,425
300 * Structural Dynamic Research Corp. ..................... 2,963
200 * Sykes Enterprises, Inc. ............................... 6,175
300 * Systems & Computer Technology Corp. ................... 3,225
400 * Technology Solutions Co. .............................. 8,200
100 * Telescan, Inc. ........................................ 1,663
300 * Transaction Systems Architects, Class A................ 9,224
100 * Volt Information Sciences, Inc. ....................... 1,975
200 * Wave Systems Corp. .................................... 1,900
300 * Wind River Systems, Inc. .............................. 6,113
200 * Xircom, Inc. .......................................... 10,087
100 * Zebra Technologies Corp., Class A...................... 5,438
----------
241,578
----------
INFORMATION PROCESSING -
NETWORKING - 0.89%
100 * ACT Networks, Inc. .................................... 650
150 * Apex, Inc. ............................................ 2,550
200 * Banyan Systems, Inc. .................................. 2,075
300 * Concentric Network Corp. .............................. 7,687
100 * Concord Communications, Inc. .......................... 5,194
200 * Entrust Technologies, Inc. ............................ 5,025
200 * Hypercom Corp. ........................................ 1,599
300 * Picturetel Corp. ...................................... 1,050
200 * Remedy Corp. .......................................... 8,600
300 * RSA Security, Inc. .................................... 10,650
100 * RWD Technologies, Inc. ................................ 813
200 * Visual Networking, Inc. ............................... 8,325
100 * Ziff-Davis, Inc. ...................................... 1,494
----------
55,712
----------
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 SMALL CAP INDEX FUND - CONTINUED 27
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------
INSURANCE - CASUALTY - 0.74%
100 * Acceptance Insurance Co., Inc. ........... $ 1,444
123 Chubb Corp. .............................. 6,749
200 Commerce Group, Inc. ..................... 5,075
100 * FPIC Insurance Group, Inc. ............... 1,588
300 Frontier Insurance Group, Inc. ........... 2,663
200 HCC Insurance Holdings, Inc. ............. 2,250
200 Orion Capital Corp. ...................... 9,774
100 Philadelphia Consolidated Holdings Co. ... 1,450
200 Reliance Group Holdings, Inc. ............ 713
100 RLI Corp. ................................ 3,331
300 Selective Insurance Group, Inc. .......... 5,605
100 State Auto Financial Corp. ............... 1,150
200 * Superior National Insurance Group, Inc. .. 2,400
100 United Fire & Casualty Co. ............... 2,231
----------
46,423
----------
INSURANCE - LIFE - 0.56%
200 American Heritage Life Investment Corp. .. 7,750
100 ARM Financial Group, Inc. ................ 8
100 Guarantee Life Co., Inc. ................. 3,105
300 Mony Group, Inc. ......................... 9,450
100 Presidential Life Corp. .................. 1,838
200 StanCorp Financial Group, Inc. ........... 5,075
200 * UIC, Inc. ................................ 5,300
100 W. R. Berkley Corp. ...................... 2,293
----------
34,819
----------
INSURANCE - MISCELLANEOUS - 1.22%
100 Brown & Brown, Inc. ...................... 3,375
200 Capital Realty Corp. ..................... 2,825
100 Chicago Title Corp. ...................... 4,405
400 Crawford & Co., Class B................... 5,600
110 Fidelity National Financial, Inc. ........ 1,726
100 Foremost Corp. of America................. 2,824
100 Gallagher, Arthur J & Co. ................ 5,175
100 Harleysville Group, Inc. ................. 1,706
300 HSB Group, Inc. .......................... 11,474
100 Liberty Corp. ............................ 4,806
400 * Mid Atlantic Medical Services, Inc. ...... 2,175
200 MMI Companies, Inc. ...................... 1,638
600 Ohio Casualty Corp. ...................... 10,012
100 * PICO Holdings, Inc. ...................... 1,644
206 Radian Group, Inc. ....................... 10,878
100 SCPIE Holdings, Inc. ..................... 3,513
100 Zenith National Insurance Corp. .......... 2,231
----------
76,007
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<S> <C> <C>
- ------------------------------------------------------------------
INSURANCE - MULTILINE - 0.58%
200 Alfa Corp. ................................. $ 3,575
100 AmerUs Life Holdings, Inc. ................. 2,413
200 Argonaut Group, Inc. ....................... 4,812
200 CNA Surety Corp. ........................... 2,300
104 * Delphi Financial Group, Inc., Class A....... 3,328
200 FBL Financial Group, Inc., Class A.......... 3,663
200 Horace Mann Educators Corp. ................ 5,637
100 LandAmerica Financial Group, Inc. .......... 1,856
210 * Medical Assurance, Inc. .................... 4,908
100 * Professionals Group, Inc. .................. 2,406
200 * Unistar Financial Service Corp. ............ 1,500
----------
36,398
----------
LEISURE TIME - 0.82%
400 * Acclaim Entertainment, Inc. ................ 2,850
100 * Action Performance Co., Inc. ............... 2,034
500 AMF Bowling, Inc. .......................... 2,218
200 * Bally Total Fitness Holding Corp. .......... 4,813
400 Callaway Golf Co. .......................... 5,375
200 * Dollar Thrifty Automotive Group, Inc. ...... 3,374
200 * Family Golf Centers, Inc. .................. 325
300 * Handleman Co. .............................. 4,838
100 * Hollywood Park, Inc. ....................... 1,731
200 Polaris Industries, Inc. ................... 6,988
100 * Scotts Co. ................................. 4,013
100 * Station Casinos, Inc. ...................... 2,418
300 * Sunterra Corp. ............................. 3,000
200 * Vail Resorts, Inc. ......................... 4,450
200 * WMS Industries, Inc. ....................... 2,713
----------
51,140
----------
LODGING - 0.43%
300 * Choice Hotels International, Inc. .......... 4,500
100 Deltic Timber Corp. ........................ 2,244
500 * Extended Stay America, Inc. ................ 4,155
100 Marcus Corp. ............................... 1,406
400 Meristar Hospitality Corp. ................. 6,425
400 * Prime Hospitality Corp. .................... 3,125
93 Starwood Hotels & Resorts Worldwide, Inc. .. 2,132
1,100 Wyndham International, Inc. ................ 3,163
----------
27,150
----------
MACHINE TOOLS - 0.53%
275 * Gilead Sciences, Inc. ...................... 17,377
100 L.S. Starrett Co. .......................... 2,400
200 Milacron, Inc. ............................. 3,287
100 * PRI Automation, Inc. ....................... 4,013
200 Roper Industries, Inc. ..................... 6,174
----------
33,251
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------
MACHINERY - AGRICULTURE - 0.11%
300 AGCO Corp. ............................... $ 3,225
100 Toro Co. ................................. 3,587
----------
6,812
----------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.72%
100 * Astec Industries, Inc. ................... 2,344
100 * CDI Corp. ................................ 2,650
200 CMI Corp., Class A........................ 1,374
100 Columbus McKinnon Corp. .................. 1,206
300 Foster Wheeler Corp. ..................... 3,375
200 Granite Construction, Inc. ............... 4,137
600 Harnischfeger Industries, Inc. ........... 675
200 * Insituform Technologies, Inc., Class A.... 4,788
200 * Jacobs Engineering Group, Inc. ........... 7,100
200 Kaman Corp., Class A...................... 2,200
400 Lennar Corp. ............................. 6,575
300 * Morrison Knudsen Corp. ................... 2,738
200 Sauer, Inc. .............................. 2,587
100 TJ International, Inc. ................... 3,100
----------
44,849
----------
MACHINERY - INDUSTRIAL/SPECIALTY - 2.10%
200 AAR Corp. ................................ 3,338
204 * Albany International Corp., Class A....... 3,098
200 Applied Industrial Technologies, Inc. .... 3,150
200 Applied Power, Inc., Class A.............. 5,812
300 Baldor Electric Co. ...................... 5,831
200 Burlington Coat Factory Warehouse Corp. .. 3,425
200 Chart Industries, Inc. ................... 988
200 * DII Group, Inc. .......................... 7,200
300 Flowserve Corp. .......................... 5,062
100 Graco, Inc. .............................. 3,350
200 Helix Technology Corp. ................... 8,063
100 Hughes Supply, Inc. ...................... 2,169
200 IDEX Corp. ............................... 4,924
200 * Ionics, Inc. ............................. 5,900
300 JLG Industries, Inc. ..................... 3,844
200 * Kulicke & Soffa Industries, Inc. ......... 5,887
200 Lilly Industries, Inc., Class A........... 2,688
300 Lincoln Electric Holdings, Inc. .......... 6,713
150 Manitowoc Co., Inc. ...................... 4,480
300 Newport News Shipbuilding, Inc. .......... 9,113
100 Nordson Corp. ............................ 4,431
100 * Oak Industries, Inc. ..................... 4,100
200 Regal-Beloit Corp. ....................... 4,349
100 * Specialty Equipment Companies, Inc. ...... 2,088
100 * Speedfam-IPEC, Inc. ...................... 1,106
100 * SPS Technologies, Inc. ................... 3,100
300 Stewart & Stevenson Services, Inc. ....... 3,975
250 * Stillwater Mining Co. .................... 5,031
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
28 October 31, 1999
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MACHINERY - INDUSTRIAL/SPECIALTY - Continued
300 Timken Co. ............................................ $ 5,380
200 Watts Industries, Inc., Class A........................ 2,738
----------
131,333
----------
MEDICAL TECHNOLOGY - 1.88%
100 * Affymetrix, Inc. ...................................... 8,812
300 * Alaris Medical, Inc. .................................. 544
100 * Aviron................................................. 2,431
100 * Biomatrix, Inc. ....................................... 2,269
100 * Celera Genomics........................................ 3,913
200 * Cyberonics, Inc. ...................................... 2,813
100 * Cytyc Corp. ........................................... 3,975
300 * Dendrite International, Inc. .......................... 9,412
200 * Eclipse Surgical Technologies, Inc. ................... 1,863
200 * Enzon, Inc. ........................................... 5,863
100 * Gliatech, Inc. ........................................ 819
100 * Haemonetics Corp. ..................................... 1,869
200 * IDEXX Laboratories, Inc. .............................. 3,025
200 * LaserSight, Inc. ...................................... 2,763
300 * Liposome, Inc. ........................................ 2,363
100 * Maxxim Medical, Inc. .................................. 2,400
100 * OEC Medical Systems, Inc. ............................. 3,563
100 * On Assignment, Inc. ................................... 2,875
300 * Organogenesis, Inc. ................................... 2,250
700 * Per-Se Technologies, Inc. ............................. 2,122
200 * Protein Design Labs, Inc. ............................. 8,013
300 * Quest Diagnostics, Inc. ............................... 8,400
100 * Res-Care, Inc. ........................................ 1,456
100 * ResMed, Inc. .......................................... 3,463
100 * Sabratek Corp. ........................................ 81
200 * Serologicals Corp. .................................... 775
400 * Sunrise Technologies, Inc. ............................ 2,500
200 * Thermo Cardiosystems, Inc. ............................ 1,263
100 * Transkaryotic Therapies, Inc. ......................... 4,650
200 * Trex Medical Corp. .................................... 600
300 * US Bioscience, Inc. ................................... 4,838
200 Varian Medical Systems, Inc. .......................... 4,213
100 * Ventana Medical Systems, Inc. ......................... 2,006
100 West Pharmaceutical Services, Inc. .................... 3,456
100 * Xomed Surgical Products, Inc. ......................... 6,081
----------
117,739
----------
MERCHANDISE - DRUG - 0.10%
100 * Duane Reade, Inc. ..................................... 2,688
500 * Perrigo Co. ........................................... 3,781
----------
6,469
----------
MERCHANDISE - SPECIALTY - 1.96%
100 * Advanced Energy Industries, Inc. ...................... 4,113
200 * Ames Department Stores, Inc. .......................... 6,338
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISE - SPECIALTY - Continued
100 * Artic Cat, Inc. ....................................... $ 950
200 * Avid Technology, Inc. ................................. 2,213
200 * Barnesandnoble.com, Inc. .............................. 3,675
400 * Boyds Collection, Ltd. ................................ 3,175
300 Caseys General Stores, Inc. ........................... 3,863
300 Cash America International, Inc. ...................... 2,831
200 * Central Garden & Pet Co. .............................. 1,450
600 * Charming Shoppes, Inc. ................................ 2,981
500 * Compucom Systems, Inc. ................................ 1,609
500 * CompUSA, Inc. ......................................... 2,844
200 * Copart, Inc. .......................................... 4,600
200 * Daiseytek International Corp. ......................... 3,325
200 * Department 56, Inc. ................................... 3,800
300 * Earthshell Corp. ...................................... 1,031
200 * Finish Line, Inc. ..................................... 1,381
300 * Franklin Covey Co. .................................... 2,419
100 Hancock Holding Co. ................................... 3,950
800 * Hanover Direct, Inc. .................................. 2,150
356 * Inacom Corp. .......................................... 1,713
200 Jostens, Inc. ......................................... 4,225
100 * Keystone Automotive Industries, Inc. .................. 856
100 * Knoll, Inc. ........................................... 2,763
100 * Mannatech, Inc. ....................................... 706
200 * Michaels Stores, Inc. ................................. 6,713
200 * Micro Warehouse, Inc. ................................. 2,425
900 * OfficeMax, Inc. ....................................... 4,556
200 * O'Sullivan Industries Holdings, Inc. .................. 3,100
900 * Petsmart, Inc. ........................................ 3,488
200 * Racing Champions Corp. ................................ 988
200 * Rent-Way, Inc. ........................................ 3,325
300 * Rexall Sundown, Inc. .................................. 3,169
100 Russ Berrie and Co., Inc. ............................. 1,925
200 Seitel, Inc. .......................................... 1,588
200 * Spiegel, Inc., Class A................................. 2,900
100 * SportsLine USA, Inc. .................................. 3,594
300 Sturm, Ruger & Co., Inc. .............................. 2,663
300 * Sunglass Hut International, Inc. ...................... 3,619
300 * Twinlab Corp. ......................................... 2,438
200 * United Stationers, Inc. ............................... 5,100
400 * US Office Products, Co. ............................... 1,100
100 * West Marine, Inc. ..................................... 900
----------
122,552
----------
MERCHANDISING - DEPARTMENT - 0.16%
400 * Borders Group, Inc. ................................... 5,200
600 Pier 1 Imports, Inc. .................................. 3,563
200 * Stein Mart, Inc. ...................................... 1,325
----------
10,088
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISING - FOOD - 0.57%
150 * CEC Entertainment, Inc. ............................... $ 4,809
300 Fleming Companies, Inc. ............................... 3,581
100 Great Atlantic & Pacific Tea Co., Inc. ................ 2,856
100 * IHOP Corp. ............................................ 1,806
200 Ingles Markets, Inc., Class A.......................... 2,588
300 Ruddick Corp. ......................................... 5,119
100 Sanderson Farms, Inc. ................................. 994
300 * Smithfield Foods, Inc. ................................ 6,825
2 Supervalu, Inc. ....................................... 42
200 * Whole Foods Market, Inc. .............................. 6,800
----------
35,420
----------
MERCHANDISING - MASS - 0.17%
150 * Insight Enterprises, Inc. ............................. 5,606
200 * ShopKo Stores, Inc. ................................... 5,013
----------
10,619
----------
METALS - ALUMINUM - 0.15%
100 * ACX Technologies, Inc. ................................ 781
200 IMCO Recycling, Inc. .................................. 2,925
200 * Kaiser Aluminum Corp. ................................. 1,288
200 Tredegar Corp. ........................................ 4,388
----------
9,382
----------
METALS - COPPER - 0.26%
300 ASARCO, Inc. .......................................... 8,850
84 Phelps Dodge Corp. .................................... 4,742
100 Southern Peru Copper Corp. ............................ 1,625
100 * Wolverine Tube, Inc. .................................. 1,375
----------
16,592
----------
METALS - MISCELLANEOUS - 0.41%
200 Brush Wellman, Inc. ................................... 2,650
100 Castle A.M. & Co. ..................................... 1,238
100 * CIRCOR International, Inc. ............................ 950
100 Commercial Metals Co. ................................. 3,263
200 Kennametal, Inc. ...................................... 5,750
200 Precision Castparts Corp. ............................. 5,900
100 * RTI International Metals, Inc. ........................ 725
400 * Steel Dynamics, Inc. .................................. 5,475
----------
25,951
----------
METALS - STEEL - 1.11%
268 AK Steel Holding Corp. ................................ 4,640
800 * Bethlehem Steel Corp. ................................. 5,550
100 Carpenter Technology Corp. ............................ 2,438
100 * Citation Corp. ........................................ 1,644
100 Cleveland-Cliffs, Inc. ................................ 2,988
300 Harsco Corp. .......................................... 8,831
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 SMALL CAP INDEX FUND - CONTINUED 29
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
METALS - STEEL - Continued
300 Intermet Corp. ........................................ $ 3,038
900 LTV Corp. ............................................. 3,263
300 * Metals USA, Inc. ...................................... 2,231
300 * Mueller Industries, Inc. .............................. 9,581
200 National Steel Corp., Class B.......................... 1,200
100 Oregon Steel Mills, Inc. .............................. 844
100 Quanex Corp. .......................................... 2,169
150 Reliance Steel & Aluminium Co. ........................ 3,150
200 Ryerson Tull, Inc. .................................... 4,100
200 Valmont Industries, Inc. .............................. 3,475
400 Worthington Industries, Inc. .......................... 6,650
200 * Wyman-Gordon Co. ...................................... 3,938
----------
69,730
----------
MISCELLANEOUS - 2.32%
100 * Abacus Direct Corp. ................................... 14,650
200 AMCOL International Corp. ............................. 2,450
100 * AMERCO, Inc. .......................................... 2,944
200 Arch Coal, Inc. ....................................... 2,238
100 * Aviation Sales Co. .................................... 1,738
400 * Billing Concepts Corp. ................................ 2,000
7 Blount International, Inc. ............................ 103
300 * Brightpoint, Inc. ..................................... 2,353
81 * Building One Services Corp. ........................... 901
200 C. H. Robinson Worldwide, Inc. ........................ 6,763
200 Cabot Industrial Trust................................. 4,000
200 * Cadiz, Inc. ........................................... 1,675
100 * Capital Senior Living Corp. ........................... 513
300 * Catalytica, Inc. ...................................... 3,769
100 * Cdnow, Inc. ........................................... 1,356
100 Central Parking Corp. ................................. 2,681
400 * Century Business Services, Inc. ....................... 3,975
100 * Championship Auto Racing Teams, Inc. .................. 2,294
100 * Integrated Electrical Services, Inc. .................. 1,088
20 * Internet Capital Group, Inc. .......................... 2,328
200 * Iron Mountain, Inc. ................................... 6,050
100 * IT Group, Inc. ........................................ 988
100 * Lason, Inc. ........................................... 3,716
200 Matthews International Corp., Class A.................. 5,025
100 * MemberWorks, Inc. ..................................... 2,663
300 * Musicland Stores Corp. ................................ 2,344
200 * Navigant Consulting Co. ............................... 5,713
100 * Polycom, Inc. ......................................... 5,000
200 * Prepaid Legal Services, Inc. .......................... 4,850
100 * Preview Travel, Inc. .................................. 3,050
200 * Rayovac Corp. ......................................... 4,975
150 Regis Corp. ........................................... 2,784
200 * Romac International, Inc. ............................. 1,350
200 * Scott Technologies, Inc. .............................. 3,800
100 * Service Experts, Inc. ................................. 600
200 * Sola International, Inc. .............................. 2,800
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MISCELLANEOUS - Continued
100 * Triangle Pharmaceuticals, Inc. ........................ $ 1,625
600 USEC, Inc. ............................................ 5,438
200 * Veritas DGC, Inc. ..................................... 2,813
200 * Veterinary Centers of America, Inc. ................... 2,350
100 Wackenhut Corp. ....................................... 1,881
100 * Wesley Jessen VisionCare, Inc. ........................ 2,688
200 * West Teleservices Corp. ............................... 2,788
200 * Westell Technologies, Inc., Class A.................... 1,413
100 Westinghouse Air Brake Co. ............................ 1,838
100 Woodward Governor Co. ................................. 2,650
100 * World Access, Inc. .................................... 3,844
----------
144,855
----------
MOBILE HOMES - 0.32%
300 * Champion Enterprises, Inc. ............................ 2,738
100 Coachmen Industries, Inc. ............................. 1,469
200 Fleetwood Enterprises, Inc. ........................... 4,362
200 McGrath Rentcorp ...................................... 3,400
75 * Monaco Coach Corp. .................................... 1,763
400 Oakwood Homes Corp. ................................... 1,175
100 Skyline Corp. ......................................... 2,488
100 Thor Industries, Inc. ................................. 2,525
----------
19,920
----------
NATURAL GAS - DIVERSIFIED - 0.73%
200 Atmos Energy Corp. .................................... 4,538
100 Eastern Enterprises ................................... 5,113
200 * Hanover Compressor Co. ................................ 7,400
200 Laclede Gas Co. ....................................... 4,263
100 New Jersey Resources Corp. ............................ 4,069
110 * Southern Union Co. .................................... 2,227
200 Southwest Gas Corp. ................................... 4,650
300 UGI Corp. ............................................. 7,200
200 WICOR, Inc. ........................................... 5,950
----------
45,410
----------
OIL - INTEGRATED DOMESTIC - 0.21%
100 * Belco Oil and Gas Corp. ............................... 625
400 Cross Timbers Oil Co. ................................. 4,450
400 Pennzoil-Quaker State Co. ............................. 4,725
300 * Tesoro Petroleum Corp. ................................ 3,637
----------
13,437
----------
OIL - SERVICE - PRODUCTS - 0.53%
200 * Barrett Resources Corp. ............................... 6,713
100 * Drill-Quip, Inc. ...................................... 2,337
300 * Global Industries, Inc. ............................... 2,400
200 * Lone Star Technologies, Inc. .......................... 4,188
200 * Maverick Tube Corp. ................................... 3,700
400 * Pride International, Inc. ............................. 5,500
10 * Santa Fe Snyder Corp. ................................. 86
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
OIL - SERVICE - PRODUCTS - Continued
200 SEMCO Energy, Inc. .................................... $ 2,813
200 * TransMontaigne, Inc. .................................. 2,324
300 * Varco International, Inc. ............................. 3,169
----------
33,230
----------
OIL - SERVICES - 0.52%
89 * Devon Energy Corp. .................................... 3,460
100 * Friede Goldman International, Inc. .................... 925
500 * Key Energy Services, Inc. ............................. 2,250
300 * Marine Drilling Companies, Inc. ....................... 4,855
300 Mascotech, Inc. ....................................... 4,369
200 * McMoRan Exploration Co. ............................... 4,475
100 * Oceaneering International, Inc. ....................... 1,355
300 * Offshore Logistics, Inc. .............................. 2,775
100 * Pool Energy Services Co. .............................. 2,181
300 * Tuboscope, Inc. ....................................... 3,338
200 * Unova, Inc. ........................................... 2,662
----------
32,645
----------
OIL/GAS PRODUCERS - 1.50%
100 * Atwood Oceanics, Inc. ................................. 2,906
200 * Brown, Tom Inc. ....................................... 2,750
200 Cabot Oil & Gas Corp., Class A......................... 3,225
433 * EEX Corp. ............................................. 1,596
300 Equitable Resources, Inc. ............................. 10,950
300 * Forest Oil Corp. ...................................... 4,013
900 * Grey Wolf, Inc. ....................................... 2,362
800 * Harken Energy Corp. ................................... 800
300 Helmerich & Payne, Inc. ............................... 7,144
100 * Houston Exploration Co. ............................... 1,956
200 * HS Resources, Inc. .................................... 3,124
300 * Input/Output, Inc. .................................... 1,575
200 * Louis Dreyfus Natural Gas Corp. ....................... 4,000
100 Mitchell Energy & Development, Class A................. 2,388
300 * Newfield Exploration Co. .............................. 8,831
100 * Nuevo Energy Co. ...................................... 1,418
300 * Patterson Energy, Inc. ................................ 3,844
600 * Pioneer Natural Resources Corp. ....................... 5,625
200 * Plains Resources, Inc. ................................ 3,438
300 Pogo Producing Co. .................................... 6,018
100 St. Mary Land & Exploration Co. ....................... 2,550
100 * Stone Energy Corp. .................................... 4,863
300 Valero Energy Corp. ................................... 5,513
300 Vintage Petroleum, Inc. ............................... 3,262
----------
94,151
----------
PAPER/FOREST PRODUCTS - 0.81%
100 * Boise Cascade Office Products Corp. ................... 1,025
100 * Buckeye Technologies, Inc. ............................ 1,513
200 Caraustar Industries, Inc. ............................ 4,824
200 Glatfelter, P.H. Co. .................................. 2,925
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
30 October 31, 1999
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS - Continued
133 Kimberly-Clark Corp. .................................. $ 8,396
400 Longview Fibre Co. .................................... 4,550
200 Potlatch Corp. ........................................ 8,437
200 Rayonier, Inc. ........................................ 8,200
200 Schweitzer-Mauduit, Inc. .............................. 2,388
100 Standard Register Co. ................................. 2,188
200 * Thermo Fibertek, Inc. ................................. 1,412
400 Wausau-Mosinee Paper Corp. ............................ 5,050
----------
50,908
----------
PHOTOGRAPHY - 0.22%
200 * Photronics, Inc. ...................................... 4,188
300 Polaroid Corp. ........................................ 6,693
200 * Ultratech Stepper, Inc. ............................... 3,175
----------
14,056
----------
POLLUTION CONTROL - 0.22%
300 Calgon Carbon Corp. ................................... 2,100
100 * Cuno, Inc. ............................................ 2,000
500 * Newpark Resources, Inc. ............................... 3,218
275 * Tetra Tech, Inc. ...................................... 4,366
100 * URS Corp. ............................................. 1,800
----------
13,484
----------
PUBLISHING - NEWS - 0.17%
300 Lee Enterprises, Inc. ................................. 8,850
200 * Network Equipment Technologies, Inc. .................. 2,037
----------
10,887
----------
PUBLISHING/PRINTING - 0.94%
200 American Business Products, Inc. ...................... 2,613
100 Banta Corp. ........................................... 2,262
100 * Berlitz International, Inc. ........................... 2,000
100 * Big Flower Holdings, Inc. ............................. 3,019
300 Bowne & Co., Inc. ..................................... 3,338
100 * Consolidated Graphics, Inc. ........................... 2,000
300 Harland, John H. Co. .................................. 5,700
300 * Journal Register Co. .................................. 4,255
200 New England Business Service, Inc. .................... 5,200
380 Quebecor Printing, Inc. ............................... 8,764
100 R.H. Donnelley Corp. .................................. 1,887
100 * Scholastic Corp. ...................................... 4,650
100 * Scientific Games Holdings Corp. ....................... 1,738
400 * Topps Co., Inc. ....................................... 3,925
100 * ValueVision International, Class A..................... 3,268
200 Wallace Computer Services, Inc. ....................... 4,425
----------
59,044
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
RAILROAD - 0.21%
200 Florida East Coast Industries, Inc. ................... $ 7,450
150 * Motivepower Industries, Inc. .......................... 1,790
300 * Wisconsin Central Transportation Corp. ................ 4,163
----------
13,403
----------
REAL ESTATE - 0.36%
100 * CB Richard Ellis Services, Inc. ....................... 1,231
200 Cousins Properties, Inc. .............................. 6,338
200 Forest City Enterprises, Inc., Class A................. 5,000
200 LNR Property Corp. .................................... 3,875
200 Republic Bancorp, Inc. ................................ 2,625
200 SL Green Realty Corp. ................................. 3,637
----------
22,706
----------
REAL ESTATE INVESTMENT TRUSTS - 4.83%
100 Alexandria Real Estate Equities, Inc. ................. 2,875
300 Allied Capital Corp. .................................. 6,018
200 American Health Properties, Inc. ...................... 4,038
100 Amli Residential Properties Trust...................... 2,075
100 Bedford Property Investors, Inc. ...................... 1,750
200 Boykin Lodging Co. .................................... 2,587
100 Bradley Real Estate, Inc. ............................. 1,675
300 Brandywine Realty Trust................................ 5,044
300 BRE Properties, Inc., Class A.......................... 6,806
200 Burnham Pacific Properties, Inc. ...................... 2,000
200 Camden Property Trust.................................. 5,413
300 Capital Automotive REIT................................ 3,824
500 Capstead Mortgage Corp. ............................... 1,969
200 CBL & Associates Properties, Inc. ..................... 4,450
200 CenterPoint Properties Corp. .......................... 6,525
100 Chateau Communities, Inc. ............................. 2,550
200 Chelsea GCA Realty, Inc. .............................. 6,200
200 Colonial Properties Trust.............................. 5,100
100 Commercial Net Lease Realty............................ 1,150
200 Cornerstone Realty Income Trust, Inc. ................. 2,075
500 Developers Diversified Realty Corp. ................... 7,125
38 Duke-Weeks Realty Corp. ............................... 746
200 EastGroup Properties, Inc. ............................ 3,663
200 Entertainment Properties Trust......................... 2,812
400 Equity Inns, Inc. ..................................... 3,000
100 Essex Property Trust, Inc. ............................ 3,256
200 Federal Realty Investment Trust........................ 3,638
200 First Industrial Realty Trust, Inc. ................... 4,938
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - Continued
200 Gables Residential Trust.............................. $ 4,837
300 Glenborough Realty Trust, Inc. ....................... 3,919
200 Glimcher Realty Trust................................. 2,963
100 Golf Trust of America, Inc. .......................... 1,794
200 Great Lakes REIT, Inc. ............................... 2,888
200 Health Care Property Investors, Inc. ................. 5,250
200 Health Care REIT, Inc. ............................... 3,574
200 Healthcare Realty Trust, Inc. ........................ 3,850
100 Home Properties of New York, Inc. .................... 2,669
200 Hospitality Properties Trust.......................... 4,225
300 Imperial Credit Commercial Mortgage Investment
Corp. ................................................ 3,263
600 Indymac Mortgage Holdings, Inc. ...................... 8,363
100 Innkeepers USA Trust.................................. 863
300 JDN Realty Corp. ..................................... 5,719
200 * Jones Lang Lasalle, Inc. ............................. 2,488
100 JP Realty, Inc. ...................................... 1,713
200 Kilroy Realty Corp. .................................. 3,838
200 Koger Equity, Inc. ................................... 3,100
200 Lexington Corporate Properties Trust.................. 2,175
100 LTC Properties, Inc. ................................. 1,063
100 Macerich Co. ......................................... 2,000
200 Manufactured Home Communities, Inc. .................. 4,662
100 MGI Properties, Inc. ................................. 969
200 Mid-America Apartment Communities, Inc. .............. 4,425
100 National Health Investors, Inc. ...................... 1,513
300 Nationwide Health Properties, Inc. ................... 4,969
200 OMEGA Healthcare Investors, Inc. ..................... 3,963
100 Parkway Properties, Inc. ............................. 3,063
100 Pennsylvania Real Estate Investment Trust............. 1,863
200 Prentiss Properties Trust............................. 4,288
300 Prime Retail, Inc. ................................... 2,381
200 PS Business Parks, Inc. .............................. 4,525
200 Realty Income Corp. .................................. 4,500
200 Reckson Associates Realty Corp. ...................... 3,700
100 * Redwood Trust, Inc. .................................. 1,300
200 Regency Realty Corp. ................................. 3,963
200 RFS Hotel Investors, Inc. ............................ 2,400
300 * Security Capital Group, Inc. ......................... 4,124
200 Shurgard Storage Centers, Inc., Class A............... 4,725
200 Smith Charles E Realty, Inc. ......................... 6,800
100 Sovran Self Storage, Inc. ............................ 2,125
200 Storage USA, Inc. .................................... 5,825
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 SMALL CAP INDEX FUND - CONTINUED 31
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - Continued
200 Summit Properties, Inc. ............................... $ 3,825
100 Sun Communities, Inc. ................................. 3,188
300 Sunstone Hotel Investors, Inc. ........................ 2,868
200 Taubman Centers, Inc. ................................. 2,263
200 * Trammell Crow Co. ..................................... 2,900
200 TriNet Corporate Realty Trust, Inc. ................... 4,613
100 U.S. Restaurant Properties, Inc. ...................... 1,600
900 United Dominion Realty Trust, Inc. .................... 9,843
100 Urban Shopping Centers, Inc. .......................... 2,581
200 Walden Residential Properties, Inc. ................... 4,288
200 Washington Real Estate Investment Trust................ 3,050
200 Weingarten Realty Investors............................ 7,650
200 Western Properties Trust............................... 2,100
100 Westfield America, Inc. ............................... 1,375
----------
302,083
----------
RESTAURANTS - 0.93%
200 Applebees International, Inc. ......................... 5,763
200 Bob Evans Farms, Inc. ................................. 2,750
400 * Buffets, Inc. ......................................... 3,725
300 CBRL Group, Inc. ...................................... 4,013
100 * Cheesecake Factory, Inc. .............................. 3,063
300 CKE Restaurants, Inc. ................................. 2,025
250 * Consolidated Products, Inc. ........................... 2,875
200 * Jack in the Box, Inc. ................................. 4,813
300 * Landry's Seafood Restaurants, Inc. .................... 2,250
300 * Lone Star Steakhouse & Saloon, Inc. ................... 2,400
300 Luby's, Inc. .......................................... 3,563
100 * NPC International, Inc. ............................... 1,200
100 * O'Charley's, Inc. ..................................... 1,531
100 * Papa Johns International, Inc. ........................ 3,738
300 Ruby Tuesday, Inc. .................................... 5,718
400 * Ryan's Family Steak Houses, Inc. ...................... 4,188
100 * Sonic Corp. ........................................... 2,800
100 * Triarc Companies, Inc., Class A........................ 1,988
----------
58,403
----------
SAVINGS & LOAN - 1.33%
100 Andover Bancorp, Inc. ................................. 2,925
200 Bay View Capital Corp. ................................ 2,775
500 Capitol Federal Finance................................ 5,000
300 CFS Bancorp, Inc. ..................................... 3,131
198 Charter One Financial, Inc. ........................... 4,862
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SAVINGS & LOAN - Continued
100 Dime Community Bancshares.............................. $ 2,019
200 Downey Financial Corp. ................................ 4,425
105 F&M Bancorp............................................ 2,638
400 * Finet.com, Inc. ....................................... 938
300 First Sentinel Bancorp, Inc. .......................... 2,456
200 First Washington Bancorp, Inc. ........................ 3,400
200 * FirstFed Financial Corp. .............................. 3,200
300 MAF Bancorp, Inc. ..................................... 6,468
300 Northwest Bancorp, Inc. ............................... 2,456
100 OceanFirst Financial Corp. ............................ 1,788
310 Provident Bankshares Corp. ............................ 6,675
200 Queens County Bancorp, Inc. ........................... 6,288
400 Seacoast Financial Services Co. ....................... 4,400
200 Staten Island Bancorp, Inc. ........................... 3,874
200 * TeleBanc Financial Corp. .............................. 4,800
200 United Community Financial Co. ........................ 1,975
300 Washington Federal, Inc. .............................. 6,844
3 * Wilshire Financial Services Group, Inc. ............... 4
----------
83,341
----------
SCHOOLS - 0.09%
200 * Education Management Corp. ............................ 1,900
200 * ITT Educational Services, Inc. ........................ 3,950
----------
5,850
----------
SECURITIES RELATED - 0.52%
100 Dain Rauscher Corp. ................................... 5,369
200 Enhance Financial Services Group, Inc. ................ 3,650
100 * Hambrecht & Quist Group................................ 4,938
200 Investors Financial Services Corp. .................... 7,400
100 Liberty Financial Companies, Inc. ..................... 2,406
100 Morgan Keegan, Inc. ................................... 1,788
100 * Pioneer Group, Inc. ................................... 1,244
300 Raymond James Financial, Inc. ......................... 6,075
----------
32,870
----------
SEMICONDUCTOR EQUIPMENT - 0.58%
100 * ATMI, Inc. ............................................ 2,694
200 * Cognex Corp. .......................................... 5,988
300 * LAM Research Corp. .................................... 25,331
100 * Varian Semiconductor Equipment Associates, Inc. ....... 2,263
----------
36,276
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SEMICONDUCTORS - 2.63%
300 * Alliance Semiconductor Corp. .......................... $ 3,488
100 * American Xtal Technology, Inc. ........................ 1,294
100 * Anadigics, Inc. ....................................... 3,850
68 Avnet, Inc. ........................................... 3,676
200 * Burr Brown Corp. ...................................... 7,863
500 * Cirrus Logic, Inc. .................................... 4,969
100 * Credence Systems Corp. ................................ 4,563
200 * Cree Research, Inc. ................................... 8,538
200 * Cymer, Inc. ........................................... 7,388
600 * Cypress Semiconductor Corp. ........................... 15,338
200 Dallas Semiconductor Corp. ............................ 11,775
300 * DSP Communications, Inc. .............................. 10,556
200 * Electroglas, Inc. ..................................... 5,519
100 * EMCORE Corp. .......................................... 1,375
200 * ESS Technology, Inc. .................................. 2,638
200 * Etec Systems, Inc. .................................... 7,638
100 * Exar Corp. ............................................ 3,613
300 * FSI International, Inc. ............................... 2,400
500 * Integrated Device Technology, Inc. .................... 10,281
400 * International Rectifier Corp. ......................... 7,775
100 * Kopin Corp. ........................................... 4,200
200 * MRV Communications, Inc. .............................. 4,338
100 * PLX Technology, Inc. .................................. 1,600
300 * Silicon Valley Group, Inc. ............................ 3,750
100 Texas Instruments, Inc. ............................... 9,016
200 * TranSwitch Corp. ...................................... 9,413
100 * Triquint Semiconductor, Inc. .......................... 8,000
----------
164,854
----------
TELECOMMUNICATIONS - 3.63%
200 ABM Industries, Inc. .................................. 4,775
100 * Adaptive Broadband Corp. .............................. 3,694
100 * Adtran, Inc. .......................................... 3,713
200 * Advanced Communications Group, Inc. ................... 1,200
500 * Advanced Fibre Communications, Inc. ................... 10,938
100 * Aerial Communications, Inc. ........................... 4,250
200 * Ancor Communications, Inc. ............................ 6,338
600 * Andrew Corp. .......................................... 7,725
200 * Anicom, Inc. .......................................... 825
400 * Aspect Telecommunications Co. ......................... 10,075
100 * AVT Corp. ............................................. 3,350
100 * Aware, Inc. ........................................... 3,181
100 * Carrier Access Corp. .................................. 4,944
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
32 October 31, 1999
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS - Continued
300 * CellNet Data Systems, Inc. ............................ $ 506
200 * CellStar Corp. ........................................ 1,413
200 * CommNet Cellular, Inc. ................................ 6,313
100 * Destia Communications, Inc. ........................... 1,400
150 * Dycom Industries, Inc. ................................ 4,884
400 * E. Spire Communication, Inc. .......................... 2,875
100 * Electric Lightwave, Inc. .............................. 1,519
400 * Glenayre Technologies, Inc. ........................... 1,188
300 * ICG Communications, Inc. .............................. 4,913
200 * IDT Corp. ............................................. 4,575
100 * Inet Technologies, Inc. ............................... 3,825
300 * Intermedia Communications, Inc. ....................... 7,800
100 Inter-Tel, Inc. ....................................... 1,588
300 * InterVoice-Brite Inc. ................................. 3,713
300 * ITC Deltacom, Inc. .................................... 7,200
200 * IXC Communications, Inc. .............................. 8,638
100 * Leap Wireless International, Inc. ..................... 3,850
100 * MasTec, Inc. .......................................... 3,275
102 * MCI Worldcom, Inc. .................................... 8,753
100 * MGC Communications, Inc. .............................. 2,750
200 * MMC Networks, Inc. .................................... 6,375
200 * Omnipoint Corp. ....................................... 16,525
100 * Pacific Gateway Exchange, Inc. ........................ 2,275
300 * PageMart Wireless, Inc., Class A....................... 1,669
500 * Paging Network, Inc. .................................. 469
400 * Pairgain Technologies, Inc. ........................... 4,900
100 * Plantronics, Inc. ..................................... 5,856
100 * Powertel, Inc. ........................................ 5,888
100 * Powerwave Technologies, Inc. .......................... 6,506
300 * Premier Technologies, Inc. ............................ 1,650
200 * Premisys Communications, Inc. ......................... 1,938
105 * Price Communications Co. .............................. 2,284
200 * Primus Telecommunications Group, Inc. ................. 4,425
300 * Talk.com, Inc. ........................................ 4,781
300 * Tekelec ............................................... 3,806
100 * Transaction Network Services, Inc. .................... 3,981
100 * Tut Systems, Inc. ..................................... 3,338
100 * US LEC Corp. .......................................... 2,769
100 * Xceed, Inc. ........................................... 2,125
----------
227,546
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TEXTILE - PRODUCTS - 0.36%
300 * Burlington Industries, Inc. ........................... $ 1,106
200 * Dan River, Inc., Class A............................... 1,063
100 G & K Services, Inc., Class A.......................... 3,756
200 Guilford Mills, Inc. .................................. 1,763
200 Russell Corp. ......................................... 3,038
100 Springs Industries, Inc., Class A...................... 3,981
300 * Unifi, Inc. ........................................... 3,600
300 Wellman, Inc. ......................................... 4,519
----------
22,826
----------
TOBACCO - 0.15%
300 DIMON, Inc. ........................................... 1,050
200 * General Cigar Holdings, Inc. .......................... 1,150
300 Universal Corp. ....................................... 7,050
----------
9,250
----------
TRUCKERS - 0.67%
200 * American Freightways Corp. ............................ 4,125
200 Arnold Industries, Inc. ............................... 2,006
200 * Consolidated Freightways Corp. ........................ 1,575
200 * Heartland Express, Inc. ............................... 2,713
100 * Knight Transportation, Inc. ........................... 1,350
100 * Landstar System, Inc. ................................. 4,050
100 * M.S. Carriers, Inc. ................................... 2,825
400 Rollins Truck Leasing Corp. ........................... 3,850
150 * Swift Transportation Co., Inc. ........................ 2,616
200 USFreightways Corp. ................................... 9,063
100 Werner Enterprises, Inc. .............................. 1,594
100 * Xtra Corp. ............................................ 4,156
100 * Yellow Corp. .......................................... 1,700
----------
41,623
----------
UTILITIES - COMMUNICATION - 0.13%
100 * Alpine Group, Inc. .................................... 1,319
100 * Commonwealth Telephone Enterprises, Inc. .............. 5,350
100 PXRE Group Limited Bermuda ............................ 1,225
----------
7,894
----------
UTILITIES - ELECTRIC - 1.53%
200 Black Hills Corp. ..................................... 4,500
80 Carolina Power & Light Co. ............................ 2,760
200 Cleco Corp. ........................................... 6,625
100 Eastern Utilities Associates........................... 3,025
400 * El Paso Electric Co. .................................. 3,650
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES - ELECTRIC - Continued
200 Empire District Electric Co. .......................... $ 4,925
300 Hawaiian Electric Industries, Inc. .................... 10,144
200 Idacorp, Inc. ......................................... 6,038
300 Indiana Energy, Inc. .................................. 6,056
100 Northwestern Corp. .................................... 2,281
67 NSTAR.................................................. 2,550
100 Otter Tail Power Co. .................................. 4,200
400 Public Service Co. of New Mexico....................... 7,150
300 RGS Energy Group, Inc. ................................ 7,481
288 Sierra Pacific Resources............................... 6,480
100 SIG Corp, Inc. ........................................ 2,600
200 * UniSource Energy Corp. ................................ 2,300
100 United Illuminating Co. ............................... 5,175
300 Washington Gas Light Co. .............................. 8,156
----------
96,096
----------
UTILITIES - GAS, DISTRIBUTION - 0.59%
300 AGL Resources, Inc. ................................... 5,231
200 Energen Corp. ......................................... 3,700
200 * National-Oilwell, Inc. ................................ 2,713
200 Northwest Natural Gas Co. ............................. 5,175
100 NUI Corp. ............................................. 2,481
200 Piedmont Natural Gas Co., Inc. ........................ 6,400
200 Public Service Co. of North Carolina, Inc. ............ 6,288
100 Southwestern Energy Co. ............................... 800
100 Yankee Energy Systems, Inc. ........................... 4,250
----------
37,038
----------
UTILITIES - GAS, PIPELINE - 0.09%
200 ONEOK, Inc. ........................................... 5,838
----------
UTILITIES - MISCELLANEOUS - 0.51%
200 Central Hudson Gas & Electric Corp. ................... 7,488
100 * Group Maintenance America Corp. ....................... 963
300 MDU Resources Group, Inc. ............................. 7,013
200 * Stericycle, Inc. ...................................... 3,125
400 * Walter Industries, Inc. ............................... 4,700
200 * Waste Connections, Inc. ............................... 3,088
200 WPS Resources Corp. ................................... 5,775
----------
32,152
----------
WATER SERVICES - 0.23%
100 California Water Service Group......................... 2,900
200 Philadelphia Suburban Corp. ........................... 4,600
200 United Water Resources, Inc. .......................... 6,750
----------
14,250
----------
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 SMALL CAP INDEX FUND - CONTINUED 33
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
TOTAL COMMON STOCK
(Cost $5,502,936)...................................... $5,382,189
----------
<CAPTION>
PAR
VALUE
---------
<C> <S> <C>
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 13.54%
BANKS - OTHER - 13.54%
$848,000 State Street Bank Repurchase Agreement,
5.15%, dated 10/31/99, to be repurchased at $848,364 on
11/01/99, collateralized by U.S. Treasury Note, 5.38%,
07/31/00, with a par value of $855,000 (Cost
$848,000).............................................. 848,000
----------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $848,000)........................................ 848,000
----------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.72%
U. S. TREASURY BILLS - 0.72%
United States Treasury Bills:
20,000 4.51% due 12/09/99..................................... 19,905
25,000 4.44% due 12/09/99..................................... 24,833
----------
44,788
----------
TOTAL UNITED STATES GOVERNMENT -
SHORT TERM
(Cost $44,788)......................................... 44,788
----------
TOTAL INVESTMENTS
(Cost $6,395,724) - 100.21%............................ $6,274,977
----------
* Non-income producing
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
<S> <C>
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
FUTURES CONTRACTS PURCHASED(1)
3(2) (Delivery month/Value at 10/31/99)
Russell 2000 Index Futures
(December/$431.80).............................................. $ (22,800)
----------
</TABLE>
(1) U.S. Treasury Bills with a market value of approximately $45,000 were
maintained in a segregated account with a portion placed as collateral for
futures contracts.
(2) Per 500.
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES:
ASSETS:
Investments, at market (Cost $6,395,724)............................ $6,274,977
Receivables for:
Investments sold................................................... 20,104
Fund shares sold................................................... 2,560
Dividends and interest............................................. 4,808
Other assets........................................................ 22,258
----------
TOTAL ASSETS........................................................ 6,324,707
----------
LIABILITIES:
Payable for:
Investments purchased.............................................. 2,805
Fund shares redeemed............................................... 864
Payable to affiliates:
Advisory fees...................................................... 16,062
Distribution fees for Class A & B.................................. 24,830
Other.............................................................. 9,716
Accrued expenses and other liabilities.............................. 8,499
----------
TOTAL LIABILITIES................................................... 62,776
----------
NET ASSETS.......................................................... $6,261,931
----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited authorized shares, 567,593 shares outstanding...... $ 5,676
Additional paid in capital................................... 5,744,866
Undistributed net realized gain on securities................ 653,965
Undistributed net investment income.......................... 971
Unrealized depreciation of:
Investments....................................... $(120,747)
Futures contracts................................. (22,800) (143,547)
--------- ----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING........................................ $6,261,931
----------
- --------------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($2,900,443 divided by 262,844 shares)................. $ 11.03
----------
Offering price per Class A share
(100/94.25 of $11.03)*....................................... $ 11.70
----------
Net asset value and offering price per Class B
share ($3,361,488 divided by 304,749 shares)**............... $ 11.03
----------
* Offering price includes sales charge of 5.75%.
The sales charge is reduced for purchases
of $25,000 and over.
** Redemption price per share is equal to net asset value
less any applicable contingent deferred sales charge.
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
34
SMALL CAP INDEX FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends...................................................... $ 80,388
Interest....................................................... 23,350
---------
Total investment income....................................... 103,738
---------
EXPENSES:
Advisory fees.................................................. 16,062
Transfer agent fees............................................ 15,744
Custodian fees................................................. 8,067
Distribution fees:
Class A....................................................... 6,790
Class B....................................................... 28,565
Registration and filing fees................................... 33,794
Audit fees and tax services.................................... 3,471
Accounting services............................................ 1,725
Trustees' fees and expenses.................................... 1,013
Report to shareholders......................................... 290
Miscellaneous.................................................. 1,850
---------
Total expenses................................................ 117,371
Expense reimbursement (see Note 3)............................ (47,453)
---------
Net expenses.................................................. 69,918
---------
NET INVESTMENT INCOME.......................................... 33,820
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain on securities:
Investments.......................................... $626,193
Futures contracts.................................... 27,772 653,965
--------
Net unrealized depreciation of securities during the period:
Investments.......................................... (120,747)
Futures contracts.................................... (22,800) (143,547)
-------- ---------
Net realized and unrealized gain on securities during the
period....................................................... 510,418
---------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............... $ 544,238
---------
</TABLE>
<TABLE>
<S> <C> <C>
STATEMENT OF CHANGES IN NET ASSETS
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income..................... $ 33,820 $ -
Net realized gain on securities........... 653,965 -
Net unrealized depreciation of securities
during the period......................... (143,547) -
-----------------------------------
Increase in net assets resulting from
operations............................... 544,238 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A.................................. (26,235) -
Class B.................................. (6,614) -
-----------------------------------
Total distributions to shareholders from
net investment income................... (32,849) -
-----------------------------------
Net realized gain on securities
Class A.................................. - -
Class B.................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (32,849) -
-----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A.................................. 2,639,566 2,500
Class B.................................. 3,105,976 2,500
-----------------------------------
Total increase in net assets resulting
from share transactions................... 5,745,542 5,000
-----------------------------------
TOTAL INCREASE IN NET ASSETS.............. 6,256,931 5,000
NET ASSETS:
Beginning of year........................ 5,000
-----------------------------------
End of period (including undistributed
net investment income of $971 and $0).... $6,261,931 $5,000
-----------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING ----------------------------------------- -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------- -------------------- ------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
------ ---------- ------- ---------- ------- ---------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold............. 260,137 $2,618,550 250 $2,500 304,191 $3,102,682 250 $2,500
------------------- -------------------- ------------------- --------------------
Shares issued for
distributions
reinvested.............. 2,928 26,235 - - 598 6,607 - -
Shares repurchased...... (471) (5,219) - - (290) (3,313) - -
------------------- -------------------- ------------------- --------------------
Increase in shares
outstanding............. 262,594 2,639,566 250 2,500 304,499 3,105,976 250 2,500
Shares outstanding:
Beginning of period..... 250 2,500 - - 250 2,500 - -
------------------- -------------------- ------------------- --------------------
End of period........... 262,844 $2,642,066 250 $2,500 304,749 $3,108,476 250 $2,500
------------------- -------------------- ------------------- --------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 INTERNATIONAL GROWTH FUND 35
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 94.76%
AEROSPACE/DEFENSE - 0.79%
3,800 Celesius AB, Class B................................. $ 59,639
----------
APPAREL & PRODUCTS - 1.35%
561 Christian Dior....................................... 100,710
----------
AUTO - CARS - 2.04%
2,927 Renault, S.A. ....................................... 151,893
----------
BANKS - OTHER - 10.62%
825 Banco Pastor, S.A. .................................. 35,616
2,000 Bank Austria AG...................................... 99,716
2,900 Commerzbank AG....................................... 110,635
10,500 DAO Heng Bank Group, Ltd. ........................... 48,246
40,000 Grupo Financiero Banamex............................. 99,896
9,000 * Hanvit Bank - GDR(/1/)............................... 66,778
2,200 ING Groep N.V. ...................................... 130,131
457 Societe Generale, Class A............................ 99,778
13,000 United Overseas Bank, Ltd. .......................... 98,621
----------
789,417
----------
BROADCASTING - 0.80%
1,400 * Grupo Televisa, S.A. ................................ 59,500
----------
CHEMICAL - MISCELLANEOUS - 1.52%
2,613 Akzo Nobel........................................... 112,833
----------
CONGLOMERATES - 4.13%
14,400 Fomento Economico Mexicano UBD....................... 46,654
2,457 Lagardere S.C.A. .................................... 99,774
92,000 LI & Fung............................................ 160,447
----------
306,875
----------
CONSUMER FINANCE - 1.47%
1,000 Acom Co. ............................................ 109,429
----------
DRUGS - 2.02%
2,680 Rhone - Poulance S.A. ............................... 150,382
----------
ELECTRICAL EQUIPMENT - 1.26%
600 Sony Corp. .......................................... 93,648
----------
ELECTRIC PRODUCTS - MISCELLANEOUS - 1.89%
13,000 Hitachi, Ltd. ....................................... 140,635
----------
ELECTRONIC EQUIPMENT - 1.53%
1,104 Philips Electronic................................... 113,533
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCE COMPANIES - 2.53%
1,400 Orix Corp. ............................................. $ 188,140
----------
FOODS - 1.41%
230 Barry Callebaut AG...................................... 39,241
3,000 Companhia de Brasileira - ADR........................... 65,625
----------
104,866
----------
FINANCIAL SERVICES - 3.64%
19,000 Amvescap, Plc. ......................................... 169,527
7,900 Investor AB Holding Co., Class B........................ 101,383
----------
270,910
----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 1.00%
10,200 Forsoft, Ltd. .......................................... 74,588
----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 2.02%
3,000 Getronics NV............................................ 149,985
----------
INSURANCE - MISCELLANEOUS - 0.56%
5,400 ESG RE, Ltd. ........................................... 41,850
----------
INSURANCE - MULTILINE - 1.37%
1,900 Pohjola Group Insurance Corp., Class B.................. 102,205
----------
MACHINERY - INDUSTRIAL/SPECIALTY - 1.06%
500 Mannesmann AG........................................... 78,843
----------
MERCHANDISING - FOOD - 0.66%
62,100 Dairy Farm International................................ 48,749
----------
MERCHANDISE - DRUG - 0.88%
1,301 Scor.................................................... 65,181
----------
METALS - ALUMINUM - 2.00%
2,644 Pechiney, S.A., Class A................................. 148,362
----------
METALS - STEEL - 6.52%
5,600 Aceralia Corp Siderurigica S.A. ........................ 69,697
30,000 Industrias CH S.A., Series B............................ 65,420
2,100 Boehler - Udeholm AG.................................... 88,156
5,300 Ispat Intl - ADR NV..................................... 54,988
2,800 Pohang Iron & Steel - Spon ADR.......................... 93,450
8,100 Usinor SA............................................... 112,859
----------
484,570
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MISCELLANEOUS - 2.94%
128,000 First Pacific Co., Ltd. ............................... $ 74,136
7,000 Misys, Plc. ........................................... 58,658
25,000 QXL Ltd. .............................................. 85,730
----------
218,524
----------
OIL - INTEGRATED INTERNATIONAL - 2.00%
25,400 Eni, SpA............................................... 148,956
----------
OIL - SERVICE - PRODUCTS - 0.75%
3,500 Petroleo Brasileiro S.A. .............................. 55,563
----------
PAPER/FOREST PRODUCTS - 2.17%
17,800 Metsa Serla, Class B................................... 161,649
----------
PHOTOGRAPHY - 1.73%
4,000 Fuji Photo Film Co. ................................... 128,627
----------
PUBLISHING - NEWS - 1.99%
21,900 News Corp, Ltd. ....................................... 148,343
----------
REAL ESTATE - 2.88%
15,000 Cheung Kong............................................ 136,109
69,000 Wheelock & Company, Ltd. .............................. 78,151
----------
214,260
----------
SEMICONDUCTORS - 1.22%
3,500 Dialog Semiconductor PLC............................... 90,445
----------
TELECOMMUNICATIONS - 20.59%
9,000 A-COM AB............................................... 104,005
9,200 British Telecommunications plc......................... 167,125
36,000 China Telecom (Hong Kong).............................. 123,250
3,200 ECI Telecommunications................................. 93,200
3,800 Ericsson LMTEL Co. - ADR, Class B...................... 162,450
6,000 * Global TeleSystems Group, Inc. ........................ 143,625
1,500 KDD Corp. ............................................. 188,620
1,900 * Korea Telecom Corp. - ADR.............................. 66,975
3,726 KPN NV (Koninklijke)................................... 191,745
6,200 SK Telecom Co., Ltd. ADR............................... 80,988
12,400 Telenorte Leste Partic - ADR........................... 209,250
----------
1,531,233
----------
UTILITIES - COMMUNICATION - 4.29%
16 DDI Corp. ............................................. 175,086
8,708 Telefonica, S.A. ...................................... 143,650
----------
318,736
----------
UTILITIES - ELECTRIC - 1.13%
27,500 HongKong Electric Holdings............................. 84,062
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
36 October 31, 1999
INTERNATIONAL GROWTH FUND - CONTINUED
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<S> <C>
- -------------------------------------------------------------------------------
TOTAL COMMON STOCK
(Cost $6,373,084)....................................... $7,047,141
----------
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 7.53%
BANKS - OTHER - 7.53%
$560,000 State Street Bank Repurchase Agreement, 5.15%, dated
10/31/99, to be repurchased at $560,240 on 11/01/99,
collateralized by U.S. Treasury Note, 5.38%, 07/31/00,
with a par value of $565,000 (Cost $560,000)............ 560,000
----------
TOTAL CORPORATE SHORT TERM - REPURCHASE AGREEMENT
(Cost $560,000)......................................... 560,000
----------
TOTAL INVESTMENTS
(Cost $6,933,084) - 102.29%............................. $7,607,141
----------
*Non-income producing
</TABLE>
- ----
(1) Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be sold in transactions exempt from
registration, normally to qualified institutional buyers. At October 31,
1999 the aggregate value of these securities was $66,778 representing
0.90% of net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
<S> <C>
- ------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $6,933,084)....................... $7,607,141
Receivables for:
Investments sold.............................................. 43,903
Fund shares sold.............................................. 5,931
Dividends and interest........................................ 3,975
Other assets................................................... 33,657
----------
TOTAL ASSETS................................................... 7,694,607
----------
LIABILITIES:
Payable for investments purchased.............................. 164,866
Payable to affiliates:
Administrative service fees for Class I....................... 3,275
Advisory fees................................................. 52,251
Distribution fees for Class A & B............................. 2,262
Other......................................................... 35,452
Accrued expenses and other liabilities......................... 23
----------
TOTAL LIABILITIES.............................................. 258,129
----------
NET ASSETS..................................................... $7,436,478
----------
- ------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized, 648,468 shares outstanding........ $ 6,485
Additional paid in capital..................................... 6,572,032
Undistributed net realized gain on securities
and foreign currency transactions.............................. 156,954
Undistributed net investment income............................ 26,950
Unrealized appreciation of securities.......................... 674,057
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.......................................... $7,436,478
----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- ------------------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($1,649,699 divided by 143,491 shares)....................... $ 11.50
----------
Offering price per Class A share
(100/94.25 of $11.50)*............................................. $ 12.20
----------
Net asset value and offering price per Class B
share ($2,826,092 divided by 247,958 shares)**..................... $ 11.40
----------
Net asset value, offering price and redemption
price per Class I share ($1,487,026 divided by
129,227 shares).................................................... $ 11.51
----------
Net asset value, offering price and redemption
price per Class II share ($1,473,661 divided by
127,792 shares).................................................... $ 11.53
----------
* Offering price includes sales charge of 5.75%.
The sales charge is reduced for purchases
of $25,000 and over.
** Redemption price per share is equal to net asset value less any
applicable contingent deferred sales charge.
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
37
INTERNATIONAL GROWTH FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $13,120)............ $117,526
Interest......................................................... 24,816
--------
Total investment income......................................... 142,342
--------
EXPENSES:
Advisory fees.................................................... 52,251
Transfer agent fees.............................................. 15,736
Custodian fees................................................... 7,844
Distribution fees:
Class A......................................................... 3,401
Class B......................................................... 16,888
Administrative service fee, Class I.............................. 3,275
Registration and filing fees..................................... 54,343
Audit fees and tax services...................................... 3,488
Accounting services.............................................. 1,746
Trustees' fees and expenses...................................... 985
Report to shareholders........................................... 289
Miscellaneous.................................................... 2,479
--------
Total expenses.................................................. 162,725
Expense reimbursement (see Note 3).............................. (74,126)
--------
Net expenses.................................................... 88,599
--------
NET INVESTMENT INCOME............................................ 53,743
--------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FOREIGN
CURRENCIES:
Net realized gain (loss) on securities:
Investments........................................... $156,954
Foreign currency transactions......................... (24,661) 132,293
--------
Net unrealized appreciation of securities during the period...... 674,057
--------
Net realized and unrealized gain on securities and
foreign currencies during the period........................... 806,350
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................. $860,093
--------
</TABLE>
<TABLE>
<S> <C> <C>
STATEMENT OF CHANGES IN NET ASSETS
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income..................... $ 53,743 $ -
Net realized gain on securities and
foreign currencies........................ 132,293 -
Net unrealized appreciation of securities
and foreign currencies during the period.. 674,057 -
-----------------------------------
Increase in net assets resulting from
operations............................... 860,093 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A.................................. (352) -
Class B.................................. - -
Class I.................................. (616) -
Class II................................. (1,164) -
-----------------------------------
Total distributions to shareholders from
net investment income................... (2,132) -
-----------------------------------
Net realized gain on securities
Class A.................................. - -
Class B.................................. - -
Class I.................................. - -
Class II................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (2,132) -
-----------------------------------
Net increase in net assets resulting from
share transactions
Class A.................................. 1,447,297 912
Class B.................................. 2,553,637 912
Class I.................................. 1,294,888 913
Class II................................. 1,279,045 913
-----------------------------------
Total increase in net assets resulting
from share transactions................... 6,574,867 3,650
-----------------------------------
TOTAL INCREASE IN NET ASSETS.............. 7,432,828 3,650
NET ASSETS:
Beginning of year........................ 3,650 -
-----------------------------------
End of period (including undistributed
net investment income of $26,950 and $0).. $7,436,478 $3,650
-----------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING ----------------------------------------- -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------- -------------------- ------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
-------------------- --------------------- -------------------- ---------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold..... 147,213 $1,486,365 91 $ 912 251,466 $2,592,664 91 $ 912
Shares issued
for
distributions
reinvested...... 35 352 - - - - - -
Shares
repurchased..... (3,848) (39,420) - - (3,599) (39,027) - -
-------------------- --------------------- -------------------- ---------------------
Increase in
shares
outstanding.... 143,400 1,447,297 91 912 247,867 2,553,637 91 912
Shares
outstanding:
Beginning of
period......... 91 912 - - 91 912 - -
-------------------- --------------------- -------------------- ---------------------
End of period.. 143,491 $1,448,209 91 $ 912 247,958 $2,554,549 91 $ 912
-------------------- --------------------- -------------------- ---------------------
<CAPTION>
CHANGE IN SHARES Class I Class II
OUTSTANDING ------------------------------------------ ------------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
-------------------- --------------------- -------------------- ---------------------
Shares Amount Shares Amount Shares Amount Shares Amount
-------------------- --------------------- -------------------- ---------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold..... 130,754 $1,312,797 92 $ 913 127,639 $1,278,455 92 $ 913
Shares issued
for
distributions
reinvested...... 60 616 - - 114 1,164 - -
Shares
repurchased..... (1,679) (18,525) - - (53) (574) - -
-------------------- --------------------- -------------------- ---------------------
Increase in
shares
outstanding.... 129,135 1,294,888 92 913 127,700 1,279,045 92 913
Shares
outstanding:
Beginning of
period......... 92 913 - - 92 913 - -
-------------------- --------------------- -------------------- ---------------------
End of period.. 129,227 $1,295,801 92 $ 913 127,792 $1,279,958 92 $ 913
-------------------- --------------------- -------------------- ---------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
38 LARGE CAP GROWTH FUNDOctober 31, 1999
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 98.35%
ADVERTISING - 0.24%
100 * Doubleclick, Inc. .................................... $ 14,000
200 Omnicom Group, Inc. .................................. 17,600
100 * TMP Worldwide, Inc. .................................. 6,244
-----------
37,844
-----------
AEROSPACE/DEFENSE - 0.27%
700 United Technologies Corp. ............................ 42,350
-----------
APPAREL & PRODUCTS - 0.33%
1,300 Intimate Brands, Inc. ................................ 53,300
-----------
APPLIANCES/FURNISHINGS - 1.30%
1,600 Lancaster Colony Corp. ............................... 55,900
2,200 Whirlpool Corp. ...................................... 153,313
-----------
209,213
-----------
AUTO - CARS - 0.93%
124 Daimlerchrysler AG.................................... 9,641
1,100 * General Motors Corp., Class H ........................ 80,093
1,400 Hertz Corp., Class A ................................. 60,725
-----------
150,459
-----------
BANKS - NEW YORK CITY - 0.67%
2,000 Citigroup, Inc. ...................................... 108,250
-----------
BANKS - OTHER - 0.56%
200 Fleet Financial Group, Inc. .......................... 8,725
750 Providian Financial Corp. ............................ 81,750
-----------
90,475
-----------
BEVERAGE -
BREWERS/DISTRIBUTORS - 0.40%
400 Anheuser-Busch Companies, Inc. ....................... 28,725
700 Seagram Co., Ltd. .................................... 34,563
-----------
63,288
-----------
BEVERAGE - SOFT DRINKS - 1.41%
2,800 Coca-Cola Co. ........................................ 165,200
1,800 PepsiCo, Inc. ........................................ 62,437
-----------
227,637
-----------
BROADCASTING - 1.42%
300 * Clear Channel Communications, Inc. ................... 24,113
1,500 Comcast Corp., Class A................................ 63,188
1,500 * Media One Group, Inc. ................................ 106,594
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BROADCASTING - Continued
800 * Viacom, Inc., Class B ................................ $ 35,800
-----------
229,695
-----------
BUILDING MATERIALS - 0.34%
1,000 Lowe's Companies, Inc. ............................... 55,000
-----------
CHEMICAL - MAJOR - 0.60%
500 Dow Chemical Co. ..................................... 59,125
1,000 Monsanto Co. ......................................... 38,500
-----------
97,625
-----------
CONGLOMERATES - 0.69%
2,800 Tyco International, Ltd. ............................. 111,825
-----------
CONSUMER FINANCE - 0.09%
500 MBNA Corp. ........................................... 13,813
-----------
DRUGS - 9.94%
500 Allergan, Inc. ....................................... 53,688
600 American Home Products Corp. ......................... 31,350
2,500 * Amgen, Inc. .......................................... 199,375
1,000 * Biogen, Inc. ......................................... 74,125
5,400 Bristol Myers Squibb Co. ............................. 414,787
500 Eli Lilly and Co. .................................... 34,438
400 Genzyme Corp. ........................................ 15,300
300 * Immunex Corp. ........................................ 18,900
5,600 Merck & Co., Inc. .................................... 445,550
4,900 Pfizer, Inc. ......................................... 193,550
1,200 Schering-Plough Corp. ................................ 59,400
800 Warner-Lambert Co. ................................... 63,850
-----------
1,604,313
-----------
ELECTRICAL EQUIPMENT - 7.47%
200 Emerson Electric Co. ................................. 12,013
7,900 General Electric Co. ................................. 1,070,943
3,200 * Teradyne, Inc. ....................................... 123,200
-----------
1,206,156
-----------
ENTERTAINMENT - 0.53%
300 Carnival Corp., Class A............................... 13,350
800 Hasbro, Inc. ......................................... 16,500
800 Time Warner, Inc. .................................... 55,750
-----------
85,600
-----------
FINANCE COMPANIES - 0.05%
200 Associates First Capital Corp. ....................... 7,300
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES - 0.01%
100 * Ameritrade Holding Corp., Class A..................... $ 1,625
-----------
FOODS - 2.01%
2,100 ConAgra, Inc. ........................................ 54,730
100 General Mills, Inc. .................................. 8,719
200 H J Heinz Co. ........................................ 9,550
300 Hormel Foods Corp. ................................... 12,938
5,300 IBP, Inc. ............................................ 126,868
6,100 Nabisco Group Holdings Corp. ......................... 78,156
900 Nabisco Holdings Corp., Class A....................... 33,638
-----------
324,599
-----------
FOOTWEAR - 0.21%
600 NIKE, Inc., Class B................................... 33,863
-----------
GOVERNMENT SPONSORED - 0.30%
500 Federal Home Loan Mortgage Corp. ..................... 27,031
300 Federal National Mortgage Association................. 21,225
-----------
48,256
-----------
HEALTHCARE - 3.09%
1,400 * PacifiCare Health System, Inc., Class A............... 55,213
4,300 United HealthCare Corp. .............................. 222,255
3,800 * Wellpoint Health Networks, Inc. ...................... 220,400
-----------
497,868
-----------
HOSPITAL SUPPLIES - 3.81%
900 Abbott Laboratories................................... 36,338
1,500 Baxter International, Inc. ........................... 97,313
3,800 Johnson & Johnson..................................... 398,050
1,600 Medtronic, Inc. ...................................... 55,400
1,800 * Summit Technology, Inc. .............................. 28,013
-----------
615,114
-----------
HOUSEHOLD PRODUCTS - 4.05%
5,600 Procter & Gamble Co. ................................. 587,300
1,003 Unilever NV - ADR..................................... 66,887
-----------
654,187
-----------
INFORMATION PROCESSING - 0.34%
300 * JDS Uniphase Corp. ................................... 50,063
100 * Lycos, Inc. .......................................... 5,350
-----------
55,413
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 LARGE CAP GROWTH FUND - CONTINUED 39
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 7.21%
200 * Broadcom Corp. ...................................... $ 25,563
1,500 * DST Systems, Inc. ................................... 95,531
100 * Inktomi Corp. ....................................... 10,144
10,000 * Microsoft Corp. ..................................... 925,624
2,250 * Oracle Corp. ........................................ 107,016
-----------
1,163,878
-----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 4.56%
400 * Adaptec, Inc. ....................................... 18,000
2,100 * Apple Computer, Inc. ................................ 168,263
2,200 * Dell Computer Corp. ................................. 88,275
1,700 * Lexmark International Group, Inc. ................... 132,706
3,100 * Sun Microsystems, Inc. .............................. 328,019
-----------
735,263
-----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 3.24%
2,700 * America Online, Inc. ................................ 350,155
1,000 Automatic Data Processing, Inc. ..................... 48,188
100 * Checkfree Holdings Corp. ............................ 3,738
200 * CMGI, Inc. .......................................... 21,887
100 * C-Net, Inc. ......................................... 4,719
200 Electronic Data Systems Corp. ....................... 11,700
1,500 First Data Corp. .................................... 68,530
100 * Sterling Commerce, Inc. ............................. 2,344
100 * VeriSign, Inc. ...................................... 12,350
-----------
523,611
-----------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 0.21%
100 * Infoseek Corp. ...................................... 3,169
400 * Intuit, Inc. ........................................ 11,650
100 * Macromedia, Inc. .................................... 6,444
100 * Networks Associates, Inc. ........................... 1,831
100 * Realnetworks, Inc. .................................. 10,969
-----------
34,063
-----------
INFORMATION PROCESSING -
DATA SERVICES - 7.58%
400 * At Home Corp. ....................................... 14,950
500 * Computer Sciences Corp. ............................. 34,344
1,400 * EMC Corp. ........................................... 102,200
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
DATA SERVICES - Continued
2,600 Hewlett Packard Co. ................................. $ 192,562
5,000 International Business Machines...................... 491,874
1,500 * Novell, Inc. ........................................ 30,094
200 Pitney Bowes, Inc. .................................. 9,113
200 * PsiNet, Inc. ........................................ 7,200
3,500 * Solectron Corp. ..................................... 263,375
1,000 * Unisys Corp. ........................................ 24,250
300 * Yahoo!, Inc. ........................................ 53,719
-----------
1,223,681
-----------
INFORMATION PROCESSING -
NETWORKING - 4.98%
9,200 * Cisco Systems, Inc. ................................. 680,800
200 * Exodus Communications, Inc. ......................... 17,200
1,000 * PMC-Sierra, Inc. .................................... 94,250
200 * USWeb Corp. ......................................... 7,750
100 * Verio, Inc. ......................................... 3,730
-----------
803,730
-----------
INSURANCE - CASUALTY - 0.13%
600 Travelers Property Casualty Corp. ................... 21,600
-----------
INSURANCE - LIFE - 0.24%
400 AXA Financial, Inc. ................................. 12,825
500 Hartford Life Inc., Class A.......................... 26,124
-----------
38,949
-----------
INSURANCE - MULTILINE - 1.22%
1,600 American International Group, Inc. .................. 164,700
400 Marsh & McLennan Companies, Inc. .................... 31,625
-----------
196,325
-----------
LEISURE TIME - 0.03%
100 * Sabre Holdings, Corp. ............................... 4,444
-----------
LODGING - 0.77%
3,500 Marriott International, Inc. ........................ 117,906
121 * MGM Grand, Inc. ..................................... 6,171
-----------
124,077
-----------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.21%
600 * Calpine Corp. ....................................... 34,575
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MEDICAL TECHNOLOGY - 0.15%
500 Guidant Corp. ....................................... $ 24,688
-----------
MERCHANDISE - DRUG - 0.66%
400 * Andrx Corp. ......................................... 19,100
2,000 CVS Corp. ........................................... 86,875
-----------
105,975
-----------
MERCHANDISE - SPECIALTY - 3.54%
500 * Amazon.com, Inc. .................................... 35,313
1,000 * Best Buy Co., Inc. .................................. 55,563
2,200 Circuit City Stores, Inc. ........................... 93,913
300 * Costco Wholesale Corp. .............................. 24,093
1,500 Fortune Brands, Inc. ................................ 53,156
3,300 Home Depot, Inc. .................................... 249,150
1,000 Tiffany & Co. ....................................... 59,500
-----------
570,688
-----------
MERCHANDISING - DEPARTMENT - 1.07%
700 Dayton Hudson Corp. ................................. 45,238
3,000 * Federated Department Stores, Inc. ................... 128,062
-----------
173,300
-----------
MERCHANDISING - FOOD - 0.13%
1,000 * Kroger Co. .......................................... 20,813
-----------
MERCHANDISING - MASS - 1.52%
100 * Priceline.com, Inc. ................................. 6,025
4,200 Wal-Mart Stores, Inc. ............................... 239,925
-----------
245,950
-----------
MISCELLANEOUS - 0.08%
100 * Ebay, Inc. .......................................... 13,513
-----------
OIL - INTEGRATED INTERNATIONAL - 0.54%
200 Exxon Corp. ......................................... 14,813
1,200 Royal Dutch Petroleum Co. ........................... 71,924
-----------
86,737
-----------
OIL - SERVICES - 0.23%
600 Schlumberger, Ltd. .................................. 36,338
-----------
PAPER/FOREST PRODUCTS - 0.54%
200 Champion International Corp. ........................ 11,563
1,100 Georgia-Pacific Corp. ............................... 43,656
500 Kimberly-Clark Corp. ................................ 31,562
-----------
86,781
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
40 October 31, 1999
LARGE CAP GROWTH FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PHOTOGRAPHY - 0.60%
1,400 Eastman Kodak Co. ................................... $ 96,513
-----------
POLLUTION CONTROL - 0.36%
4,700 * Republic Services, Inc., Class A..................... 57,575
-----------
RESTAURANTS - 0.50%
800 McDonald's Corp. .................................... 33,000
1,200 * Tricon Global Restaurants, Inc. ..................... 48,225
-----------
81,225
-----------
SECURITIES RELATED - 1.72%
1,700 Charles Schwab Corp. ................................ 66,194
800 Donaldson, Lufkin & Jenrette, Inc. - DLJ............. 41,400
400 * E*Trade Group, Inc. ................................. 9,525
600 Lehman Brothers Holdings, Inc. ...................... 44,212
1,000 Merrill Lynch & Co., Inc. ........................... 78,500
279 Standard & Poor's Depositary Receipts................ 38,153
-----------
277,984
-----------
SEMICONDUCTOR EQUIPMENT - 0.61%
1,100 * Applied Materials, Inc. ............................. 98,794
-----------
SEMICONDUCTORS - 3.89%
600 * Applied Micro Circuits Corp. ........................ 46,688
5,500 Intel Corp. ......................................... 425,906
300 * LSI Logic Corp. ..................................... 15,956
100 Motorola, Inc. ...................................... 9,744
1,000 Texas Instruments, Inc. ............................. 89,750
500 * Xilinx, Inc. ........................................ 39,313
-----------
627,357
-----------
TELECOMMUNICATIONS - 9.99%
1,400 ALLTEL Corp. ........................................ 116,549
3,500 AT&T Corp. .......................................... 163,624
1,200 * AT&T Corp. - Liberty Media Group .................... 47,625
200 BCE, Inc. ........................................... 12,050
2,700 * CIENA Corp. ......................................... 95,175
100 * Covad Communications Group, Inc. .................... 4,800
800 * Level 3 Communications, Inc. ........................ 54,700
4,500 Lucent Technologies, Inc. ........................... 289,125
2,700 * MCI Worldcom, Inc. .................................. 231,694
200 * NEXTLINK Communications, Inc. ....................... 11,963
3,400 Nortel Networks Corp. ............................... 210,588
1,000 * QUALCOMM, Inc. ...................................... 222,750
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS - Continued
1,300 * Qwest Communications International, Inc. ............. $ 46,800
100 * RCN Corp. ............................................ 4,788
100 * Rhythms Netconnections, Inc. ......................... 2,919
1,700 Scientific-Atlanta, Inc. ............................. 97,324
-----------
1,612,474
-----------
TOBACCO - 0.50%
3,200 Philip Morris Companies, Inc. ........................ 80,600
-----------
UTILITIES - COMMUNICATION - 0.28%
200 GTE Corp. ............................................ 15,000
400 Sprint Corp., FON Group............................... 29,725
-----------
44,725
-----------
TOTAL COMMON STOCK
(Cost $13,691,965).................................... 15,871,294
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
--------
<C> <S> <C>
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 1.05%
BANKS - OTHER - 1.05%
$170,000 State Street Bank Repurchase Agreement, 5.15%, dated
10/31/99, to be repurchased at $170,073 on 11/01/99,
collaterlized by U.S. Treasury Note, 5.38%, 07/31/00,
with a par value of $175,000 (Cost $170,000)........... 170,000
-----------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $170,000)........................................ 170,000
-----------
UNITED STATES GOVERNMENT-
SHORT TERM - 0.56%
U. S. TREASURY BILLS - 0.56%
United States Treasury Bills:
20,000 4.51% due 12/09/99..................................... 19,905
25,000 4.44% due 12/09/99..................................... 24,883
10,000 4.43% due 12/09/99..................................... 9,953
10,000 4.40% due 11/04/99..................................... 9,996
25,000 4.35% due 11/18/99..................................... 24,948
-----------
89,685
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TOTAL UNITED STATES GOVERNMENT -
SHORT TERM
(Cost $89,685)........................................... $ 89,685
-----------
TOTAL INVESTMENTS
(Cost $13,951,650) - 99.96% ............................. $16,130,979
-----------
*Non-income producing
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
<S> <C>
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED(1)
1(2)(Delivery month/Value at 10/31/99) E-Mini S & P Futures
(December/$1,376.20)....................................... $ 3,735
-----------
</TABLE>
(1) U.S. Treasury Bills with a market value of approximately $90,000 were
maintained in a segregated account with a portion placed as collateral
for futures contracts.
(2) Per 50.
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 LARGE CAP GROWTH FUND - CONTINUED 41
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $13,951,650).......................... $16,130,979
Receivables for:
Fund shares sold.................................................. 87,035
Dividends and interest............................................ 4,461
Other assets....................................................... 25,129
-----------
TOTAL ASSETS....................................................... 16,247,604
-----------
LIABILITIES:
Payable for fund shares redeemed................................... 46
Payable to affiliates:
Administrative service fees for Class I........................... 4,169
Advisory fees..................................................... 49,471
Distribution fees for Class A & B................................. 5,780
Other............................................................. 50,883
Accrued expenses and other liabilities............................. 50
-----------
TOTAL LIABILITIES.................................................. 110,399
-----------
NET ASSETS......................................................... $16,137,205
-----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 1,192,507 shares outstanding.................... $ 11,925
Additional paid in capital......................................... 13,815,105
Undistributed net realized gain on securities...................... 127,111
Unrealized appreciation of:
Investments............................................ $2,179,329
Futures contracts...................................... 3,735 2,183,064
---------- -----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $16,137,205
-----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
- --------------------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($2,759,889 divided by 202,908 shares)....................... $ 13.60
-----------
Offering price per Class A share
(100/94.25 of $13.60)*............................................. $ 14.43
-----------
Net asset value and offering price per Class B
share ($8,853,396 divided by 657,052 shares)**..................... $ 13.47
-----------
Net asset value, offering price and redemption
price per Class I share ($2,922,583 divided by
214,815 shares).................................................... $ 13.61
-----------
Net asset value, offering price and redemption
price per Class II share ($1,601,337 divided by
117,732 shares)................................................... $ 13.60
-----------
* Offering price includes sales charge of 5.75%. The sales charge is reduced for
purchases of $25,000 and over.
** Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charge.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
42 LARGE CAP GROWTH FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Dividends......................................................... $ 66,485
Interest.......................................................... 23,739
----------
Total investment income.......................................... 90,224
----------
EXPENSES:
Advisory fees..................................................... 49,471
Transfer agent fees............................................... 23,366
Custodian fees.................................................... 11,079
Distribution fees:
Class A.......................................................... 4,860
Class B.......................................................... 34,739
Administrative service fee, Class I............................... 4,169
Registration and filing fees...................................... 54,604
Audit fees and tax services....................................... 5,217
Accounting services............................................... 2,703
Trustees' fees and expenses....................................... 1,238
Report to shareholders............................................ 428
Miscellaneous..................................................... 5,379
----------
Total expenses................................................... 197,253
Expense reimbursement (see Note 3)............................... (76,495)
----------
Net expenses..................................................... 120,758
----------
NET INVESTMENT LOSS............................................... (30,534)
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain (loss) on securities:
Investments........................................... $ 289,999
Futures contracts..................................... (127,454) 162,545
----------
Net unrealized appreciation on securities during the period:
Investments........................................... 2,179,329
Futures contracts..................................... 3,735 2,183,064
---------- ----------
Net realized and unrealized gain on securities during the
period.......................................................... 2,345,609
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................. $2,315,075
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
<S> <C> <C>
-----------------------------------
OPERATIONS:
Net investment loss....................... $ (30,534) $ -
Net realized gain on securities........... 162,545 -
Net unrealized appreciation of securities
during the period......................... 2,183,064 -
-----------------------------------
Increase in net assets resulting from
operations............................... 2,315,075 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A.................................. - -
Class B.................................. - -
Class I.................................. (413) -
Class II................................. (4,487) -
-----------------------------------
Total distributions to shareholders from
net investment income................... (4,900) -
-----------------------------------
Net realized gain on securities
Class A.................................. - -
Class B.................................. - -
Class I.................................. - -
Class II................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (4,900) -
-----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A.................................. 2,233,762 712
Class B.................................. 8,024,484 712
Class I.................................. 2,408,861 713
Class II................................. 1,157,073 713
-----------------------------------
Total increase in net assets resulting
from share transactions................... 13,824,180 2,850
-----------------------------------
TOTAL INCREASE IN NET ASSETS.............. 16,134,355 2,850
NET ASSETS:
Beginning of year........................ 2,850 -
-----------------------------------
End of period ........................... $16,137,205 $2,850
-----------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING ----------------------------------------- -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------- -------------------- ------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------- -------------------- ------------------- --------------------
Shares sold..... 215,767 $2,400,134 71 $ 712 672,822 $8,230,783 71 $ 712
Shares issued
for
distributions
reinvested...... - - - - - - - -
Shares
repurchased..... (12,930) (166,372) - - (15,841) (206,299) - -
------------------- -------------------- ------------------- --------------------
Increase in
shares
outstanding..... 202,837 2,233,762 71 712 656,981 8,024,484 71 712
Shares
outstanding:
Beginning of
period.......... 71 712 - - 71 712 - -
------------------- -------------------- ------------------- --------------------
End of period... 202,908 $2,234,474 71 $ 712 657,052 $8,025,196 71 $ 712
------------------- -------------------- ------------------- --------------------
<CAPTION>
CHANGE IN SHARES Class I Class II
OUTSTANDING ------------------------------------------ ------------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
-------------------- --------------------- -------------------- ---------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-------------------- --------------------- -------------------- ---------------------
Shares sold..... 224,884 $2,539,442 71 $ 713 124,934 $1,249,361 72 $ 713
Shares issued
for
distributions
reinvested...... 34 413 - - 352 4,487 - -
Shares
repurchased..... (10,174) (130,994) - - (7,626) (96,775) - -
-------------------- --------------------- -------------------- ---------------------
Increase in
shares
outstanding..... 214,744 2,408,861 71 713 117,660 1,157,073 72 713
Shares
outstanding:
Beginning of
period.......... 71 713 - - 72 713 - -
-------------------- --------------------- -------------------- ---------------------
End of period... 214,815 $2,409,574 71 $ 713 117,732 $1,157,786 72 $ 713
-------------------- --------------------- -------------------- ---------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 MID CAP GROWTH FUND 43
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 97.40%
ADVERTISING - 2.79%
4,100 * Catalina Marketing Corp. .............................. $ 383,863
----------
APPAREL & PRODUCTS - 2.46%
5,600 Cintas Corp. .......................................... 337,400
----------
AUTO - CARS - 2.33%
5,400 Harley-Davidson, Inc. ................................. 320,288
----------
AUTO - ORIGINAL EQUIPMENT - 0.35%
1,000 Danaher Corp. ......................................... 48,313
----------
BUILDING MATERIALS - 2.46%
9,300 Fastenal Co. .......................................... 337,125
----------
CONGLOMERATES - 1.79%
10,500 Dial Corp. ............................................ 245,438
----------
DRUGS - 2.46%
4,900 * ALZA Corp. ............................................ 209,781
13,200 * Covance, Inc. ......................................... 127,875
----------
337,656
----------
FINANCIAL SERVICES - 3.54%
13,700 Price (T Rowe) Associates.............................. 486,350
----------
GOVERNMENT SPONSORED - 2.96%
8,300 SLM Holding Corp. ..................................... 406,181
----------
HEALTHCARE - 7.54%
7,700 Cardinal Health, Inc. ................................. 332,062
12,600 * HCR Manor Care, Inc. .................................. 198,450
30,000 * Health Management Association.......................... 266,250
11,200 Omnicare, Inc. ........................................ 103,600
7,300 * Quintiles Transnational Corp. ......................... 135,506
----------
1,035,868
----------
HOSPITAL SUPPLIES - 1.03%
7,000 * Boston Scientific Corp. ............................... 140,875
----------
HOUSEHOLD PRODUCTS - 2.29%
9,100 Newell Rubbermaid, Inc. ............................... 315,088
----------
HUMAN RESOURCES - 1.92%
8,500 * Interim Services, Inc. ................................ 139,719
4,600 * Robert Half International, Inc. ....................... 124,488
----------
264,207
----------
INFORMATION PROCESSING - 3.95%
12,800 * Acxiom Corp. .......................................... 211,200
2,300 * Advent Software, Inc. ................................. 138,288
10,100 * Parametric Technology Corp. ........................... 192,531
----------
542,019
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 3.97%
8,500 * BMC Software, Inc. .................................... $ 545,594
----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 1.03%
2,700 * Jabil Circuit, Inc. ................................... 141,075
----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 4.08%
12,200 Paychex, Inc. ......................................... 480,375
3,400 * Sterling Commerce, Inc. ............................... 79,688
----------
560,063
----------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 2.60%
19,500 * Networks Associates, Inc. ............................. 357,094
----------
INFORMATION PROCESSING -
DATA SERVICES - 13.76%
5,200 * BISYS Group, Inc. ..................................... 265,200
11,600 * Compuware Corp. ....................................... 322,625
5,000 * EMC Corp. ............................................. 365,000
8,700 * Fiserv, Inc. .......................................... 278,400
8,800 * Keane, Inc. ........................................... 206,800
600 * Solectron Corp. ....................................... 45,150
11,800 * Sterling Software, Inc. ............................... 258,862
4,800 * Transaction Systems Architects, Inc.,
Class A................................................ 147,600
----------
1,889,637
----------
INSURANCE - MULTILINE - 2.31%
6,200 AFLAC, Inc. ........................................... 316,975
----------
MEDICAL TECHNOLOGY - 5.26%
4,900 Guidant Corp. ......................................... 241,937
7,400 PE Corp - PE Biosystems Group.......................... 480,075
----------
722,012
----------
MERCHANDISE - SPECIALTY - 4.38%
12,825 Dollar General Corp. .................................. 338,259
1,700 * Kohl's Corp. .......................................... 127,181
6,100 * Staples, Inc. ......................................... 135,344
----------
600,784
----------
MERCHANDISING - MASS - 3.20%
10,100 * Dollar Tree Stores, Inc. .............................. 439,981
----------
MISCELLANEOUS - 2.01%
10,200 Equifax, Inc. ......................................... 275,400
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
OIL - SERVICES - 0.25%
1,000 * Smith International, Inc. .......................... $ 34,563
-----------
SCHOOLS - 1.05%
11,100 * Sylvan Learning Systems, Inc. ...................... 143,606
-----------
SECURITIES RELATED - 5.84%
12,400 Franklin Resources, Inc. ........................... 434,000
10,100 Legg Mason, Inc. ................................... 367,387
-----------
801,387
-----------
SEMICONDUCTORS - 3.29%
9,300 * Altera Corp. ....................................... 452,213
-----------
TELECOMMUNICATIONS - 5.27%
6,800 * ADC Communications, Inc. ........................... 324,275
2,400 * Amdocs, Ltd. ....................................... 66,750
3,700 * Sanmina Corp. ...................................... 333,230
-----------
724,255
-----------
TEXTILE - PRODUCTS - 1.23%
4,500 G & K Services, Inc., Class A....................... 169,031
-----------
TOTAL COMMON STOCK
(Cost $14,516,034).................................. 13,374,341
-----------
PAR
VALUE
--------
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 4.30%
BANKS - OTHER - 4.30%
$591,000 State Street Bank Repurchase Agreement 5.15%, dated
10/31/99 to be repurchased at $591,254 on 11/01/99,
collateralized by U.S. Treasury Note, 5.38%,
07/31/00, with a par value of $600,000
(Cost $591,000)..................................... 591,000
-----------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $591,000)..................................... 591,000
-----------
TOTAL INVESTMENTS
(Cost $15,107,034) - 101.71%........................ $13,965,341
-----------
*Non-income producing
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
44 October 31, 1999
MID CAP GROWTH FUND - CONTINUED
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $15,107,034).......................... $13,965,341
Receivables for:
Fund shares sold.................................................. 31,213
Dividends and interest............................................ 1,352
Other assets....................................................... 28,174
-----------
TOTAL ASSETS....................................................... 14,026,080
-----------
LIABILITIES:
Payable for:
Investments purchased............................................. 197,121
Fund shares redeemed.............................................. 1,178
Payable to affiliates:
Administrative service fees for Class I........................... 8,118
Advisory fees..................................................... 54,372
Distribution fees for Class A & B................................. 2,994
Other............................................................. 31,188
Accrued expenses and other liabilities............................. 42
-----------
TOTAL LIABILITIES.................................................. 295,013
-----------
NET ASSETS......................................................... $13,731,067
-----------
</TABLE>
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 1,334,715 shares outstanding................... $ 13,347
Additional paid in capital........................................ 14,458,929
Undistributed net realized gain on securities..................... 400,484
Unrealized depreciation of securities............................. (1,141,693)
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $13,731,067
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
<S> <C>
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($1,769,056 divided by 171,762 shares)............................ $10.30
------
Offering price per Class A share
(100/94.25 of $10.30)*.................................................. $10.93
------
Net asset value and offering price per Class B
share ($3,652,246 divided by 357,659 shares)**.......................... $10.21
------
Net asset value, offering price and redemption
price per Class I share ($7,010,178 divided by
679,507 shares)......................................................... $10.32
------
Net asset value, offering price and redemption
price per Class II share ($1,299,587 divided by
125,787 shares)......................................................... $10.33
------
* Offering price includes sales charge of 5.75%.
The sales charge is reduced for purchases
of $25,000 and over.
** Redemption price per share is equal to net asset value
less any applicable contingent deferred sales charge.
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
45
MID CAP GROWTH FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends......................................................... $ 25,427
Interest.......................................................... 37,473
-----------
Total investment income.......................................... 62,900
-----------
EXPENSES:
Advisory fees..................................................... 54,371
Transfer agent fees............................................... 22,972
Custodian fees.................................................... 8,898
Distribution fees:
Class A.......................................................... 3,680
Class B.......................................................... 21,310
Administrative service fee, Class I............................... 8,118
Registration and filing fees...................................... 54,393
Audit fees and tax services....................................... 4,832
Accounting services............................................... 2,513
Trustees' fees and expenses....................................... 1,132
Report to shareholders............................................ 324
Miscellaneous..................................................... 5,253
-----------
Total expenses................................................... 187,796
Expense reimbursement (see Note 3)............................... (92,124)
-----------
Net expenses..................................................... 95,672
-----------
NET INVESTMENT LOSS............................................... (32,772)
-----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities................................... 436,028
Net unrealized depreciation of securities during the period....... (1,141,693)
-----------
Net realized and unrealized loss on securities during the
period.......................................................... (705,665)
-----------
DECREASE IN NET ASSETS RESULTING FROM OPERATIONS.................. $ (738,437)
-----------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment loss....................... $ (32,772) $ -
Net realized gain on securities........... 436,028 -
Net unrealized depreciation of securities
during the period......................... (1,141,693) -
-----------------------------------
Decrease in net assets resulting from
operations............................... (738,437) -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A.................................. (110) -
Class B.................................. - -
Class I.................................. (1,446) -
Class II................................. (1,216) -
-----------------------------------
Total distributions to shareholders from
net investment income................... (2,772) -
-----------------------------------
Net realized gain on securities
Class A.................................. - -
Class B.................................. - -
Class I.................................. - -
Class II................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (2,772) -
-----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A.................................. 1,751,127 1,013
Class B.................................. 3,749,213 1,012
Class I.................................. 7,710,034 1,013
Class II................................. 1,257,852 1,012
-----------------------------------
Total increase in net assets resulting
from share transactions................... 14,468,226 4,050
-----------------------------------
TOTAL INCREASE IN NET ASSETS.............. 13,727,017 4,050
NET ASSETS:
Beginning of year........................ 4,050 -
-----------------------------------
End of period............................ $13,731,067 $4,050
-----------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING ----------------------------------------- -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------- -------------------- ------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------- -------------------- ------------------- --------------------
Shares sold..... 174,068 $1,777,169 101 $ 1,013 367,134 $3,853,739 101 $ 1,012
Shares issued
for
distributions
reinvested...... 10 110 - - - - - -
Shares
repurchased..... (2,417) (26,152) - - (9,576) (104,526) - -
------------------- -------------------- ------------------- --------------------
Increase in
shares
outstanding..... 171,661 1,751,127 101 1,013 357,558 3,749,213 101 1,012
Shares
outstanding:
Beginning of
period.......... 101 1,013 - - 101 1,012 - -
------------------- -------------------- ------------------- --------------------
End of period... 171,762 $1,752,140 101 $ 1,013 357,659 $3,750,225 101 $ 1,012
------------------- -------------------- ------------------- --------------------
<CAPTION>
CHANGE IN SHARES Class I Class II
OUTSTANDING ----------------------------------------- -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
-------------------- -------------------- -------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-------------------- -------------------- -------------------- --------------------
Shares sold..... 763,324 $8,630,444 101 $ 1,013 125,666 $1,257,636 102 $ 1,012
Shares issued
for
distributions
reinvested...... 130 1,436 - - 107 1,216 - -
Shares
repurchased..... (84,048) (921,846) - - (88) (1,000) - -
-------------------- -------------------- -------------------- --------------------
Increase in
shares
outstanding..... 679,406 7,710,034 101 1,013 125,685 1,257,852 102 1,012
Shares
outstanding:
Beginning of
period.......... 101 1,013 - - 102 1,012 - -
-------------------- -------------------- -------------------- --------------------
End of period... 679,507 $7,711,047 101 $ 1,013 125,787 $1,258,864 102 $ 1,012
-------------------- -------------------- -------------------- --------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
46 SMALL CAP GROWTH FUNDOctober 31, 1999
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 88.42%
ADVERTISING - 1.07%
1,475 * Catalina Marketing Corp. .............................. $ 138,097
----------
APPAREL & PRODUCTS - 1.86%
2,250 * Ann Taylor Stores Corp. ............................... 95,766
2,375 * Bebe Stores, Inc. ..................................... 62,641
1,750 Talbots, Inc. ......................................... 82,359
----------
240,766
----------
APPLIANCES/FURNISHINGS - 0.23%
1,500 * Furniture Brands International......................... 29,063
----------
AUTO - REPLACEMENT PARTS - 0.38%
5,525 Gentek, Inc. .......................................... 48,689
----------
BANKS - OTHER - 0.30%
3,100 Sterling Bancshares, Inc. ............................. 38,750
----------
BANKS - REGIONAL - 2.62%
575 AMCORE Financial, Inc. ................................ 13,584
2,300 Bank United Corp. ..................................... 89,699
1,150 City National Corp. ................................... 44,562
575 Colonial BancGroup, Inc. .............................. 6,864
1,500 Commercial Federal Corp. .............................. 29,438
500 * Hamilton Bancorp, Inc. ................................ 7,938
1,330 Independent Bank Corp. ................................ 20,116
3,700 National Commerce Bancorp. ............................ 92,500
575 Pacific Century Financial Corp. ....................... 13,117
500 Webster Financial Corp. ............................... 14,313
515 West Coast Bancorp..................................... 7,113
----------
339,244
----------
BEVERAGE -
BREWERS/DISTRIBUTORS - 0.68%
2,425 * Mondavi, Robert Corp., Class A......................... 87,603
----------
BROADCASTING - 2.97%
1,725 * Entercom Communications Corp. ......................... 85,927
2,300 * Insight Communications Co. ............................ 54,338
575 * Jones Intercable, Inc. ................................ 31,408
500 * Radio Unica Corp. ..................................... 14,312
1,400 * Spanish Broadcasting System, Inc., Class A............. 37,275
1,900 * Univision Communications, Inc. ........................ 161,619
----------
384,879
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CHEMICAL - MAJOR - 0.71%
5,175 Albemarle Corp. ....................................... $ 91,856
----------
CHEMICAL - MISCELLANEOUS - 2.11%
4,500 General Chemical Group, Inc. .......................... 11,250
2,925 Geon, Co. ............................................. 76,781
6,100 Georgia Gulf Corp. .................................... 131,530
3,900 Olin Corp. ............................................ 53,869
----------
273,430
----------
CONSUMER FINANCE - 0.09%
650 * Creditrust Corp. ...................................... 11,578
----------
COSMETICS/TOILETRIES - 0.10%
700 * Steiner Leisure, Ltd. ................................. 13,257
----------
DRUGS - 5.04%
3,000 * Human Genome Sciences, Inc. ........................... 262,125
450 * IDEC Pharmaceuticals Corp. ............................ 52,284
6,200 * Ligand Pharmaceuticals, Inc., Class B.................. 50,763
1,600 * Millennium Pharmaceuticals, Inc. ...................... 112,200
4,300 * SangStat Medical Corp. ................................ 92,987
1,600 * Triangle Pharmaceuticals, Inc. ........................ 26,000
1,950 * Vertex Pharmaceuticals, Inc. .......................... 55,819
----------
652,178
----------
ELECTRICAL EQUIPMENT - 0.73%
1,025 * Electro Scientific Industries, Inc. ................... 55,350
1,275 * Intertan, Inc. ........................................ 28,687
400 * Plexus Corp. .......................................... 10,600
----------
94,637
----------
ELECTRONIC INSTRUMENTS - 0.70%
5,400 * 3DO Co. ............................................... 40,500
3,200 * LTX Corp. ............................................. 50,600
----------
91,100
----------
ENTERTAINMENT - 1.28%
1,375 * Aztar Corp. ........................................... 13,320
4,700 * Cinar Corp. ........................................... 81,663
1,850 * Pixar, Inc. ........................................... 70,415
----------
165,398
----------
FINANCE COMPANIES - 0.57%
3,450 * Financial Federal Corp. ............................... 74,175
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES - 1.14%
1,200 * Blackrock, Inc. ....................................... $ 18,300
2,300 * Gabelli Asset Management, Inc. ........................ 34,356
2,425 Heller Financial, Inc. ................................ 57,594
900 * Sun Bancorp, Inc. ..................................... 9,281
1,600 * Wit Capital Group, Inc. ............................... 28,100
----------
147,631
----------
FOODS - 0.59%
575 * American Italian Pasta Co., Class A.................... 14,447
1,950 * Keebler Foods Co. ..................................... 62,277
----------
76,724
----------
FOOTWEAR - 0.97%
1,025 * Cole, K. Productions, Inc., Class A.................... 40,103
5,175 * Steven Madden, Ltd. ................................... 63,394
1,950 * Vans, Inc. ............................................ 21,938
----------
125,435
----------
HEALTHCARE - 1.29%
900 * Careinsite, Inc. ...................................... 39,375
3,400 * Medquist, Inc. ........................................ 108,800
575 * Ocular Sciences, Inc. ................................. 10,565
1,025 * Respironics, Inc. ..................................... 8,648
----------
167,388
----------
HOSPITAL SUPPLIES - 0.31%
450 * CONMED Corp. .......................................... 11,222
1,850 * Summit Technology, Inc. ............................... 28,790
----------
40,012
----------
HOUSEHOLD PRODUCTS - 1.04%
2,062 * Cost Plus, Inc. ....................................... 75,263
1,500 * Linens 'N Things, Inc. ................................ 59,625
----------
134,888
----------
INFORMATION PROCESSING - 1.38%
350 * Go2Net, Inc. .......................................... 24,631
2,625 * National Information Consortium, Inc. ................. 85,968
800 * Safeguard Scientifics, Inc. ........................... 67,300
----------
177,899
----------
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 SMALL CAP GROWTH FUND - CONTINUED 47
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 8.03%
3,775 * 24/7 Media, Inc., ..................................... $ 163,032
1,900 * Actuate Software Corp. ................................ 64,600
450 * Art Technology Group, Inc. ............................ 24,300
6,100 * Aspen Technology, Inc. ................................ 77,774
100 * E.piphany, Inc. ....................................... 8,600
1,900 * Exchange Applications, Inc. ........................... 51,775
625 * F5 Networks, Inc. ..................................... 86,719
2,600 * Microstrategy, Inc. ................................... 251,225
800 * Mission Critical Software, Inc. ....................... 47,100
2,300 * Multex.com, Inc. ...................................... 36,944
3,000 * Net Perceptions, Inc. ................................. 48,000
1,975 * NFront, Inc. .......................................... 27,403
3,200 * Private Business, Inc. ................................ 6,800
100 * Quest Software, Inc. .................................. 7,375
2,825 * Saleslogix Corp. ...................................... 88,987
800 * Webtrend Corp. ........................................ 49,400
----------
1,040,034
----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 2.98%
2,175 Creative Technology, Ltd. ............................. 26,100
1,550 * E-Tek Dynamics, Inc. .................................. 103,269
325 * Foundry Networks, Inc. ................................ 61,587
300 * JNI Corp. ............................................. 16,031
1,725 * MIPS Technologies, Inc., Class A....................... 49,809
4,400 * Radiant Systems, Inc. ................................. 69,300
1,350 * Silicon Image, Inc. ................................... 59,653
----------
385,749
----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 1.79%
225 * Alteon Websystems, Inc. ............................... 16,143
225 * Breakaway Solutions, Inc. ............................. 11,967
800 * Checkfree Holdings Corp. .............................. 29,900
150 * Interwoven, Inc. ...................................... 11,756
100 * Keynote Systems, Inc. ................................. 4,538
1,325 * Media Metrix, Inc. .................................... 62,109
650 * Netzero, Inc. ......................................... 13,366
1,000 * PC-Tel, Inc. .......................................... 30,000
425 * Predictive Systems, Inc. .............................. 18,488
450 * Verticalnet, Inc. ..................................... 25,200
1,275 * Webstakes.com, Inc. ................................... 8,367
----------
231,834
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 3.22%
3,000 * AppNet Systems, Inc. .................................. $ 130,688
3,375 * Caprock Communications Corp. .......................... 97,244
2,775 * Liberate Technologies, Inc. ........................... 189,047
----------
416,979
----------
INFORMATION PROCESSING -
DATA SERVICES - 1.36%
1,450 * CBT Group, Plc. - ADR.................................. 29,906
2,400 * In Focus Systems, Inc. ................................ 47,551
1,700 * Mapics, Inc. .......................................... 14,450
1,150 National Computer Systems, Inc. ....................... 43,483
1,450 * Pinnacle Systems, Inc. ................................ 40,238
----------
175,628
----------
INFORMATION PROCESSING -
NETWORKING - 3.10%
375 * Akamai Technologies, Inc. ............................. 54,445
7,250 * Concentric Network Corp. .............................. 185,781
575 * Net2phone, Inc. ....................................... 31,194
3,500 * Verio, Inc. ........................................... 130,594
----------
402,014
----------
INSURANCE - CASUALTY - 0.42%
1,500 Renaissancere Holdings, Ltd. .......................... 54,656
----------
INSURANCE - MISCELLANEOUS - 0.18%
2,750 Fremont General Corp. ................................. 23,719
----------
LEISURE TIME - 3.65%
4,025 * Action Performance Co., Inc. .......................... 81,884
1,425 * American Classic Voyages Co. .......................... 35,625
2,175 * Anchor Gaming.......................................... 132,675
675 * Etoys, Inc. ........................................... 40,331
4,925 * Premier Parks, Inc. ................................... 142,516
1,800 * Vail Resorts, Inc. .................................... 40,050
----------
473,081
----------
LODGING - 0.46%
800 * MGM Grand, Inc. ....................................... 40,800
900 * Sun International Hotels, Ltd. ........................ 18,225
----------
59,025
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MACHINE TOOLS - 0.41%
350 * Gilead Sciences, Inc. ................................. $ 22,116
1,850 Milacron, Inc. ........................................ 30,409
----------
52,525
----------
MACHINERY - AGRICULTURE - 0.78%
1,950 AGCO Corp., ........................................... 20,962
5,275 New Holland N.V. ...................................... 80,114
----------
101,076
----------
MACHINERY - INDUSTRIAL/SPECIALTY - 1.11%
1,725 * Asyst Technologies, Inc. .............................. 66,843
4,600 * GaSonics International Corp. .......................... 77,050
----------
143,893
----------
MEDICAL TECHNOLOGY - 2.67%
1,150 * Affymetrix, Inc. ...................................... 101,344
3,850 * Allscripts, Inc. ...................................... 60,155
1,975 * Cyberonics, Inc. ...................................... 27,774
3,300 * IDEXX Laboratories, Inc. .............................. 49,913
1,650 * Osteotech, Inc. ....................................... 21,553
3,800 * US Bioscience, Inc. ................................... 61,275
1,700 * Vical, Inc. ........................................... 24,225
----------
346,239
----------
MERCHANDISE - SPECIALTY - 0.79%
800 * Bush Boake Allen, Inc. ................................ 18,700
3,225 * Finish Line, Inc. ..................................... 22,273
1,950 * Hibbett Sporting Goods, Inc. .......................... 31,078
3,100 * MSC Industrial Direct Co. ............................. 29,644
----------
101,695
----------
METALS - MISCELLANEOUS - 0.36%
1,600 * Kennametal, Inc. ...................................... 46,000
----------
METALS - STEEL - 0.37%
1,500 * Mueller Industries, Inc. .............................. 47,906
----------
MISCELLANEOUS - 1.79%
575 Central Parking Corp. ................................. 15,417
565 * Internet Capital Group, Inc. .......................... 65,752
3,025 * Polycom, Inc. ......................................... 151,250
----------
232,419
----------
OIL - SERVICE - PRODUCTS - 0.58%
1,950 * Cooper Cameron Corp. .................................. 75,441
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
48 October 31, 1999
SMALL CAP GROWTH FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
OIL - SERVICES - 1.03%
2,400 Devon Energy Corp. .................................... $ 93,300
1,175 * Smith International, Inc. ............................. 40,611
----------
133,911
----------
OIL/GAS PRODUCERS - 0.26%
1,425 * Spinnaker Exploration Co. ............................. 21,019
700 Valero Energy Corp. ................................... 12,863
----------
33,882
----------
PAPER/FOREST PRODUCTS - 0.36%
3,200 Universal Forest Products, Inc. ....................... 46,400
----------
PHOTOGRAPHY - 0.26%
1,600 * Photronics, Inc. ...................................... 33,500
----------
PUBLISHING/PRINTING - 0.46%
1,275 * Scholastic Corp. ...................................... 59,288
----------
REAL ESTATE INVESTMENT TRUSTS - 0.62%
2,650 Allied Capital Corp. .................................. 53,166
1,950 Indymac Mortgage Holdings, Inc. ....................... 27,178
----------
80,344
----------
RESTAURANTS - 1.10%
3,800 * Papa Johns International, Inc. ........................ 142,025
----------
SCHOOLS - 0.98%
6,025 * DeVry, Inc. ........................................... 126,902
----------
SEMICONDUCTOR EQUIPMENT - 5.27%
5,700 * ATMI, Inc. ............................................ 153,544
1,950 * Brooks Automation, Inc. ............................... 37,050
900 * Cognex Corp. .......................................... 26,944
3,225 * Galileo Technology, Ltd. .............................. 73,771
500 * HI/FN, Inc. ........................................... 18,156
2,000 * Intevac, Inc. ......................................... 8,000
2,350 * LAM Research Corp. .................................... 198,428
950 * Microchip Technology, Inc. ............................ 63,294
4,950 * MKS Instruments, Inc. ................................. 103,950
----------
683,137
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SEMICONDUCTORS - 4.97%
1,300 * Applied Micro Circuits Corp. .......................... $ 101,156
2,875 * Cymer, Inc. ........................................... 106,195
7,350 * Cypress Semiconductor Corp. ........................... 187,884
1,500 * Exar Corp. ............................................ 54,188
3,355 * Fairchild Semiconductor Corp. ......................... 84,714
4,100 * Integrated Device Technology, Inc. .................... 84,306
1,600 * PLX Technology, Inc. .................................. 25,600
----------
644,043
----------
TELECOMMUNICATIONS - 9.54%
3,750 * Advanced Fibre Communications, Inc. ................... 82,031
3,100 * Allegiance Telecom, Inc. .............................. 213,900
5,225 * American Mobile Satellite Corp. ....................... 58,128
975 * Covad Communications Group, Inc. ...................... 46,800
400 * Diamond Tech Partners, Inc. ........................... 25,850
1,725 * Dycom Industries, Inc. ................................ 56,170
475 * Illuinet Holdings, Inc. ............................... 21,850
2,500 * L-3 Communications Holdings, Inc. ..................... 105,469
1,500 * NEXTLINK Communications, Inc. ......................... 89,720
2,150 * Pacific Gateway Exchange, Inc. ........................ 48,913
5,725 * Splitrock Services, Inc. .............................. 125,234
1,250 * Sycamore Networks, Inc. ............................... 268,749
2,075 * Talk.com, Inc. ........................................ 33,070
1,025 * Versatel Telecom International NV - ADR................ 12,941
975 * Williams Communications Group, Inc. ................... 31,078
400 * WinStar Communications, Inc. .......................... 15,525
----------
1,235,428
----------
TEXTILE - PRODUCTS - 0.88%
7,600 Wellman, Inc. ......................................... 114,475
----------
UTILITIES - GAS, DISTRIBUTION - 0.31%
3,000 * National-Oilwell, Inc. ................................ 40,688
----------
WATER SERVICES - 0.17%
1,600 * Azurix Corp. .......................................... 22,500
----------
TOTAL COMMON STOCK
(Cost $9,322,546)...................................... 11,451,113
----------
PREFERRED STOCK - 0.13%
OIL/GAS PRODUCERS - 0.13%
1,300 Tesoro Petroleum Corp. ................................ 16,413
----------
TOTAL PREFERRED STOCK
(Cost $20,242)......................................... 16,413
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
PAR VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 13.84%
BANKS - OTHER - 13.84%
$1,793,000 State Street Bank Repurchase Agreement, 5.15% dated
10/31/99, to be repurchased at $1,793,770 on
11/01/99, collateralized by U.S. Treasury Note,
5.38%, 07/31/00 with a par value of $1,810,000
(Cost $1,793,000).................................... $ 1,793,000
-----------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $1,793,000).................................... 1,793,000
-----------
TOTAL INVESTMENTS
(Cost $11,135,788) - 102.39%......................... $13,260,526
-----------
*Non-income producing
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 SMALL CAP GROWTH FUND - CONTINUED 49
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $11,135,788)......................... $13,260,526
Receivables for:
Investments sold................................................. 90,771
Fund shares sold................................................. 61,291
Dividends and interest........................................... 2,632
Other assets...................................................... 37,617
-----------
TOTAL ASSETS...................................................... 13,452,837
-----------
LIABILITIES:
Payable for:
Investments purchased............................................ 381,294
Fund shares redeemed............................................. 5,678
Payable to affiliates:
Administrative service fees for Class I.......................... 4,305
Advisory fees.................................................... 62,829
Distribution fees for Class A & B................................ 3,446
Other............................................................ 43,822
Accrued expenses and other liabilities............................ 200
-----------
TOTAL LIABILITIES................................................. 501,574
-----------
NET ASSETS........................................................ $12,951,263
-----------
- -------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 916,478 shares outstanding..................... $ 9,165
Additional paid in capital........................................ 10,269,578
Undistributed net realized gain on securities..................... 547,782
Unrealized appreciation of securities............................. 2,124,738
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $12,951,263
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($2,423,974 divided by 171,014 shares)...................... $ 14.17
-----------
Offering price per Class A share
(100/94.25 of $14.17)*............................................ $ 15.03
-----------
Net asset value and offering price per Class B
share ($5,170,136 divided by 368,206 shares)**.................... $ 14.04
-----------
Net asset value, offering price and redemption
price per Class I share ($3,626,347 divided by
255,597 shares)................................................... $ 14.19
-----------
Net asset value, offering price and redemption
price per Class II share ($1,730,806 divided by
121,661 shares)................................................... $ 14.23
-----------
* Offering price includes sales charge of 5.75%.
The sales charge is reduced for purchases
of $25,000 and over.
** Redemption price per share is equal to net asset value less any
applicable contingent deferred sales charge.
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
50 SMALL CAP GROWTH FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends........................................................... $ 22,380
Interest............................................................ 29,856
----------
Total investment income............................................ 52,236
----------
EXPENSES:
Advisory fees....................................................... 62,829
Transfer agent fees................................................. 19,233
Custodian fees...................................................... 9,142
Distribution fees:
Class A............................................................ 4,060
Class B............................................................ 22,970
Administrative service fee, Class I................................. 4,305
Registration and filing fees........................................ 54,351
Audit fees and tax services......................................... 4,360
Accounting services................................................. 2,222
Trustees' fees and expenses......................................... 1,115
Report to shareholders.............................................. 337
Miscellaneous....................................................... 3,753
----------
Total expenses..................................................... 188,677
Expense reimbursement (see Note 3)................................. (73,594)
----------
Net expenses....................................................... 115,083
----------
NET INVESTMENT LOSS................................................. (62,847)
----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities..................................... 610,629
Net unrealized appreciation of securities during the period......... 2,124,738
----------
Net realized and unrealized gain on securities during the period.. 2,735,367
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................... $2,672,520
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment loss....................... $ (62,847) $ -
Net realized gain on securities........... 610,629 -
Net unrealized appreciation of securities
during the period......................... 2,124,738 -
-----------------------------------
Increase in net assets resulting from
operations............................... 2,672,520 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A.................................. - -
Class B.................................. - -
Class I.................................. - -
Class II................................. - -
-----------------------------------
Total distributions to shareholders from
net investment income................... - -
-----------------------------------
Net realized gain on securities
Class A.................................. - -
Class B.................................. - -
Class I.................................. - -
Class II................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. - -
-----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A.................................. 1,824,408 975
Class B.................................. 4,276,237 975
Class I.................................. 2,968,170 975
Class II................................. 1,206,028 975
-----------------------------------
Total increase in net assets resulting
from share transactions................... 10,274,843 3,900
-----------------------------------
TOTAL INCREASE IN NET ASSETS.............. 12,947,363 3,900
NET ASSETS:
Beginning of year........................ 3,900 -
-----------------------------------
End of period ........................... $12,951,263 $3,900
-----------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING ----------------------------------------- ----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------- -------------------- ------------------ --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------- -------------------- ------------------ --------------------
Shares sold..... 182,574 $1,966,779 98 $ 975 374,780 $4,362,168 98 $ 975
Shares issued
for
distributions
reinvested...... - - - - - - -
Shares
repurchased..... (11,658) (142,371) - - (6,672) (85,931) - -
------------------- -------------------- ------------------ --------------------
Increase in
shares
outstanding..... 170,916 1,824,408 98 975 368,108 4,276,237 98 975
Shares
outstanding:
Beginning of
period.......... 98 975 - - 98 975 - -
------------------- -------------------- ------------------ --------------------
End of period... 171,014 $1,825,383 98 $ 975 368,206 $4,277,212 98 $ 975
------------------- -------------------- ------------------ --------------------
<CAPTION>
CHANGE IN SHARES Class I Class II
OUTSTANDING ------------------------------------------ ------------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
-------------------- --------------------- -------------------- ---------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-------------------- --------------------- -------------------- ---------------------
Shares sold..... 262,445 $3,058,138 97 $ 975 124,903 $1,249,025 97 $ 975
Shares issued
for
distributions
reinvested...... - - - - - - - -
Shares
repurchased..... (6,945) (89,968) - - (3,339) (42,997) - -
-------------------- --------------------- -------------------- ---------------------
Increase in
shares
outstanding.... 255,500 2,968,170 97 975 121,564 1,206,028 97 975
Shares
outstanding:
Beginning of
period......... 97 975 - - 97 975 - -
-------------------- --------------------- -------------------- ---------------------
End of period.. 255,597 $2,969,145 97 $ 975 121,661 $1,207,003 97 $ 975
-------------------- --------------------- -------------------- ---------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 INTERNATIONAL VALUE FUND 51
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 91.57%
APPAREL & PRODUCTS - 0.41%
800 Societe BIC, S.A. ..................................... $ 39,236
----------
AUTO - CARS - 2.90%
400 Daimlerchrysler AG..................................... 31,221
3,240 Fiat SpA, Private...................................... 49,928
2,000 * Hyundai Motor Co. Ltd. ................................ 17,591
9,000 Nissan Motor Co. ...................................... 53,994
325 Peugeot, S.A. ......................................... 62,560
4,000 Suzuki Motor Corp. .................................... 60,818
----------
276,112
----------
BANKS - OTHER - 4.77%
2,000 ABN Amro Holdings NV................................... 48,496
8,088 Australia & New Zealand Banking
Group, Ltd. ........................................... 53,400
2,800 Bank of Nova Scotia.................................... 63,745
310 Banque Nationale De Paris.............................. 27,302
2,250 Foreningssparbanken AB................................. 35,854
2,800 Lloyds TSB Group, Plc. ................................ 38,729
2,721 Standard Charter, Plc. ................................ 38,107
8,000 The Sakura Bank, Ltd. ................................. 68,806
73 UBS AG................................................. 21,286
9,258 Westpac Banking Corp. ................................. 59,432
----------
455,157
----------
BANKS - REGIONAL - 0.42%
1,300 Barclays, Plc. ........................................ 39,918
----------
BEVERAGE -
BREWERS/DISTRIBUTORS - 1.69%
2,000 Asahi Breweries........................................ 28,470
1,000 CIA Cervejaria Brahma - SP - ADR....................... 12,500
600 Heineken NV............................................ 30,687
900 Heineken, Holding NV, Class A.......................... 32,750
3,920 South African Breweries, Ltd. ......................... 34,331
2,500 South African Breweries, Plc. ......................... 22,142
----------
160,880
----------
BEVERAGE - SOFT DRINKS - 0.21%
6,422 Coca-Cola Amatil, Ltd. ................................ 19,831
----------
BROADCASTING - 0.60%
760 Canal Plus............................................. 52,905
600 News Corp, Ltd. ....................................... 4,341
----------
57,246
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BUILDING MATERIALS - 2.39%
2,617 * Cemex SA - ADR......................................... $ 58,877
330 Compagnie De Saint - Gobain............................ 57,431
3,300 CRH, Plc. ............................................. 62,478
40 Holdrbank Finan Glarus, Class B........................ 49,362
----------
228,148
----------
CHEMICAL - MAJOR - 0.56%
2,500 BOC Group, Plc. ....................................... 53,657
----------
CHEMICAL - MISCELLANEOUS - 0.02%
105 Celanese AG............................................ 1,644
----------
CONGLOMERATES - 2.98%
6,683 Broken Hill Proprietary Co. ........................... 69,102
1,000 Broken Hill Proprietary Co. - ADR...................... 21,125
5,000 Hutchison Whampoa...................................... 50,196
1,255 Preussag AG............................................ 68,171
52,000 Singapore Technology Engineering, Ltd. ................ 75,453
----------
284,047
----------
CONSUMER FINANCE - 0.33%
600 Nichiei Co., Ltd....................................... 31,100
----------
COSMETICS/TOILETRIES - 0.32%
1,000 Kao Corp. ............................................. 30,524
----------
DRUGS - 5.58%
2,500 Astrazeneca, Plc. ..................................... 112,785
200 Astrazeneca, Plc. - ADR................................ 9,150
2,320 Astrazeneca, Plc. - (SEK).............................. 104,842
1,815 DSM NV................................................. 68,917
46 Novartis AG............................................ 68,955
2 Roche Holdings AG...................................... 24,063
3,000 Sankyo Co.............................................. 85,526
1,000 Takeda Chemical Industries............................. 57,497
----------
531,735
----------
ELECTRIC PRODUCTS -
MISCELLANEOUS - 3.31%
2,400 ASM Lithography Holdings, N.V. ........................ 169,856
1,060 Siemens AG............................................. 95,424
8,000 Toshiba Corp. ......................................... 50,376
----------
315,656
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 8.94%
700 Hirose Electric Co., Ltd. .............................. $ 122,222
1,300 Hon Hai Precision - GDR................................. 21,294
15,000 Johnson Electric Holdings, Ltd. ........................ 81,086
700 Mabuchi Motor Co. Ltd .................................. 103,477
1,000 Murata Manufacturing Co., Ltd. ......................... 128,627
8,000 NEC Corp. .............................................. 162,031
1,500 Sony Corp. ............................................. 234,120
----------
852,857
----------
ELECTRONIC INSTRUMENTS - 2.86%
1,100 Advantest Corp. ........................................ 165,774
400 Keyence Corp. .......................................... 107,317
----------
273,091
----------
ENTERTAINMENT - 0.83%
500 Nintendo Co., Ltd. ..................................... 79,431
----------
FINANCE COMPANIES - 1.32%
5,300 3I Group................................................ 66,378
132 Aiful Corp. ............................................ 20,527
3,400 Lend Lease Corp., Ltd. ................................. 39,139
----------
126,044
----------
FINANCIAL SERVICES - 1.51%
140 CIT Group, Inc. ........................................ 3,342
300 Compagnie Financiere de Paribas......................... 31,326
666 Deutsche Bank AG........................................ 47,908
100 Shohkoh Fund & Co., Ltd. ............................... 61,242
----------
143,818
----------
FOODS - 2.27%
8,900 Cadbury Schweppes, Plc. ................................ 58,111
300 Groupe Danone Frf10..................................... 76,733
25 Nestle, S.A. ........................................... 48,323
207 Tesco, Plc. ............................................ 615
3,500 Unilever, Plc. ......................................... 32,495
----------
216,277
----------
HEAVY DUTY TRUCKS/PARTS - 0.76%
4,100 Bombardier, Inc. ....................................... 72,164
----------
HOSPITAL SUPPLIES - 0.70%
1,500 Sanofi-Synthelabo SA.................................... 66,370
----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 2.07%
7,046 Asustek Computer, Inc. - GDR............................ 99,348
1,000 TDK Corp. .............................................. 98,006
----------
197,354
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
52 October 31, 1999
INTERNATIONAL VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
NETWORKING - 0.20%
1,000 New Bridge Networks Corp. ............................. $ 19,435
----------
INSURANCE - CASUALTY - 0.63%
9,000 Mitsui Marine & Fire................................... 59,695
----------
INSURANCE - LIFE - 0.34%
2,000 * Clarica Life Insurance Co. ............................ 32,483
----------
INSURANCE - MISCELLANEOUS - 0.65%
30 Schweizerische Rueckversicherungs...................... 62,326
----------
INSURANCE - MULTILINE - 2.91%
1,759 AEGON, N.V. ........................................... 162,833
2,100 Assicurazioni Generali................................. 67,557
6,972 Royal & Sun Alliance Insurance Group................... 47,530
----------
277,920
----------
LEISURE TIME - 0.22%
2,600 EMI Group, Plc. ....................................... 20,461
----------
LODGING - 0.21%
90 Accor, S.A. ........................................... 20,313
----------
MACHINE TOOLS - 1.03%
3,000 THK Co., Ltd. ......................................... 98,197
----------
MACHINERY - INDUSTRIAL/SPECIALTY - 4.59%
18,900 Invensys, Plc. ........................................ 93,099
1,900 Mannesmann AG.......................................... 299,602
6,700 TI Group, Plc. ........................................ 45,400
----------
438,101
----------
MEDICAL TECHNOLOGY - 0.56%
1,400 Degussa AG............................................. 53,602
----------
MERCHANDISING - DEPARTMENT - 0.30%
6,000 Mycal Corp. ........................................... 28,451
----------
MERCHANDISING - MASS - 0.83%
2,200 * Cifra SA - ADR......................................... 33,275
9,100 Coles Myer, Ltd. ...................................... 45,285
----------
78,560
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
METALS - ALUMINUM - 0.82%
1,400 Pechiney, S.A., Class A................................. $ 78,558
----------
METALS - STEEL - 0.56%
1,600 Pohang Iron & Steel Co., Ltd. - ADR..................... 53,400
----------
MISCELLANEOUS - 1.87%
1,500 De Beers Cons Mines - ADR............................... 40,594
1,617 Dixons Group, Plc. ..................................... 28,696
2,500 Metallgesellschaft AG................................... 52,078
28 Societe Generale de Surveillance
Holding, S.A. .......................................... 30,559
200 Sony Music Entertainment (Japan), Inc. ................. 26,090
----------
178,017
----------
OIL - INTEGRATED INTERNATIONAL - 1.56%
11,000 Eni, SpA................................................ 64,509
850 Norsk Hydro ASA......................................... 33,935
6,600 Shell Transport & Trading Co. .......................... 50,639
----------
149,083
----------
OIL/GAS PRODUCERS - 0.60%
1,300 Enterprise Oil, Plc. ................................... 9,237
270 Total Fina, S.A. ....................................... 36,595
1,900 Woodside Petroleum, Ltd. ............................... 11,455
----------
57,287
----------
PAPER/FOREST PRODUCTS - 0.93%
2,800 UPM-Kymmene Oyj......................................... 88,599
----------
PHOTOGRAPHY - 1.25%
5,000 Nikon Corp. ............................................ 119,028
----------
PUBLISHING - NEWS - 2.62%
850 News Corp., Ltd. - ADR.................................. 25,181
7,400 Reuters Group, Plc. .................................... 68,460
3,000 Singapore Press Holdings, Ltd. ......................... 51,477
3,600 Thomson Corp. .......................................... 105,077
----------
250,195
----------
REAL ESTATE INVESTMENT TRUSTS - 0.42%
5,000 Sun Hung Kai Properties................................. 40,382
----------
SEMICONDUCTOR EQUIPMENT - 1.74%
2,000 Tokyo Electron, Ltd. ................................... 166,255
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SEMICONDUCTORS - 3.14%
1,000 Fujitsu, Ltd. ......................................... $ 30,141
1,640 STMicroelectronics, N.V. .............................. 144,437
3,621 * Taiwan Semiconductor - ADR............................. 125,377
----------
299,955
----------
TELECOMMUNICATIONS - 9.01%
5,100 Colt TelecomGroup...................................... 152,828
800 Eircom, Plc. .......................................... 3,341
100 Ericsson LMTEL Co. - ADR, Series B..................... 4,275
1,000 Ericsson LMTEL Co., Series B........................... 41,602
2,400 Nokia Oyj.............................................. 275,442
10 NTT Mobile Communications.............................. 265,892
2,500 Orange, Plc. .......................................... 62,252
2,300 Teleglobe.............................................. 53,925
----------
859,557
----------
TOBACCO - 0.66%
33 CIE Financ Richemont - UTS, Class A.................... 63,179
----------
UTILITIES - COMMUNICATION - 6.17%
1,900 Deutsche Telekom AG.................................... 87,576
4 NTT Corp. ............................................. 61,434
262 Swisscom AG............................................ 80,012
5,000 TIM, Spa............................................... 31,326
1,800 Telecom Italia, SpA.................................... 15,587
17,000 Telecom Italia, SpA - Risp............................. 83,737
5,086 Telefonica, S.A. ...................................... 83,900
1,700 Telefonos De Mexico - ADR.............................. 145,350
----------
588,922
----------
TOTAL COMMON STOCK
(Cost $6,571,638)...................................... 8,734,258
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 INTERNATIONAL VALUE FUND - CONTINUED 53
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 9.46%
BANKS - OTHER - 9.46%
$902,000 State Street Bank Repurchase Agreement, 5.15%, dated
10/31/99, to be repurchased at $902,387 on 11/01/99,
collateralized by U.S. Treasury Note, 5.38%, 7/31/00,
with a par value of $910,000 (Cost $902,000)............ $ 902,000
----------
TOTAL CORPORATE SHORT TERM - REPURCHASE AGREEMENT
(Cost $902,000)......................................... 902,000
----------
TOTAL INVESTMENT
(Cost $7,473,638) - 101.03%............................. $9,636,258
----------
*Non-income producing
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
FORWARD CURRENCY CONTRACTS
<TABLE>
- -------------------------------------------------------------------------
<CAPTION>
Unrealized
Settlement Face Market Appreciation
Long/Short Date(s) Value Value (Depreciation)
- -------------------------------------------------------------------------
<S> <C> <C> <C> <C>
7,485 EUR / 4,973 GBP 11/04/99 $ 8,027 $ 7,746 $ (281)
17,646 EUR / 28,376 CND 12/07/99 18,864 18,218 (646)
43,487 EUR / 68,030 AUD 01/19/00 44,421 47,067 2,646
42,340 EUR / 4,863,350 JPY 01/20/00 49,616 43,345 (6,271)
111,373 EUR / 12,790,063 JPY 01/20/00 119,865 121,355 1,490
17,685 EUR / 27,991 CND 01/28/00 18,876 18,579 (297)
30,726 EUR / 19,822 GBP 01/28/00 32,806 32,804 (2)
60,000 USD / 6,470,400 JPY 02/28/00 60,000 56,666 (3,334)
31,009 EUR / 48,517 CND 03/23/00 32,448 32,409 (39)
27,331 EUR / 35,264,000 KRW 03/31/00 28,832 28,489 (343)
32,964 EUR / 1,124,200 TWD 03/31/00 34,774 34,587 (187)
--------------------------------
$448,529 $441,265 $(7,264)
--------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $7,473,638)............................ $9,636,258
Receivables for:
Investments sold................................................... 115,160
Fund shares sold................................................... 17,786
Dividends and interest............................................. 7,322
Other assets........................................................ 19,758
----------
TOTAL ASSETS........................................................ 9,796,284
----------
LIABILITIES:
Payable for:
Investments purchased.............................................. 122,295
Fund shares redeemed............................................... 11,951
Payable to affiliates:
Administrative service fees for Class I............................ 3,702
Advisory fees...................................................... 66,958
Distribution fees for Class A & B.................................. 2,770
Other.............................................................. 25,046
Accrued expenses and other liabilities.............................. 25,814
----------
TOTAL LIABILITIES................................................... 258,536
----------
NET ASSETS.......................................................... $9,537,748
----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized; 663,865 shares
outstanding...................................................... $ 6,639
Additional paid in capital........................................ 7,088,081
Undistributed net realized gain on securities
and foreign currency transactions................................. 281,880
Undistributed net investment income............................... 5,369
Unrealized appreciation (depreciation) of:
Investments.......................................... $2,162,620
Foreign currency translation......................... 423
Forward currency contracts........................... (7,264) 2,155,779
---------- ----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $9,537,748
----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($1,936,053 divided by 134,284 shares)....................... $ 14.42
----------
Offering price per Class A share
(100/94.25 of $14.42)*............................................. $ 15.30
----------
Net asset value and offering price per Class B
share ($3,730,989 divided by 261,392 shares)**..................... $ 14.27
----------
Net asset value, offering price and redemption
price per Class I share ($2,132,125 divided by
147,864 shares).................................................... $ 14.42
----------
Net asset value, offering price and redemption
price per Class II share ($1,738,581 divided by
120,325 shares).................................................... $ 14.45
----------
* Offering price includes sales charge of 5.75%.
The sales charge is reduced for purchases
of $25,000 and over.
** Redemption price per share is equal to net asset value less any
applicable contingent deferred sales charge.
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
54 INTERNATIONAL VALUE FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes of $12,690)....... $ 90,041
Interest...................................................... 21,400
----------
Total investment income...................................... 111,441
----------
EXPENSES:
Advisory fees................................................. 66,958
Transfer agent fees........................................... 17,843
Custodian fees................................................ 8,884
Distribution fees:
Class A...................................................... 3,709
Class B...................................................... 18,850
Administrative service fee, Class I........................... 3,702
Registration and filing fees.................................. 54,359
Audit fees and tax services................................... 3,978
Accounting services........................................... 2,013
Trustees' fees and expenses................................... 1,064
Report to shareholders........................................ 336
Miscellaneous................................................. 2,810
----------
Total expenses............................................... 184,506
Expense reimbursement (see Note 3)........................... (89,115)
----------
Net Expenses................................................. 95,391
----------
NET INVESTMENT INCOME......................................... 16,050
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FOREIGN
CURRENCIES:
Net realized gain (loss) on securities:
Investments........................................ $ 281,880
Foreign currency transactions...................... 1,344
Forward currency contracts......................... (10,436) 272,788
---------
Net unrealized appreciation (depreciation) during the period
on:
Investments........................................ 2,162,620
Foreign currency translation....................... 423
Forward currency contracts......................... (7,264) 2,155,779
--------- ----------
Net realized and unrealized gain on securities and
foreign currencies during the period....................... 2,428,567
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.............. $2,444,617
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income...................... $ 16,050 $ -
Net realized gain on securities and foreign
currencies................................ 272,788 -
Net unrealized appreciation of securities
and
foreign currencies during the period...... 2,155,779 -
-----------------------------------
Increase in net assets resulting from
operations............................... 2,444,617 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A................................... (170) -
Class B................................... - -
Class I................................... (440) -
Class II.................................. (979) -
-----------------------------------
Total distributions to shareholders from
net investment income................... (1,589) -
-----------------------------------
Net realized gain on securities
Class A................................... - -
Class B................................... - -
Class I................................... - -
Class II.................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (1,589) -
-----------------------------------
Net increase in net assets resulting from
share transactions
Class A................................... 1,358,857 900
Class B................................... 2,979,166 900
Class I................................... 1,565,004 900
Class II.................................. 1,188,093 900
-----------------------------------
Total increase in net assets resulting from
share transactions........................ 7,091,120 3,600
-----------------------------------
TOTAL INCREASE IN NET ASSETS............... 9,534,148 3,600
NET ASSETS:
Beginning of year......................... 3,600 -
-----------------------------------
End of period (including undistributed net
investment income of $5,369 and $0)...... $9,537,748 $3,600
-----------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING ----------------------------------------- -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------- -------------------- ------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------- -------------------- ------------------- --------------------
Shares sold..... 139,952 $1,434,844 90 $ 900 270,810 $3,103,486 90 $ 900
Shares issued
for
distributions
reinvested...... 16 170 - - - - - -
Shares
repurchased..... (5,774) (76,157) - - (9,508) (124,320) - -
------------------- -------------------- ------------------- --------------------
Increase in
shares
outstanding..... 134,194 1,358,857 90 900 261,302 2,979,166 90 900
Shares
outstanding:
Beginning of
period.......... 90 900 - - 90 900 - -
------------------- -------------------- ------------------- --------------------
End of period... 134,284 $1,359,757 90 $ 900 261,392 $2,980,066 90 $ 900
------------------- -------------------- ------------------- --------------------
<CAPTION>
CHANGE IN SHARES Class I Class II
OUTSTANDING ------------------------------------------ ------------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
-------------------- --------------------- -------------------- ---------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-------------------- --------------------- -------------------- ---------------------
Shares sold..... 153,234 $1,636,780 90 $ 900 124,910 $1,249,099 90 $ 900
Shares issued
for
distributions
reinvested...... 41 440 - - 92 979 - -
Shares
repurchased..... (5,501) (72,216) - - (4,767) (61,985) - -
-------------------- --------------------- -------------------- ---------------------
Increase in
shares
outstanding..... 147,774 1,565,004 90 900 120,235 1,188,093 90 900
Shares
outstanding:
Beginning of
period.......... 90 900 - - 90 900 - -
-------------------- --------------------- -------------------- ---------------------
End of period... 147,864 $1,565,904 90 $ 900 120,325 $1,188,993 90 $ 900
-------------------- --------------------- -------------------- ---------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 LARGE CAP VALUE FUND 55
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 99.32%
AEROSPACE/DEFENSE - 1.68%
2,500 Boeing Co. ........................................... $ 115,156
1,000 Northrop Grumman Corp. ............................... 54,875
-----------
170,031
-----------
AUTO - CARS - 2.96%
3,100 Ford Motor Co. ....................................... 170,112
1,200 General Motors Corp. ................................. 84,300
2,700 Meritor Automotive, Inc. ............................. 45,731
-----------
300,143
-----------
AUTO - ORIGINAL EQUIPMENT - 0.35%
1,400 FEDERAL-Mogul Corp. .................................. 35,175
-----------
BANKS - NEW YORK CITY - 5.90%
8,400 Citigroup, Inc. ...................................... 454,650
1,100 J.P. Morgan & Co., Inc. .............................. 143,962
-----------
598,612
-----------
BANKS - OTHER - 7.25%
4,300 Bank of America Corp. ................................ 276,813
2,500 First Union Corp. .................................... 106,719
3,500 Fleet Financial Group, Inc. .......................... 152,687
2,500 Unionbancal Corp. .................................... 108,594
1,900 Wells Fargo Co. ...................................... 90,963
-----------
735,776
-----------
BANKS - REGIONAL - 6.38%
900 BankOne Corp. ........................................ 33,806
2,800 Chase Manhattan Corp. ................................ 244,650
900 Comerica, Inc. ....................................... 53,493
2,700 Pacific Century Financial Corp. ...................... 61,594
2,300 PNC Bank Corp. ....................................... 137,138
2,900 SouthTrust Corp. ..................................... 116,000
-----------
646,681
-----------
BROADCASTING - 0.86%
800 * Media One Group, Inc. ................................ 56,850
500 U.S. WEST, Inc. ...................................... 30,531
-----------
87,381
-----------
BUILDING MATERIALS - 0.82%
2,400 Sherwin-Williams Co. ................................. 53,700
600 USG Corp. ............................................ 29,738
-----------
83,438
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CHEMICAL - MAJOR - 2.30%
800 Dow Chemical Co. ..................................... $ 94,600
1,533 E.I. du Pont de Nemours and Co. ...................... 98,783
2,300 Solutia, Inc. ........................................ 39,531
-----------
232,914
-----------
CHEMICAL - MISCELLANEOUS - 0.74%
1,800 * Cytec Industries, Inc. ............................... 46,462
700 * FMC Corp. ............................................ 28,481
-----------
74,943
-----------
DRUGS - 0.21%
200 Allergan, Inc. ....................................... 21,475
-----------
ENTERTAINMENT - 0.42%
1,600 * Walt Disney Co. ...................................... 42,200
-----------
FOODS - 2.06%
2,300 Dean Foods Co. ....................................... 106,375
4,300 IBP, Inc. ............................................ 102,931
-----------
209,306
-----------
GOVERNMENT SPONSORED - 1.61%
2,300 Federal National Mortgage Association................. 162,725
-----------
HEALTHCARE - 2.09%
1,000 * PacifiCare Health Systems, Inc., Class A ............. 39,438
1,800 * Trigon Healthcare, Inc. .............................. 51,075
1,900 United HealthCare Corp. .............................. 98,206
400 * Wellpoint Health Networks, Inc. ...................... 23,200
-----------
211,919
-----------
HEAVY DUTY TRUCKS/PARTS - 1.01%
1,100 Cummins Engine Co., Inc. ............................. 55,756
1,000 PACCAR, Inc. ......................................... 47,125
-----------
102,881
-----------
HOSPITAL SUPPLIES - 0.92%
1,100 Baxter International, Inc. ........................... 71,363
400 C.R. Bard, Inc. ...................................... 21,575
-----------
92,938
-----------
HOUSEHOLD PRODUCTS - 1.27%
200 Minnesota Mining & Manufacturing Co. ................. 19,013
2,000 Premark International, Inc. .......................... 109,500
-----------
128,513
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
HUMAN RESOURCES - 0.32%
2,900 * Modis Professional Services, Inc. ............... $ 32,444
-----------
INFORMATION PROCESSING - COMPUTER HARDWARE
SYSTEMS - 1.26%
1,600 * Apple Computer, Inc. ............................ 128,200
-----------
INFORMATION PROCESSING -
DATA SERVICES - 1.97%
800 Hewlett Packard Co. ............................. 59,250
1,000 International Business Machines.................. 98,375
2,300 Reynolds and Reynolds Co., Class A............... 41,831
-----------
199,456
-----------
INSURANCE - CASUALTY - 0.56%
2,200 Everest Reinsurance Holdings..................... 56,650
-----------
INSURANCE - LIFE - 0.81%
2,000 AXA Financial, Inc. ............................. 64,125
400 Lincoln National Corp. .......................... 18,450
-----------
82,575
-----------
INSURANCE - MISCELLANEOUS - 3.04%
2,100 MGIC Investment Corp. ........................... 125,474
2,300 PMI Group, Inc. ................................. 119,313
1,200 Radian Group, Inc. .............................. 63,375
-----------
308,162
-----------
INSURANCE - MULTILINE - 2.63%
2,125 American International Group, Inc. .............. 218,742
600 Marsh & McLennan Companies, Inc. ................ 47,438
-----------
266,180
-----------
LEISURE TIME - 0.48%
1,100 * Sabre Holdings Corp. ............................ 48,881
-----------
MACHINERY - INDUSTRIAL/SPECIALTY - 0.68%
400 Ingersoll-Rand Co. .............................. 20,900
1,600 Tidewater, Inc. ................................. 48,000
-----------
68,900
-----------
MERCHANDISE - SPECIALTY - 1.47%
600 * Best Buy Co., Inc. .............................. 33,338
1,000 Circuit City Stores, Inc. ....................... 42,688
600 Fortune Brands, Inc. ............................ 21,263
3,700 * Toys "R" Us, Inc. ............................... 52,263
-----------
149,552
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
56 October 31, 1999
LARGE CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISING - DEPARTMENT - 2.08%
2,500 * Federated Department Stores, Inc. ..................... $ 106,719
3,000 May Department Stores Co. ............................. 104,062
----------
210,781
----------
MERCHANDISING - FOOD - 0.97%
4,700 Supervalu, Inc. ....................................... 98,700
----------
NATURAL GAS - DIVERSIFIED - 0.04%
200 Valero Energy Corp. ................................... 3,675
----------
OIL - INTEGRATED DOMESTIC - 1.21%
1,100 Amerada Hess Corp. .................................... 63,112
500 Burlington Resources, Inc. ............................ 17,438
3,600 Pennzoil-Quaker State Co. ............................. 42,525
----------
123,075
----------
OIL - INTEGRATED INTERNATIONAL - 5.21%
600 Chevron Corp. ......................................... 54,788
3,900 Exxon Corp. ........................................... 288,843
1,200 Mobil Corp. ........................................... 115,800
900 Murphy Oil Corp. ...................................... 50,456
300 Texaco, Inc. .......................................... 18,413
----------
528,300
----------
OIL - SERVICE - PRODUCTS - 0.45%
5,000 * Ocean Energy, Inc. .................................... 45,938
----------
OIL - SERVICES - 0.53%
2,300 York International Corp. .............................. 54,194
----------
OIL/GAS PRODUCERS - 1.60%
1,400 Apache Corp. .......................................... 54,600
4,500 * Pioneer Natural Resources Corp. ....................... 42,187
1,100 Ultramar Diamond Shamrock Corp. ....................... 26,950
2,100 Valero Energy Corp. ................................... 38,588
----------
162,325
----------
PAPER/FOREST PRODUCTS - 3.38%
1,600 Boise Cascade Corp. ................................... 57,000
1,700 Georgia-Pacific Corp. ................................. 67,470
1,400 Kimberly-Clark Corp. .................................. 88,375
1,900 Louisiana Pacific Corp. ............................... 24,106
1,000 Weyerhaeuser Co. ...................................... 59,688
1,100 Willamette Industries, Inc. ........................... 45,719
----------
342,358
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PUBLISHING - NEWS - 1.13%
1,800 Knight-Ridder, Inc. ................................... $ 114,300
----------
PUBLISHING/PRINTING - 0.84%
3,500 R.R. Donnelley and Sons Co. ........................... 84,875
----------
RAILROAD - 1.59%
2,600 Burlington Northern Santa Fe........................... 82,875
1,400 Union Pacific Corp. ................................... 78,050
----------
160,925
----------
RESTAURANTS - 0.55%
1,400 * Tricon Global Restaurants, Inc. ....................... 56,263
----------
SAVINGS & LOAN - 1.60%
2,190 Charter One Financial, Inc. ........................... 53,792
2,700 Dime Bancorp, Inc. .................................... 48,262
2,900 * Golden State Bancorp, Inc. ............................ 60,538
----------
162,592
----------
SECURITIES RELATED - 2.57%
1,000 Lehman Brothers Holdings, Inc. ........................ 73,688
700 Merrill Lynch & Co., Inc. ............................. 54,950
1,200 Morgan Stanley Dean Witter & Co. ...................... 132,375
----------
261,013
----------
SEMICONDUCTORS - 1.63%
1,700 Motorola, Inc. ........................................ 165,644
----------
TELECOMMUNICATIONS - 3.53%
500 ALLTEL Corp. .......................................... 41,625
5,298 AT&T Corp. ............................................ 247,681
800 * MCI Worldcom, Inc. .................................... 68,650
----------
357,956
----------
TOBACCO - 0.15%
600 Philip Morris Companies, Inc. ......................... 15,113
----------
TRUCKERS - 0.52%
1,600 CNF Transportation, Inc. .............................. 52,900
----------
UTILITIES - COMMUNICATION - 8.92%
3,500 Bell Atlantic Corp. ................................... 227,280
4,500 BellSouth Corp. ....................................... 202,500
1,600 GTE Corp. ............................................. 120,000
6,390 SBC Communications, Inc. .............................. 325,490
400 Sprint Corp. FON Group................................. 29,725
----------
904,995
----------
UTILITIES - ELECTRIC - 7.02%
1,700 Allegheny Energy, Inc. ................................ 54,081
400 Ameren Corp. .......................................... 15,125
1,400 Central & South West Corp. ............................ 31,063
1,100 Constellation Energy Group, Inc. ...................... 33,755
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
UTILITIES - ELECTRIC - Continued
1,600 DTE Energy Co. ....................................... $ 53,100
800 Duke Energy Corp. .................................... 45,200
2,500 Edison International, Inc. ........................... 74,063
1,900 FirstEnergy Corp. .................................... 49,520
1,600 GPU, Inc. ............................................ 54,300
2,500 LG&E Energy Corp. .................................... 55,000
1,600 New Century Energies, Inc. ........................... 52,100
1,700 Peco Energy Co. ...................................... 64,919
400 PP&L Resources, Inc. ................................. 10,825
1,700 Public Service Enterprise Group, Inc. ................ 67,255
1,900 Reliant Energy, Inc. ................................. 51,775
-----------
712,081
-----------
UTILITIES - GAS, DISTRIBUTION - 0.57%
2,300 Tosco Corp. .......................................... 58,219
-----------
UTILITIES - GAS, PIPELINE - 1.18%
1,000 Columbia Energy Group................................. 65,000
2,700 Sempra Energy......................................... 55,183
-----------
120,183
-----------
TOTAL COMMON STOCK
(Cost $9,603,875)..................................... 10,074,456
-----------
<CAPTION>
PAR
VALUE
---------
<C> <S> <C>
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 1.40%
BANKS - OTHER - 1.40%
$142,000 State Street Bank Repurchase Agreement, 5.15%, dated
10/31/99, to be repurchased at $142,061 on 11/01/99,
collateralized by U.S. Treasury Note, 5.38%, 07/31/00,
with a par value of $145,000 (Cost $142,000).......... 142,000
-----------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $142,000)....................................... 142,000
-----------
TOTAL INVESTMENTS
(Cost $9,745,875) - 100.72%........................... $10,216,456
-----------
*Non-income producing
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 LARGE CAP VALUE FUND - CONTINUED 57
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $9,745,875)........................... $10,216,456
Receivables for:
Fund shares sold.................................................. 20,451
Dividends and interest............................................ 12,951
Other assets....................................................... 73,650
-----------
TOTAL ASSETS....................................................... 10,323,508
-----------
LIABILITIES:
Payable for investments purchased.................................. 94,063
Payable to affiliates:
Administrative service fees for Class I........................... 3,481
Advisory fees..................................................... 35,427
Distribution fees for Class A & B................................. 3,665
Other............................................................. 42,981
Accrued expenses and other liabilities............................. 69
-----------
TOTAL LIABILITIES.................................................. 179,686
-----------
NET ASSETS......................................................... $10,143,822
-----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 890,885 shares outstanding..................... $ 8,906
Additional paid in capital........................................ 9,368,839
Undistributed net realized gain on securities..................... 293,884
Undistributed net investment income............................... 1,612
Unrealized appreciation of securities............................. 470,581
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $10,143,822
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($2,027,623 divided by 177,961 shares)....................... $ 11.39
-----------
Offering price per Class A share
(100/94.25 of $11.39)*............................................. $ 12.08
-----------
Net asset value and offering price per Class B
share ($4,938,854 divided by 434,132 shares)**..................... $ 11.38
-----------
Net asset value, offering price and redemption
price per Class I share ($1,761,448 divided by
154,529 shares).................................................... $ 11.40
-----------
Net asset value, offering price and redemption
price per Class II share ($1,415,897 divided by
124,263 shares).................................................... $ 11.39
-----------
* Offering price includes sales charge of 5.75%.
The sales charge is reduced for purchases
of $25,000 and over.
** Redemption price per share is equal to net asset value
less any applicable contingent deferred sales charge.
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
58 LARGE CAP VALUE FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends............................................................. $131,056
Interest.............................................................. 9,537
--------
Total investment income.............................................. 140,593
--------
EXPENSES:
Advisory fees......................................................... 35,427
Transfer agent fees................................................... 19,156
Custodian fees........................................................ 9,466
Distribution fees:
Class A.............................................................. 4,037
Class B.............................................................. 24,584
Administrative service fee, Class I................................... 3,481
Registration and filing fees.......................................... 54,359
Audit fees and tax services........................................... 4,190
Accounting services................................................... 2,130
Trustees' fees and expenses........................................... 1,108
Report to shareholders................................................ 353
Miscellaneous......................................................... 3,749
--------
Total expenses....................................................... 162,040
Expense reimbursement (see Note 3)................................... (74,469)
--------
Net expenses......................................................... 87,571
--------
NET INVESTMENT INCOME................................................. 53,022
--------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities....................................... 293,884
Net unrealized appreciation of securities during the period........... 470,581
--------
Net realized and unrealized gain on securities during the period.... 764,465
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................... $817,487
--------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income..................... $ 53,022 $ -
Net realized gain on securities........... 293,884 -
Net unrealized appreciation of securities
during the period......................... 470,581 -
-----------------------------------
Increase in net assets resulting from
operations............................... 817,487 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A.................................. (14,988) -
Class B.................................. (3,987) -
Class I.................................. (14,522) -
Class II................................. (17,913) -
-----------------------------------
Total distributions to shareholders from
net investment income................... (51,410) -
-----------------------------------
Net realized gain on securities
Class A.................................. - -
Class B.................................. - -
Class I.................................. - -
Class II................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (51,410) -
-----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A.................................. 1,828,784 725
Class B.................................. 4,732,977 725
Class I.................................. 1,572,899 725
Class II................................. 1,240,185 725
-----------------------------------
Total increase in net assets resulting
from share transactions................... 9,374,845 2,900
-----------------------------------
TOTAL INCREASE IN NET ASSETS.............. 10,140,922 2,900
NET ASSETS:
Beginning of year........................ 2,900 -
-----------------------------------
End of period (including undistributed
net investment income of $1,612 and $0).. $10,143,822 $2,900
-----------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING ---------------------------------------- -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------ -------------------- ------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------ -------------------- ------------------- --------------------
Shares sold..... 184,168 $1,900,280 72 $ 725 439,906 $4,800,672 72 $ 725
Shares issued
for
distributions
reinvested...... 1,312 14,967 - - 354 3,971 - -
Shares
repurchased..... (7,591) (86,463) - - (6,200) (71,666) - -
------------------ -------------------- ------------------- --------------------
Increase in
shares
outstanding..... 177,889 1,828,784 72 725 434,060 4,732,977 72 725
Shares
outstanding:
Beginning of
period.......... 72 725 - - 72 725 - -
------------------ -------------------- ------------------- --------------------
End of period... 177,961 $1,829,509 72 $ 725 434,132 $4,733,702 72 $ 725
------------------ -------------------- ------------------- --------------------
<CAPTION>
CHANGE IN SHARES Class I Class II
OUTSTANDING ------------------------------------------ -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
-------------------- --------------------- ------------------- ---------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-------------------- --------------------- ------------------- ---------------------
Shares sold..... 158,591 $1,621,068 73 $ 725 125,842 $1,260,171 73 $ 725
Shares issued
for
distributions
reinvested...... 1,276 14,524 - - 1,574 17,913 - -
Shares
repurchased..... (5,411) (62,693) - - (3,226) (37,899) - -
-------------------- --------------------- ------------------- ---------------------
Increase in
shares
outstanding..... 154,456 1,572,899 73 725 124,190 1,240,185 73 725
Shares
outstanding:
Beginning of
period.......... 73 725 - - 73 725 - -
-------------------- --------------------- ------------------- ---------------------
End of period... 154,529 $1,573,624 73 $ 725 124,263 $1,240,910 73 $ 725
-------------------- --------------------- ------------------- ---------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 MID CAP VALUE FUND 59
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 93.99%
AEROSPACE/DEFENSE - 2.46%
4,100 General Dynamics Corp. ................................ $ 227,294
----------
AIRLINES - 1.36%
3,100 * Continental Airlines, Inc., Class B.................... 125,550
----------
APPLIANCES/FURNISHINGS - 1.21%
2,800 * Maytag Corp. .......................................... 112,174
----------
AUTO - CARS - 2.52%
3,200 * General Motors Corp., Class H.......................... 233,000
----------
AUTO - ORIGINAL EQUIPMENT - 2.23%
6,100 * Lear Corp. ............................................ 205,875
----------
AUTO - REPLACEMENT PARTS - 1.93%
2,100 * SPX Corp. ............................................. 177,975
----------
BANKS - OTHER - 1.46%
3,100 Fleet Financial Group, Inc. ........................... 135,238
----------
BANKS - REGIONAL - 0.90%
3,125 Valley National Bancorp 83,398
----------
BROADCASTING - 1.92%
8,700 A.H. Belo Corp. ....................................... 177,263
----------
BUILDING MATERIALS -- 1.11%
4,600 Sherwin-Williams Co. .................................. 102,925
----------
CHEMICAL - MISCELLANEOUS - 4.43%
11,100 * Grace, W.R. & Co. ..................................... 165,806
6,600 Lyondell Chemical Co. ................................. 80,025
3,500 Praxair, Inc. ......................................... 163,625
----------
409,456
----------
CONTAINERS - METAL/GLASS - 1.04%
7,700 American National Can Group............................ 96,250
----------
DRUGS - 1.45%
3,500 Genzyme-Molecular Oncology............................. 133,875
----------
ELECTRICAL EQUIPMENT - 2.52%
7,600 * UCAR International, Inc. .............................. 148,675
2,000 W.W. Grainger, Inc. ................................... 84,750
----------
233,425
----------
FINANCE COMPANIES - 2.19%
4,600 Finova Group, Inc. .................................... 202,688
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES - 2.13%
5,800 Countrywide Credit Industries, Inc. ................... $ 196,838
----------
FOODS - 0.00%
1 Delhaize America, Inc., Class B........................ 14
----------
GOVERNMENT SPONSORED - 1.96%
3,700 SLM Holding Corp. ..................................... 181,069
----------
HEALTHCARE - 1.69%
2,700 * Wellpoint Health Networks, Inc. 156,600
----------
HEAVY DUTY TRUCKS/PARTS - 1.72%
1,000 Eaton Corp. ........................................... 75,250
2,000 * Navistar International Corp. .......................... 83,375
----------
158,625
----------
HOSPITAL SUPPLIES - 1.48%
5,400 Becton, Dickinson and Co. ............................. 137,025
----------
INFORMATION PROCESSING - 2.08%
10,100 * Parametric Technology Corp. ........................... 192,531
----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 0.42%
500 * Lexmark International Group............................ 39,031
----------
INFORMATION PROCESSING -- COMPUTER SERVICES - 2,28%
9,600 Ceridian Corp. ........................................ 210,600
----------
INFORMATION PROCESSING -
DATA SERVICES - 4.77%
10,900 Comdisco, Inc. ........................................ 220,045
1,300 Computer Associates International...................... 73,450
4,900 Galileo International, Inc. ........................... 147,306
----------
440,801
----------
INSURANCE - MISCELLANEOUS - 3.04%
7,400 Ace Limited............................................ 143,839
2,300 Ambac Financial Group, Inc. ........................... 137,425
----------
281,264
----------
INSURANCE - MULTILINE - 1.70%
2,200 Aon Corp............................................... 78,100
2,200 Cincinnati Financial Corp. ............................ 78,788
----------
156,888
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
LEISURE TIME - 0.98%
6,200 * Mirage Resorts, Inc. .................................. $ 90,288
----------
MERCHANDISE - SPECIALTY - 1.82%
9,200 Consolidated Stores Corp. ............................. 168,475
----------
MERCHANDISING - DEPARTMENT - 0.21%
904 * Neiman Marcus Group, Inc., Class B..................... 19,377
----------
METALS - ALUMINUM - 1.11%
1,700 Reynolds Metals Co. ................................... 102,744
----------
METALS - MISCELLANEOUS - 1.03%
5,400 Engelhard Corp. ....................................... 95,175
----------
METALS -- STEEL -- 1.24%
6,600 AK Steel Holding Corp. ................................ 114,263
----------
MULTIMEDIA - 1.81%
11,000 * Cadence Design Systems, Inc. .......................... 167,063
----------
NATURAL GAS - DIVERSIFIED - 3.64%
3,800 Coastal Corp. ......................................... 160,075
4,900 Dynegy, Inc. .......................................... 112,088
3,200 KN Energy, Inc. ....................................... 64,400
----------
336,563
----------
OIL - INTEGRATED DOMESTIC - 1.73 %
5,500 USX-Marathon Group..................................... 160,188
----------
OIL - SERVICE - PRODUCTS - 0.55%
2,300 * Noble Drilling Corp. .................................. 51,031
----------
OIL - SERVICES - 2.36%
6,200 McDermott International, Inc. ......................... 112,375
3,900 Transocean Offshore, Inc. ............................. 106,031
----------
218,406
----------
OIL/GAS PRODUCERS - 1.31%
3,100 Apache Corp. .......................................... 120,900
----------
PAPER/FOREST PRODUCTS - 3.13%
3,100 Bowater, Inc. ......................................... 162,750
4,800 Fort James Corp. ...................................... 126,300
----------
289,050
----------
PUBLISHING - NEWS - 2.46%
4,900 News Corp., Ltd. - ADR................................. 135,056
2,000 Scripps Co. ........................................... 92,375
----------
227,431
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
60 October 31, 1999
MID CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PUBLISHING/PRINTING - 3.38%
6,700 Dunn & Bradstreet Corp. ............................... $ 196,813
3,000 Harcourt General, Inc. ................................ 115,500
----------
312,313
----------
RAILROAD - 1.69%
3,300 Kansas City Southern Industries........................ 156,544
----------
REAL ESTATE INVESTMENT TRUSTS - 1.65%
11,000 Indymac Mortgage Holdings, Inc. ....................... 153,313
----------
SEMICONDUCTORS - 0.48%
1,500 * National Semiconductor Corp. .......................... 44,906
----------
TELECOMMUNICATIONS - 5.42%
4,600 * American Tower Corp., Class A.......................... 87,688
3,300 * AT&T Corp. ............................................ 130,969
3,400 * Global Crossing, Ltd. ................................. 117,725
2,700 * Sonera Corp. - ADR..................................... 83,700
2,100 * WinStar Communications, Inc. .......................... 81,506
----------
501,588
----------
UTILITIES - ELECTRIC - 3.17%
2,300 Cinergy Corp........................................... 64,975
7,400 * Niagara Mohawk Holdings, Inc. ......................... 117,475
2,900 Unicom Corp. .......................................... 111,106
----------
293,556
----------
UTILITIES - GAS, DISTRIBUTION - 1.12%
4,100 Tosco Corp. ........................................... 103,781
----------
UTILITIES - GAS, PIPELINE - 1.70%
4,200 Williams Companies, Inc. .............................. 157,500
----------
TOTAL COMMON STOCK
(Cost $9,030,848)...................................... 8,692,127
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 6.42%
BANK - OTHER - 6.42%
$594,000 State Street Bank Repurchase Agreement, 5.15% dated
10/31/99, to be repurchased at $594,255 on 11/01/99,
collateralized by U.S. Treasury Note, 5.38%, 07/31/00,
with a par value of $600,000 (Cost $594,000)............ $ 594,000
----------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $594,000)......................................... 594,000
----------
TOTAL INVESTMENTS
(Cost $9,624,848) - 100.41%............................. $9,286,127
----------
*Non-income producing
</TABLE>
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $9,624,848)............................ $9,286,127
Receivables for:
Investments sold................................................... 71,882
Fund shares sold................................................... 61,567
Dividends and interest............................................. 14,706
Other assets........................................................ 25,401
----------
TOTAL ASSETS........................................................ 9,459,683
----------
LIABILITIES:
Payable for:
Investments purchased.............................................. 110,201
Fund shares redeemed............................................... 3,200
Payable to affiliates:
Administrative service fees for Class I............................ 3,579
Advisory fees...................................................... 51,545
Distribution fees for Class A & B.................................. 3,327
Other.............................................................. 40,940
Accrued expenses and other liabilities.............................. 38
----------
TOTAL LIABILITIES................................................... 212,830
----------
NET ASSETS.......................................................... $9,246,853
----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- ------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized, 776,660 shares outstanding.......... $ 7,767
Additional paid in capital....................................... 8,374,516
Undistributed net realized gain on securities.................... 1,203,291
Unrealized depreciation of securities............................ (338,721)
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................ $ 9,246,853
-----------
- ------------------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($1,728,035 divided by 144,260 shares)..................... $ 11.98
-----------
Offering price per Class A share
(100/94.25 of $11.98)*........................................... $ 12.71
-----------
Net asset value and offering price per Class B
share ($4,555,111 divided by 384,406 shares)**................... $ 11.85
-----------
Net asset value, offering price and redemption
price per Class I share ($1,507,193 divided by
126,083 shares).................................................. $ 11.95
-----------
Net asset value, offering price and redemption
price per Class II share ($1,456,514 divided by
121,911 shares).................................................. $ 11.95
-----------
* Offering price includes sales charge of 5.75%.
The sales charge is reduced for purchases
of $25,000 and over.
** Redemption price per share is equal to net asset value
less any applicable contingent deferred sales charge.
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
61
MID CAP VALUE FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends.......................................................... $ 105,799
Interest........................................................... 17,138
----------
Total investment income........................................... 122,937
----------
EXPENSES:
Advisory fees...................................................... 51,545
Transfer agent fees................................................ 18,640
Custodian fees..................................................... 9,328
Distribution fees:
Class A........................................................... 3,825
Class B........................................................... 22,257
Administrative service fee, Class I................................ 3,579
Registration and filing fees....................................... 54,368
Audit fees and tax services........................................ 4,071
Accounting services................................................ 2,066
Trustees' fees and expenses........................................ 1,092
Report to shareholders............................................. 338
Miscellaneous...................................................... 3,134
----------
Total expenses.................................................... 174,243
Expense reimbursement (see Note 3)................................ (75,133)
----------
Net expenses...................................................... 99,110
----------
NET INVESTMENT INCOME.............................................. 23,827
----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities..................................... 1,208,461
Net unrealized depreciation of securities during the period......... (338,721)
----------
Net realized and unrealized gain on securities during the period.. 869,740
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................... $ 893,567
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income..................... $ 23,827 $ -
Net realized gain on securities........... 1,208,461 -
Net unrealized depreciation of securities
during the period......................... (338,721) -
-----------------------------------
Increase in net assets resulting from
operations............................... 893,567 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A.................................. (6,396) -
Class B.................................. (2,384) -
Class I.................................. (7,955) -
Class II................................. (12,262) -
-----------------------------------
Total distributions to shareholders from
net investment income................... (28,997) -
-----------------------------------
Net realized gain on securities
Class A.................................. - -
Class B.................................. - -
Class I.................................. - -
Class II................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (28,997) -
-----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A.................................. 1,476,640 988
Class B.................................. 4,436,404 987
Class I.................................. 1,258,652 988
Class II................................. 1,206,637 987
-----------------------------------
Total increase in net assets resulting
from share transactions................... 8,378,333 3,950
-----------------------------------
TOTAL INCREASE IN NET ASSETS.............. 9,242,903 3,950
NET ASSETS:
Beginning of year........................ 3,950 -
-----------------------------------
End of period ........................... $9,246,853 $3,950
-----------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING ----------------------------------------- -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------- -------------------- ------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------- -------------------- ------------------- --------------------
Shares sold..... 148,430 $1,533,854 99 $ 988 392,956 $4,546,587 99 $ 987
Shares issued
for
distributions
reinvested...... 576 6,387 - - 222 2,384 - -
Shares
repurchased..... (4,845) (63,601) - - (8,871) (112,567) - -
------------------- -------------------- ------------------- --------------------
Increase in
shares
outstanding..... 144,161 1,476,640 99 988 384,307 4,436,404 99 987
Shares
outstanding:
Beginning of
period.......... 99 988 - - 99 987 - -
------------------- -------------------- ------------------- --------------------
End of period... 144,260 $1,477,628 99 $ 988 384,406 $4,437,391 99 $ 987
------------------- -------------------- ------------------- --------------------
<CAPTION>
CHANGE IN SHARES Class I Class II
OUTSTANDING ------------------------------------------ ------------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
-------------------- --------------------- -------------------- ---------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-------------------- --------------------- -------------------- ---------------------
Shares sold..... 129,332 $1,304,099 99 $ 988 125,228 $1,253,837 98 $ 987
Shares issued
for
distributions
reinvested...... 707 7,954 - - 1,065 12,263 - -
Shares
repurchased..... (4,055) (53,401) - - (4,480) (59,463) - -
-------------------- --------------------- -------------------- ---------------------
Increase in
shares
outstanding..... 125,984 1,258,652 99 988 121,813 1,206,637 98 987
Shares
outstanding:
Beginning of
period.......... 99 988 - - 98 987 - -
-------------------- --------------------- -------------------- ---------------------
End of period... 126,083 $1,259,640 99 $ 988 121,911 $1,207,624 98 $ 987
-------------------- --------------------- -------------------- ---------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
62 SMALL CAP VALUE FUND October 31, 1999
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 88.36%
ADVERTISING - 0.07%
100 True North Communications, Inc. ..................... $ 4,031
-----------
AEROSPACE/DEFENSE - 0.41%
100 * Aviall, Inc. ........................................ 893
200 * Fairchild Corp., Class A ............................ 1,624
300 Gencorp, Inc......................................... 3,413
100 * Orbital Sciences Corp. .............................. 1,475
200 Perkinelmer, Inc. ................................... 8,163
100 Primex Technologies, Inc. ........................... 2,300
200 * Remec, Inc. ......................................... 2,088
100 * Sequa Corp., Class A................................. 4,925
-----------
24,881
-----------
AIRLINES - 0.35%
100 * Airtran Holdings, Inc. .............................. 455
200 * Alaska Air Group, Inc. .............................. 7,949
200 * American West Holdings Corp., Class B................ 4,138
100 Circle International Group, Inc...................... 2,200
100 * Frontier Airlines, Inc. ............................. 994
200 * Mesa Airlines, Inc. ................................. 1,125
100 * Midwest Express Holdings, Inc. ...................... 2,931
500 * Transport World Airlines, Inc........................ 1,656
-----------
21,448
-----------
APPAREL & PRODUCTS - 0.52%
100 Brown Shoe Company, Inc. ............................ 1,780
100 Cato Corp., Class A.................................. 1,149
100 * Donna Karan International, Inc. ..................... 838
100 * Dress Barn, Inc...................................... 1,778
100 * Footstar, Inc........................................ 3,500
100 * Goodys Family Clothing, Inc. ........................ 1,013
200 * Gymboree Corp........................................ 1,288
100 * Jo-ann Stores, Inc. ................................. 1,394
200 Kellwood Co.......................................... 3,538
200 * Nautica Enterprises, Inc. ........................... 3,013
100 Oxford Industries, Inc............................... 2,150
200 Phillips-Van Heusen Corp. ........................... 1,600
100 Talbots, Inc......................................... 4,706
100 UniFirst Corp........................................ 1,225
100 * United Retail Group, Inc. ........................... 1,000
100 * Value City Department Stores, Inc. .................. 1,538
-----------
31,510
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
APPLIANCES/FURNISHINGS - 0.62%
100 Bassett Furniture Industries, Inc. .................. $ 1,799
100 * CORT Business Services Corp. ........................ 2,030
100 * Furniture Brands International, Inc. ................ 1,938
300 * Griffon Corp......................................... 2,213
100 Haverty Furniture Companies, Inc..................... 1,375
400 Heilig-Meyers Co. ................................... 1,750
400 Hussmann International, Inc. ........................ 6,400
300 Kimball International, Inc., Class B................. 4,800
300 La-Z-Boy Chair Co.................................... 5,475
400 * Metromedia International Group, Inc. ................ 1,475
100 National Presto Industries, Inc. .................... 3,700
700 * Sunbeam Corp. ....................................... 3,325
100 * Windmere Corp. ...................................... 1,300
-----------
37,580
-----------
AUTO - CARS - 0.12%
200 * Avis Rent A Car, Inc................................. 3,574
200 * Budget Group, Inc.................................... 1,399
200 * United Auto Group, Inc. ............................. 2,338
-----------
7,311
-----------
AUTO - ORIGINAL EQUIPMENT - 0.93%
200 * Allen Telecom, Inc................................... 1,812
200 Arvin Industries, Inc................................ 5,699
600 Borg-Warner Automotive, Inc.......................... 23,699
200 Donaldson Co., Inc................................... 4,650
400 Mark IV Industries, Inc.............................. 7,700
200 * Miller Industries, Inc............................... 488
100 Modine Manufacturing Co. ............................ 2,488
200 Superior Industries International, Inc............... 5,338
300 * Tower Automotive, Inc................................ 4,894
-----------
56,768
-----------
AUTO - REPLACEMENT PARTS - 0.46%
100 * Aftermarket Technology Corp.......................... 945
500 Collins & Aikman Corp................................ 2,968
100 * Discount Auto Parts, Inc. ........................... 1,425
100 * Dura Automotive System, Inc. ........................ 1,875
100 Gentek, Inc. ........................................ 881
100 Kaydon Corp.......................................... 2,481
110 Myers Industries, Inc. .............................. 1,547
400 Pep Boys-Manny, Moe & Jack........................... 5,000
100 Simpson Industries, Inc.............................. 1,047
200 Smith A. O. Corp. ................................... 4,850
100 Standard Motor Products, Inc. ....................... 1,613
100 Standard Products Co., Class A....................... 3,650
-----------
28,282
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKS - OTHER - 0.16%
100 Alabama National Bancorp............................. $ 2,374
100 First Merchants Corp. ............................... 2,324
100 Premier National Bancorp, Inc. ...................... 1,838
400 Republic Security Financial Co. ..................... 3,375
-----------
9,911
-----------
BANKS - REGIONAL - 9.98%
200 AMCORE Financial, Inc................................ 4,724
200 Anchor BanCorp Wisconsin, Inc. ...................... 3,199
100 Area Bancshares Corp. ............................... 2,600
2 BancFirst Corp....................................... 65
500 BancorpSouth, Inc. .................................. 8,688
200 BancWest Corp. ...................................... 8,363
45 Bank Atlantic Bancorp, Class A....................... 228
300 Bank Atlantic Bancorp, Class B....................... 1,875
200 Bank United Corp. ................................... 7,800
190 Banknorth Group, Inc. ............................... 6,418
103 * BOK Financial Corp. ................................. 2,176
100 BSB Bancorp, Inc. ................................... 2,206
100 BT Financial Corp. .................................. 2,213
200 Carolina First Corp. ................................ 4,138
100 Cathay Bancorp, Inc. ................................ 3,838
100 Century South Banks, Inc. ........................... 2,438
125 Chemical Financial Corp. ............................ 4,078
1,107 Chittenden Corp. .................................... 34,180
200 Citizens Banking Corp. .............................. 5,550
100 City Holding Co. .................................... 1,588
100 Commerce Bancorp, Inc. .............................. 4,481
100 Commonwealth Bancorp, Inc. .......................... 1,688
1,600 Community First Bankshares, Inc. .................... 30,450
100 Community Trust Bancorp, Inc. ....................... 2,150
100 Corus Bankshares, Inc. .............................. 2,744
100 CPB, Inc. ........................................... 2,475
2,300 Cullen/Frost Bankers, Inc. .......................... 66,413
100 East West Bancorp, Inc. ............................. 1,238
103 F&M National Corp. .................................. 3,090
100 FCNB Corp. .......................................... 1,800
400 First American Financial Corp., Class A.............. 5,925
100 First Busey Corp..................................... 2,350
100 First Charter Corp. ................................. 1,900
200 First Commonwealth Financial Corp. .................. 5,675
100 First Federal Capital Corp. ......................... 1,575
110 First Financial Bankshares........................... 3,740
100 First Financial Corp. ............................... 3,519
200 First Midwest Bancorp, Inc. ......................... 8,175
100 * First Republic Bank.................................. 2,500
200 First United Bancshares, Inc. ....................... 3,213
110 FNB Corp. ........................................... 2,819
85 GBC Bancorp.......................................... 1,737
110 Grand Premier Financial, Inc. ....................... 1,760
1,800 Greater Bay Bancorp.................................. 66,150
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 SMALL CAP VALUE FUND - CONTINUED 63
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKS - REGIONAL - Continued
100 Harbor Florida Bancshares, Inc. ....................... $ 1,256
105 Harleysville National Corp. ........................... 3,504
100 Harris Financial, Inc. ................................ 1,063
3,250 * Imperial Bancorp....................................... 80,641
600 Independence Community Bank............................ 7,163
100 Independent Bank Corp.................................. 1,338
100 International Bancshares Corp. ........................ 4,538
100 InterWest Bancorp, Inc................................. 1,850
100 JeffBanks, Inc......................................... 2,969
100 Mid State Bancshares................................... 3,400
100 Mid-America Bancorp.................................... 2,988
100 National Bancorp of Alaska, Inc. ...................... 2,600
100 National City Bancshares, Inc. ........................ 2,800
100 National Penn Bancshares, Inc. ........................ 2,631
105 NBT Bancorp, Inc....................................... 1,962
100 Niagara Bancorp, Inc. ................................. 1,056
200 * Ocwen Financial Corp. ................................. 1,338
100 Omega Financial Corp. ................................. 3,225
300 One Valley Bancorp, Inc................................ 10,950
100 Peoples Holding Company................................ 3,225
100 PFF Bancorp, Inc....................................... 2,038
2,560 Provident Bankshares Corp. ............................ 55,120
200 Riggs National Corp.................................... 3,025
100 Second Bancorp, Inc. .................................. 2,550
100 * Silicon Valley Bancshares.............................. 3,263
100 Simmons First National Corp. .......................... 2,975
300 Susquehanna Bancshares, Inc. .......................... 4,988
100 Texas Regional Bancshares, Inc., Class A............... 2,794
100 U.S. Bancorp, Inc. .................................... 1,325
300 U.S. Trust Corp. ...................................... 24,338
100 UMB Financial Corp. ................................... 4,063
106 United National Bancorp................................ 2,425
300 UST Corp. ............................................. 9,300
300 Webster Financial Corp. ............................... 8,588
110 West Coast Bancorp..................................... 1,519
100 Westcorp, Inc. ........................................ 1,563
200 Whitney Holding Corp. ................................. 7,400
----------
611,703
----------
BEVERAGE -
BREWERS/DISTRIBUTORS - 0.16%
100 * Canandaigua Brands, Inc., Class A...................... 6,049
100 * Mondavi, Robert Corp., Class A......................... 3,612
----------
9,661
----------
BROADCASTING - 0.06%
100 * On Command Corp........................................ 1,718
200 * Sinclair Broadcast Group, Inc. ........................ 1,999
----------
3,717
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BUILDING MATERIALS - 1.84%
100 * Comfort Systems USA, Inc. ............................. $ 724
100 * Dal-Tile International, Inc. .......................... 930
200 Fedders USA, Inc. ..................................... 1,238
100 * Genlyte Group, Inc. ................................... 2,231
100 * Giant Cement Holding, Inc. ............................ 1,913
300 Interface, Inc., Class A............................... 1,219
100 * NCI Building Systems, Inc. ............................ 1,581
1,250 * Nortek, Inc. .......................................... 38,281
1,800 Texas Industries, Inc. ................................ 64,463
----------
112,580
----------
CHEMICAL - MAJOR - 0.18%
200 Albemarle Corp......................................... 3,549
100 Chemed Corp. .......................................... 2,994
100 * Hexcel Corp. .......................................... 538
200 * Polymer Group, Inc. ................................... 3,913
----------
10,994
----------
CHEMICAL - MISCELLANEOUS - 2.09%
300 * Agribiotech, Inc. ..................................... 955
400 * Airgas, Inc. .......................................... 3,799
100 Arch Chemicals, Inc. .................................. 1,475
200 Cambrex Corp........................................... 6,050
100 ChemFirst, Inc......................................... 2,688
369 CK Witco Corp. ........................................ 3,459
2,200 * Cytec Industries, Inc. ................................ 56,788
100 Dexter Corp............................................ 3,506
500 Ethyl Corp............................................. 2,063
100 Ferro Corp............................................. 2,038
100 * Fisher Scientific International, Inc. ................. 2,481
100 Geon Co................................................ 2,625
100 Georgia Gulf Corp. .................................... 2,156
200 * Grace, W.R. & Co. ..................................... 2,988
100 H.B. Fuller Co......................................... 5,475
400 Hanna, M.A. Co. ....................................... 4,275
100 Minerals Technologies, Inc. ........................... 4,313
100 NL Industries, Inc. ................................... 1,156
100 * Octel Corp. ........................................... 1,225
300 Olin Corp. ............................................ 4,144
200 OM Group, Inc. ........................................ 7,500
300 * OMNOVA Solutions....................................... 2,100
300 Schulman, A., Inc. .................................... 4,669
----------
127,928
----------
COAL - 0.09%
100 Consol Energy, Inc. ................................... 1,164
100 NACCO Industries, Inc., Class A........................ 4,637
----------
5,801
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONGLOMERATES - 0.16%
300 Alexander & Baldwin, Inc............................... $ 7,199
300 Ogden Corp. ........................................... 2,718
----------
9,917
----------
CONSUMER FINANCE - 0.06%
300 * Arcadia Financial Ltd.................................. 1,199
100 WesBanco, Inc. ........................................ 2,625
----------
3,824
----------
CONTAINERS - METAL/GLASS - 0.29%
100 * Alltrista Corp. ....................................... 2,293
200 AptarGroup, Inc. ...................................... 5,374
200 CLARCOR, Inc. ......................................... 3,413
100 * CSS Industries, Inc. .................................. 2,231
100 Greif Brothers Corp., Class A.......................... 2,850
100 * Silgan Holdings, Inc. ................................. 1,538
----------
17,699
----------
CONTAINERS - PAPER - 0.19%
200 Chesapeake Corp. ...................................... 5,999
200 * Gaylord Container Corp., Class A....................... 1,124
200 * Ivex Packaging Corp. .................................. 1,888
100 Rock-Tenn Co., Class A................................. 1,525
100 * Shorewood Packaging Corp. ............................. 1,269
----------
11,805
----------
COSMETICS/TOILETRIES - 0.02%
100 * Playtex Products, Inc. ................................ 1,200
----------
DRUGS - 2.76%
100 Bindley Western Industries, Inc. ...................... 1,255
5,350 * Bio-Technology General Corp. .......................... 52,163
100 Carter-Wallace, Inc. .................................. 1,805
4,500 * Dura Pharmaceuticals, Inc. ............................ 57,516
200 * Guilford Pharmaceuticals, Inc. ........................ 3,150
100 Herbalife International, Inc., Class A................. 1,475
1,250 * King Pharmaceuticals, Inc. ............................ 37,812
100 * Neurogen Corp. ........................................ 1,600
100 * P-Com, Inc. ........................................... 463
100 * Regeneron Pharmaceuticals, Inc. ....................... 800
100 * Roberts Pharmaceutical Corp. .......................... 3,225
500 * Sicor, Inc. ........................................... 2,375
200 Vertex Pharmaceuticals, Inc. .......................... 5,725
----------
169,364
----------
ELECTRIC PRODUCTS -
MISCELLANEOUS - 0.13%
300 CMP Group, Inc. ....................................... 7,988
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
64 October 31, 1999
SMALL CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 0.89%
100 * AMKOR Technologies, Inc. .............................. $ 2,018
300 Avista Corp. .......................................... 5,400
200 Belden, Inc. .......................................... 3,675
200 * Cable Design Technologies Corp. ....................... 3,875
100 * Electro Rent Corp. .................................... 1,200
100 * EMCOR Group, Inc. ..................................... 1,875
100 * Esterline Technologies Corp. .......................... 1,375
100 General Cable Corp. ................................... 738
400 * Intergraph Corp........................................ 1,550
100 * Intertan, Inc. ........................................ 2,250
5 * Juno Lighting, Inc. ................................... 53
300 * Kemet Corp. ........................................... 9,591
200 * Kent Electronics Corp. ................................ 3,888
200 * Pinnacle Holdings, Inc. ............................... 4,800
100 * Stoneridge, Inc. ...................................... 1,550
100 Thomas Industries, Inc. ............................... 1,788
100 * Triumph Group, Inc. ................................... 2,406
300 * UCAR International, Inc. .............................. 5,869
100 * WESCO International, Inc. ............................. 788
----------
54,689
----------
ELECTRONIC INSTRUMENTS - 2.02%
200 * Ampex Corp., Class A................................... 487
100 Analogic Corp. ........................................ 2,624
34 Avnet, Inc. ........................................... 1,838
200 BMC Industries, Inc. .................................. 1,163
200 * Checkpoint Systems, Inc. .............................. 1,500
100 * Commscope, Inc. ....................................... 3,988
100 Gerber Scientific, Inc. ............................... 1,888
100 * Hadco Corp. ........................................... 3,675
100 Harman International Industries, Inc. ................. 4,088
300 * Imation Corp. ......................................... 9,206
100 * ITI Technologies, Inc. ................................ 2,713
200 * MagnaTek, Inc. ........................................ 1,375
100 Methode Electronics, Inc., Class A..................... 1,600
117 * Metromedia Fiber Network, Inc. ........................ 3,868
100 Park Electrochemical Corp. ............................ 3,488
200 Pioneer-Standard Electronics, Inc. .................... 2,613
100 Pittston Bax Group..................................... 738
300 Pittston Brink's Group................................. 5,756
300 * Read-Rite Corp. ....................................... 1,181
100 * Rogers Corp. .......................................... 3,625
400 * Sensormatic Electronics Corp. ......................... 6,050
300 Tektronix, Inc. ....................................... 10,125
100 * Thermedics, Inc. ...................................... 531
100 * ThermoQuest Corp. ..................................... 1,050
100 * Varian, Inc. .......................................... 1,888
1,912 * Vishay Intertechnology, Inc. .......................... 46,725
----------
123,783
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ENTERTAINMENT - 0.32%
200 * Ascent Entertainment Group, Inc. ...................... $ 3,474
300 * Aztar Corp. ........................................... 2,905
100 * Carmike Cinemas, Inc., Class A......................... 1,206
300 * Florida Panthers Holdings, Inc. ....................... 2,906
100 Gaylord Entertainment Co. ............................. 3,256
200 * GTECH Holdings Corp. .................................. 4,025
100 * Loews Cineplex Entertainment Corp. .................... 681
100 * Trans World Entertainment Corp. ....................... 1,038
----------
19,491
----------
FERTILIZERS - 0.02%
200 Mississippi Chemical Corp. ............................ 1,112
300 Terra Industries, Inc. ................................ 355
----------
1,467
----------
FINANCE COMPANIES - 0.26%
300 * Amresco, Inc. ........................................ 880
200 Charter Municipal Mortgage
Acceptance Co. ........................................ 2,474
100 * Contifinancial Corp. .................................. 41
200 * Credit Acceptance Corp. ............................... 1,125
100 Doral Financial Corp. ................................. 1,281
100 * Franchise Mortgage Acceptance Co. ..................... 763
100 Freedom Securities Corp. .............................. 1,488
200 * Imperial Credit Industries, Inc. ...................... 1,075
400 Phoenix Investment Partners, Ltd. ..................... 3,375
200 Resource Bancshares Mortgage Group..................... 1,125
100 * Triad Guaranty, Inc. .................................. 2,056
200 * UniCapital Corp. ...................................... 325
----------
16,008
----------
FINANCIAL SERVICES - 1.37%
100 Advanta Corp. ......................................... 1,780
100 Advest Group, Inc. .................................... 1,930
100 First Liberty Financial Corp. ......................... 3,113
200 Jefferies Group, Inc. ................................. 4,263
300 Leucadia National Corp. ............................... 7,031
100 * National Processing, Inc. ............................. 869
100 * New Century Financial Corp. ........................... 1,369
200 Resource America, Inc. ................................ 1,450
3,150 Richmond Count Financial Corp. ........................ 57,881
200 United Asset Management Corp. ......................... 4,150
----------
83,836
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FOODS - 2.76%
100 * Agribrands International, Inc. ........................ $ 4,424
100 * Aurora Foods, Inc. .................................... 1,287
300 Chiquita Brands International, Inc. ................... 1,425
300 Corn Products International, Inc. ..................... 9,769
100 * Del Monte Foods Co. ................................... 1,394
2,200 Earthgrains Co. ....................................... 50,188
100 * Grand Union Co. ....................................... 1,250
200 Imperial Sugar Co. .................................... 1,063
100 * International Home Foods, Inc. ........................ 1,913
100 International Multifoods Corp. ........................ 2,113
100 Interpool, Inc. ....................................... 763
100 * J & J Snack Foods Corp. ............................... 1,925
100 Lance, Inc. ........................................... 1,206
100 Michael Foods, Inc. ................................... 2,550
400 * NBTY, Inc. ............................................ 3,225
1,700 * Performance Food Group Co. ............................ 46,113
270 * Ralcorp Holdings, Inc. ................................ 5,265
200 Smucker, J.M. Co., Class A............................. 3,975
300 * Suiza Foods Corp. ..................................... 10,819
300 Trinity Industries, Inc. .............................. 8,944
300 Universal Foods Corp. ................................. 5,738
200 * Vlasic Foods International, Inc. ...................... 1,538
100 Worthington Foods, Inc. ............................... 2,369
----------
169,256
----------
FOOTWEAR - 0.13%
100 * Just For Feet, Inc. ................................... 137
100 Justin Industries, Inc. ............................... 1,399
300 * Reebok International, Ltd. ............................ 2,944
100 Stride Rite Corp. ..................................... 656
300 Wolverine World Wide, Inc. ............................ 3,075
----------
8,211
----------
FREIGHT - 0.39%
200 Air Express International Corp. ....................... 5,324
400 Airborne Freight Corp. ................................ 8,599
200 J.B. Hunt Transport Services........................... 2,575
200 Overseas Shipholding Group, Inc. ...................... 2,575
100 * SEACOR SMIT, Inc. ..................................... 4,575
----------
23,648
----------
HARDWARE & TOOLS - 0.03%
100 Barnes Group, Inc. .................................... 2,031
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 SMALL CAP VALUE FUND - CONTINUED 65
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HEALTHCARE - 0.49%
100 * Alterra Healthcare Corp. .............................. $ 587
100 * AmeriPath, Inc. ....................................... 740
400 * Apria Healthcare Group, Inc. .......................... 6,325
100 Block Drug Co., Inc., Class A.......................... 3,488
100 * First Health Group Corp. .............................. 2,325
400 * Integrated Health Services, Inc. ...................... 113
200 Invacare Corp. ........................................ 4,175
500 * Laboratory Corp. of America Holdings................... 1,500
300 * Matria Healthcare, Inc. ............................... 1,209
100 * NCS HealthCare, Inc., Class A.......................... 297
500 * PhyCor, Inc. .......................................... 1,250
500 * Quorum Health Group, Inc. ............................. 4,000
200 * Sierra Health Services, Inc. .......................... 1,463
400 * Sun Healthcare Group, Inc. ............................ 40
200 * Sunrise Medical, Inc. ................................. 1,125
100 * Unilab Finance Corp.................................... 569
200 * US Oncology, Inc. ..................................... 894
----------
30,100
----------
HEAVY DUTY TRUCKS/PARTS - 0.68%
100 Bandag, Inc. .......................................... 2,499
100 Detroit Diesel Corp. .................................. 1,818
100 Titan International, Inc. ............................. 719
2,300 Wabash National Corp. ................................. 36,513
----------
41,549
----------
HOMEBUILDERS - 0.46%
300 D R Horton, Inc. ...................................... 3,543
100 * Del Webb Corp. ........................................ 2,205
300 Kaufman & Broad Home Corp. ............................ 6,019
200 M.D.C. Holdings, Inc. ................................. 3,125
200 Pulte Corp. ........................................... 4,025
100 Ryland Group, Inc. .................................... 2,063
100 Standard Pacific Corp. ................................ 1,075
200 * Toll Brothers, Inc. ................................... 3,500
100 * U.S. Home Corp. ....................................... 2,800
----------
28,355
----------
HOSPITAL MANAGEMENT - 0.20%
700 * Beverly Enterprises, Inc. ............................. 2,755
400 * Coventry Health Care, Inc. ............................ 2,299
100 * DVI, Inc. ............................................. 1,350
100 * Lifepoint Hospitals, Inc. ............................. 1,181
300 * Magellan Health Services, Inc. ........................ 1,819
100 * Triad Hospitals, Inc. ................................. 975
400 Ventas, Inc. .......................................... 1,950
----------
12,329
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HOSPITAL SUPPLIES - 0.82%
100 * Acuson Corp. .......................................... $ 1,037
100 Arrow International, Inc. ............................. 2,712
200 * Coherent, Inc. ........................................ 4,113
100 * Datascope Corp. ....................................... 3,600
100 Diagnostic Products Corp. ............................. 2,325
3,800 Owens & Minor, Inc. ................................... 35,625
100 * PSS World Medical, Inc. ............................... 775
----------
50,187
----------
HOUSEHOLD PRODUCTS - 1.32%
100 Bush Industries, Inc. ................................. 1,455
2,600 Church & Dwight Co., Inc. ............................. 67,762
100 Libbey, Inc. .......................................... 2,650
100 Mikasa, Inc. .......................................... 1,144
100 Pittway Corp., Class A................................. 3,300
100 * Select Comfort Corp. .................................. 563
200 Tupperware Corp. ...................................... 3,963
----------
80,837
----------
HUMAN RESOURCES - 0.65%
290 * Interim Services, Inc. ................................ 4,766
100 Kelley Services, Inc., Class A......................... 2,930
1,100 * Korn/Ferry International, Inc. ........................ 24,475
500 Olsten Corp. .......................................... 5,031
200 * Personnel Group of America, Inc. ...................... 1,338
200 * Staffmark, Inc. ....................................... 1,438
----------
39,978
----------
INFORMATION PROCESSING - 0.28%
100 * Ashton Technology Group, Inc. ......................... 640
300 * CHS Electronics, Inc. ................................. 262
200 * Fritz Companies, Inc. ................................. 2,238
100 * Learn2.com, Inc. ...................................... 303
200 * Pegasystems, Inc. ..................................... 1,563
100 * Rare Medium Group, Inc. ............................... 1,475
600 * Sybase, Inc. .......................................... 8,100
300 * Systemax, Inc. ........................................ 2,456
----------
17,037
----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 0.64%
100 * Aspen Technology, Inc. ................................ 1,275
800 * Symantec Corp. ........................................ 38,200
----------
39,475
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 0.79%
100 * Hutchinson Technology, Inc. ........................... $ 2,549
500 * Komag, Inc. ........................................... 827
300 * MEMC Electronic Materials, Inc. ....................... 4,275
700 * Merisel, Inc. ......................................... 941
100 OEA, Inc. ............................................. 688
714 * Radisys Corp. ......................................... 37,842
400 * Western Digital Corp. ................................. 1,275
----------
48,397
----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 0.60%
900 National Computer Systems, Inc. ....................... 34,031
100 * Nichols Research Corp. ................................ 2,856
----------
36,887
----------
INFORMATION PROCESSING -
DATA SERVICES - 1.58%
200 * Anixter International, Inc. ........................... 4,174
100 * Applied Graphics Technology, Inc. ..................... 712
100 * Auspex Systems, Inc. .................................. 556
100 * Avant! Corp. .......................................... 1,288
1,550 * CSG Systems International, Inc. ....................... 53,184
125 * EMC Corp. ............................................. 9,125
100 * GT Interactive Software Corp. ......................... 275
200 * In Focus Systems, Inc. ................................ 3,963
200 * Information Resources, Inc. ........................... 2,125
100 * JDA Software Group, Inc. .............................. 900
100 * Manugistics Group, Inc. ............................... 1,150
300 * Mentor Graphics Corp. ................................. 2,419
200 MTS Systems Corp. ..................................... 2,025
300 * Paxar Corp. ........................................... 2,794
100 * Phoenix Technologies, Ltd. ............................ 1,150
200 * Primark Corp. ......................................... 5,075
300 * S3, Inc. .............................................. 3,000
100 * Volt Information Sciences, Inc. ....................... 1,975
100 * Wave Systems Corp. .................................... 950
----------
96,840
----------
INFORMATION PROCESSING -
NETWORKING - 0.08%
100 * Hypercom Corp. ........................................ 799
300 * Picturetel Corp. ...................................... 1,049
200 * Ziff-Davis, Inc. ...................................... 2,988
----------
4,836
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
66 October 31, 1999
SMALL CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INSURANCE - CASUALTY - 0.95%
100 * Acceptance Insurance Co., Inc. ........................ $ 1,443
135 Allstate Corp.......................................... 3,880
100 Baldwin & Lyons, Inc., Class B......................... 2,062
200 Commerce Group, Inc. .................................. 5,075
200 Frontier Insurance Group, Inc. ........................ 1,775
300 HCC Insurance Holdings, Inc............................ 3,375
400 Orion Capital Corp. ................................... 19,550
100 Philadelphia Consolidated Holding Co. ................. 1,450
100 PMA Capital Corp. ..................................... 2,000
400 Reliance Group Holdings, Inc. ......................... 1,425
100 * Risk Capital Holdings, Inc. ........................... 1,306
100 RLI Corp. ............................................. 3,331
200 Selective Insurance Group, Inc. ....................... 3,738
100 State Auto Financial Corp. ............................ 1,150
100 Stewart Information Services Corp. .................... 1,488
100 * Superior National Insurance Group, Inc. ............... 1,200
100 Trenwick Group, Inc. .................................. 2,031
100 United Fire & Casualty Co. ............................ 2,231
----------
58,510
----------
INSURANCE - LIFE - 0.59%
100 Guarantee Life Co., Inc. .............................. 3,105
100 Kansas City Life Insurance Co. ........................ 3,888
400 Mony Group, Inc. ...................................... 12,600
200 Presidential Life Corp. ............................... 3,675
100 StanCorp Financial Group, Inc. ........................ 2,538
300 * UICI................................................... 7,950
100 W.R. Berkley Corp. .................................... 2,294
----------
36,050
----------
INSURANCE - MISCELLANEOUS - 0.87%
200 Capital Re Corp. ...................................... 2,824
100 Chicago Title Corp. ................................... 4,405
200 Fidelity National Financial, Inc. ..................... 3,138
100 Foremost Corp. of America.............................. 2,825
100 Harleysville Group, Inc. .............................. 1,706
100 Liberty Corp. ......................................... 4,806
200 * Mid Atlantic Med Services, Inc. ....................... 1,088
100 MMI Companies, Inc. ................................... 819
500 Ohio Casualty Corp. ................................... 8,344
100 * PICO Holdings, Inc. ................................... 1,644
300 Radian Group, Inc. .................................... 15,844
100 SCPIE Holdings, Inc. .................................. 3,513
100 Zenith National Insurance Corp. ....................... 2,231
----------
53,187
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INSURANCE - MULTILINE - 2.53%
300 Alfa Corp. ............................................ $ 5,362
100 American Annuity Group, Inc. .......................... 1,793
100 AmerUs Life Holdings, Inc. ............................ 2,413
100 Argonaut Group, Inc.................................... 2,406
100 CNA Surety Corp. ...................................... 1,150
100 * Delphi Financial Group, Inc., Class A.................. 3,200
100 FBL Financial Group, Inc., Class A..................... 1,831
1,050 Gallagher, Arthur J & Co. ............................. 54,338
2,600 Horace Mann Educators Corp. ........................... 73,288
100 LandAmerica Financial Group, Inc. ..................... 1,856
210 * Medical Assurance, Inc. ............................... 4,909
100 * Professionals Group, Inc. ............................. 2,406
----------
154,952
----------
LEISURE TIME - 1.56%
600 AMF Bowling, Inc. ..................................... 2,662
1,150 * Bally Total Fitness Holding Corp. ..................... 27,671
300 * Boyd Gaming Corp. ..................................... 1,950
400 Callaway Golf Co. ..................................... 5,375
200 * Dollar Thrifty Automotive Group, Inc. ................. 3,375
100 * Family Golf Centers, Inc. ............................. 163
200 * Handleman Co. ......................................... 3,225
200 * Hollywood Park, Inc. .................................. 3,463
200 * Players International, Inc. ........................... 1,475
4,400 * Sunterra Corp. ........................................ 44,000
100 * Vail Resorts, Inc. .................................... 2,225
----------
95,584
----------
LODGING - 0.34%
100 Deltic Timber Corp. ................................... 2,243
300 * Extended Stay America, Inc. ........................... 2,493
200 * Lodgian, Inc. ......................................... 963
200 Marcus Corp. .......................................... 2,813
400 Meristar Hospitality Corp. ............................ 6,425
400 * Prime Hospitality Corp. ............................... 3,125
1,000 Wyndham International, Inc. ........................... 2,875
----------
20,937
----------
MACHINE TOOLS - 0.12%
300 Milacron, Inc. ........................................ 4,930
100 Starrett, L.S. Co. .................................... 2,399
----------
7,329
----------
MACHINERY - AGRICULTURE - 0.15%
500 AGCO Corp. ............................................ 5,374
100 Toro Co. .............................................. 3,587
----------
8,961
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 1.80%
100 * CDI Corp. ............................................ $ 2,649
100 Columbus McKinnon Corp. .............................. 1,205
300 Foster Wheeler Corp. ................................. 3,375
1,800 Granite Construction, Inc. ........................... 37,238
300 Harnischfeger Industries, Inc. ....................... 338
100 * Jacobs Engineering Group, Inc. ....................... 3,550
200 Kaman Corp., Class A ................................. 2,200
400 Lennar Corp. ......................................... 6,575
300 * Morrison Knudsen Corp. ............................... 2,738
100 * National Equipment Services, Inc. .................... 1,056
200 * Nationsrent, Inc. .................................... 1,275
100 Sauer, Inc. .......................................... 1,294
100 Stone & Webster, Inc. ................................ 1,550
100 T.J. International, Inc. ............................. 3,100
1,600 * Terex Corp. .......................................... 42,300
-----------
110,443
-----------
MACHINERY - INDUSTRIAL/SPECIALTY - 1.26%
200 AAR Corp. ............................................ 3,337
102 * Albany International Corp., Class A................... 1,548
200 Applied Industrial Tech., Inc. ....................... 3,150
200 Baldor Electric Co. .................................. 3,888
100 Burlington Coat Factory Warehouse Corp. .............. 1,713
200 Exide Corp. .......................................... 1,775
300 Flowserve Corp. ...................................... 5,063
100 * Gardner Denver, Inc. ................................. 1,206
100 * Halter Marine Group, Inc. ............................ 544
200 Hughes Supply, Inc. .................................. 4,338
200 IDEX Corp. ........................................... 4,925
100 * Ionics, Inc. ......................................... 2,950
100 JLG Industries, Inc. ................................. 1,281
200 * Kulicke & Soffa Industries, Inc. ..................... 5,888
200 Lilly Industries, Inc., Class A....................... 2,688
200 Lincoln Electric Holdings, Inc. ...................... 4,475
100 Nordson Corp. ........................................ 4,431
200 Regal-Beloit Corp. ................................... 4,350
100 Robbins & Myers, Inc. ................................ 1,619
71 * Speedfam-IPEC, Inc. .................................. 785
100 * SPS Technologies, Inc. ............................... 3,100
200 Stewart & Stevenson Services.......................... 2,650
100 * Synthetic Industries, Inc. ........................... 2,825
400 Timken Co. ........................................... 7,175
100 Watts Industries, Inc., Class A....................... 1,369
-----------
77,073
-----------
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 SMALL CAP VALUE FUND - CONTINUED 67
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MEDICAL TECHNOLOGY - 0.53%
100 * Bio-Rad Laboratories, Inc., Class A................... $ 2,399
100 * Haemonetics Corp. .................................... 1,868
100 * Maxxim Med, Inc....................................... 2,400
200 * PE Corp. Celera Genomics.............................. 7,825
100 * Protein Design Labs, Inc. ............................ 4,006
200 * Quest Diagnostics, Inc. .............................. 5,600
200 * Serologicals Corp. ................................... 775
200 Varian Medical Systems, Inc. ......................... 4,213
100 West Pharmaceutical Services, Inc. ................... 3,456
-----------
32,542
-----------
MERCHANDISE - DRUG - 0.06%
500 * Perrigo Co. .......................................... 3,781
-----------
MERCHANDISE - SPECIALTY - 2.96%
1,500 * Ames Department Stores, Inc........................... 47,530
200 Arctic Cat, Inc....................................... 1,899
100 * Avid Technology, Inc. ................................ 1,106
100 * Barnesandnoble.com, Inc. ............................. 1,838
200 * Bombay Co., Inc. ..................................... 825
200 * Boyds Collection, Ltd. ............................... 1,588
100 * Bush Boake Allen, Inc. ............................... 2,338
100 Caseys General Stores, Inc. .......................... 1,288
200 Cash America International, Inc. ..................... 1,888
100 * Central Garden & Pet Co. ............................. 725
800 * Charming Shoppes, Inc................................. 3,975
400 * Compucom Systems, Inc. ............................... 1,288
600 * CompUSA, Inc. ........................................ 3,413
100 * Daisytek International Corp. ......................... 1,663
100 * Department 56, Inc. .................................. 1,900
100 * Earthshell Corp....................................... 344
100 * Finish Line, Inc. .................................... 691
100 * Franklin Covey Co. ................................... 806
100 Hancock Holding Co. .................................. 3,950
300 * Homebase, Inc. ....................................... 1,144
300 * Inacom Corp. ......................................... 1,444
100 * International Specialty Products, Inc. ............... 756
100 Jostens, Inc. ........................................ 2,113
2,050 * Michaels Stores, Inc. ................................ 68,803
200 * Micro Warehouse, Inc. ................................ 2,425
700 * OfficeMax, Inc. ...................................... 3,544
100 * O'Sullivan Industries Holdings, Inc. ................. 1,550
200 * Petco Animal Supplies, Inc............................ 2,313
100 Russ Berrie and Co., Inc. ............................ 1,925
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISE - SPECIALTY - Continued
200 Seitel, Inc. .......................................... $ 1,588
100 * Sitel Corp. ........................................... 450
100 South Jersey Industries, Inc. ......................... 2,600
100 * Spiegel, Inc., Class A................................. 1,450
200 Sturm, Ruger & Co., Inc. .............................. 1,775
200 * Twinlab Corp. ......................................... 1,625
200 * United Stationers, Inc. ............................... 5,100
300 * US Office Products Co. ................................ 825
100 * West Marine, Inc. ..................................... 900
-----------
181,385
-----------
MERCHANDISING - DEPARTMENT - 0.08%
300 * Borders Group, Inc. ................................... 3,899
100 Pier 1 Imports, Inc. .................................. 593
100 * Stein Mart, Inc........................................ 663
-----------
5,155
-----------
MERCHANDISING - FOOD - 0.86%
300 Fleming Companies, Inc. ............................... 3,580
1,400 Great Atlantic & Pacific Tea Co. ...................... 39,987
100 Ingles Markets, Inc., Class A.......................... 1,294
200 Ruddick Corp. ......................................... 3,413
100 Sanderson Farms, Inc. ................................. 994
100 Smart & Final, Inc. ................................... 913
100 * Smithfield Foods, Inc. ................................ 2,275
2 Supervalu, Inc. ....................................... 42
100 * Zapata Corp. .......................................... 513
-----------
53,011
-----------
MERCHANDISING - MASS - 0.08%
200 * ShopKo Stores, Inc. ................................... 5,013
-----------
METALS - ALUMINUM - 0.06%
100 * ACX Technologies, Inc. ................................ 780
100 IMCO Recycling, Inc. .................................. 1,462
200 * Kaiser Aluminum Corp. ................................. 1,288
-----------
3,530
-----------
METALS - COPPER - 0.29%
300 ASARCO, Inc. .......................................... 8,849
72 Phelps Dodge Corp. .................................... 4,063
200 Southern Peru Copper Corp. ............................ 3,250
100 * Wolverine Tube, Inc.................................... 1,375
-----------
17,537
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
METALS - MISCELLANEOUS - 0.31%
100 Brush Wellman, Inc. ................................... $ 1,324
100 Castle A. M. & Co. .................................... 1,237
50 * CIRCOR International, Inc. ............................ 475
100 Commercial Metals Co. ................................. 3,263
200 Kennametal, Inc. ...................................... 5,750
200 Precision Castparts Corp. ............................. 5,900
100 * RTI International Metals, Inc. ........................ 725
100 Titanium Metals Corp. ................................. 600
-----------
19,274
-----------
METALS - STEEL - 2.06%
191 AK Steel Holding Corp. ................................ 3,308
1,000 * Bethlehem Steel Corp. ................................. 6,937
100 Carpenter Technology Corp. ............................ 2,438
100 * Citation Corp. ........................................ 1,644
100 Cleveland-Cliffs, Inc. ................................ 2,988
100 Commercial Intertech Corp. ............................ 1,269
2,600 Gibraltar Steel Corp. ................................. 63,538
300 Harsco Corp. .......................................... 8,831
200 Intermet Corp. ........................................ 2,025
700 LTV Corp. ............................................. 2,538
200 * Metals USA, Inc. ...................................... 1,488
200 * Mueller Industries, Inc. .............................. 6,388
100 National Steel Corp., Class B.......................... 600
200 Oregon Steel Mills, Inc. .............................. 1,688
100 Quanex Corp. .......................................... 2,169
150 Reliance Steel & Aluminum Co. ......................... 3,150
100 Rouge Industries, Inc., Class A........................ 563
61 Ryerson Tull, Inc. .................................... 1,251
100 Valmont Industries, Inc. .............................. 1,738
600 Worthington Industries, Inc. .......................... 9,975
100 * Wyman-Gordon Co. ...................................... 1,969
-----------
126,495
-----------
MISCELLANEOUS - 1.19%
600 * 7-eleven, Inc. ........................................ 1,199
200 * ABC-Naco, Inc. ........................................ 2,149
100 AMCOL International Corp. ............................. 1,225
100 * AMERCO, Inc. .......................................... 2,944
100 Arch Coal, Inc. ....................................... 1,119
100 * Assisted Living Concepts, Inc. ........................ 113
103 Blount International, Inc. ............................ 1,513
200 * Brightpoint, Inc. ..................................... 1,569
41 * Building One Services Corp. ........................... 456
300 Cabot Industrial Trust................................. 6,000
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
68 October 31, 1999
SMALL CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MISCELLANEOUS - Continued
100 * Integrated Electrical Services, Inc. .................. $ 1,088
200 * IT Group, Inc. ........................................ 1,975
200 * Sola International, Inc. .............................. 2,800
700 USEC, Inc. ............................................ 6,344
200 * Veritas DGC, Inc. ..................................... 2,813
100 * Veterinary Centers of America, Inc. ................... 1,175
1,950 Westinghouse Air Brake Co. ............................ 35,831
100 Woodward Governor Co. ................................. 2,650
----------
72,963
----------
MOBILE HOMES - 0.16%
100 * Champion Enterprises, Inc. ............................ 912
100 Coachmen Industries, Inc. ............................. 1,468
200 Fleetwood Enterprises, Inc. ........................... 4,363
300 Oakwood Homes Corp. ................................... 881
100 Skyline Corp. ......................................... 2,488
----------
10,112
----------
MULTIMEDIA - 0.03%
100 Gray Communications Systems, Inc. ..................... 1,800
----------
NATURAL GAS - DIVERSIFIED - 0.77%
200 Atmos Energy Corp. .................................... 4,537
100 Cascade Natural Gas Corp. ............................. 1,812
200 Eastern Enterprises.................................... 10,225
100 Laclede Gas Co. ....................................... 2,131
100 New Jersey Resources Corp. ............................ 4,069
100 * Southern Union Co. .................................... 2,025
200 Southwest Gas Corp. ................................... 4,650
300 UGI Corp. ............................................. 7,200
100 Western Gas Resources, Inc. ........................... 1,644
300 WICOR, Inc. ........................................... 8,925
----------
47,218
----------
OIL - INTEGRATED DOMESTIC - 0.20%
100 * Belco Oil and Gas Corp. ............................... 624
100 Cross Timbers Oil Co. ................................. 1,112
600 Pennzoil-Quaker State Co. ............................. 7,088
300 * Tesoro Petroleum Corp. ................................ 3,638
----------
12,462
----------
OIL - SERVICE - PRODUCTS - 0.38%
200 * Global Industrial Technologies, Inc. .................. 2,449
100 * Global Industries, Inc. ............................... 800
100 * IRI International Corp. ............................... 400
100 * Lone Star Technologies, Inc. .......................... 2,094
100 * Maverick Tube Corp. ................................... 1,850
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
OIL - SERVICE - PRODUCTS - Continued
500 * Parker Drilling Co. ................................... $ 1,875
400 * Pride International, Inc. ............................. 5,500
100 RPC, Inc. ............................................. 694
100 SEMCO Energy, Inc. .................................... 1,406
100 * TransMontaigne, Inc. .................................. 1,163
500 * Varco International, Inc. ............................. 5,281
----------
23,512
----------
OIL - SERVICES - 1.74%
800 * BJ Services Co. ....................................... 27,449
34 Devon Energy Corp. .................................... 1,321
600 * Key Energy Services, Inc. ............................. 2,699
3,300 * Marine Drilling Companies, Inc. ....................... 53,419
200 Mascotech, Inc. ....................................... 2,913
100 * McMoRan Exploration Co. ............................... 2,238
100 * Oceaneering International, Inc. ....................... 1,356
200 * Offshore Logistics, Inc. .............................. 1,850
200 * Pool Energy Services Co. .............................. 4,363
200 * Tuboscope, Inc. ....................................... 2,225
100 * U S Liquids, Inc. ..................................... 669
300 * Unova, Inc. ........................................... 3,994
100 * UTI Energy Corp. ...................................... 1,919
----------
106,415
----------
OIL/GAS PRODUCERS - 1.98%
100 * Brown, Tom, Inc. ...................................... 1,374
200 Cabot Oil & Gas Corp., Class A......................... 3,224
400 * Chesapeake Energy Corp. ............................... 1,450
300 * EEX Corp. ............................................. 1,106
300 Equitable Resources, Inc. ............................. 10,950
1,100 * Grey Wolf, Inc. ....................................... 2,888
1,000 * Harken Energy Corp. ................................... 1,000
400 Helmerich & Payne, Inc. ............................... 9,525
100 * Houston Exploration Co. ............................... 1,956
100 * HS Resources, Inc. .................................... 1,563
400 * Input/Output, Inc. .................................... 2,100
200 * Louis Dreyfus Natural Gas Corp. ....................... 4,000
200 Mitchell Energy & Development Corp.,
Class A................................................ 4,775
100 * Newfield Exploration Co. .............................. 2,944
1,850 * Nuevo Energy Co. ...................................... 26,247
300 * Patterson Energy, Inc. ................................ 3,844
700 * Pioneer Natural Resources Corp. ....................... 6,563
2,900 * Santa Fe Snyder Corp. ................................. 25,013
100 St. Mary Land & Exploration Co. ....................... 2,550
100 * Swift Energy Co. ...................................... 1,038
400 Valero Energy Corp. ................................... 7,350
----------
121,460
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS - 1.63%
100 * Boise Cascade Office Products Corp. ................... $ 1,024
100* Buckeye Technologies, Inc. ............................ 1,512
200 Caraustar Industries, Inc. ............................ 4,825
200 Glatfelter, P.H. Co. .................................. 2,925
400 Longview Fibre Co. .................................... 4,550
1,650 Potlatch Corp. ........................................ 69,609
200 Rayonier, Inc. ........................................ 8,200
100 Schweitzer-Mauduit, Inc. .............................. 1,194
100 Standard Register Co. ................................. 2,188
100 Universal Forest Products, Inc. ....................... 1,450
200 Wausau-Mosinee Paper Corp. ............................ 2,525
----------
100,002
----------
PHOTOGRAPHY - 0.14%
300 Polaroid Corp. ........................................ 6,693
100 * Ultratech Stepper, Inc. ............................... 1,587
----------
8,280
----------
POLLUTION CONTROL - 0.10%
300 Calgon Carbon Corp. ................................... 2,099
100 * Cuno, Inc. ............................................ 1,999
100 * URS Corp. ............................................. 1,800
----------
5,898
----------
PUBLISHING - NEWS - 1.81%
800 Media General, Inc., Class A........................... 43,700
1,550 McClatchy Co., Class A................................. 60,838
200 * Network Equipment Technologies, Inc. .................. 2,037
100 Pulitzer, Inc. ........................................ 4,288
----------
110,863
----------
PUBLISHING/PRINTING - 0.62%
100 American Business Products, Inc. ...................... 1,306
200 Banta Corp. ........................................... 4,525
300 Bowne & Co., Inc. ..................................... 3,338
200 Harland, John H. Co. .................................. 3,800
100 * Journal Register Co. .................................. 1,419
100 Merrill Corp. ......................................... 2,063
380 Quebecor Printing, Inc. ............................... 8,764
100 * Scholastic Corp. ...................................... 4,650
100 * Scientific Games Holdings Corp. ....................... 1,738
300 Wallace Computer Services, Inc. ....................... 6,638
----------
38,241
----------
RAILROAD - 0.21%
200 Florida East Coast Industries, Inc. ................... 7,450
100 * Motivepower Industries, Inc. .......................... 1,194
300 * Wisconsin Central Transport Corp. ..................... 4,163
----------
12,807
----------
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 SMALL CAP VALUE FUND - CONTINUED 69
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REAL ESTATE - 0.24%
100 * Castle & Cooke, Inc. .................................. $ 1,388
100 * CB Richard Ellis Services, Inc. ....................... 1,231
100 * Insignia Financial Group, Inc. ........................ 794
200 LNR Property Corp. .................................... 3,875
300 Republic Bancorp, Inc. ................................ 3,938
200 SL Green Realty Corp. ................................. 3,638
----------
14,864
----------
REAL ESTATE INVESTMENT TRUSTS - 6.73%
100 Alexandria Real Estate Equities, Inc. ................. 2,875
400 Allied Capital Corp. .................................. 8,025
200 American Health Properties, Co. ....................... 4,038
100 American Industrial Properties REIT.................... 1,150
100 Amli Residential Properties Trust...................... 2,075
100 Associated Estates Realty Corp. ....................... 863
200 Bedford Property Investors, Inc. ...................... 3,500
100 Boykin Lodging Co. .................................... 1,294
200 Bradley Real Estate, Inc. ............................. 3,350
2,350 Brandywine Realty Trust................................ 39,509
400 BRE Properties, Inc., Class A.......................... 9,075
200 Burnham Pacific Properties, Inc. ...................... 2,000
300 Camden Property Trust.................................. 8,119
100 Capital Automotive REIT................................ 1,275
400 Capstead Mortgage Corp. ............................... 1,575
1,500 CBL & Associates Properties, Inc. ..................... 33,375
200 Center Trust, Inc. .................................... 2,050
200 CenterPoint Properties Corp. .......................... 6,525
100 Chateau Communities, Inc. ............................. 2,550
100 Chelsea GCA Realty, Inc. .............................. 3,100
200 Colonial Properties Trust.............................. 5,100
200 Commercial Net Lease Realty............................ 2,300
300 Cornerstone Realty Income Trust, Inc. ................. 3,113
100 * Crestline Capital Corp. ............................... 2,225
200 Crown American Realty Trust............................ 1,225
500 Developers Diversified Realty Corp. ................... 7,125
38 Duke-Weeks Realty Corp. ............................... 746
100 EastGroup Properties, Inc. ............................ 1,831
100 Entertainment Properties Trust......................... 1,406
300 Equity Inns, Inc. ..................................... 2,250
100 Essex Property Trust, Inc. ............................ 3,256
200 Federal Realty Investment Trust........................ 3,638
300 First Industrial Realty Trust, Inc. ................... 7,406
100 First Washington Realty Trust, Inc. ................... 2,044
200 Gables Residential Trust............................... 4,838
200 Glenborough Realty Trust, Inc. ........................ 2,613
200 Glimcher Realty Trust.................................. 2,963
100 Golf Trust of America, Inc. ........................... 1,794
100 Great Lakes REIT, Inc. ................................ 1,444
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - Continued
100 Health Care Property Investors, Inc. ................. $ 2,625
200 Health Care REIT, Inc. ............................... 3,575
300 Healthcare Realty Trust, Inc. ........................ 5,775
1,250 Home Properties of New York, Inc. .................... 33,359
400 Hospitality Properties Trust.......................... 8,450
200 Imperial Credit Commercial Mortgage Investment
Corp. ................................................ 2,175
500 Indymac Mortgage Holdings, Inc. ...................... 6,969
300 Innkeepers USA Trust.................................. 2,588
300 IRT Property Co. ..................................... 2,531
300 JDN Realty Corp. ..................................... 5,719
100 JP Realty, Inc. ...................................... 1,713
200 Kilroy Realty Corp. .................................. 3,838
200 Koger Equity, Inc. ................................... 3,100
200 Konover Property Trust, Inc. ......................... 1,275
100 LaSalle Hotel Properties.............................. 1,256
100 Lexington Corporate Properties, Inc. ................. 1,088
200 LTC Properties, Inc. ................................. 2,125
200 Macerich Co. ......................................... 4,000
100 Manufactured Home Communities, Inc. .................. 2,331
100 MGI Properties, Inc. ................................. 969
100 Mid-America Apartment
Communities, Inc. .................................... 2,213
200 National Health Investors, Inc. ...................... 3,025
300 Nationwide Health Properties, Inc. ................... 4,969
100 Omega Healthcare Investors, Inc. ..................... 1,981
100 Pacific Gulf Properties, Inc. ........................ 2,025
100 Pan Pacific Retail Properties, Inc. .................. 1,825
100 Parkway Properties, Inc. ............................. 3,063
100 Pennsylvania Real Estate Investment Trust............. 1,863
300 Prentiss Properties Trust............................. 6,431
100 Prime Group Realty Trust.............................. 1,438
300 Prime Retail, Inc. ................................... 2,381
200 PS Business Parks, Inc. .............................. 4,525
200 Realty Income Corp. .................................. 4,500
300 Reckson Associates Realty Corp. ...................... 5,550
100 * Redwood Trust, Inc. .................................. 1,300
300 Regency Realty Corp. ................................. 5,944
200 RFS Hotel Investors, Inc. ............................ 2,400
100 Saul Centers, Inc. ................................... 1,419
300 * Security Capital Group, Inc. ......................... 4,125
200 Shurgard Storage Centers, Inc., Class A............... 4,725
100 Sovran Self Storage, Inc. ............................ 2,125
200 Storage USA, Inc. .................................... 5,825
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - Continued
200 Summit Properties, Inc. ............................... $ 3,825
100 Sun Communities, Inc. ................................. 3,188
300 Sunstone Hotel Investors, Inc. ........................ 2,869
300 Taubman Centers, Inc. ................................. 3,394
200 Thornburg Mortgage Asset Corp. ........................ 1,800
200 TriNet Corporate Realty Trust.......................... 4,613
100 U.S. Restaurant Properties, Inc. ...................... 1,600
800 United Dominion Realty Trust, Inc. .................... 8,750
100 Urban Shopping Centers, Inc. .......................... 2,581
200 Walden Residential Properties, Inc. ................... 4,288
200 Weingarten Realty Investors............................ 7,650
200 * Wellsford Real Properties, Inc. ....................... 1,650
100 Western Properties Trust............................... 1,050
200 Westfield America, Inc. ............................... 2,750
----------
412,761
----------
RESTAURANTS - 1.13%
300 * Advantica Restaurant Corp. ............................ 788
1,550 Applebees International, Inc. ......................... 44,659
100 Avado Brands, Inc. .................................... 563
300 Bob Evans Farms, Inc. ................................. 4,125
400 * Buffets, Inc. ......................................... 3,725
400 CBRL Group, Inc. ...................................... 5,350
100 CKE Restaurants, Inc. ................................. 675
200 * Landry Seafood Restaurants, Inc. ...................... 1,500
300 * Lone Star Steakhouse Saloon, Inc. ..................... 2,400
200 Luby's, Inc. .......................................... 2,375
300 * Ryan's Family Steak Houses, Inc. ...................... 3,141
----------
69,301
----------
SAVINGS & LOAN - 1.77%
100 Alliance Bancorp, Inc. ................................ 2,050
100 Andover Bancorp, Inc. ................................. 2,925
100 Bay View Capital Corp. ................................ 1,388
100 Brookline Bancorp, Inc. ............................... 1,050
600 Capitol Federal Financial.............................. 6,000
200 CFS Bancorp, Inc. ..................................... 2,088
297 Charter One Financial, Inc. ........................... 7,295
100 Dime Community Bancshares.............................. 2,019
100 Downey Financial Corp. ................................ 2,213
105 F&M Bank Corp. ........................................ 2,638
1,300 First Financial Holdings, Inc. ........................ 24,294
100 First Indiana Corp. ................................... 2,450
300 First Sentinel Bancorp, Inc. .......................... 2,456
100 First Washington Bancorp, Inc. ........................ 1,700
200 * FirstFed Financial Corp. .............................. 3,200
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
70 October 31, 1999
SMALL CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SAVINGS & LOAN - Continued
100 Hudson River Bankcorp. ................................ $ 1,106
100 JSB Financial, Inc. ................................... 6,013
200 * Local Financial Corp. ................................. 1,850
200 MAF Bancorp, Inc. ..................................... 4,313
100 Northwest Bankcorp, Inc. .............................. 819
100 OceanFirst Financial Corp. ............................ 1,788
100 Queens County Bancorp, Inc. ........................... 3,144
100 Reliance Bancorp, Inc. ................................ 4,034
200 Seacost Financial Services Co. ........................ 2,200
100 St Francis Capital Corp. .............................. 2,250
300 Staten Island Bancorp, Inc. ........................... 5,813
200 United Community Financial Co. ........................ 1,975
400 Washington Federal, Inc. .............................. 9,125
1 * Wilshire Financial Services Group...................... 2
----------
108,198
----------
SECURITIES RELATED - 1.78%
100 Dain Rauscher Corp. ................................... 5,369
200 Enhance Financial Services Group, Inc. ................ 3,650
1,600 Investors Financial Services Corp. .................... 59,200
950 Legg Mason, Inc. ...................................... 34,556
100 Liberty Financial Companies............................ 2,406
100 Morgan Keegan, Inc. ................................... 1,788
100 Raymond James Financial, Inc. ......................... 2,025
----------
108,994
----------
SEMICONDUCTOR EQUIPMENT - 0.43%
500 * ATMI, Inc. ............................................ 13,469
100 * Brooks Automation, Inc. ............................... 1,900
100 * LAM Research Corp. .................................... 8,444
100 * Varian Semiconductor Equipment
Associates, Inc. ...................................... 2,263
----------
26,076
----------
SEMICONDUCTORS - 1.38%
100 * Actel Corp. ........................................... 1,888
200 * Alliance Semiconductor Corp. .......................... 2,325
500 * Cirrus Logic, Inc. .................................... 4,969
200 Cohu, Inc. ............................................ 3,775
400 * Cypress Semiconductor Corp. ........................... 10,225
100 * Electroglas, Inc. ..................................... 2,759
200 * ESS Technology, Inc. .................................. 2,638
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SEMICONDUCTORS - Continued
100 * Exar Corp. ............................................ $ 3,613
100 * FSI International, Inc. ............................... 800
600 * Integrated Device Technology, Inc. .................... 12,338
200 * International Rectifier Corp. ......................... 3,888
200 * MRV Communications, Inc. .............................. 4,338
200 * Silicon Valley Group, Inc. ............................ 2,500
600 * TranSwitch Corp. ...................................... 28,238
----------
84,294
----------
TELECOMMUNICATIONS - 1.69%
500 * Andrew Corp. .......................................... 6,438
100 * Anicom, Inc. .......................................... 413
450 * ANTEC Corp. ........................................... 21,824
100 * Aspect Telecommunications Co. ......................... 2,519
100 * CT Communication, Inc. ................................ 4,813
300 * General Communication, Inc. ........................... 1,463
500 * Glenayre Technologies, Inc. ........................... 1,484
1,500 * L-3 Communications Holdings, Inc. ..................... 63,281
100 * Paging Network, Inc. .................................. 94
100 * Premier Technologies, Inc. ............................ 550
100 * Premisys Communications, Inc. ......................... 969
----------
103,848
----------
TEXTILE - PRODUCTS - 0.31%
400 * Burlington Industries, Inc. ........................... 1,475
100 * Dan River, Inc., Class A............................... 531
100 Guilford Mills, Inc. .................................. 881
100 * Lydall, Inc. .......................................... 738
100 Pillowtex Corp. ....................................... 338
200 Russell Corp. ......................................... 3,038
100 Springs Industries, Inc., Class A...................... 3,981
400 * Unifi, Inc. ........................................... 4,800
200 Wellman, Inc. ......................................... 3,013
----------
18,795
----------
TOBACCO - 0.13%
105 Brooke Group, Ltd. .................................... 1,608
300 DIMON, Inc. ........................................... 1,050
100 * General Cigar Holdings, Inc. .......................... 575
200 Universal Corp. ....................................... 4,700
----------
7,933
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TRUCKERS - 1.02%
100 * American Freightways Corp. ............................ $ 2,063
200 Arnold Industries, Inc. ............................... 2,006
200 * Consolidated Freightways Corp. ........................ 1,575
100 * Heartland Express, Inc. ............................... 1,356
100 * Hub Group, Inc., Class A............................... 1,900
100 * M.S. Carriers, Inc. ................................... 2,825
100 Roadway Express, Inc. ................................. 2,088
400 Rollins Truck Leasing Corp. ........................... 3,850
100 * U S Xpress Enterprises, Inc., Class A.................. 850
200 USFreightways Corp. ................................... 9,063
1,700 Werner Enterprises, Inc. .............................. 27,094
100 * Xtra Corp. ............................................ 4,156
200 * Yellow Corp. .......................................... 3,400
----------
62,226
----------
UTILITIES - COMMUNICATION - 0.02%
100 PXRE Corp. ............................................ 1,225
----------
UTILITIES - ELECTRIC - 2.28%
100 Black Hills Corp. ..................................... 2,250
200 Cleco Corp. ........................................... 6,625
200 Eastern Utilities Associates........................... 6,050
500 * El Paso Electric Co. .................................. 4,563
100 Empire District Electric Co. .......................... 2,463
200 Hawaiian Electric Industries, Inc. .................... 6,763
300 Idacorp, Inc. ......................................... 9,056
200 Indiana Energy, Inc. .................................. 4,038
100 Madison Gas & Electric Co. ............................ 2,088
1,750 Northwestern Corp. .................................... 39,922
67 Nstar.................................................. 2,550
100 Otter Tail Power Co. .................................. 4,200
300 Public Service Co. of New Mexico....................... 5,363
200 RGS Energy Group, Inc. ................................ 4,988
588 Sierra Pacific Resources Corp. ........................ 13,230
200 SIG Corp, Inc. ........................................ 5,200
100 TNP Enterprises, Inc. ................................. 3,988
300 * UniSource Energy Corp. ................................ 3,450
100 United Illuminating Co. ............................... 5,175
300 Washington Gas Light Co. .............................. 8,156
----------
140,118
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 SMALL CAP VALUE FUND - CONTINUED 71
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
UTILITIES - GAS, DISTRIBUTION - 0.81%
400 AGL Resources, Inc. ................................. $ 6,975
100 Connecticut Energy Corp. ............................ 3,775
100 Connecticut Natural Gas Corp. ....................... 3,713
200 Energen Corp. ....................................... 3,700
400 * National-Oilwell, Inc. .............................. 5,425
200 Northwest Natural Gas Co. ........................... 5,175
100 NUI Corp. ........................................... 2,481
200 Piedmont Natural Gas Co., Inc. ...................... 6,400
200 Public Service Co. of North Carolina................. 6,288
200 Southwestern Energy Co. ............................. 1,600
100 Yankee Energy Systems, Inc. ......................... 4,250
----------
49,782
----------
UTILITIES - GAS, PIPELINE - 0.10%
200 ONEOK, Inc. ......................................... 5,838
----------
UTILITIES - MISCELLANEOUS - 1.29%
100 Central Hudson Gas & Electric Corp. ................. 3,743
100 * Group Maintenance America Corp. ..................... 963
2,750 MDU Resources Group, Inc. ........................... 64,280
300 * Walter Industries, Inc. ............................. 3,525
200 WPS Resources Corp. ................................. 5,775
----------
78,286
----------
WATER SERVICES - 0.40%
100 American States Water Co. ........................... 3,431
100 California Water Service Group Holding............... 2,900
100 E'Town Corp. ........................................ 4,606
300 Philadelphia Suburban Corp. ......................... 6,900
200 United Water Resources, Inc. ........................ 6,750
----------
24,587
----------
TOTAL COMMON STOCK
(Cost $5,683,720).................................... 5,415,038
----------
<CAPTION>
PAR
VALUE
<C> <S> <C>
- ------
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 11.83%
BANK - OTHER - 11.83%
$725,000 State Street Bank Repurchase Agreement, 5.15% dated
10/31/99, to be repurchased at $725,311 on 11/01/99,
collateralized by U.S. Treasury Note, 5.38%,
07/31/00, with a par value of $735,000 (Cost
$725,000)............................................ 725,000
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $725,000) .................................... $ 725,000
----------
TOTAL INVESTMENTS
(Cost $6,408,720) - 100.19% ........................ $6,140,038
----------
*Non-income producing
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $6,408,720)...................... $6,140,038
Receivables for:
Investments sold............................................. 58,025
Fund shares sold............................................. 6,610
Dividends and interest....................................... 4,831
Other assets.................................................. 22,966
----------
TOTAL ASSETS.................................................. 6,232,470
----------
LIABILITIES:
Payable for investments purchased............................. 20,006
Payable to affiliates:
Administrative service fees for Class I...................... 3,025
Advisory fees................................................ 40,252
Distribution fees for Class A & B............................ 2,012
Other........................................................ 33,241
Accrued expenses and other liabilities........................ 5,326
----------
TOTAL LIABILITIES............................................. 103,862
----------
NET ASSETS.................................................... $6,128,608
----------
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized; 661,381 shares outstanding....... $ 6,614
Additional paid in capital.................................... 6,544,438
Accumulated net realized loss on securities................... (154,832)
Undistributed net investment income........................... 1,070
Unrealized depreciation of securities......................... (268,682)
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING......................................... $6,128,608
----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($1,371,038 divided by 147,829 shares)................ $ 9.27
----------
Offering price per Class A share (100/94.25 of $9.27)*........ $ 9.84
----------
Net asset value and offering price per Class B
share ($2,295,576 divided by 247,985 shares)**.............. $ 9.26
----------
Net asset value, offering price and redemption
price per Class I share ($1,234,155 divided by
133,133 shares)............................................. $ 9.27
----------
Net asset value, offering price and redemption
price per Class II share ($1,227,839 divided by
132,434 shares)............................................. $ 9.27
----------
* Offering price includes sales charge of 5.75%.
The sales charge is reduced for purchases
of $25,000 and over.
** Redemption price per share is equal to the net asset value
less any applicable contingent deferred sales charges.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
72
SMALL CAP VALUE FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Dividends...................................................... $ 94,607
Interest....................................................... 33,625
---------
Total investment income....................................... 128,232
---------
EXPENSES:
Advisory fees.................................................. 40,252
Transfer agent fees............................................ 14,755
Custodian fees................................................. 7,408
Distribution fees:
Class A....................................................... 3,172
Class B....................................................... 15,450
Administrative service fee, Class I............................ 3,025
Registration and filing fees................................... 54,359
Audit fees and tax services.................................... 3,244
Accounting services............................................ 1,614
Trustees' fees and expenses.................................... 951
Report to shareholders......................................... 258
Miscellaneous.................................................. 2,333
---------
Total expenses................................................ 146,821
Expense reimbursement (see Note 3)............................ (74,625)
---------
Net expenses.................................................. 72,196
---------
NET INVESTMENT INCOME.......................................... 56,036
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain (loss) on securities:
Investments......................................... $(159,770)
Futures contracts................................... 4,938 (154,832)
---------
Net unrealized depreciation of securities during the period.... (268,682)
---------
Net realized and unrealized loss on securities during the
period...................................................... (423,514)
---------
DECREASE IN NET ASSETS RESULTING FROM OPERATIONS............... $(367,478)
---------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income...................... $ 56,036 $ -
Net realized loss on securities............ (154,832) -
Net unrealized depreciation of securities
during the period......................... (268,682) -
-----------------------------------
Decrease in net assets resulting from
operations............................... (367,478) -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A................................... (14,575) -
Class B................................... (6,591) -
Class I................................... (15,287) -
Class II.................................. (18,513) -
-----------------------------------
Total distributions to shareholders from
net investment income................... (54,966) -
-----------------------------------
Net realized gain on securities
Class A................................... - -
Class B................................... - -
Class I................................... - -
Class II.................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (54,966) -
-----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A................................... 1,469,347 963
Class B................................... 2,427,311 963
Class I................................... 1,328,381 962
Class II.................................. 1,322,163 962
-----------------------------------
Total increase in net assets resulting from
share transactions........................ 6,547,202 3,850
-----------------------------------
TOTAL INCREASE IN NET ASSETS............... 6,124,758 3,850
NET ASSETS:
Beginning of year......................... 3,850 -
-----------------------------------
End of period (including undistributed net
investment income of $1,070 and $0)...... $6,128,608 $3,850
-----------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING ----------------------------------------- -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------- -------------------- ------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------- -------------------- ------------------- --------------------
Shares sold..... 150,303 $1,492,009 97 $ 963 250,399 $2,451,800 96 $ 963
Shares issued
for
distributions
reinvested...... 1,506 14,574 - - 692 6,580 - -
Shares
repurchased..... (4,077) (37,236) - - (3,202) (31,069) - -
------------------- -------------------- ------------------- --------------------
Increase in
shares
outstanding..... 147,732 1,469,347 97 963 247,889 2,427,311 96 963
Shares
outstanding:
Beginning of
period.......... 97 963 - - 96 963 - -
------------------- -------------------- ------------------- --------------------
End of period... 147,829 $1,470,310 97 $ 963 247,985 $2,428,274 96 $ 963
------------------- -------------------- ------------------- --------------------
<CAPTION>
CHANGE IN SHARES Class I Class II
OUTSTANDING ------------------------------------------ ----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
-------------------- --------------------- ------------------ ---------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-------------------- --------------------- ------------------ ---------------------
Shares sold..... 132,600 $1,323,961 96 $ 962 130,429 $1,303,651 96 $ 962
Shares issued
for
distributions
reinvested...... 1,577 15,287 - - 1,909 18,512 - -
Shares
repurchased..... (1,140) (10,867) - - - - - -
-------------------- --------------------- ------------------ ---------------------
Increase in
shares
outstanding..... 133,037 1,328,381 96 962 132,338 1,322,163 96 962
Shares
outstanding:
Beginning of
period.......... 96 962 - - 96 962 - -
-------------------- --------------------- ------------------ ---------------------
End of period... 133,133 $1,329,343 96 $ 962 132,434 $1,323,125 96 $ 962
-------------------- --------------------- ------------------ ---------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 SOCIALLY RESPONSIBLE FUND 73
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCKS - 97.74%
ADVERTISING - 0.21%
200 Interpublic Group Corp. ............................... $ 8,125
100 Omnicom Group, Inc. ................................... 8,800
----------
16,925
----------
AEROSPACE/DEFENSE - 0.03%
100 B.F. Goodrich Co. ..................................... 2,369
----------
AIRLINES - 0.20%
100 * AMR Corp. ............................................. 6,350
100 Delta Air Lines, Inc. ................................. 5,444
300 Southwest Airlines Co. ................................ 5,044
----------
16,838
----------
AUTO - REPLACEMENT PARTS - 0.20%
300 Genuine Parts Co. ..................................... 7,819
200 Goodyear Tire & Rubber Co. ............................ 8,263
----------
16,082
----------
BANKS - NEW YORK CITY - 2.26%
600 Bank of New York Co., Inc. ............................ 25,125
2,500 Citigroup, Inc. ....................................... 135,312
200 J. P. Morgan & Co., Inc. .............................. 26,175
----------
186,612
----------
BANKS - OTHER - 3.00%
1,400 Bank of America Corp. ................................. 90,125
800 First Union Corp. ..................................... 34,150
518 Fleet Financial Group, Inc. ........................... 22,598
400 Mellon Financial Corp. ................................ 14,774
400 National City Corp. ................................... 11,800
150 Providian Financial Corp. ............................. 16,350
1,200 Wells Fargo Co. ....................................... 57,450
----------
247,247
----------
BANKS - REGIONAL - 3.36%
900 BankOne Corp. ......................................... 33,806
1,200 Chase Manhattan Corp. ................................. 104,850
100 Fifth Third Bancorp, Inc. ............................. 7,381
600 Firstar Corp. ......................................... 17,625
300 KeyCorp................................................ 8,381
400 Northern Trust Corp. .................................. 38,625
200 PNC Bank Corp. ........................................ 11,925
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKS - REGIONAL - Continued
100 State Street Corp. .................................... $ 7,613
200 SunTrust Banks, Inc. .................................. 14,638
400 U.S. Bancorp, Inc...................................... 14,824
200 Wachovia Corp. ........................................ 17,250
----------
276,918
----------
BEVERAGE - SOFT DRINKS - 2.33%
2,400 Coca-Cola Co. ......................................... 141,600
200 Coca Cola Enterprises, Inc. ........................... 5,113
1,300 PepsiCo, Inc. ......................................... 45,093
----------
191,806
----------
BROADCASTING - 1.39%
100 * Clear Channel Communications, Inc. .................... 8,038
600 Comcast Corp., Class A................................. 25,275
400 * Media One Group, Inc. ................................. 28,425
500 U.S. WEST, Inc. ....................................... 30,530
500 * Viacom, Inc., Class B.................................. 22,375
----------
114,643
----------
BUILDING MATERIALS - 0.39%
200 Lowe's Companies, Inc. ................................ 11,000
300 Masco Corp. ........................................... 9,150
300 Vulcan Materials Co. .................................. 12,394
----------
32,544
----------
CHEMICAL - MAJOR - 0.39%
400 PPG Industries, Inc. .................................. 24,250
200 Rohm and Haas Co. ..................................... 7,650
----------
31,900
----------
CHEMICAL - MISCELLANEOUS - 0.26%
200 Ecolab, Inc. .......................................... 6,763
100 Nalco Chemical Co. .................................... 5,280
200 Praxair, Inc. ......................................... 9,350
----------
21,393
----------
CONGLOMERATES - 0.66%
400 Tenneco, Inc. ......................................... 6,400
1,200 Tyco International, Ltd. .............................. 47,925
----------
54,325
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER FINANCE - 0.39%
300 Capital One Financial Corp. ........................... $ 15,900
600 MBNA Corp. ............................................ 16,574
----------
32,474
----------
CONTAINERS - METAL/GLASS - 0.52%
200 Ball Corp. ............................................ 8,063
200 Corning, Inc. ......................................... 15,724
400 Crown Cork & Seal Co., Inc. ........................... 9,575
400 * Owens-Illinois, Inc. .................................. 9,575
----------
42,937
----------
CONTAINERS - PAPER - 0.46%
100 Bemis Co., Inc. ....................................... 3,493
100 Chesapeake Corp. ...................................... 3,000
100 Sonoco Products Co. ................................... 2,400
500 Temple-Inland, Inc. ................................... 29,063
----------
37,956
----------
COSMETICS/TOILETRIES - 0.52%
200 Avon Products, Inc. ................................... 6,450
900 Gillette Co. .......................................... 32,568
100 International Flavors & Fragrances, Inc. .............. 3,825
----------
42,843
----------
DRUGS - 6.88%
1,000 American Home Products Corp. .......................... 52,250
400 * Amgen, Inc. ........................................... 31,900
1,800 Bristol Myers Squibb Co. .............................. 138,262
900 Eli Lilly and Co. ..................................... 61,988
2,100 Merck & Co., Inc. ..................................... 167,081
1,200 Schering-Plough Corp. ................................. 59,400
700 Warner-Lambert Co. .................................... 55,869
----------
566,750
----------
ELECTRICAL EQUIPMENT - 0.53%
600 Emerson Electric Co. .................................. 36,037
100 Molex, Inc. ........................................... 3,650
100 W. W. Grainger, Inc. .................................. 4,238
----------
43,925
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
74 October 31, 1999
SOCIALLY RESPONSIBLE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ENTERTAINMENT - 1.61%
400 Carnival Corp., Class A................................ $ 17,800
150 Hasbro, Inc. .......................................... 3,093
200 Mattel, Inc. .......................................... 2,675
1,000 Time Warner, Inc. ..................................... 69,688
1,500 * Walt Disney Co. ....................................... 39,563
----------
132,819
----------
FINANCE COMPANIES - 0.58%
700 Associates First Capital Corp. ........................ 25,550
500 Household International, Inc. ......................... 22,312
----------
47,862
----------
FINANCIAL SERVICES - 1.59%
800 American Express Co. .................................. 123,200
100 Countrywide Credit Industries, Inc. ................... 3,394
100 H & R Block, Inc. ..................................... 4,255
----------
130,849
----------
FOODS - 1.90%
300 BestFoods.............................................. 17,625
400 Campbell Soup Co. ..................................... 18,000
500 ConAgra, Inc. ......................................... 13,030
200 General Mills, Inc. ................................... 17,438
500 H J Heinz Co. ......................................... 23,875
100 Hershey Foods Corp. ................................... 5,050
400 Kellogg Co. ........................................... 15,925
200 Nabisco Group Holdings Corp. .......................... 2,563
100 Quaker Oats Co. ....................................... 7,000
200 Ralston Purina Co. .................................... 6,288
800 Sara Lee Corp. ........................................ 21,650
100 Wm. Wrigley Jr. Co. ................................... 7,994
----------
156,438
----------
FOOTWEAR - 0.14%
200 NIKE, Inc., Class B.................................... 11,288
----------
FREIGHT - 0.10%
200 * FDX Corp. ............................................. 8,613
----------
FUNERAL SERVICES - 0.03%
300 Service Corp. International............................ 2,869
----------
GOLD MINING - 0.25%
400 Barrick Gold Corp. .................................... 7,324
400 Homestake Mining Co. .................................. 3,350
800 Placer Dome, Inc. ..................................... 9,700
----------
20,374
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
GOVERNMENT SPONSORED - 1.40%
600 Federal Home Loan Mortgage Corp. ...................... $ 32,438
1,100 Federal National Mortgage Association.................. 77,824
100 SLM Holding Corp. ..................................... 4,894
----------
115,156
----------
HARDWARE & TOOLS - 0.09%
100 Black & Decker Corp. .................................. 4,300
100 Snap-on, Inc. ......................................... 3,038
----------
7,338
----------
HEALTHCARE - 0.54%
200 Cardinal Health, Inc. ................................. 8,625
200 * HealthSouth Corp. ..................................... 1,150
200 IMS Health, Inc. ...................................... 5,800
174 McKesson HBOC, Inc. ................................... 3,490
500 United HealthCare Corp. ............................... 25,844
----------
44,909
----------
HEAVY DUTY TRUCKS/PARTS - 0.10%
100 Cummins Engine Co., Inc. .............................. 5,069
100 Dana Corp. ............................................ 2,956
----------
8,025
----------
HOSPITAL MANAGEMENT - 0.18%
500 Columbia/HCA Healthcare Corp. ......................... 12,063
26 * Lifepoint Hospitals, Inc. ............................. 307
100 * Tenet Healthcare Corp. ................................ 1,944
26 * Triad Hospitals, Inc. ................................. 254
----------
14,568
----------
HOSPITAL SUPPLIES - 3.20%
1,600 Abbott Laboratories.................................... 64,600
300 Baxter International, Inc. ............................ 19,463
200 Becton, Dickinson and Co. ............................. 5,075
200 * Boston Scientific Corp. ............................... 4,025
1,300 Johnson & Johnson...................................... 136,175
1,000 Medtronic, Inc. ....................................... 34,625
----------
263,963
----------
HOUSEHOLD PRODUCTS - 3.00%
200 Clorox Co. ............................................ 8,188
500 Colgate-Palmolive Co. ................................. 30,250
178 Newell Rubbermaid, Inc. ............................... 6,163
1,400 Procter & Gamble Co. .................................. 146,825
835 Unilever NV - ADR...................................... 55,684
----------
247,110
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 4.64%
100 * BMC Software, Inc. .................................... $ 6,419
3,600 * Microsoft Corp. ....................................... 333,225
900 * Oracle Corp. .......................................... 42,806
----------
382,450
----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 2.44%
100 * Apple Computer, Inc. .................................. 8,013
1,000 Compaq Computer Corp. ................................. 19,000
1,900 * Dell Computer Corp. ................................... 76,238
200 * Gateway, Inc. ......................................... 13,213
800 * Sun Microsystems, Inc. ................................ 84,650
----------
201,114
----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 2.65%
1,200 * America Online, Inc. .................................. 155,625
500 Automatic Data Processing, Inc. ....................... 24,094
400 Electronic Data Systems Corp. ......................... 23,400
200 First Data Corp. ...................................... 9,138
26 * Gartner Group, Inc. Class B............................ 244
150 Paychex, Inc. ......................................... 5,906
----------
218,407
----------
INFORMATION PROCESSING -
DATA SERVICES - 4.18%
400 * Cendant Corp. ......................................... 6,600
300 Computer Associates International, Inc. ............... 16,950
100 * Computer Sciences Corp. ............................... 6,869
200 * Compuware Corp. ....................................... 5,563
600 * EMC Corp. ............................................. 43,800
700 Hewlett Packard Co. ................................... 51,843
400 Honeywell, Inc. ....................................... 42,175
1,300 International Business Machines........................ 127,888
100 * Novell, Inc . ......................................... 2,006
200 Pitney Bowes, Inc. .................................... 9,113
100 * Seagate Technology, Inc. .............................. 2,944
200 * Solectron Corp. ....................................... 15,050
500 Xerox Corp. ........................................... 14,000
----------
344,801
----------
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 SOCIALLY RESPONSIBLE FUND - CONTINUED 75
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
NETWORKING - 2.11%
200 * 3Com Corp. ............................................ $ 5,800
2,200 * Cisco Systems, Inc. ................................... 162,800
100 * General Instrument Corp. .............................. 5,381
----------
173,981
----------
INSURANCE - CASUALTY - 0.11%
100 Chubb Corp. ........................................... 5,488
100 St. Paul Companies, Inc. .............................. 3,200
----------
8,688
----------
INSURANCE - LIFE - 0.29%
100 Aetna, Inc. ........................................... 5,025
100 Conseco, Inc. ......................................... 2,431
100 Jefferson-Pilot Corp. ................................. 7,506
200 Lincoln National Corp. ................................ 9,225
----------
24,187
----------
INSURANCE - MISCELLANEOUS - 0.25%
10 * Berkshire Hathaway, Inc. .............................. 20,900
----------
INSURANCE - MULTILINE - 2.56%
71 Aegon, N.V. - ADR...................................... 6,528
600 Allstate Corp. ........................................ 17,250
1,206 American International Group, Inc. .................... 124,142
300 Aon Corp. ............................................. 10,650
200 CIGNA Corp. ........................................... 14,950
200 Hartford Financial Services Group...................... 10,363
300 Marsh & McLennan Companies, Inc. ...................... 23,719
100 UnumProvident Corp. ................................... 3,294
----------
210,896
----------
LODGING - 0.04%
100 Marriott International, Inc. .......................... 3,369
----------
MACHINERY - AGRICULTURE - 0.29%
200 AGCO Corp. ............................................ 2,150
200 Case Corp. ............................................ 10,600
300 Deere & Co. ........................................... 10,875
----------
23,625
----------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.54%
800 Caterpillar, Inc. ..................................... 44,200
300 Harnischfeger Industries, Inc. ........................ 338
----------
44,538
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MACHINERY - INDUSTRIAL/SPECIALTY - 1.14%
200 Cooper Industries, Inc. ............................... $ 8,613
200 Dover Corp. ........................................... 8,513
700 Illinois Tool Works, Inc. ............................. 51,275
100 Ingersoll-Rand Co. .................................... 5,225
100 Johnson Controls, Inc. ................................ 6,075
100 Pall Corp. ............................................ 2,193
100 Parker Hannifin Corp. ................................. 4,581
200 Tidewater, Inc. ....................................... 6,000
100 Timken Co. ............................................ 1,794
----------
94,269
----------
MEDICAL TECHNOLOGY - 0.30%
200 Guidant Corp. ......................................... 9,875
50 PE Corp. - Celera Genomics............................. 1,956
200 * PE Corp. - PE Biosystems Group......................... 12,975
----------
24,806
----------
MERCHANDISE - DRUG - 0.33%
200 CVS Corp. ............................................. 8,688
100 Rite Aid Corp. ........................................ 875
700 Walgreen Co. .......................................... 17,631
----------
27,194
----------
MERCHANDISE - SPECIALTY - 1.68%
400 * Best Buy Co., Inc. .................................... 22,225
100 * Costco Wholesale Corp. ................................ 8,031
450 Gap, Inc. ............................................. 16,706
1,100 Home Depot, Inc. ...................................... 83,050
250 * Staples, Inc. ......................................... 5,547
100 TJX Companies, Inc. ................................... 2,713
----------
138,272
----------
MERCHANDISING - DEPARTMENT - 0.30%
300 Dayton Hudson Corp. ................................... 19,388
150 May Department Stores Co. ............................. 5,203
----------
24,591
----------
MERCHANDISING - FOOD - 0.50%
326 Albertsons, Inc. ...................................... 11,838
400 * Kroger Co. ............................................ 8,325
300 * Safeway, Inc. ......................................... 10,594
200 SYSCO Corp. ........................................... 7,688
100 Winn-Dixie Stores, Inc. ............................... 2,706
----------
41,151
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISING - MASS - 2.50%
100 J.C. Penney Co., Inc. ................................. $ 2,538
100 * Kmart Corp. ........................................... 1,006
300 Sears Roebuck and Co. ................................. 8,456
3,400 Wal-Mart Stores, Inc. ................................. 194,225
----------
206,225
----------
METALS - ALUMINUM - 0.16%
400 Alcan Aluminium, Ltd. ................................. 13,175
----------
METALS - COPPER - 0.03%
100 Newmont Mining Corp. .................................. 2,194
----------
METALS - MISCELLANEOUS - 0.08%
100 Engelhard Corp. ....................................... 1,763
100 Inco, Ltd. ............................................ 2,025
100 Precision Castparts Corp. ............................. 2,950
----------
6,738
----------
METALS - STEEL - 0.23%
200 AK Steel Holding Corp. ................................ 3,462
100 Allegheny Teldyne, Inc. ............................... 1,519
200 Carpenter Technology Corp. ............................ 4,875
200 Ryerson Tull, Inc. .................................... 4,100
300 Worthington Industries, Inc. .......................... 4,988
----------
18,944
----------
MISCELLANEOUS - 0.03%
100 Equifax, Inc. ......................................... 2,700
----------
NATURAL GAS - DIVERSIFIED - 1.32%
2,100 El Paso Energy Corp. .................................. 86,100
500 KN Energy, Inc. ....................................... 10,062
700 Questar Corp. ......................................... 12,600
----------
108,762
----------
OIL - INTEGRATED DOMESTIC - 0.45%
300 Ashland Oil, Inc. ..................................... 9,900
500 Kerr-McGee Corp. ...................................... 26,875
----------
36,775
----------
OIL - SERVICES - 1.25%
900 Baker Hughes, Inc. .................................... 25,144
100 ENSCO International, Inc. ............................. 1,938
800 Halliburton Co. ....................................... 30,150
100 McDermott International, Inc. ......................... 1,812
100 * Rowan Companies, Inc. ................................. 1,556
700 Schlumberger, Ltd. .................................... 42,394
----------
102,994
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
76 October 31, 1999
SOCIALLY RESPONSIBLE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------
OIL/GAS PRODUCERS - 0.20%
500 Helmerich & Payne, Inc. ................................ $ 11,905
200 Sunoco, Inc. ........................................... 4,825
----------
16,730
----------
PAPER/FOREST PRODUCTS - 0.78%
200 Avery Dennison Corp. ................................... 12,500
200 Fort James Corp. ....................................... 5,263
600 Kimberly-Clark Corp. ................................... 37,874
100 Longview Fibre Co. ..................................... 1,138
200 Mead Corp. ............................................. 7,200
----------
63,975
----------
POLLUTION CONTROL - 0.20%
900 Waste Management, Inc. ................................. 16,538
----------
PUBLISHING - NEWS - 0.55%
100 Dow Jones & Co., Inc. .................................. 6,150
300 Gannett Co., Inc. ...................................... 23,138
100 New York Times Co., Class A............................. 4,024
200 Tribune Co. ............................................ 12,000
----------
45,312
----------
PUBLISHING/PRINTING - 0.25%
100 Deluxe Corp. ........................................... 2,825
200 Dunn & Bradstreet Corp. ................................ 5,875
200 McGraw-Hill, Inc. ...................................... 11,925
----------
20,625
----------
RAILROAD - 1.29%
400 Burlington Northern Santa Fe Corp. ..................... 12,750
400 CSX Corp. .............................................. 16,400
500 Kansas City Southern Industries, Inc. .................. 23,719
600 Norfolk Southern Corp. ................................. 14,662
700 Union Pacific Corp. .................................... 39,025
----------
106,556
----------
RESTAURANTS - 0.65%
1,200 McDonald's Corp. ....................................... 49,500
100 * Tricon Global Restaurants, Inc. ........................ 4,019
----------
53,519
----------
SAVINGS & LOAN - 0.17%
400 Washington Mutual, Inc. ................................ 14,375
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SECURITIES RELATED - 3.90%
1,000 Charles Schwab Corp. .................................. $ 38,938
100 Franklin Resources, Inc. .............................. 3,500
200 Merrill Lynch & Co., Inc. ............................. 15,700
400 Morgan Stanley Dean Witter & Co. ...................... 44,124
1,600 Standard & Poor's Depositary Receipts.................. 218,800
----------
321,062
----------
SEMICONDUCTOR EQUIPMENT - 0.22%
200 * Applied Materials, Inc. ............................... 17,963
----------
SEMICONDUCTORS - 4.06%
100 * Advanced Micro Devices, Inc............................ 1,981
2,400 Intel Corp............................................. 185,850
100 * Micron Technology, Inc................................. 7,131
700 Motorola, Inc. ........................................ 68,205
100 * National Semiconductor Corp. .......................... 2,994
300 Rockwell International Corp............................ 14,531
600 Texas Instruments, Inc................................. 53,850
----------
334,542
----------
TELECOMMUNICATIONS - 6.33%
200 ALLTEL Corp............................................ 16,650
2,300 AT&T Corp.............................................. 107,524
205 * Global Crossing, Ltd................................... 7,098
2,565 Lucent Technologies, Inc............................... 164,801
1,100 * MCI Worldcom, Inc...................................... 94,394
100 * Nextel Communications, Inc., Class A................... 8,619
1,000 Nortel Networks Corp................................... 61,937
200 * Tellabs, Inc........................................... 12,650
1,000 Vodafone Airtouch, Plc-ADR............................. 47,938
----------
521,611
----------
TEXTILE - PRODUCTS - 0.04%
100 V. F. Corp............................................. 3,006
----------
UTILITIES - COMMUNICATION - 5.02%
1,300 Bell Atlantic Corp..................................... 84,419
1,500 BellSouth Corp......................................... 67,500
600 GTE Corp............................................... 45,000
2,684 SBC Communications, Inc................................ 136,715
800 Sprint Corp., FON Group................................ 59,450
250 * Sprint Corp., PCS Group................................ 20,734
----------
413,818
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------
UTILITIES - ELECTRIC - 1.93%
100 * AES Corp................................................ $ 5,644
300 Allegheny Energy, Inc................................... 9,544
300 Alliant Energy Corp..................................... 8,155
300 Black Hills Corp........................................ 6,750
100 Central & South West Corp............................... 2,219
400 Cinergy Corp............................................ 11,300
100 Constellation Energy Group, Inc......................... 3,069
400 DPL, Inc................................................ 8,100
100 Idacorp, Inc............................................ 3,019
200 IPALCO Enterprises, Inc................................. 4,088
200 Kansas City Power & Light Co............................ 4,900
200 Minnesota Power, Inc.................................... 3,700
200 Montana Power Co........................................ 5,687
300 New Century Energies, Inc............................... 9,769
200 Nisource, Inc........................................... 4,100
200 OGE Energy Corp......................................... 4,538
700 PacifiCorp.............................................. 14,438
500 Potomac Electric Power Co............................... 13,719
300 Puget Sound Energy, Inc................................. 6,638
100 Sierra Pacific Resources................................ 2,250
200 TECO Energy, Inc........................................ 4,413
950 UtiliCorp United, Inc................................... 20,544
100 Washington Gas Light Co................................. 2,719
----------
159,303
----------
UTILITIES - GAS, DISTRIBUTION - 1.10%
100 AGL Resources, Inc...................................... 1,744
400 KeySpan Energy Corp..................................... 11,250
1,400 MCN Energy Group, Inc................................... 34,212
800 National Fuel Gas Co.................................... 39,100
100 NICOR, Inc.............................................. 3,875
----------
90,181
----------
UTILITIES - GAS, PIPELINE - 1.92%
400 Columbia Energy Group................................... 26,000
800 Consolidated Natural Gas Co. ........................... 51,200
900 ONEOK, Inc.............................................. 26,268
200 Peoples Energy Corp..................................... 7,600
100 Sempra Energy........................................... 2,044
1,200 Williams Companies, Inc................................. 45,000
----------
158,112
----------
WATER SERVICES - 0.04%
100 American Water Works Co., Inc........................... 2,919
----------
TOTAL COMMON STOCKS
(Cost $7,290,915)....................................... 8,054,561
----------
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 SOCIALLY RESPONSIBLE FUND - CONTINUED 77
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 2.49%
BANKS - OTHER - 2.49%
$205,000 State Street Bank Repurchase Agreement, 5.15%, dated
10/31/99, to be repurchased at $205,088 on 11/01/99,
collateralized by U.S. Treasury Note, 5.38%, 07/31/00,
with a par value of $210,000
(Cost $205,000)......................................... $ 205,000
----------
TOTAL CORPORATE SHORT TERM - REPURCHASE AGREEMENT
(Cost $205,000)......................................... 205,000
----------
TOTAL INVESTMENTS
(Cost $7,495,915) - 100.23%............................. $8,259,561
----------
* Non-income producing
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $7,495,915)............................ $8,259,561
Receivables for:
Fund shares sold................................................... 5,835
Dividends and interest............................................. 8,629
Other assets........................................................ 28,750
----------
TOTAL ASSETS........................................................ 8,302,775
----------
LIABILITIES:
Payable to affiliates:
Administrative service fees for Class I............................ 4,044
Advisory fees...................................................... 15,928
Distribution fees for Class A & B.................................. 2,279
Other.............................................................. 38,741
Accrued expenses and other liabilities.............................. 26
----------
TOTAL LIABILITIES................................................... 61,018
----------
NET ASSETS.......................................................... $8,241,757
----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 678,474 shares outstanding...................... $ 6,785
Additional paid in capital......................................... 7,122,908
Undistributed net realized gain on securities...................... 348,418
Unrealized appreciation of securities.............................. 763,646
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $8,241,757
----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($1,663,119 divided by 136,862 shares)........................... $12.15
------
Offering price per Class A share
(100/94.25 of $12.15)*................................................. $12.89
------
Net asset value and offering price per Class B
share ($2,942,808 divided by 242,516 shares)**......................... $12.13
------
Net asset value, offering price and redemption
price per Class I share ($2,098,409 divided by
172,561 shares)........................................................ $12.16
------
Net asset value, offering price and redemption
price per Class II share ($1,537,421 divided by
126,535 shares)........................................................ $12.15
------
* Offering price includes sales charge of 5.75%.
The sales charge is reduced for purchases
of $25,000 and over.
** Redemption price per share is equal to net asset value less any
applicable contingent deferred sales charge.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
78
SOCIALLY RESPONSIBLE FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Dividends........................................................ $ 77,527
Interest......................................................... 28,370
----------
Total investment income......................................... 105,897
----------
EXPENSES:
Advisory fees.................................................... 15,928
Transfer agent fees.............................................. 17,278
Custodian fees................................................... 8,447
Distribution fees:
Class A......................................................... 3,693
Class B......................................................... 18,075
Administrative service fee, Class I.............................. 4,044
Registration and filing fees..................................... 54,334
Audit fees and tax services...................................... 3,815
Accounting services.............................................. 1,915
Trustees' fees and expenses...................................... 1,057
Report to shareholders........................................... 324
Miscellaneous.................................................... 2,367
----------
Total expenses.................................................. 131,277
Expense reimbursement (see Note 3).............................. (73,608)
----------
Net expenses.................................................... 57,669
----------
NET INVESTMENT INCOME............................................ 48,228
----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities:
Investments............................................ $138,474
Futures contracts...................................... 210,430 348,904
--------
Net unrealized appreciation of securities during the period...... 763,646
----------
Realized and unrealized gain on securities during the period... 1,112,550
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATION.................. $1,160,778
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income...................... $ 48,228 $ -
Net realized gain on securities............ 348,904 -
Net unrealized appreciation of securities
during the period......................... 763,646 -
-----------------------------------
Increase in net assets resulting from
operations............................... 1,160,778 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A................................... (12,791) -
Class B................................... (2,406) -
Class I................................... (15,583) -
Class II.................................. (17,934) -
-----------------------------------
Total distributions to shareholders from
net investment income................... (48,714) -
-----------------------------------
Net realized gain on securities
Class A................................... - -
Class B................................... - -
Class I................................... - -
Class II.................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (48,714) -
-----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A................................... 1,389,173 1,250
Class B................................... 2,629,548 1,250
Class I................................... 1,839,366 1,250
Class II.................................. 1,266,606 1,250
-----------------------------------
Total increase in net assets resulting from
share transactions........................ 7,124,693 5,000
-----------------------------------
TOTAL INCREASE IN NET ASSETS............... 8,236,757 5,000
NET ASSETS:
Beginning of year......................... 5,000 -
-----------------------------------
End of period............................. $8,241,757 $5,000
-----------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING --------------------------------------- -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------ -------------------- ------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------ -------------------- ------------------- --------------------
Shares sold..... 135,640 $1,376,465 125 $ 1,250 242,494 $2,630,795 125 $ 1,250
Shares issued
for
distributions
reinvested...... 1,097 12,708 - - 206 2,271 - -
Shares
repurchased..... - - - - (309) (3,518) - -
------------------ -------------------- ------------------- --------------------
Increase in
shares
outstanding..... 136,737 1,389,173 125 1,250 242,391 2,629,548 125 1,250
Shares
outstanding:
Beginning of
period.......... 125 1,250 - - 125 1,250 - -
------------------ -------------------- ------------------- --------------------
End of period... 136,862 $1,390,423 125 $ 1,250 242,516 $2,630,798 125 $1,250
------------------ -------------------- ------------------- --------------------
<CAPTION>
CHANGE IN SHARES Class I Class II
OUTSTANDING ----------------------------------------- ---------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
-------------------- -------------------- ------------------ --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-------------------- -------------------- ------------------ --------------------
Shares sold..... 179,786 $1,923,909 125 $ 1,250 124,875 $1,248,750 125 $ 1,250
Shares issued
for
distributions
reinvested...... 1,401 16,322 - - 1,535 17,856 - -
Shares
repurchased..... (8,751) (100,865) - - - - - -
-------------------- -------------------- ------------------ --------------------
Increase in
shares
outstanding..... 172,436 1,839,366 125 1,250 126,410 1,266,606 125 1,250
Shares
outstanding:
Beginning of
period.......... 125 1,250 - - 125 1,250 - -
-------------------- -------------------- ------------------ --------------------
End of period... 172,561 $1,840,616 125 $ 1,250 126,535 $1,267,856 125 $ 1,250
-------------------- -------------------- ------------------ --------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 BALANCED FUND 79
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 63.25%
ADVERTISING - 0.61%
1,500 Young & Rubicam, Inc. ................................. $ 68,625
----------
AEROSPACE/DEFENSE - 1.83%
2,000 Boeing Co. ............................................ 92,125
1,900 United Technologies Corp. ............................. 114,950
----------
207,075
----------
AIRLINES - 0.29%
800 * Continental Airlines, Inc., Class B.................... 32,400
----------
APPAREL & PRODUCTS - 0.63%
2,500 * Tommy Hilfiger Corp. .................................. 70,625
----------
AUTO - CARS - 0.60%
6,200 * Autonation, Inc. ...................................... 62,388
300 Delphi Automotive Systems Corp. ....................... 4,931
----------
67,319
----------
AUTO - ORIGINAL EQUIPMENT - 0.64%
2,900 Federal-Mogul Corp. ................................... 72,863
----------
BANKS - NEW YORK CITY - 1.22%
2,550 Citigroup, Inc. ....................................... 138,019
----------
BANKS - OTHER - 2.65%
2,800 Bank of America Corp. ................................. 180,250
2,500 Wells Fargo Co. ....................................... 119,688
----------
299,938
----------
BEVERAGE - SOFT DRINKS - 1.28%
1,100 Coca-Cola Co. ......................................... 64,900
2,300 PepsiCo, Inc. ......................................... 79,781
----------
144,681
----------
BROADCASTING - 2.44%
900 * Adelphia Communications Corp., Class A................. 49,163
1,500 * Cablevision Systems Corp., Class A..................... 101,344
2,800 * Viacom, Inc., Class B.................................. 125,300
----------
275,807
----------
BUILDING MATERIALS - 0.78%
1,600 Lowe's Companies, Inc. ................................ 88,000
----------
CHEMICAL - MISCELLANEOUS - 0.75%
2,500 Ecolab, Inc. .......................................... 84,531
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONGLOMERATES - 0.98%
400 Textron, Inc. ......................................... $ 30,875
2,000 Tyco International, Ltd. .............................. 79,875
----------
110,750
----------
CONTAINERS - PAPER - 0.64%
1,300 * Sealed Air Corp. ...................................... 71,988
----------
DRUGS - 2.46%
2,456 Astrazeneca, Plc. - ADR................................ 112,362
1,800 * Forest Laboratories, Inc. ............................. 82,575
2,100 Pfizer, Inc. .......................................... 82,950
----------
277,887
----------
ELECTRICAL EQUIPMENT - 2.41%
600 Emerson Electric Co. .................................. 36,038
500 General Electric Co. .................................. 67,780
600 Sony Corp. ............................................ 95,850
1,900 * Teradyne, Inc. ........................................ 73,150
----------
272,818
----------
ENTERTAINMENT - 2.82%
1,000 Blockbuster, Inc. ..................................... 12,125
2,000 Carnival Corp., Class A................................ 89,000
5,100 * Fox Entertainment Group, Inc. ......................... 110,287
3,500 Hasbro, Inc. .......................................... 72,188
500 Time Warner, Inc. ..................................... 34,844
----------
318,444
----------
FERTILIZERS - 0.23%
2,000 IMC Global, Inc. ...................................... 25,500
----------
FINANCE COMPANIES - 0.95%
2,400 Household International, Inc. ......................... 107,100
----------
FOODS - 2.31%
2,700 Campbell Soup Co. ..................................... 121,500
3,500 Kellogg Co. ........................................... 139,343
----------
260,843
----------
GOVERNMENT SPONSORED - 1.04%
2,400 SLM Holding Corp. ..................................... 117,449
----------
HARDWARE & TOOLS - 0.27%
700 Black & Decker Corp. .................................. 30,100
----------
HEALTHCARE - 1.67%
700 * PacifiCare Health System, Inc., Class A................ 27,606
5,900 * Quintiles Transnational Corp. ......................... 109,518
1,000 United HealthCare Corp. ............................... 51,688
----------
188,812
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HOSPITAL SUPPLIES - 0.89%
1,800 Becton, Dickinson and Co. ............................. $ 45,675
1,600 Medtronic, Inc. ....................................... 55,400
----------
101,075
----------
HOUSEHOLD PRODUCTS - 0.98%
2,700 Clorox Co. ............................................ 110,531
----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 0.46%
3,500 * Peoplesoft, Inc. ...................................... 52,500
----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 0.35%
600 * Gateway, Inc. ......................................... 39,638
----------
INFORMATION PROCESSING -
DATA SERVICES - 3.23%
1,900 Autodesk, Inc. ........................................ 35,625
1,500 Galileo International, Inc. ........................... 45,094
1,100 Hewlett Packard Co. ................................... 81,468
800 International Business Machines........................ 78,700
2,200 * Policy Management Systems Corp. ....................... 42,213
1,300 * Storage Technology Corp. .............................. 20,475
2,200 Xerox Corp. ........................................... 61,600
----------
365,175
----------
INSURANCE - LIFE - 0.96%
1,200 Jefferson-Pilot Corp. ................................. 90,074
400 Lincoln National Corp. ................................ 18,450
----------
108,524
----------
INSURANCE - MISCELLANEOUS - 1.41%
12 * Berkshire Hathaway, Inc. .............................. 25,080
1 * Berkshire Hathaway, Inc., Class A...................... 63,900
1,350 PMI Group, Inc. ....................................... 70,031
----------
159,011
----------
INSURANCE - MULTILINE - 1.66%
600 Allstate Corp. ........................................ 17,250
2,500 Cincinnati Financial Corp. ............................ 89,531
1,500 XL Capital, Ltd. ...................................... 80,531
----------
187,312
----------
LEISURE TIME - 0.19%
1,500 * Mirage Resorts, Inc. .................................. 21,844
----------
MACHINERY - INDUSTRIAL/SPECIALTY - 1.43%
1,900 Dover Corp. ........................................... 80,869
1,100 Illinois Tool Works, Inc. ............................. 80,575
----------
161,444
----------
</TABLE>
<PAGE>
80 October 31, 1999
BALANCED FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MEDICAL TECHNOLOGY - 1.84%
2,900 Guidant Corp. ........................................ $ 143,188
1,000 PE Corp - PE Biosystems Group........................ 64,875
-----------
208,063
-----------
MERCHANDISE - SPECIALTY - 0.59%
1,600 American Greetings Corp., Class A..................... 41,400
600 Circuit City Stores, Inc. ............................ 25,613
-----------
67,013
-----------
MERCHANDISING - MASS - 0.51%
1,000 Wal-Mart Stores, Inc. ................................ 57,125
-----------
METALS - ALUMINUM - 0.22%
400 Alcoa, Inc. .......................................... 24,300
-----------
MULTIMEDIA - 0.51%
3,800 * Cadence Design Systems, Inc. ......................... 57,713
-----------
NATURAL GAS - DIVERSIFIED - 0.28%
1,600 KN Energy, Inc. ...................................... 32,200
-----------
OIL - INTEGRATED DOMESTIC - 0.72%
1,000 Burlington Resources, Inc. ........................... 34,874
1,600 USX-Marathon Group.................................... 46,600
-----------
81,474
-----------
OIL - INTEGRATED INTERNATIONAL - 1.11%
1,300 Exxon Corp. .......................................... 96,281
300 Mobil Corp. .......................................... 28,950
-----------
125,231
-----------
OIL - SERVICE - PRODUCTS - 1.10%
2,700 Shell Transport & Trading - ADR....................... 123,863
-----------
OIL - SERVICES - 0.47%
1,900 Baker Hughes, Inc. ................................... 53,081
-----------
PAPER/FOREST PRODUCTS - 1.59%
1,700 Bowater, Inc. ........................................ 89,250
2,700 Fort James Corp. ..................................... 71,043
300 Kimberly-Clark Corp. ................................. 18,938
-----------
179,231
-----------
PUBLISHING - NEWS - 0.32%
900 New York Times Co., Class A........................... 36,225
-----------
REAL ESTATE INVESTMENT TRUSTS - 0.31%
2,500 Indymac Mortgage Holdings, Inc. ...................... 34,844
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
RESTAURANTS - 0.24%
1,000 * Starbucks Corp. ...................................... $ 27,188
-----------
SAVINGS & LOAN - 0.80%
2,500 Washington Mutual, Inc. .............................. 89,844
-----------
SEMICONDUCTOR EQUIPMENT - 1.13%
800 * Applied Materials, Inc. .............................. 71,850
700 * KLA-Tencor Corp. ..................................... 55,430
-----------
127,280
-----------
SEMICONDUCTORS - 1.25%
800 Intel Corp. .......................................... 61,950
1,000 * Maxim Integrated Products, Inc........................ 78,937
-----------
140,887
-----------
TELECOMMUNICATIONS - 4.15%
1,850 AT&T Corp. ........................................... 86,488
3,800 * AT&T Corp. - Libery Media Group....................... 150,812
1,000 * MCI Worldcom, Inc. ................................... 85,813
800 Nokia Corp. - ADR, Class A............................ 92,450
1,000 Vodafone Airtouch, Plc. - ADR......................... 47,938
200 * Williams Communications Group, Inc. .................. 6,375
-----------
469,876
-----------
TEXTILE - PRODUCTS - 0.24%
900 V.F. Corp. ........................................... 27,056
-----------
TOBACCO - 0.49%
2,200 Philip Morris Companies, Inc. ........................ 55,413
-----------
UTILITIES - COMMUNICATION - 1.51%
2,300 Sprint Corp. FON Group................................ 170,919
-----------
UTILITIES - ELECTRIC - 2.25%
1,700 * AES Corp. ............................................ 95,944
1,600 American Electric Power, Inc. ........................ 55,200
900 * Niagara Mohawk Holdings, Inc. ........................ 14,288
4,300 * Northeast Utilities................................... 89,494
-----------
254,926
-----------
UTILITIES - GAS, PIPELINE - 0.56%
1,700 Williams Companies, Inc. ............................. 63,750
-----------
TOTAL COMMON STOCK
(Cost $6,652,006)..................................... 7,146,130
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CORPORATE BONDS - 8.80%
AIRLINES - 0.85%
$ 99,987 Continental Airlines,
7.08% due 11/01/04...................................... $ 96,405
-----------
BROADCASTING - 0.69%
100,000 Fox/Liberty Networks, LLC,
9.75% due 08/15/07...................................... 78,500
-----------
DRUGS - 0.81%
100,000 McKesson Corp.,
6.30% due 03/01/05...................................... 91,278
-----------
FINANCE COMPANIES - 1.73%
100,000 Discover Card Master Trust I,
5.60% due 05/15/06...................................... 96,050
100,000 Green Tree Financial Corp., Series A,
7.14% due 01/15/29...................................... 99,937
-----------
195,987
-----------
FINANCIAL SERVICES - 1.68%
100,000 Charter Communications Holding,
8.25% due 04/01/07...................................... 95,000
100,000 Household Finance Corp.,
6.40% due 06/17/08...................................... 94,468
-----------
189,468
-----------
FOODS - 0.85%
100,000 Nabisco, Inc.,
7.55% due 06/15/15...................................... 95,877
-----------
INSURANCE - MULTILINE - 0.89%
100,000 Reliastar Financial Corp.,
8.00% due 10/30/06...................................... 100,026
-----------
SECURITIES RELATED - 0.80%
93,893 Morgan Stanley Capital,
6.01% due 11/15/30...................................... 90,168
-----------
TELECOMMUNICATIONS - 0.50%
100,000 Spectrasite Holdings, Inc.,
12.00% due 07/15/08..................................... 56,250
-----------
TOTAL CORPORATE BONDS
(Cost $1,049,348)....................................... 993,959
-----------
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 BALANCED FUND - CONTINUED 81
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
UNITED STATES GOVERNMENT -
LONG TERM - 20.61%
FEDERAL AGENCIES - 9.05%
$100,000 Federal Home Loan Bank,
5.13% due 09/15/03................................ $ 95,766
Government National Mortgage Association:
203,815 7.00% due 12/15/22................................ 201,300
497,385 7.00% due 11/25/28................................ 487,900
248,544 6.50% due 06/15/29................................ 237,513
----------
1,022,479
----------
GOVERNMENT SPONSORED - 4.23%
400,000 Federal National Mortgage Association,
6.00% due 05/15/08................................ 381,248
100,000 (/1/) Government Lease Trust 1999-GSA1, Series A2,
6.18% due 05/18/05................................ 96,820
----------
478,068
----------
U.S. TREASURY NOTES - 7.33%
United States Treasury Notes:
700,000 6.88% due 05/15/06................................ 726,467
100,000 6.38% due 08/15/02................................ 101,234
----------
827,701
----------
TOTAL UNITED STATES GOVERNMENT -
LONG TERM
(Cost $2,354,287)................................. 2,328,248
----------
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 6.89%
BANKS - OTHER - 6.89%
779,000 State Street Bank Repurchase Agreement, 5.15%,
dated 10/31/99, to be repurchased at $779,334 on
11/01/99, collateralized by U.S. Treasury Note,
5.38%, 07/31/00, with a par value of $790,000
(Cost $779,000)................................... 779,000
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TOTAL CORPORATE SHORT TERM - REPURCHASE AGREEMENT
(Cost $779,000).......................................... $ 779,000
-----------
TOTAL INVESTMENTS
(Cost $10,834,641) - 99.55%.............................. $11,247,337
-----------
*Non-income producing
</TABLE>
- ----
<TABLE>
<S> <C>
(1) Securities exempt from registration under Rule 144A of the Securities
Act of 1933. These securities may be sold in transactions exempt from
registration, normally to qualified institutional buyers. At October 31,
1999, the aggregate value of these securities was $96,820, representing
0.86% of net assets.
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $10,834,641).......................... $11,247,337
Receivables for:
Investments sold.................................................. 132,078
Fund shares sold.................................................. 80,866
Dividends and interest............................................ 61,627
Other assets....................................................... 24,553
-----------
TOTAL ASSETS....................................................... 11,546,461
-----------
LIABILITIES:
Payable for:
Investments purchased............................................. 55,750
Fund shares redeemed.............................................. 100,050
Payable to affiliates:
Advisory fees..................................................... 59,766
Distribution fees for Class A & B................................. 4,366
Other............................................................. 27,578
Accrued expenses and other liabilities............................. 390
-----------
TOTAL LIABILITIES.................................................. 247,900
-----------
NET ASSETS......................................................... $11,298,561
-----------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
<S> <C>
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 995,017 shares outstanding..................... $ 9,950
Additional paid in capital........................................ 10,644,546
Undistributed net realized gain on securities..................... 228,864
Undistributed net investment income............................... 2,505
Unrealized appreciation of securities............................. 412,696
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $11,298,561
-----------
- -------------------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($1,808,620 divided by 159,216 shares)...................... $ 11.36
-----------
Offering price per Class A share
(100/94.25 of $11.36)*............................................ $ 12.05
-----------
Net asset value and offering price per Class B
share ($6,260,569 divided by 551,562 shares)**.................... $ 11.35
-----------
Net asset value, offering price and redemption
price per Class I share ($1,777,070 divided by
156,355 shares)................................................... $ 11.37
-----------
Net asset value, offering price and redemption
price per Class II share ($1,452,302 divided by
127,884 shares)................................................... $ 11.36
-----------
* Offering price includes sales charge of 5.75%.
The sales charge is reduced for purchases
of $25,000 and over.
** Redemption price per share is equal to net asset value less any
applicable contingent deferred sales charge.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
82
BALANCED FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends.............................................................. $ 51,583
Interest............................................................... 178,717
--------
Total investment income............................................... 230,300
--------
EXPENSES:
Advisory fees.......................................................... 59,766
Transfer agent fees.................................................... 19,973
Custodian fees......................................................... 9,757
Distribution fees:
Class A............................................................... 3,924
Class B............................................................... 29,389
Administrative service fee, Class I.................................... 3,594
Registration and filing fees........................................... 55,238
Audit fees and tax services............................................ 4,392
Accounting services.................................................... 2,245
Trustees' fees and expenses............................................ 1,123
Report to shareholders................................................. 367
Miscellaneous.......................................................... 3,578
--------
Total expenses........................................................ 193,346
Expense reimbursement (see Note 3).................................... (96,903)
--------
Net expenses.......................................................... 96,443
--------
NET INVESTMENT INCOME.................................................. 133,857
--------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities........................................ 229,026
Net unrealized appreciation of securities during the period............ 412,696
--------
Net realized and unrealized gain on securities during the period..... 641,722
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....................... $775,579
--------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
<S> <C> <C>
-----------------------------------
OPERATIONS:
Net investment income...................... $ 133,857 $ -
Net realized gain on securities............ 229,026 -
Net unrealized appreciation of securities
during the period......................... 412,696 -
-----------------------------------
Increase in net assets resulting from
operations............................... 775,579 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A................................... (30,629) -
Class B................................... (38,485) -
Class I................................... (29,571) -
Class II.................................. (32,829) -
-----------------------------------
Total distributions to shareholders from
net investment income................... (131,514) -
-----------------------------------
Net realized gain on securities
Class A................................... - -
Class B................................... - -
Class I................................... - -
Class II.................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (131,514) -
-----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A................................... 1,634,761 1,250
Class B................................... 6,132,326 1,250
Class I................................... 1,600,830 1,250
Class II.................................. 1,281,579 1,250
-----------------------------------
Total increase in net assets resulting from
share transactions........................ 10,649,496 5,000
-----------------------------------
TOTAL INCREASE IN NET ASSETS............... 11,293,561 5,000
NET ASSETS:
Beginning of year......................... 5,000 -
-----------------------------------
End of period (including undistributed net
investment income of $2,505 and $0)...... $11,298,561 $5,000
-----------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING ----------------------------------------- -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------- -------------------- ------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------- -------------------- ------------------- --------------------
Shares sold..... 160,044 $1,646,861 125 $ 1,250 554,404 $6,168,853 125 $ 1,250
Shares issued
for
distributions
reinvested...... 2,688 30,598 - - 3,396 38,149 - -
Shares
repurchased..... (3,641) (42,698) - - (6,363) (74,676) - -
------------------- -------------------- ------------------- --------------------
Increase in
shares
outstanding..... 159,091 1,634,761 125 1,250 551,437 6,132,326 125 1,250
Shares
outstanding:
Beginning of
period.......... 125 1,250 - - 125 1,250 - -
------------------- -------------------- ------------------- --------------------
End of period... 159,216 $1,636,011 125 $ 1,250 551,562 $6,133,576 125 $1,250
------------------- -------------------- ------------------- --------------------
<CAPTION>
CHANGE IN SHARES Class I Class II
OUTSTANDING ----------------------------------------- ---------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
-------------------- -------------------- ------------------ --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-------------------- -------------------- ------------------ --------------------
Shares sold..... 153,886 $1,574,100 125 $ 1,250 124,875 $1,248,750 125 $ 1,250
Shares issued
for
distributions
reinvested...... 2,598 29,570 - - 2,884 32,829 - -
Shares
repurchased..... (254) (2,840) - - - - - -
-------------------- -------------------- ------------------ --------------------
Increase in
shares
outstanding..... 156,230 1,600,830 125 1,250 127,759 1,281,579 125 1,250
Shares
outstanding:
Beginning of
period.......... 125 1,250 - - 125 1,250 - -
-------------------- -------------------- ------------------ --------------------
End of period... 156,355 $1,602,080 125 $ 1,250 127,884 $1,282,829 125 $ 1,250
-------------------- -------------------- ------------------ --------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 HIGH YIELD BOND FUND 83
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -----------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORPORATE BONDS - LONG TERM - 89.07%
ADVERTISING - 1.18%
$ 750,000 Interep National Radio Sales, Series B,
10.00% due 07/01/08............................ $ 744,375
-----------
AIRLINES - 1.61%
1,050,000 Aircraft Service International Group,
11.00% due 08/15/05............................ 1,015,875
-----------
APPAREL & PRODUCTS - 1.16%
350,000 Anvil Knitwear, Inc., Series B,
10.88% due 03/15/07............................ 228,375
500,000 Bell Sports, Inc., Series B,
11.00% due 08/15/08............................ 508,750
-----------
737,125
-----------
AUTO - CARS - 2.48%
900,000 Diamond Triumph,
9.25% due 04/01/08............................. 765,000
1,000,000 Prestolite Electric, Inc.,
9.63% due 02/01/08............................. 800,000
-----------
1,565,000
-----------
AUTO - ORIGINAL EQUIPMENT - 0.44%
65,000 Delco Remy International, Inc.,
10.63% due 08/01/06............................ 64,025
215,000(1) JL French Auto Casting,
11.50% due 06/01/09............................ 212,313
-----------
276,338
-----------
BROADCASTING - 6.93%
900,000 Cumulus Media,
10.38% due 07/01/08............................ 928,125
2,500,000 Echostar DBS Corp.,
9.38% due 02/01/09............................. 2,475,000
1,000,000(1) Susquehanna Media Co.,
8.50% due 05/15/09............................. 975,000
-----------
4,378,125
-----------
CHEMICAL - MAJOR - 2.76%
1,500,000 Koppers Industries, Inc.,
9.88% due 12/01/07............................. 1,305,000
500,000(1) Royster-Clark, Inc.,
10.25% due 04/01/09............................ 440,000
-----------
1,745,000
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CHEMICAL - MISCELLANEOUS - 1.55%
$ 750,000 GEO Specialty,
10.13% due 08/01/08............................. $ 678,750
300,000 Lyondell Chemical Co., Series B,
9.88% due 05/01/07.............................. 298,500
-----------
977,250
-----------
CONSUMER FINANCE - 1.15%
750,000(1) AmeriCredit Corp.,
9.25% due 02/01/04.............................. 728,438
-----------
CONTAINERS - METAL/GLASS - 0.59%
370,000 BWAY Corp.,
10.25% due 04/15/07............................. 370,925
-----------
DRUGS - 2.43%
200,000 Caremark Pharmaceuticals, Inc.,
9.375% due 02/01/09............................. 168,500
1,500,000 ICN Pharmaceuticals, Inc.,
8.75% due 11/15/08.............................. 1,365,000
-----------
1,533,500
-----------
ELECTRONIC INSTRUMENTS - 2.23%
400,000 Celestica International, Inc.,
10.50% due 12/31/06............................. 418,000
1,000,000(1) Flextronics International, Ltd.,
8.75% due 10/15/07.............................. 990,000
-----------
1,408,000
-----------
ENTERTAINMENT - 7.06%
1,000,000 Carmike Cinemas, Inc., Series B,
9.38% due 02/01/09.............................. 932,500
1,500,000(1) Cinemark USA, Inc.,
9.63% due 08/01/08.............................. 1,335,000
900,000 Harveys Casino Resorts,
10.63% due 06/01/06............................. 918,000
640,000 Hollywood Entertainment Corp.,
10.63% due 08/15/04............................. 544,000
250,000 Isle Of Capri Casinos,
8.75% due 04/15/09.............................. 225,625
500,000(1) Riviera Black Hawk, Inc.,
13.00% due 05/01/05............................. 510,000
-----------
4,465,125
-----------
FINANCE COMPANIES - 1.21%
500,000(1) Port Arthur Finance Corp.,
12.50% due 01/15/09............................. 500,000
250,000 R&B Finance Co.,
11.38% due 03/15/09............................. 263,125
-----------
763,125
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
PAR VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
FINANCIAL SERVICES - 0.83%
$ 500,000 Ono Finance, Plc.,
13% due 05/01/09................................. $ 527,500
----------
FOODS - 2.06%
1,000,000 Agrilink Foods, Inc.,
11.88% due 11/01/08.............................. 875,000
750,000 Ameriserve Food Distribution,
10.13% due 07/15/07.............................. 427,500
----------
1,302,500
----------
FREIGHT - 1.22%
1,000,000 Ultrapetrol (Bahamas), Ltd.,
10.50% due 04/01/08.............................. 770,000
----------
HEALTHCARE - 3.23%
1,000,000 Genesis Health Ventures, Inc.,
9.75% due 06/15/05............................... 380,000
900,000 Unilab Finance Corp.,
11.00% due 04/01/06.............................. 981,000
1,000,000 Universal Hospital Services,
10.25% due 03/01/08.............................. 680,000
----------
2,041,000
----------
HOME BUILDERS - 1.16%
Beazer Homes USA, Inc.:
350,000 9.00% due 03/01/04............................... 326,375
450,000 8.88% due 04/01/08............................... 405,000
----------
731,375
----------
HOUSEHOLD PRODUCTS - 0.80%
750,000 Sealy Mattress Co.,
10.88% due 12/15/07.............................. 506,250
----------
INFORMATION PROCESSING - NETWORKING - 0.33%
250,000(1) Condor Systems Inc.,
11.88% due 05/01/09.............................. 210,000
----------
LEISURE TIME - 1.52%
500,000 Hollywood Park, Inc., Series B,
9.25% due 02/15/07............................... 483,750
500,000 International Game Technology,
8.38% due 05/15/09............................... 477,500
----------
961,250
----------
LODGING - 1.80%
1,250,000 Prime Hospitality Corp.,
9.75% due 04/01/07............................... 1,137,500
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
84 October 31, 1999
HIGH YIELD BOND FUND - CONTINUED
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<S> <C> <C>
- ---------------------------------------------------------------------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.45%
$ 200,000 Calpine Corp.,
7.75% due 04/15/09............................. $ 186,500
100,000 Penhall International,
12.00% due 08/01/06............................ 100,000
-----------
286,500
-----------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.32%
200,000 Synthetic Industries, Inc.,
9.25% due 02/15/07............................. 200,000
-----------
MERCHANDISE - SPECIALTY - 1.15%
750,000 BIG 5 Corp., Series B,
10.88% due 11/15/07............................ 727,500
-----------
MERCHANDISING - DEPARTMENT - 2.28%
1,500,000 True Temper Sports, Inc., Series B,
10.88% due 12/01/08............................ 1,440,000
-----------
MERCHANDISING - FOOD - 1.90%
1,375,000 Disco S.A.,
9.88% due 05/15/08............................. 1,203,125
-----------
METALS - STEEL - 3.21%
600,000 National Steel Corp., Series D,
9.88% due 03/01/09............................. 591,000
250,000 Renco Steel Holdings, Series B,
10.88% due 02/01/05............................ 202,500
250,000 Russel Metals, Inc.,
10.00% due 06/01/09............................ 254,688
1,000,000(1) WCI Steel, Inc.,
10.00% due 12/01/04............................ 977,500
-----------
2,025,688
-----------
MISCELLANEOUS - 5.20%
1,500,000 Anthony Crane Rentals,
10.38% due 08/01/08............................ 1,290,000
1,375,000(1) Caithness Coso Fund Corp.,
9.05% due 12/15/09............................. 1,321,719
600,00 Integrated Electrical Services, Inc., Series B,
9.38% due 02/01/09............................. 579,000
100,000 Pegasus Communications Corp., Series B,
9.63% due 10/15/05............................. 97,000
-----------
3,287,719
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
NATURAL GAS - DIVERSIFIED - 0.45%
$ 280,000 Leviathan Gas Pipeline Partners, L.P., Series B,
10.38% due 06/01/09.............................. $ 285,600
-----------
OIL - INTEGRATED DOMESTIC - 0.76%
500,000 Tesoro Petroleum Corp.,
9.00% due 07/01/08............................... 480,000
-----------
OIL - SERVICE - PRODUCTS - 2.34%
1,500,000 Triton Energy,
8.75 04/15/02.................................... 1,479,555
-----------
OIL - SERVICES - 0.15%
105,000 Grey Wolf, Inc.,
8.88% due 07/01/07............................... 93,713
-----------
OIL/GAS PRODUCERS - 2.69%
Chesapeake Energy Corp.:
150,000 9.63% due 05/10/05............................... 141,750
75,000 9.13% due 04/15/06............................... 68,625
1,500,000 HS Resources, Inc.,
9.25% due 11/15/06............................... 1,492,500
-----------
1,702,875
-----------
PAPER/FOREST PRODUCTS - 2.16%
1,300,000 Bear Island LLC, Series B,
10.00% due 12/01/07.............................. 1,264,375
100,000 Pacific Papers, Inc.,
10.00% due 03/15/09.............................. 101,750
-----------
1,366,125
-----------
POLLUTION CONTROL - 0.96%
625,000 Marsulex, Inc.,
9.63% due 07/01/08............................... 606,250
-----------
PUBLISHING NEWS - 0.40%
250,000 Regional Independent Media,
10.50% due 07/01/08.............................. 250,000
-----------
RESTAURANTS - 3.08%
650,000 Apple South, Inc.,
9.75% due 06/01/06............................... 619,125
500,000 Dominos, Inc., Series B,
10.38% due 01/15/09.............................. 455,000
100,000(1) Sbarro, Inc.,
11.00% due 09/15/09.............................. 98,250
750,000 Southern Foods,
9.88% due 09/01/07............................... 776,250
-----------
1,948,625
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<S> <C> <C>
- --------------------------------------------------------------------------------
SCHOOLS - 2.22%
$1,500,000 Kindercare Learning Centers,
9.50% due 02/15/09............................... $ 1,402,500
-----------
TELECOMMUNICATIONS - 13.62%
100,000 Arch Communications, Inc.,
13.75% due 04/15/08.............................. 72,500
100,000 Cadmus Communications Corp.,
9.75% due 06/01/09............................... 99,624
630,000 Dobson/Sygnet Communications,
12.25% due 12/15/08.............................. 674,100
380,000(1) Energis, Plc.,
9.75% due 06/15/09............................... 385,700
1,000,000 Global Crossing,
9.63% due 05/15/08............................... 1,015,000
1,150,000 Level 3 Communications, Inc.,
9.13% due 05/01/08............................... 1,069,500
205,000 Microcell Telecommunications,
12.00% due 06/01/09.............................. 123,513
700,000 National Communications Corp., Series B,
11.50% due 10/01/08.............................. 747,250
NEXTLINK Communications, Inc.:
500,000 10.75% due 11/15/08.............................. 505,000
750,000 10.75% due 06/01/09.............................. 765,000
1,000,000 Orbcomm Global, Series B,
14.00% due 08/15/04.............................. 820,000
900,000 Paging Network, Inc.,
10.00% due 10/15/08.............................. 238,500
1,000,000 Telewest Communications, Plc.,
9.63% due 10/01/06............................... 1,010,000
1,585,000 Triton Communications,
11.00% due 05/01/08.............................. 1,085,725
-----------
8,611,412
-----------
TOTAL CORPORATE BONDS
(Cost $59,396,039)............................... 56,292,763
-----------
FOREIGN BONDS -- 0.69%
TELECOMMUNICATIONS - 0.69%
600,000 ESAT Telecom Group, Plc.,
12.50% due 02/01/07.............................. 438,000
-----------
TOTAL FOREIGN BONDS
(Cost $442,403).................................. 438,000
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 HIGH YIELD BOND FUND - CONTINUED 85
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PREFERRED STOCK - 0.89%
TELECOMMUNICATIONS - 0.89%
515 * Dobson Communications Corp. ......................... $ 505,337
57 Dobson Communications Corp. - OKL.................... 55,018
-----------
TOTAL PREFERRED STOCK
(Cost $497,963)...................................... 560,355
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
----------
<C> <S> <C>
CORPORATE SHORT TERM
REPURCHASE AGREEMENT - 8.53%
BANKS - OTHER - 8.53%
$5,394,000 State Street Bank Repurchase Agreement,
5.15%, dated 10/31/99, to be repurchased
at $5,396,315 on 11/01/99, collateralized
by U.S. Treasury Note, 5.38%, 07/31/00, with a par
value of $5,440,000
(Cost $5,394,000).................................... 5,394,000
-----------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $5,394,000).................................... 5,394,000
-----------
TOTAL INVESTMENTS
(Cost $65,730,405) - 99.18% ......................... $62,685,118
-----------
*Non-income producing
</TABLE>
- ----
<TABLE>
<S> <C>
(1) Securities)exempt from registration under Rule 144A of the
Securities Act of 1933. These securities may be sold in
transactions exempt from registration, normally to qualified
institutional buyers. At October 31, 1999, the aggregate value
of these securities was $8,683,920, representing 13.74% of net
assets.
</TABLE>
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $65,730,405)......................... $62,685,118
Receivables for
Investments sold................................................. 220,975
Fund shares sold................................................. 4,910
Dividends and interest........................................... 1,787,210
Other assets...................................................... 110,147
-----------
TOTAL ASSETS...................................................... 64,808,360
-----------
LIABILITIES:
Payable for:
Investments purchased............................................ 1,032,761
Fund shares redeemed............................................. 1,366
Payable to affiliates:
Administrative service fees for Class I.......................... 426
Advisory fees.................................................... 426,557
Distribution fees for Class A & B................................ 200
Other............................................................ 139,802
Accrued expenses and other liabilities............................ 1,141
-----------
TOTAL LIABILITIES................................................. 1,602,253
-----------
NET ASSETS........................................................ $63,206,107
-----------
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 6,703,974 shares outstanding................... $ 67,040
Additional paid in capital........................................ 66,893,634
Accumulated net realized loss on securities....................... (710,603)
Undistributed net investment income............................... 1,323
Unrealized depreciation of securities............................. (3,045,287)
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $63,206,107
-----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($34,177 divided by 3,625 shares)........................... $ 9.43
-----------
Offering price per Class A share
(100/95.25 of $9.43)*............................................. $ 9.90
-----------
Net asset value and offering price per Class B
share ($652,278 divided by 69,184 shares)**....................... $ 9.43
-----------
Net asset value, offering price and redemption
price per Class I share ($14,010 divided by
1,486 shares)..................................................... $ 9.43
-----------
Net asset value, offering price and redemption
price per Class II share ($62,505,642 divided by
6,629,679 shares)................................................. $ 9.43
-----------
* Offering price includes sales charge of 4.75%.
The sales charge is reduced for purchases
of $25,000 and over.
** Redemption price per share is equal to net asset value less any
applicable contingent deferred sales charge.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
86 HIGH YIELD BOND FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Interest.......................................................... $ 5,897,156
Dividends......................................................... 26,104
-----------
Total investment income.......................................... 5,923,260
-----------
EXPENSES:
Advisory fees..................................................... 426,557
Transfer agent fees............................................... 161,837
Custodian fees.................................................... 82,199
Distribution fees:
Class A.......................................................... 231
Class B.......................................................... 3,087
Administrative service fee, Class I............................... 213
Registration and filing fees...................................... 56,570
Audit fees and tax services....................................... 36,365
Accounting services............................................... 18,307
Trustees' fees and expenses....................................... 9,317
Report to shareholders............................................ 3,381
Miscellaneous..................................................... 27,769
-----------
Total expenses................................................... 825,833
Expense reimbursement (see Note 3)............................... (283,446)
-----------
Net expenses..................................................... 542,387
-----------
NET INVESTMENT INCOME............................................. 5,380,873
-----------
REALIZED AND UNREALIZED LOSS ON SECURITIES:
Net realized loss on securities................................... (710,603)
Net unrealized depreciation of securities during the period....... (3,045,287)
-----------
Net realized and unrealized loss on securities during the
period.......................................................... (3,755,890)
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................. $ 1,624,983
-----------
</TABLE>
<TABLE>
<S> <C> <C>
STATEMENT OF CHANGES IN NET ASSETS
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
<S> <C> <C>
----------------------------------
OPERATIONS:
Net investment income..................... $ 5,380,873 $ -
Net realized loss on securities........... (710,603) -
Net unrealized depreciation of securities
during the period......................... (3,045,287) -
----------------------------------
Increase in net assets resulting from
operations............................... 1,624,983 -
----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A.................................. (5,419) -
Class B.................................. (24,330) -
Class I.................................. (4,874) -
Class II................................. (5,346,250) -
----------------------------------
Total distributions to shareholders from
net investment income................... (5,380,873) -
----------------------------------
Net realized gain on securities
Class A.................................. - -
Class B.................................. - -
Class I.................................. - -
Class II................................. - -
----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (5,380,873) -
----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A.................................. 33,219 1,250
Class B.................................. 689,564 1,250
Class I.................................. 12,082 1,250
Class II................................. 66,222,132 1,250
----------------------------------
Total increase in net assets resulting
from share transactions................... 66,956,997 5,000
----------------------------------
TOTAL INCREASE IN NET ASSETS.............. 63,201,107 5,000
NET ASSETS:
Beginning of year........................ 5,000 -
----------------------------------
End of period (including undistributed
net investment income of $1,323 and $0).. $63,206,107 $5,000
----------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING ------------------------------------------- -------------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
--------------------- -------------------- --------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
--------------------- -------------------- --------------------- --------------------
Shares sold..... 127,950 $ 1,278,928 125 $ 1,250 191,330 $ 1,913,973 125 $ 1,250
Shares issued
for
distributions
reinvested...... 538 5,377 - - 2,309 22,587 - -
Shares
repurchased..... (124,988) (1,251,086) - - (124,580) (1,246,996) - -
--------------------- -------------------- --------------------- --------------------
Increase in
shares
outstanding..... 3,500 33,219 125 1,250 69,059 689,564 125 1,250
Shares
outstanding:
Beginning of
period.......... 125 1,250 - - 125 1,250 - -
--------------------- -------------------- --------------------- --------------------
End of period... 3,625 $ 34,469 125 $ 1,250 69,184 $ 690,814 125 $ 1,250
--------------------- -------------------- --------------------- --------------------
<CAPTION>
CHANGE IN SHARES Class I Class II
OUTSTANDING ------------------------------------------- --------------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
---------------------- -------------------- ----------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
---------------------- -------------------- ----------------------- --------------------
Shares sold..... 124,875 $ 1,248,449 125 $ 1,250 6,217,232 $62,127,399 125 $ 1,250
Shares issued
for
distributions
reinvested...... 486 4,873 - - 537,322 5,345,983 - -
Shares
repurchased..... (124,000) (1,241,240) - - (125,000) (1,251,250) - -
---------------------- -------------------- ----------------------- --------------------
Increase in
shares
outstanding..... 1,361 12,082 125 1,250 6,629,554 66,222,132 125 1,250
Shares
outstanding:
Beginning of
period.......... 125 1,250 - - 125 1,250 - -
---------------------- -------------------- ----------------------- --------------------
End of period... 1,486 $ 13,332 125 $ 1,250 6,629,679 $66,223,382 125 $ 1,250
---------------------- -------------------- ----------------------- --------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 STRATEGIC BOND FUND 87
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORPORATE BONDS - 42.31%
APPAREL & PRODUCTS - 1.03%
$ 88,000 Anvill Knitwear, Inc., Series B,
10.88% due 03/15/07................................ $ 57,420
----------
AUTO - CARS - 1.53%
100,000 Diamond Triumph,
9.25% due 04/01/08................................. 85,000
----------
BROADCASTING - 5.38%
100,000 Cumulus Media, Inc.,
10.38% due 07/01/08................................ 103,125
100,000 Echostar DBS Corp.,
9.38% due 02/01/09................................. 99,000
100,000(1) Susquehanna Media Co.,
8.50% due 05/15/09................................. 97,500
----------
299,625
----------
CONTAINERS - METAL/GLASS - 1.80%
100,000 BWAY Corp.,
10.25% due 04/15/07................................ 100,250
----------
DRUGS - 1.64%
100,000 ICN Pharmaceuticals, Inc.,
8.75% due 11/15/08................................. 91,000
----------
ENTERTAINMENT - 1.83%
100,000 Harveys Casino Resorts,
10.63% due 06/01/06................................ 102,000
----------
FOODS - 1.57%
100,000 Agrilink Foods, Inc.,
11.88% due 11/01/08................................ 87,500
----------
FINANCIAL SERVICES - 1.90%
100,000 Ono Finance, Plc.,
13.00% due 05/01/09................................ 105,500
----------
HEALTHCARE - 2.39%
100,000 Unilab Finance Corp.,
11.00% due 04/01/06................................ 109,000
35,000 Universal Hospital Service,
10.25% due 03/01/08................................ 23,800
----------
132,800
----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
HOME BUILDERS - 1.66%
Beazer Homes USA, Inc.:
$ 75,000 9.00% due 03/01/04................................. $ 69,938
25,000 8.88% due 04/01/08................................. 22,500
----------
92,438
----------
LEISURE TIME - 1.72%
100,000 Speedway Motorsports, Inc., Series D,
8.50% due 08/15/07................................. 96,000
----------
MERCHANDISE - DRUG - 0.90%
50,000 Express Scripts, Inc.,
9.63% due 06/15/09................................. 50,000
----------
MERCHANDISING - DEPARTMENT - 3.45%
200,000 True Temper Sports, Inc., Series B,
10.88% due 12/01/08................................ 192,000
----------
MERCHANDISING - FOOD - 1.57%
100,000 Disco S.A.,
9.88% due 05/15/08................................. 87,500
----------
METALS - STEEL - 4.21%
50,000 National Steel Corp., Series D,
9.88% due 03/01/09................................. 49,250
155,000 Pohang Iron & Steel, - ADR,
7.13% due 11/01/06................................. 144,404
50,000 Renco Steel Holdings, Series B,
10.88% due 02/01/05................................ 40,500
----------
234,154
----------
RESTAURANTS - 3.35%
100,000 Apple South, Inc.,
9.75% due 06/01/06................................. 95,250
100,000 Dominos, Inc., Series B,
10.38% due 01/15/09................................ 91,000
----------
186,250
----------
TELECOMMUNICATIONS - 6.38%
25,000(1) Energis, Plc.,
9.75% due 06/15/09................................. 25,375
100,000 National Communications Corp., Series B,
11.50% due 10/01/08................................ 106,750
100,000 NEXTLINK Communications, Inc.,
10.75% due 11/15/08................................ 101,000
200,000(1) TeleCorp PCS, Inc.,
11.63% due 04/15/09................................ 122,500
----------
355,625
----------
TOTAL CORPORATE BONDS
(Cost $2,409,979).................................. 2,355,062
----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
UNITED STATES GOVERNMENT -
LONG TERM - 28.44%
GOVERNMENT SPONSORED - 23.32%
Federal Home Loan Mortgage Corp.:
$ 199,543 7.00% 06/01/29........................................ $ 196,051
148,434 6.50% due 05/01/29.................................... 142,311
Federal National Mortgage Association:
500,000 8.00% due 05/25/27.................................... 509,455
49,291 5.50% due 01/01/29.................................... 44,700
446,843 5.50% due 06/01/29.................................... 405,228
----------
1,297,745
----------
U.S. TREASURY - 5.12%
315,000 United States Treasury Notes,
4.74% due 11/15/08.................................... 285,075
----------
TOTAL UNITED STATES GOVERNMENT - LONG TERM
(Cost $1,632,779)..................................... 1,582,820
----------
GOVERNMENT BONDS -
FOREIGN - 17.10%
176,000 Republic of Argentina,
6.81% due 03/31/05.................................... 157,142
303,303 Brazil C Bond,
8.00% due 04/15/14.................................... 202,272
150,000 Canada,
5.25% due 09/01/03.................................... 99,358
50,000,000 Hellenic Republic,
8.80% due 06/19/07.................................... 174,470
125,000 Republic of Lithuania,
8.00% due 03/29/04.................................... 131,186
250,000 United States of Mexico W-B,
6.25% due 12/31/19.................................... 187,426
----------
TOTAL GOVERNMENT BONDS - FOREIGN
(Cost $965,983)....................................... 951,854
----------
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 19.52%
BANKS - OTHER - 19.52%
1,086,000 State Street Bank Repurchase Agreement,
5.15%, dated 10/31/99, to be repurchased at $1,086,466
on 11/01/99, collateralized by U.S. Treasury Note,
5.38%, 07/31/00, with a par value of $1,095,000 (Cost
$1,086,000)........................................... 1,086,000
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
88 October 31, 1999
STRATEGIC BOND FUND - CONTINUED
<TABLE>
<CAPTION>
MARKET
VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TOTAL CORPORATE SHORT TERM - REPURCHASE AGREEMENT
(Cost $1,086,000)......................................... $1,086,000
----------
TOTAL INVESTMENTS
(Cost $6,094,741) - 107.37%............................... $5,975,736
----------
</TABLE>
- ----
(1) Securities exempt from registration under Rule 144A of the
Securities Act of 1933. These securities may be sold in
transactions exempt from registration, normally to qualified
institutional buyers. At October 31, 1999, the aggregate value of
these securities was $245,375 representing 4.41% of net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $6,094,741)............................ $5,975,736
Receivables for:
Investments sold................................................... 86,780
Fund shares sold................................................... 15,000
Dividends and interest............................................. 103,081
Other assets........................................................ 34,982
----------
TOTAL ASSETS........................................................ 6,215,579
----------
LIABILITIES:
Payable for investments purchased................................... 578,337
Payable to affiliates:
Administrative service fees for Class I............................ 3,141
Advisory fees...................................................... 31,224
Distribution fees for Class A & B.................................. 1,602
Other.............................................................. 35,430
Accrued expenses and other liabilities.............................. 170
----------
TOTAL LIABILITIES................................................... 649,904
----------
NET ASSETS.......................................................... $5,565,675
----------
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized, 583,022 shares
outstanding......................................................... $ 5,830
Additional paid in capital.......................................... 5,805,638
Accumulated net realized loss on securities......................... (128,913)
Undistributed net investment income................................. 2,125
Unrealized depreciation of securities............................... (119,005)
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................... $5,565,675
----------
</TABLE>
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($1,298,184 divided by 135,983 shares)........................ $ 9.55
----------
Offering price per Class A share
(100/95.25 of $9.55)*............................................... $ 10.03
----------
Net asset value and offering price per Class B
share ($1,704,237 divided by 178,540 shares)**...................... $ 9.55
----------
Net asset value, offering price and redemption
price per Class I share ($1,280,550 divided by
134,137 shares)..................................................... $ 9.55
----------
Net asset value, offering price and redemption
price per Class II share ($1,282,704 divided by
134,362 shares)..................................................... $ 9.55
----------
* Offering price includes sales charge of 4.75%.
The sales charge is reduced for purchases
of $25,000 and over.
** Redemption price per share is equal to net asset
value less any applicable contingent deferred sales
charge.
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
89
STRATEGIC BOND FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Interest....................................................... $ 421,963
---------
Total investment income....................................... 421,963
---------
EXPENSES:
Advisory fees.................................................. 31,224
Transfer agent fees............................................ 14,255
Custodian fees................................................. 7,323
Distribution fees:
Class A....................................................... 3,142
Class B....................................................... 14,194
Administrative service fee, Class I............................ 3,141
Registration and filing fees................................... 54,334
Audit fees and tax services.................................... 3,171
Accounting services............................................ 1,565
Trustees' fees and expenses.................................... 944
Report to shareholders......................................... 275
Miscellaneous.................................................. 1,743
---------
Total expenses................................................ 135,311
Expense reimbursement (see Note 3)............................ (70,610)
---------
Net expenses.................................................. 64,701
---------
NET INVESTMENT INCOME.......................................... 357,262
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FOREIGN
CURRENCIES:
Net realized gain (loss) on securities:
Investments......................................... $(128,901)
Foreign currency transactions....................... 2,113 (126,788)
---------
Net unrealized depreciation of securities during the period.... (119,005)
---------
Net realized and unrealized loss on securities and
foreign currencies during the period......................... (245,793)
---------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............... $ 111,469
---------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
<S> <C> <C>
-----------------------------------
OPERATIONS:
Net investment income..................... $ 357,262 $ -
Net realized loss on securities and
foreign currencies........................ (126,788) -
Net unrealized depreciation of securities
during the period......................... (119,005) -
-----------------------------------
Increase in net assets resulting from
operations............................... 111,469 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A.................................. (87,354) -
Class B.................................. (89,294) -
Class I.................................. (89,196) -
Class II................................. (91,418) -
-----------------------------------
Total distributions to shareholders from
net investment income................... (357,262) -
-----------------------------------
Net realized gain on securities
Class A.................................. - -
Class B.................................. - -
Class I.................................. - -
Class II................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (357,262) -
-----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A.................................. 1,355,590 1,250
Class B.................................. 1,772,798 1,250
Class I.................................. 1,337,949 1,250
Class II................................. 1,340,131 1,250
-----------------------------------
Total increase in net assets resulting
from share transactions................... 5,806,468 5,000
-----------------------------------
TOTAL INCREASE IN NET ASSETS.............. 5,560,675 5,000
NET ASSETS:
Beginning of year........................ 5,000 -
-----------------------------------
End of period (including undistributed
net investment income of $2,125 and $0).. $5,565,675 $5,000
-----------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING --------------------------------------- -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------ -------------------- ------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------ -------------------- ------------------- --------------------
Shares sold..... 126,908 $1,268,224 125 $ 1,250 171,021 $1,700,597 125 $ 1,250
Shares issued
for
distributions
reinvested...... 8,950 87,366 - - 9,154 89,165 - -
Shares
repurchased..... - - - - (1,760) (16,964) - -
------------------ -------------------- ------------------- --------------------
Increase in
shares
outstanding..... 135,858 1,355,590 125 1,250 178,415 1,772,798 125 1,250
Shares
outstanding:
Beginning of
period.......... 125 1,250 - - 125 1,250 - -
------------------ -------------------- ------------------- --------------------
End of period... 135,983 $1,356,840 125 $ 1,250 178,540 $1,774,048 125 $1,250
------------------ -------------------- ------------------- --------------------
<CAPTION>
CHANGE IN SHARES Class I Class II
OUTSTANDING --------------------------------------- ---------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------ -------------------- ------------------ --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------ -------------------- ------------------ --------------------
Shares sold..... 124,875 $1,248,750 125 $ 1,250 124,875 $1,248,750 125 $ 1,250
Shares issued
for
distributions
reinvested...... 9,137 89,199 - - 9,362 91,381 - -
Shares
repurchased..... - - - - - - - -
------------------ -------------------- ------------------ --------------------
Increase in
shares
outstanding..... 134,012 1,337,949 125 1,250 134,237 1,340,131 125 1,250
Shares
outstanding:
Beginning of
period.......... 125 1,250 - - 125 1,250 - -
------------------ -------------------- ------------------ --------------------
End of period... 134,137 $1,339,199 125 $ 1,250 134,362 $1,341,381 125 $ 1,250
------------------ -------------------- ------------------ --------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
90 DOMESTIC BOND FUND October 31, 1999
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORPORATE BONDS - 18.25%
AIRLINES - 3.04%
$249,237 Airplanes Pass-Thru Trust C,
8.15% due 03/15/11...................................... $ 235,975
149,980 Continental Airlines,
7.08% due 11/01/04...................................... 144,607
----------
380,582
----------
BROADCASTING - 0.94%
150,000 Fox/Liberty Networks, LLC.,
9.75% due 08/15/07...................................... 117,750
----------
CONSUMER FINANCE - 1.16%
150,000 Associates Corp. NA,
5.75% due 11/01/03...................................... 144,818
----------
DRUGS - 1.09%
150,000 McKesson Corp.,
6.30% due 03/01/05...................................... 136,917
----------
FINANCE COMPANIES - 3.38%
150,000 Discover Card Master Trust I,
5.60% due 05/15/06...................................... 144,074
133,286 DLJ Commercial Mortgage Corp.,
6.14% due 10/15/06...................................... 129,575
150,000 Green Tree Financial Corp., Series A7,
7.14% due 01/15/29...................................... 149,906
----------
423,555
----------
FINANCIAL SERVICES - 3.35%
150,000 Charter Communications Holdings, LLC, 8.25% due
04/01/07................................................ 142,500
150,000 Ford Motor Credit Co.,
5.80% due 01/12/09...................................... 135,401
150,000 Household Finance Corp.,
6.40% due 06/17/08...................................... 141,702
----------
419,603
----------
FOODS - 1.15%
150,000 Nabisco, Inc.,
7.55% due 06/15/15...................................... 143,816
----------
INSURANCE - MULTILINE - 1.20%
150,000 Reliastar Financial Corp.,
8.00% due 10/30/06...................................... 150,039
----------
LODGING - 1.18%
250,000 Crown Castle International Corp.,
10.38% due 05/15/11..................................... 148,125
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
SECURITIES RELATED - 1.08%
$ 140,839 Morgan Stanley Capital CMO,
6.01% due 11/15/30............................... $ 135,252
----------
TELECOMMUNICATIONS - 0.68%
150,000 Spectrasite Holdings, Inc.,
12.00% due 07/15/08.............................. 84,375
----------
TOTAL CORPORATE BONDS
(Cost $2,407,512)................................ 2,284,832
----------
UNITED STATES GOVERNMENT -
LONG TERM - 77.65%
FEDERAL AGENCIES - 23.28%
400,000 Federal Home Loan Bank,
5.13% due 09/15/03............................... 383,064
Government National Mortgage Association:
611,444 7.00% due 12/15/22............................... 603,899
996,972 7.00% due 08/15/29............................... 977,959
994,175 6.50% due 06/15/29............................... 950,054
----------
2,914,976
----------
GOVERNMENT SPONSORED - 10.61%
Federal National Mortgage Association:
489,226 6.50% due 04/01/29............................... 468,737
750,000 6.00% due 05/15/08............................... 714,840
150,000 (1) Government Lease Trust, Series A2,
6.18% due 05/18/05............................... 145,230
----------
1,328,807
----------
U.S. TREASURY NOTES & BONDS - 43.76%
150,000 United States Treasury Bonds,
7.50% due 11/15/16............................... 165,516
United States Treasury Notes:
3,900,000 6.88% due 05/15/06............................... 4,047,459
1,250,000 6.38% due 08/15/02............................... 1,265,425
----------
5,478,400
----------
TOTAL UNITED STATES GOVERNMENT -
LONG TERM
(Cost $9,866,797)................................ 9,722,183
----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 11.13%
BANKS - OTHER - 11.13%
$1,394,000 State Street Bank Repurchase Agreement,
5.15%, dated 10/31/99, to be repurchased
at $1,394,598 on 11/01/99, collateralized
by U.S. Treasury Note, 5.38%, 07/31/00,
with a par value of $1,410,000 (Cost $1,394,000)..... $ 1,394,000
-----------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $1,394,000).................................... 1,394,000
-----------
TOTAL INVESTMENTS
(Cost $13,668,309) - 107.03% ........................ $13,401,015
-----------
- ----
(1) Securities exempt from registration under Rule 144A of the Securities
Act of 1933. These securities may be sold in transactions exempt from
registration, normally to qualified institutional buyers. At October 31,
1999, the aggregate value of these securities was $145,230, representing
1.16% of net assets.
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 DOMESTIC BOND FUND - CONTINUED 91
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $13,668,309).......................... $13,401,015
Receivables for:
Fund shares sold.................................................. 27,478
Dividends and interest............................................ 218,227
Other assets....................................................... 31,437
-----------
TOTAL ASSETS....................................................... 13,678,157
-----------
LIABILITIES:
Payable for:
Investments purchased............................................. 1,063,322
Fund shares redeemed.............................................. 2,683
Payable to affiliates:
Administrative service fees for Class I........................... 4,857
Advisory fees..................................................... 45,924
Distribution fees for Class A & B................................. 4,126
Other............................................................. 34,827
Accrued expenses and other liabilities............................. 1,108
-----------
TOTAL LIABILITIES.................................................. 1,156,847
-----------
NET ASSETS......................................................... $12,521,310
-----------
- -------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized, 1,334,984 shares
outstanding...................................................... $ 13,350
Additional paid in capital......................................... 12,995,220
Undistributed net investment income................................ 2,253
Accumulated net realized loss on securities........................ (222,219)
Unrealized depreciation of securities.............................. (267,294)
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $12,521,310
-----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($1,947,588 divided by 207,804 shares)...................... $ 9.37
-----------
Offering price per Class A share
(100/95.25 of $9.37)*............................................. $ 9.84
-----------
Net asset value and offering price per Class B
share ($5,633,175 divided by 600,376 shares)**.................... $ 9.38
-----------
Net asset value, offering price and redemption
price per Class I share ($3,508,987 divided by
374,190 shares)................................................... $ 9.38
-----------
Net asset value, offering price and redemption
price per Class II share ($1,431,560 divided by
152,614 shares)................................................... $ 9.38
-----------
* Offering price includes sales charge of 4.75%.
The sales charge is reduced for purchases
of $25,000 and over.
** Redemption price per share is equal to net asset value
less any applicable contingent deferred sales charge.
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
92
DOMESTIC BOND FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Interest............................................................. $ 484,105
---------
Total investment income............................................. 484,105
---------
EXPENSES:
Advisory fees........................................................ 45,924
Transfer agent fees.................................................. 20,582
Custodian fees....................................................... 9,007
Distribution fees:
Class A............................................................. 3,783
Class B............................................................. 26,519
Administrative service fee, Class I.................................. 4,857
Registration and filing fees......................................... 54,343
Audit fees and tax services.......................................... 4,458
Accounting services.................................................. 2,300
Trustees' fees and expenses.......................................... 1,083
Report to shareholders............................................... 329
Miscellaneous........................................................ 5,381
---------
Total expenses...................................................... 178,566
Expense reimbursement (see Note 3).................................. (85,486)
---------
Net expenses........................................................ 93,080
---------
NET INVESTMENT INCOME................................................ 391,025
---------
REALIZED AND UNREALIZED LOSS ON SECURITIES:
Net realized loss on securities...................................... (219,966)
Net unrealized depreciation of securities during the period.......... (267,294)
---------
Net realized and unrealized loss on securities during the period.... (487,260)
---------
DECREASE IN NET ASSETS RESULTING FROM OPERATIONS..................... $ (96,235)
---------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
<S> <C> <C>
-----------------------------------
OPERATIONS:
Net investment income...................... $ 391,025 $ -
Net realized loss on securities............ (219,966) -
Net unrealized depreciation of securities
during the period......................... (267,294) -
-----------------------------------
Decrease in net assets resulting from
operations............................... (96,235) -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A................................... (80,495) -
Class B................................... (132,548) -
Class I................................... (106,039) -
Class II.................................. (71,943) -
-----------------------------------
Total distributions to shareholders from
net investment income................... (391,025) -
-----------------------------------
Net realized gain on securities
Class A................................... - -
Class B................................... - -
Class I................................... - -
Class II.................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (391,025) -
-----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A................................... 2,047,253 312
Class B................................... 5,815,834 312
Class I................................... 3,629,409 313
Class II.................................. 1,514,824 313
-----------------------------------
Total increase in net assets resulting from
share transactions........................ 13,007,320 1,250
-----------------------------------
TOTAL INCREASE IN NET ASSETS............... 12,520,060 1,250
NET ASSETS:
Beginning of year......................... 1,250 -
-----------------------------------
End of period (including undistributed net
investment income of $2,253 and $0)...... $12,521,310 $1,250
-----------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING ----------------------------------------- -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------- -------------------- ------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------- -------------------- ------------------- --------------------
Shares sold..... 203,846 $2,009,015 31 $ 312 604,606 $5,855,580 31 $ 312
Shares issued
for
distributions
reinvested...... 8,285 79,825 - - 13,790 131,823 - -
Shares
repurchased..... (4,358) (41,587) - - (18,051) (171,569) - -
------------------- -------------------- ------------------- --------------------
Increase in
shares
outstanding..... 207,773 2,047,253 31 312 600,345 5,815,834 31 312
Shares
outstanding:
Beginning of
period.......... 31 312 - - 31 312 - -
------------------- -------------------- ------------------- --------------------
End of period... 207,804 $2,047,565 31 $ 312 600,376 $5,816,146 31 $ 312
------------------- -------------------- ------------------- --------------------
<CAPTION>
CHANGE IN SHARES Class I Class II
OUTSTANDING ------------------------------------------ ----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
-------------------- --------------------- ------------------ ---------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-------------------- --------------------- ------------------ ---------------------
Shares sold..... 403,632 $3,904,413 31 $ 313 145,135 $1,442,848 32 $ 313
Shares issued
for
distributions
reinvested...... 11,039 105,624 - - 7,447 71,976 - -
Shares
repurchased..... (40,512) (380,628) - - - - - -
-------------------- --------------------- ------------------ ---------------------
Increase in
shares
outstanding..... 374,159 3,629,409 31 313 152,582 1,514,824 32 313
Shares
outstanding:
Beginning of
period.......... 31 313 - - 32 313 - -
-------------------- --------------------- ------------------ ---------------------
End of period... 374,190 $3,629,722 31 $ 313 152,614 $1,515,137 32 $ 313
-------------------- --------------------- ------------------ ---------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 CORE BOND FUND 93
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORPORATE BONDS - 44.25%
BANKS - REGIONAL - 2.23%
$ 4,890,000 First Union National Bank,
5.80% due 12/01/08............................ $ 4,405,303
3,260,000 Wachovia Corp.,
5.63% due 12/15/08............................ 2,917,570
------------
7,322,873
------------
BEVERAGE - SOFT DRINKS - 1.08%
3,550,000 Coca Cola Enterprises, Inc.,
7.13% due 09/30/09............................ 3,527,032
------------
CHEMICAL - MAJOR - 1.07%
3,550,000 E.I. du Pont de Nemours and Co.,
6.88% due 10/15/09............................ 3,523,517
------------
CONGLOMERATES - 1.58%
5,215,000(1) Tyco International Group SA,
6.88% due 09/05/02............................ 5,181,937
------------
CONTAINERS - METAL/GLASS - 1.71%
5,870,000 Owens Corning,
7.70% due 05/01/08............................ 5,616,416
------------
ELECTRICAL PRODUCTS - MISCELLANEOUS - 1.09%
3,550,000(1) Israel Electric Corp., Ltd.,
8.25% due 10/15/00............................ 3,564,023
------------
FINANCE COMPANIES - 4.75%
3,880,000 AT&T Capital Corp.,
6.88% due 01/16/01............................ 3,877,905
2,500,000 Capital One Bank,
6.40% due 05/08/03............................ 2,415,425
3,550,000 Duke Capital Corp,
7.50% due 8/15/09............................. 3,505,625
5,755,000 Newcourt Credit Group, Inc.,
7.13% due 12/17/03............................ 5,788,200
------------
15,587,155
------------
FINANCIAL SERVICES - 4.08%
4,715,000 Countrywide Home,
6.25% due 04/15/09............................ 4,336,055
2,490,000 Doral Financial Corp.,
8.50% due 07/08/04............................ 2,482,911
6,520,000 Transamerica Finance Corp.,
7.25% due 08/15/02............................ 6,551,948
------------
13,370,914
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
MACHINERY - AGRICULTURE - 1.07%
$ 3,550,000 Deere & Co.,
6.55% due 07/15/04............................ $ 3,505,980
------------
MERCHANDISE - DRUG - 1.19%
Rite Aid Corp.:
1,590,000 7.13% due 01/15/07............................ 1,113,000
4,000,000 6.00% due 12/15/05............................ 2,800,000
------------
3,913,000
------------
MERCHANDISING - FOOD - 1.08%
3,550,000 Safeway, Inc.,
7.50% due 09/15/09............................ 3,546,557
------------
MERCHANDISING - MASS - 0.49%
1,630,000 Fred Meyer, Inc.,
7.45% due 03/01/08............................ 1,612,689
------------
NATURAL GAS - DIVERSIFIED - 2.52%
3,260,000 PanEnergy Corp.,
7.38% due 09/15/03............................ 3,325,624
5,145,000 Valero Energy Corp.,
7.38% due 03/15/06............................ 4,924,331
------------
8,249,955
------------
PAPER/FOREST PRODUCTS - 1.02%
3,550,000 Temple-Inland, Inc.,
6.75% due 03/01/09............................ 3,333,273
------------
SECURITIES RELATED - 2.36%
Merrill Lynch & Co., Inc.:
7,385,000 7.20% due 10/15/12, MTNB...................... 6,745,607
1,000,000 6.00% due 02/17/09............................ 1,006,950
------------
7,752,557
------------
TELECOMMUNICATIONS - 7.30%
2,130,000(1) AT&T Canada, Inc.,
7.65% due 09/15/06............................ 2,131,554
AT&T Corp.:
3,550,000 6.00% due 03/15/09............................ 3,281,691
6,390,000 6.50% due 03/15/29............................ 5,652,594
7,755,000 Bell Atlantic Pennsylvania, Inc.,
6.00% due 12/01/28............................ 6,378,410
3,910,000 MetroNet Communications Corp.,
9.95% due 06/15/08............................ 3,042,293
1,835,000 Northwestern Bell Telephone,
7.75% due 05/01/30............................ 1,812,796
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
TELECOMMUNICATIONS - (Continued)
$ 1,630,000(1) US West Cap Funding, Inc.,
6.88% due 08/15/01............................ $ 1,623,024
------------
23,922,362
------------
UTILITIES - ELECTRIC - 5.71%
4,000,000 Arizona Public Service,
5.88% due 02/15/04............................ 3,833,920
2,940,000 Cinergy Corp.,
6.13% due 04/15/04............................ 2,789,880
7,100,000 Edison International, Inc.,
6.88% due 09/15/04............................ 7,038,655
2,000,000 National Rural Utilities,
5.70% due 01/15/10............................ 1,791,300
3,675,000 Pennslyvania Electric Co.,
6.63% due 04/01/19............................ 3,263,327
------------
18,717,082
------------
UTILITIES - GAS, PIPELINE - 3.92%
2,485,000 Consolidated Natural Gas Co.,
7.25% due 10/01/04............................ 2,501,277
3,675,000 Enron Corp.,
6.75% due 09/01/04............................ 3,611,129
3,780,000 Peco Energy Transition Trust,
6.13% due 03/01/09............................ 3,537,814
3,260,000 Williams Companies, Inc.,
7.63% due 07/15/19............................ 3,170,741
------------
12,820,961
------------
TOTAL CORPORATE BONDS
(Cost $149,666,830)........................... 145,068,283
------------
FOREIGN BONDS - 4.61%
FINANCE COMPANIES - 0.78%
2,610,000 Newcourt Credit Group, Inc.,
6.88% due 02/16/05............................ 2,578,497
------------
INSURANCE - MULTILINE - 1.87%
Fairfax Financial Holdings, Ltd.:
2,935,000 8.25% due 10/01/15............................ 2,676,749
3,780,000 7.38% due 03/15/06............................ 3,439,134
------------
6,115,883
------------
PUBLISHING - NEWS - 0.96%
3,260,000 United News & Media, Plc.,
7.75% due 07/01/09............................ 3,134,588
------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
94 October 31, 1999
CORE BOND FUND - CONTINUED
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS - 1.00%
$3,260,000(1) Cable & Wire Optus, Ltd.,
8.13% due 06/15/09............................... $ 3,272,421
-----------
TOTAL FOREIGN BONDS
(Cost $15,761,123)............................... 15,101,389
-----------
UNITED STATES GOVERNMENT -
LONG TERM - 45.44%
FEDERAL AGENCIES - 4.31%
Federal Home Loan Bank:
3,780,000 5.81% due 03/23/09............................... 3,511,847
4,000,000 5.32% due 12/23/08............................... 3,591,240
Government National Mortgage Association:
25,545 6.50% due 10/15/24............................... 24,651
70,888 6.50% due 03/15/26............................... 68,120
43,258 6.50% due 07/15/26............................... 41,568
432,488 6.50% due 04/15/28............................... 413,295
504,820 6.50% due 09/15/28............................... 482,417
54,386 6.50% due 11/15/28............................... 51,972
4,501,494 6.50% due 12/15/28............................... 4,301,718
1,754,920 6.50% due 01/15/29............................... 1,677,036
-----------
14,163,864
-----------
GOVERNMENT SPONSORED - 31.40%
Federal Farm Credit Bank,
5,540,000 6.75% due 07/07/09............................... 5,502,771
Federal Home Loan Mortgage Corp:
34,913 8.50% due 08/01/10............................... 35,928
13,289 8.50% due 07/01/14............................... 13,767
23,210 8.50% due 06/01/18............................... 23,946
21,117 8.50% due 06/01/20............................... 21,952
245,734 8.50% due 11/01/20............................... 255,460
72,789 8.50% due 01/02/22............................... 75,678
15,349 8.50% due 09/01/22............................... 15,953
26,088 8.50% due 07/01/24............................... 27,066
530,185 8.50% due 11/01/26............................... 549,234
72,110 8.50% due 01/01/27............................... 74,700
8,745 8.00% due 01/01/22............................... 8,964
515,428 8.00% due 08/01/24............................... 526,381
64,478 8.00% due 10/01/25............................... 65,829
520,281 8.00% due 09/01/26............................... 531,092
302,362 8.00% due 10/01/26............................... 308,645
411,259 8.00% due 03/01/27............................... 419,871
15,741 8.00% due 07/01/27............................... 16,068
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
GOVERNMENT SPONSORED - Continued
Federal Home Loan Mortgage Corp:
$ 98,756 8.00% due 08/01/27.............................. $ 100,792
802,042 8.00% due 09/01/27.............................. 818,581
347,146 8.00% due 10/01/27.............................. 354,304
529,590 8.00% due 03/01/28.............................. 540,595
458,823 8.00% due 11/01/28.............................. 468,431
131,411 7.00% due 03/01/12.............................. 131,411
41,386 7.00% due 07/01/12.............................. 41,372
829,064 7.00% due 09/01/12.............................. 828,799
1,818,449 7.00% due 04/01/14.............................. 1,817,867
12,000,000 7.00% due 07/15/28.............................. 11,790,000
3,474,662 7.00% due 08/01/29.............................. 3,413,856
3,260,000 6.25% due 07/15/04.............................. 3,230,953
6,000,000 6.22% due 03/18/08.............................. 5,636,220
985,243 6.00% due 02/01/14.............................. 948,297
1,483,417 6.00% due 05/01/14.............................. 1,427,789
992,133 6.00% due 08/01/14.............................. 954,928
4,095,147 6.00% due 06/01/29.............................. 3,821,265
Federal National Mortgage Association:
168,812 8.50% due 08/01/14.............................. 175,860
398,890 8.50% due 09/01/14.............................. 414,674
40,390 8.50% due 10/01/14.............................. 41,988
161,905 8.50% due 11/01/14.............................. 168,311
224,242 8.50% due 01/01/15.............................. 232,532
75,440 8.50% due 06/01/15.............................. 78,387
73,358 8.50% due 11/01/17.............................. 75,919
52,780 8.50% due 07/01/24.............................. 54,676
39,703 8.50% due 11/01/24.............................. 41,129
82,301 8.50% due 01/01/25.............................. 85,258
73,622 8.50% due 10/01/26.............................. 76,267
57,967 8.50% due 12/01/26.............................. 60,049
116,129 8.50% due 01/01/27.............................. 120,301
234,442 8.50% due 02/01/27.............................. 242,866
463,195 8.50% due 03/01/27.............................. 479,838
956,569 8.50% due 05/01/27.............................. 990,941
141,798 8.50% due 06/01/27.............................. 146,894
362,404 8.50% due 07/01/27.............................. 375,421
457,589 8.50% due 08/01/27.............................. 474,030
303,206 8.50% due 10/01/27.............................. 314,099
329,309 8.50% due 11/01/27.............................. 341,141
469,194 8.50% due 12/01/27.............................. 486,052
95,630 8.50% due 04/01/28.............................. 99,383
42,776 8.50% due 05/01/28.............................. 44,313
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
GOVERNMENT SPONSORED - Continued
Federal National Mortgage Association:
$ 436,248 8.50% due 07/01/28.............................. $ 451,923
404,172 8.50% due 08/01/28.............................. 418,694
14,941 7.50% due 04/01/09.............................. 15,111
35,739 7.50% due 10/01/09.............................. 36,198
11,981 7.50% due 02/01/17.............................. 12,094
37,091 7.50% due 12/01/22.............................. 37,323
23,966 7.50% due 06/01/25.............................. 24,086
18,470 7.50% due 07/01/25.............................. 18,539
477,772 7.50% due 10/01/25.............................. 479,564
333,684 7.50% due 12/01/25.............................. 334,622
20,091 7.50% due 05/01/26.............................. 20,147
476,814 7.50% due 07/01/26.............................. 478,154
435,811 7.50% due 01/01/27.............................. 436,761
12,912 7.50% due 06/01/27.............................. 12,940
81,506 7.50% due 07/01/27.............................. 81,684
738,076 7.50% due 08/01/27.............................. 739,685
554,797 7.50% due 09/01/27.............................. 556,006
57,331 7.50% due 10/01/27.............................. 57,495
635,503 7.50% due 11/01/27.............................. 636,889
11,249 7.50% due 12/01/27.............................. 11,273
34,046 7.50% due 01/01/28.............................. 34,120
14,842 7.50% due 01/02/28.............................. 14,874
23,008 7.50% due 04/01/28.............................. 23,058
32,409 7.50% due 05/01/28.............................. 32,491
19,146 7.50% due 06/01/28.............................. 19,188
424,447 7.50% due 07/01/28.............................. 425,372
2,000,000 7.50% due 02/25/29.............................. 2,004,380
12,552 7.00% due 09/01/10.............................. 12,538
9,380 7.00% due 07/01/11.............................. 9,365
14,450 7.00% due 11/01/11.............................. 14,427
19,593 7.00% due 02/01/12.............................. 19,562
34,430 7.00% due 05/01/12.............................. 34,377
21,224 7.00% due 06/01/12.............................. 21,190
16,851 7.00% due 09/01/12.............................. 16,825
17,645 7.00% due 10/01/12.............................. 17,617
23,934 7.00% due 07/01/13.............................. 23,896
484,647 7.00% due 04/01/28.............................. 475,861
111,377 7.00% due 08/01/28.............................. 109,358
102,552 7.00% due 10/01/28.............................. 100,693
107,237 7.00% due 11/01/28.............................. 105,293
108,248 7.00% due 12/01/28.............................. 106,286
114,967 7.00% due 02/01/29.............................. 112,883
308,574 7.00% due 05/01/29.............................. 302,979
3,116,593 7.00% due 07/01/29.............................. 3,060,090
4,000,000 6.65% due 11/07/07.............................. 3,900,640
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 CORE BOND FUND - CONTINUED 95
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
GOVERNMENT SPONSORED - Continued
Federal National Mortgage Association:
$ 3,550,000 6.50% due 08/15/04.............................. $ 3,556,106
4,050,000 6.37% due 01/30/08.............................. 3,901,284
3,780,000 6.28% due 02/12/08.............................. 3,622,297
1,166,139 6.00% due 12/01/28.............................. 1,088,271
15,066,893 6.00% due 01/01/29.............................. 14,045,056
568,699 6.00% due 02/01/29.............................. 530,130
391,782 6.00% due 03/01/29.............................. 365,212
563,254 6.00% due 04/01/29.............................. 525,054
1,747,591 5.50% due 06/01/04.............................. 1,644,361
7,864,952 5.50% due 02/01/14.............................. 7,400,369
------------
102,953,785
------------
U.S. TREASURY NOTES & BONDS - 9.73%
11,210,000 United States Treasury Bonds,
5.25% due 02/15/29.............................. 9,689,588
United States Treasury Notes:
1,950,000 7.50% due 02/15/05.............................. 2,072,187
15,975,000 6.00% due 08/15/04.............................. 16,012,343
2,075,000 5.63% due 02/15/06.............................. 2,024,744
2,130,000 3.88% due 01/15/09.............................. 2,090,062
------------
31,888,924
------------
TOTAL UNITED STATES GOVERNMENT - LONG TERM
(Cost $152,369,152)............................. 149,006,573
------------
FOREIGN GOVERNMENT BONDS - LONG TERM - 0.54%
GOVERNMENT BOND - CANADA - 0.54%
1,775,000 Quebec-Prov,
7.50% due 09/15/29.............................. 1,783,520
------------
TOTAL FOREIGN GOVERNMENT BONDS - LONG TERM -
(Cost $1,766,980)............................... 1,783,520
------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 8.63%
AEROSPACE/DEFENSE - 1.08%
3,523,000 Raytheon Co.,
5.50% due 11/04/99.............................. 3,521,379
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HEAVY DUTY TRUCKS/PARTS - 2.01%
$ 6,600,000 Eaton Corp.,
5.38% due 11/02/99.................................. $ 6,599,012
------------
INSURANCE - LIFE- 2.45%
8,046,000 Jefferson-Pilot Corp.,
5.38% due 11/01/99.................................. 8,046,000
------------
MISCELLANEOUS - 2.02%
6,639,000 CVS Corporation,
5.33% due 11/03/99.................................. 6,637,030
------------
UTILITIES - ELECTRIC - 1.07%
3,500,00 OGE Energy Corp.,
5.37% due 11/01/99.................................. 3,500,000
------------
TOTAL CORPORATE SHORT TERM COMMERCIAL PAPER
(Cost $28,303,421).................................. 28,303,421
------------
TOTAL INVESTMENTS
(Cost $347,867,506) - 103.47%....................... $339,263,186
------------
</TABLE>
- ----
(1) Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be sold in transactions exempt from
registration, normally to qualified institutional buyers. At October 31,
1999, the aggregate value of these securities was $15,772,959, representing
4.81% of net assets.
<TABLE>
- -------------------------------------------------------------------------------
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (cost $347,867,506)........................ $339,263,186
Receivables for:
Investments sold................................................. 14,441,680
Fund shares sold................................................. 16,387
Dividends and interest........................................... 3,919,598
Other assets...................................................... 54,795
------------
TOTAL ASSETS...................................................... 357,695,646
------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES - Continued
LIABILITIES:
Payable for:
Investments purchased............................................ $ 24,616,960
Fund shares redeemed............................................. 3,000,000
Payable to affiliates:
Administrative service fees for Class I.......................... 214
Advisory fees.................................................... 1,551,018
Distribution fee payable, Class A & B............................ 191
Other............................................................ 667,343
Accrued expenses and other liabilities............................ 2,114
------------
TOTAL LIABILITIES................................................. 29,837,840
------------
NET ASSETS........................................................ $327,857,806
------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized, 34,695,034 shares outstanding....... $ 346,950
Additional paid in capital....................................... 343,004,158
Undistributed net investment income.............................. 594,517
Accumulated net realized loss on securities...................... (7,483,499)
Unrealized depreciation of securities............................ (8,604,320)
------------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................ $327,857,806
------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($130,264 divided by 13,785 shares)........................ $ 9.45
------------
Offering price per Class A share
(100/95.25 of $9.45)*............................................ $ 9.92
------------
Net asset value and offering price per Class B
share ($294,198 divided by 31,133 shares)**...................... $ 9.45
------------
Net asset value, offering price and redemption
price per Class I share ($49,176 divided by
5,204 shares).................................................... $ 9.45
------------
Net asset value, offering price and redemption
price per Class II share ($327,384,168 divided by
34,644,912 shares)............................................... $ 9.45
------------
* Offering price includes sales charge of 4.75%.
The sales charge is reduced for purchases
of $25,000 and over.
** Redemption price per share is equal to net asset value
less any applicable contingent deferred sales charge.
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
96
CORE BOND FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Interest........................................................... $19,789,892
-----------
Total investment
income........................................................... 19,789,892
-----------
EXPENSES:
Advisory fees...................................................... 1,551,018
Transfer agent fees................................................ 850,770
Custodian fees..................................................... 431,393
Distribution fees:
Class A........................................................... 297
Class B........................................................... 1,749
Administrative service fee, Class I................................ 214
Registration and filing fees....................................... 55,997
Audit fees and tax services........................................ 192,589
Accounting services................................................ 97,007
Trustees' fees and expenses........................................ 48,402
Report to shareholders............................................. 17,887
Miscellaneous...................................................... 152,874
-----------
Total expenses.................................................... 3,400,197
Expense reimbursement
(see Note 3)..................................................... (1,214,465)
-----------
Net expenses...................................................... 2,185,732
-----------
NET INVESTMENT INCOME.............................................. 17,604,160
-----------
REALIZED AND UNREALIZED LOSS ON SECURITIES:
Net realized loss on securities.................................... (6,856,127)
Net unrealized depreciation of securities during the period........ (8,604,320)
-----------
Net realized and unrealized loss on securities during the period.. (15,460,447)
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................... $ 2,143,713
-----------
</TABLE>
<TABLE>
<S> <C> <C>
STATEMENT OF CHANGES IN NET ASSETS
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
<S> <C> <C>
-----------------------------------
OPERATIONS:
Net investment income...................... $ 17,604,160 $ -
Net realized loss on securities............ (6,856,127) -
Net unrealized depreciation of securities
during the period......................... (8,604,320) -
-----------------------------------
Increase in net assets resulting from
operations............................... 2,143,713 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A................................... (5,521) -
Class B................................... (7,561) -
Class I................................... (3,535) -
Class II.................................. (17,620,398) -
-----------------------------------
Total distributions to shareholders from
net investment income................... (17,637,015) -
-----------------------------------
Net realized gain on securities
Class A................................... - -
Class B................................... - -
Class I................................... - -
Class II.................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (17,637,015) -
-----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A................................... 147,076 1,250
Class B................................... 314,894 1,250
Class I................................... 63,589 1,250
Class II.................................. 342,820,549 1,250
-----------------------------------
Total increase in net assets resulting from
share transactions........................ 343,346,108 5,000
-----------------------------------
TOTAL INCREASE IN NET ASSETS............... 327,852,806 5,000
NET ASSETS:
Beginning of year......................... 5,000 -
-----------------------------------
End of period (including undistributed net
investment income of $594,517 and $0).... $327,857,806 $5,000
-----------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING ------------------------------------------ ------------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
-------------------- -------------------- -------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-------------------- -------------------- -------------------- --------------------
Shares sold..... 138,621 $1,381,108 125 $ 1,250 155,415 $1,543,770 125 $ 1,250
Shares issued
for
distributions
reinvested...... 485 4,724 - - 726 7,011 - -
Shares
repurchased..... (125,446) (1,238,756) - - (125,133) (1,235,887) - -
-------------------- -------------------- -------------------- --------------------
Increase in
shares
outstanding..... 13,660 147,076 125 1,250 31,008 314,894 125 1,250
Shares
outstanding:
Beginning of
period.......... 125 1,250 - - 125 1,250 - -
-------------------- -------------------- -------------------- --------------------
End of period... 13,785 $ 148,326 125 $ 1,250 31,133 $ 316,144 125 $1,250
-------------------- -------------------- -------------------- --------------------
<CAPTION>
CHANGE IN SHARES Class I Class II
OUTSTANDING ------------------------------------------ ----------------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
--------------------- -------------------- ------------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
--------------------- -------------------- ------------------------- --------------------
Shares sold..... 128,718 $1,285,174 125 $ 1,250 34,878,992 $344,948,750 125 $ 1,250
Shares issued
for
distributions
reinvested...... 361 3,535 - - 1,820,469 17,620,043 - -
Shares
repurchased..... (124,000) (1,225,120) - - (2,054,674) (19,748,244) - -
--------------------- -------------------- ------------------------- --------------------
Increase in
shares
outstanding..... 5,079 63,589 125 1,250 34,644,787 342,820,549 125 1,250
Shares
outstanding:
Beginning of
period.......... 125 1,250 - - 125 1,250 - -
--------------------- -------------------- ------------------------- --------------------
End of period... 5,204 $ 64,839 125 $ 1,250 34,644,912 $342,821,799 125 $ 1,250
--------------------- -------------------- ------------------------- --------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 MUNICIPAL BOND FUND 97
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
MUNICIPAL BONDS - LONG TERM - 99.78%
GENERAL OBLIGATIONS - 16.00%
$500,000 Argyle Texas Independent School District,
zero coupon due 08/15/14................................ $ 209,110
250,000 District of Columbia Refunding,
5.50% due 06/01/09...................................... 253,708
250,000 Garland, Texas,
4.50% due 02/15/19...................................... 202,535
225,000 Harris County, Texas,
4.50% due 10/01/09...................................... 209,428
100,000 Philadelphia, Pennsylvania,
5.00% due 03/15/28...................................... 84,645
500,000 Pine Richland School District Pennsylvania,
zero coupon due 09/01/23................................ 115,295
200,000 Victor California Elementary School District,
zero coupon due 06/01/20................................ 57,810
----------
1,132,531
----------
HEALTHCARE - 22.75%
250,000 Colorado Health Facilities Authority,
5.25% due 09/01/18...................................... 214,972
250,000 Elkhart County Hospital Authority,
5.25% due 08/15/28...................................... 208,225
200,000 Kansas State Development Finance
Authority Hospital Revenue,
5.20% due 12/15/18...................................... 174,120
250,000 Louisiana Public Facilities
Authority Hospital,
5.50% due 08/15/19...................................... 219,705
225,000 Massachusetts State Health & Educational
Facilities Authority,
5.25% due 07/01/14...................................... 210,544
200,000 Massachusetts State Health & Educational
Facilities Partners Healthcare System, Series B,
5.13% due 07/01/19...................................... 173,488
250,000 Michigan State Hospital Finance Authority
Revenue Bonds, Series A,
5.25% due 11/15/09...................................... 248,645
175,000 Washington County Ohio Hospital Revenue, 5.38% due
09/01/18................................................ 160,708
----------
1,610,407
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
HOUSING - 4.12%
$500,000 Missouri State Housing Development
Community Mortgage,
zero coupon due 03/01/29................................ $ 85,065
225,000 New York State Mortgage Agency,
4.70% due 10/01/11...................................... 206,646
----------
291,711
----------
INDUSTRIAL DEVELOPMENT - 10.09%
250,000 Camden Arkansas Pollution Control,
5.70% due 09/01/12...................................... 244,860
250,000 Nekoosa Wisconsin Pollution Control
Nekoosa Papers, Inc.,
5.35% due 07/01/15...................................... 222,540
250,000 Oklahoma Development Finance Authority
Oklahoma-Pollution Control Revenue,
4.88% due 06/01/14...................................... 246,770
----------
714,170
----------
LEASE APPROPRIATION - 6.73%
225,000 New York State Urban Development Corp.
Revenue,
5.00% due 04/01/09...................................... 220,525
250,000 Ohio Building Authority Correctional
Facilities,
5.50% due 10/01/09...................................... 255,940
----------
476,465
----------
TRANSPORTATION - 12.22%
225,000 Central Puget Sound Washington Regional, 5.25% due
02/01/13................................................ 216,864
225,000 Public Highway Authority Colorado
Sr. Series A,
5.25% due 09/01/18...................................... 206,804
225,000 Illinois State Toll Highway Authority Toll,
5.50% due 01/01/15...................................... 219,337
225,000 Port Portland Oregon Airport Revenue,
5.25% due 07/01/11...................................... 222,089
----------
865,094
----------
UTILITIES - 27.87%
230,000 Green River-Sweetwater-County Wyoming,
Series B,
4.50% due 03/01/14...................................... 221,508
225,000 Honolulu Hawaii City & County,
5.25% due 07/01/15...................................... 209,504
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES - Continued
$200,000 Irvine Ranch California Water District,
3.50% due 04/01/33....................................... $ 200,000
225,000 Long Island Power Authority
New York Electric,
5.00% due 04/01/12....................................... 220,154
200,000 Lower Colorado River Authority
Texas Revenue,
5.25% due 01/01/15....................................... 191,708
250,000 Lower Colorado River Authority
Texas Revenue,
6.00% due 05/15/10....................................... 262,548
250,000 Philadelphia Pennsylvania Gas Works,
5.38% due 07/01/12....................................... 244,480
250,000 South Carolina State
Public Service Revenue,
5.63% due 01/01/13....................................... 249,403
225,000 Wyandotte County Kansas University
Government University,
4.50% due 09/01/28....................................... 174,390
----------
1,973,695
----------
TOTAL MUNICIPAL BONDS - LONG TERM
(Cost $7,691,429)........................................ 7,064,073
----------
SHORT TERM SECURITIES
VARIABLE RATE DEMAND NOTES - 2.82%
STUDENT LOAN - 2.82%
200,000 Missouri Higher Education Loan Authority,
3.55% due 12/01/05....................................... 200,000
----------
TOTAL SHORT TERM SECURITIES
VARIABLE RATE DEMAND NOTES
(Cost $200,000).......................................... 200,000
----------
TOTAL INVESTMENTS
(Cost $7,891,429) - 102.60%.............................. $7,264,073
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
98 October 31, 1999
MUNICIPAL BOND FUND - CONTINUED
<TABLE>
<CAPTION>
<S> <C>
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $7,891,429).......................... $7,264,073
Receivables for:
Investments sold................................................. 217,065
Fund shares sold................................................. 5,016
Dividends and interest........................................... 77,420
Other assets...................................................... 98,665
----------
TOTAL ASSETS...................................................... 7,662,239
----------
LIABILITIES:
Payable for:
Investments purchased............................................ 514,398
Fund shares redeemed............................................. 323
Payable to affiliates:
Advisory fees.................................................... 30,118
Distribution fees for Class A & B................................ 3,982
Other............................................................ 33,170
Accrued expenses and other liabilities............................ 579
----------
TOTAL LIABILITIES................................................. 582,570
----------
NET ASSETS........................................................ $7,079,669
----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized, 781,031 shares
outstanding....................................................... $ 7,810
Additional paid in capital......................................... 7,720,146
Accumulated net realized loss on securities........................ (20,931)
Unrealized depreciation of securities.............................. (627,356)
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $7,079,669
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($3,005,345 divided by 331,515 shares)............... $ 9.07
-----------
Offering price per Class A share
(100/95.25 of $9.07)*...................................... $ 9.52
-----------
Net asset value and offering price per Class B
share ($4,074,324 divided by 449,516 shares)**............. $ 9.06
-----------
* Offering price includes sales charge of 4.75%.
The sales charge is reduced for purchases
of $25,000 and over.
** Redemption price per share is equal to net asset value
less any applicable contingent deferred sales charge.
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
MUNICIPAL BOND FUND - CONTINUED 99
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Tax-exempt interest................................................ $ 287,598
---------
Total investment income........................................... 287,598
---------
EXPENSES:
Advisory fees...................................................... 30,118
Transfer agent fees................................................ 16,399
Custodian fees..................................................... 8,280
Distribution fees:
Class A........................................................... 6,741
Class B........................................................... 33,044
Registration and filing fees....................................... 33,856
Audit fees and tax services........................................ 3,417
Accounting services................................................ 1,811
Trustees' fees and expenses........................................ 1,008
Report to shareholders............................................. 310
Miscellaneous...................................................... 2,459
---------
Total expenses.................................................... 137,443
Expense reimbursement (see Note 3)................................ (49,167)
---------
Net expenses...................................................... 88,276
---------
NET INVESTMENT INCOME.............................................. 199,322
---------
REALIZED AND UNREALIZED LOSS ON SECURITIES:
Net realized loss on securities.................................... (20,931)
Net unrealized depreciation of securities during the period........ (627,356)
---------
Net realized and unrealized loss on securities during the period. (648,287)
---------
DECREASE IN NET ASSETS RESULTING FROM OPERATIONS................... $(448,965)
---------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income..................... $ 199,322 $ -
Net realized loss on securities........... (20,931) -
Net unrealized depreciation of securities
during the period......................... (627,356) -
-----------------------------------
Decrease in net assets resulting from
operations............................... (448,965) -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A.................................. (99,998) -
Class B.................................. (99,324) -
-----------------------------------
Total distributions to shareholders from
net investment income................... (199,322) -
-----------------------------------
Net realized gain on securities
Class A.................................. - -
Class B.................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities...... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (199,322) -
-----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A.................................. 3,281,484 2,500
Class B.................................. 4,441,472 2,500
-----------------------------------
Total increase in net assets resulting
from share transactions................... 7,722,956 5,000
-----------------------------------
TOTAL INCREASE IN NET ASSETS.............. 7,074,669 5,000
NET ASSETS:
Beginning of year........................ 5,000 -
-----------------------------------
End of period ........................... $7,079,669 $5,000
</TABLE>
------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING: ----------------------------------------- -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------- -------------------- ------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------- -------------------- ------------------- --------------------
Shares sold............. 323,646 $3,207,747 250 $ 2,500 452,335 $4,470,919 250 $ 2,500
Shares issued for
distributions
reinvested.............. 10,147 97,610 - - 9,600 91,777 - -
Shares repurchased...... (2,528) (23,873) - - (12,669) (121,224) - -
------------------- -------------------- ------------------- --------------------
Increase in shares
outstanding............. 331,265 3,281,484 250 2,500 449,266 4,441,472 250 2,500
Shares outstanding:
Beginning of period..... 250 2,500 - - 250 2,500 - -
------------------- -------------------- ------------------- --------------------
End of period........... 331,515 $3,283,984 250 $ 2,500 449,516 $4,443,972 250 $ 2,500
------------------- -------------------- ------------------- --------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
100 MONEY MARKET FUND October 31, 1999
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMERCIAL PAPER - 98.32%
BEVERAGE - SOFT DRINKS - 2.94%
Coca Cola Co.:
$275,000 5.27% due 11/30/99....................................... $ 273,826
350,000 5.13% due 11/10/99....................................... 349,545
----------
623,371
----------
CHEMICAL - MAJOR - 7.25%
751,000 E.I. du Pont de Nemours & Co.,
5.65% due 02/25/00....................................... 737,213
800,000 PPG Industries, Inc.,
5.28% due 11/05/99....................................... 799,529
----------
1,536,742
----------
CONGLOMERATES - 3.71%
800,000 Fortune Brands,
5.90% due 02/18/00....................................... 785,683
----------
CONSUMER FINANCE - 7.11%
Associates Corp. of North America:
311,000 5.67% due 01/13/00....................................... 307,380
500,000 5.28% due 11/23/99....................................... 498,383
Sears Roebuck Acceptance Corp.:
182,000 5.25% due 12/17/99....................................... 180,764
520,000 5.14% due 11/01/99....................................... 520,000
----------
1,506,527
----------
ENTERTAINMENT - 6.39%
Mattel, Inc.,
600,000 5.33% due 12/01/99....................................... 597,296
Walt Disney Co.:
570,000 5.66% due 01/19/00....................................... 562,874
193,000 4.78% due 11/09/99....................................... 192,790
----------
1,352,960
----------
FINANCE COMPANIES - 14.22%
231,000 Caterpillar Financial Services,
5.80% due 02/28/00....................................... 226,563
Ciesco, L.P.:
204,000 5.98% due 01/25/00....................................... 201,118
300,000 5.35% due 11/12/99....................................... 299,509
100,000 CIT Group Holdings, Inc.,
5.30% due 12/09/99....................................... 99,440
Ford Motor Credit Co.:
375,000 5.96% due 01/10/00....................................... 370,650
342,000 5.22% due 12/13/99....................................... 339,889
504,000 General Electric Capital Corp.,
5.71% due 02/10/00....................................... 495,848
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL COMPANIES - Continued
$226,000 General Electric Capital Services, Inc.,
5.72% due 02/07/00....................................... $ 222,450
General Motors Acceptance Corp.:
200,000 5.93% due 02/17/00....................................... 196,432
200,000 5.26% due 11/05/99....................................... 199,883
362,000 5.26% due 11/18/99....................................... 361,099
----------
3,012,881
----------
FINANCIAL SERVICES - 3.12%
660,000 Household Finance Corp.,
5.10% due 11/02/99....................................... 659,905
----------
FOODS - 3.30%
700,000 Albertson's, Inc.,
5.39% due 07/14/00....................................... 699,296
----------
HEALTHCARE - 3.03%
Baxter International, Inc.:
350,000 5.75% due 01/24/00....................................... 345,232
300,000 5.58% due 01/18/00....................................... 296,315
----------
641,547
----------
HOSPITAL SUPPLIES - 2.86%
607,000 Abbott Laboratories,
5.19% due 11/03/99....................................... 606,825
----------
HOUSEHOLD PRODUCTS - 3.53%
748,000 Colgate-Palmolive Co.,
5.28% due 11/04/99....................................... 747,670
----------
INFORMATION PROCESSING -
DATA SERVICES - 6.47%
811,000 Hewlett Packard Co.,
5.27% due 11/09/99....................................... 810,047
564,000 Pitney Bowes, Inc.,
5.28% due 12/16/99....................................... 560,267
----------
1,370,314
----------
INSURANCE - LIFE - 3.06%
657,000 Jefferson-Pilot Corp.,
5.70% due 02/02/00....................................... 647,198
----------
INSURANCE - MULTILINE - 3.72%
800,000 Aon Corp.,
5.92% due 01/26/00....................................... 788,649
----------
MACHINERY - INDUSTRIAL/SPECIALTY - 0.91%
193,000 Cooper Industries, Inc.,
5.34% due 11/01/99....................................... 193,000
----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISING - MASS - 3.34%
Wal-Mart Stores, Inc.:
$411,000 5.30% due 11/16/99...................................... $ 410,089
300,000 5.28% due 12/14/99...................................... 298,106
-----------
708,195
-----------
PHOTOGRAPHY - 3.66%
780,000 Eastman Kodak Co.,
5.30% due 12/07/99...................................... 775,850
-----------
PUBLISHING/PRINTING - 2.06%
437,000 R.R. Donnelley and Sons Co.,
5.29% due 11/12/99...................................... 436,292
-----------
SECURITIES RELATED - 7.39%
800,000 Merrill Lynch & Co.,
5.96% due 01/31/00...................................... 787,928
788,000 Morgan Stanley Dean Witter Discover,
5.75% due 01/27/00...................................... 776,990
-----------
1,564,918
-----------
UTILITIES - COMMUNICATION - 5.39%
711,000 Bellsouth Telecom, Inc.,
5.62% due 01/19/00...................................... 702,128
441,000 GTE Corp.,
5.33% due 11/22/99 ..................................... 439,627
-----------
1,141,755
-----------
UTILITIES - ELECTRIC - 4.86%
250,000 Conectiv, Inc.,
6.30% due 01/28/00...................................... 246,123
Southern California Edison Co.:
367,000 5.73% due 02/04/00...................................... 361,420
422,000 5.15% due 11/08/99...................................... 421,571
-----------
1,029,114
-----------
TOTAL COMMERCIAL PAPER
(Cost $20,828,692)...................................... 20,828,692
-----------
FOREIGN BONDS - 2.02%
431,000 Province of British Columbia,
5.28% due 12/10/99...................................... 428,505
-----------
TOTAL FOREIGN BONDS
(Cost $428,505) ........................................ 428,505
-----------
TOTAL INVESTMENTS
(Cost $21,257,197) - 100.34%............................ $21,257,197
-----------
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
October 31, 1999 MONEY MARKET FUND - CONTINUED 101
<TABLE>
<CAPTION>
<S> <C>
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $21,257,197)......................... $21,257,197
Receivables for:
Fund shares sold................................................. 560,605
Dividends and interest........................................... 1,884
Other assets...................................................... 43,000
-----------
TOTAL ASSETS...................................................... 21,862,686
-----------
LIABILITIES:
Payable for fund shares redeemed.................................. 576,126
Payable to affiliates:
Administrative service fees for Class I.......................... 4,271
Advisory fees.................................................... 32,936
Distribution fees for Class A & B................................ 5,705
Other............................................................ 57,680
Accrued expenses and other liabilities............................ 69
-----------
TOTAL LIABILITIES................................................. 676,787
-----------
NET ASSETS........................................................ $21,185,899
-----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized, 21,185,899 shares
outstanding....................................................... $ 211,859
Additional paid in capital......................................... 20,974,040
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $21,185,899
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
<S> <C>
- ---------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value, offering price and redemption price
per Class A share ($7,548,678 divided by
7,548,678 shares)...................................... $ 1.00
-----------
Net asset value and offering price per Class B
share ($6,058,166 divided by 6,058,166 shares)*........ $ 1.00
-----------
Net asset value, offering price and redemption
price per Class I share ($2,910,006 divided
by 2,910,006 shares)................................... $ 1.00
-----------
Net asset value, offering price and redemption
price per Class II share ($4,669,049 divided
by 4,669,049 shares)................................... $ 1.00
-----------
* Redemption price per share is equal to net asset
value less any applicable contingent deferred sales
charge.
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
102
MONEY MARKET FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Interest.............................................................. $701,084
--------
Total investment income.............................................. 701,084
--------
EXPENSES:
Advisory fees......................................................... 32,936
Transfer agent fees................................................... 34,592
Custodian fees........................................................ 16,342
Distribution fees:
Class A.............................................................. 7,535
Class B.............................................................. 34,961
Administrative service fee, Class I................................... 4,271
Registration and filing fees.......................................... 56,624
Audit fees and tax services........................................... 7,273
Accounting services................................................... 3,958
Trustees' fees and expenses........................................... 1,754
Report to shareholders................................................ 614
Miscellaneous......................................................... 7,655
--------
Total expenses....................................................... 208,515
Expense reimbursement (see Note 3)................................... (95,505)
--------
Net expenses......................................................... 113,010
--------
NET INVESTMENT INCOME................................................. 588,074
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................... $588,074
--------
</TABLE>
<TABLE>
<S> <C> <C>
STATEMENT OF CHANGES IN NET ASSETS
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income..................... $ 588,074 $ -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A.................................. (147,687) -
Class B.................................. (141,895) -
Class I.................................. (79,445) -
Class II................................. (219,047) -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............ (588,074) -
-----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A.................................. 7,547,428 1,250
Class B.................................. 6,056,916 1,250
Class I.................................. 2,908,756 1,250
Class II................................. 4,667,799 1,250
-----------------------------------
Total increase in net assets resulting
from share transactions.................. 21,180,899 5,000
-----------------------------------
TOTAL INCREASE IN NET ASSETS.............. 21,180,899 5,000
NET ASSETS:
Beginning of year........................ 5,000 -
-----------------------------------
End of period............................ $21,185,899 $5,000
</TABLE>
-----------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING -------------------------------------------- --------------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
----------------------- ------------------- ----------------------- -------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
----------------------- ------------------- ----------------------- -------------------
Shares sold..... 9,440,120 $ 9,440,120 1,250 $ 1,250 7,462,979 $ 7,462,979 1,250 $ 1,250
Shares issued
for
distributions
reinvested...... 148,413 148,413 - - 142,305 142,305 - -
Shares
repurchased..... (2,041,105) (2,041,105) - - (1,548,368) (1,548,368) - -
----------------------- ------------------- ----------------------- -------------------
Increase in
shares
outstanding..... 7,547,428 7,547,428 1,250 1,250 6,056,916 6,056,916 1,250 1,250
Shares
outstanding:
Beginning of
period.......... 1,250 1,250 - - 1,250 1,250 - -
----------------------- ------------------- ----------------------- -------------------
End of period... 7,548,678 $ 7,548,678 1,250 $ 1,250 6,058,166 $ 6,058,166 1,250 $ 1,250
----------------------- ------------------- ----------------------- -------------------
<CAPTION>
CHANGE IN SHARES Class I Class II
OUTSTANDING ------------------------------------------ ---------------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
---------------------- ------------------- ------------------------- -------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
---------------------- ------------------- ------------------------- -------------------
Shares sold..... 3,788,358 $3,788,358 1,250 $ 1,250 9,248,750 $ 9,248,750 1,250 $ 1,250
Shares issued
for
distributions
reinvested...... 80,380 80,380 - - 219,321 219,321 - -
Shares
repurchased..... (959,982) (959,982) - - (4,800,272) (4,800,272) - -
---------------------- ------------------- ------------------------- -------------------
Increase in
shares
outstanding..... 2,908,756 2,908,756 1,250 1,250 4,667,799 4,667,799 1,250 1,250
Shares
outstanding:
Beginning of
period.......... 1,250 1, 250 - - 1,250 1,250 - -
---------------------- ------------------- ------------------------- -------------------
End of period... 2,910,006 $2,910,006 1,250 $ 1,250 4,669,049 $ 4,669,049 1,250 $ 1,250
---------------------- ------------------- ------------------------- -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
October 31, 1999 MUNICIPAL MONEY MARKET FUND 103
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
SHORT TERM SECURITIES
VARIABLE RATE DEMAND NOTES -
MUNICIPALITIES - 99.19%
EDUCATION - 3.08%
$200,000 Michigan State University,
3.45% due 08/15/22................................... $ 200,000
----------
GENERAL OBLIGATIONS - 6.16%
200,000 Chicago, Illinois,
3.45% due 01/01/12................................... 200,000
200,000 Massachusetts State,
3.40% due 09/01/16................................... 200,000
----------
400,000
----------
HEALTHCARE - 18.33%
100,000 Bruce Michigan Healthcare VRDN,
3.35% due 05/01/18................................... 100,000
200,000 Florence County South Carolina
Hospital Revenue,
3.50% due 11/01/15................................... 200,000
100,000 Fort Wayne Indiana Hospital Authority,
3.45% due 01/01/20................................... 100,000
200,000 Louisiana Public Facilities
Authority Hospital,
3.60% due 09/01/27................................... 200,000
200,000 North Carolina Medical Care
Community Hospital,
3.50% due 09/01/02................................... 200,000
200,000 Polk County Iowa Revenue,
3.55% due 12/01/15................................... 200,000
190,000 West Virginia Hospital Authority,
3.55% due 09/01/28................................... 190,000
----------
1,190,000
----------
HOUSING - 11.55%
300,000 Illinois Developing Finance Authority,
3.55% due 04/01/24................................... 300,000
250,000 Massachusetts State Housing Finance,
3.35% due 12/01/25................................... 250,000
200,000 New York, New York City
Housing Development,
3.30% due 11/15/19................................... 200,000
----------
750,000
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
INDUSTRIAL DEVELOPMENT - 19.26%
$200,000 Clark County Nevada Industrial Development Revenue,
3.55% due 11/01/20.................................. $ 200,000
100,000 Cuyahoga County Ohio,
3.55% due 12/01/15.................................. 100,000
200,000 De Soto Parish - Louisiana Electric,
3.60% due 07/01/18.................................. 200,000
250,000 Duluth Minnesota Tax Increment Revenue,
3.45% due 09/01/10.................................. 250,000
100,000 Illinois Development BIMBA
Manufacturing Co.,
3.60% due 05/01/16.................................. 100,000
200,000 Louisiana State Offshore Terminal Authority, 3.40%
due 10/01/19........................................ 200,000
200,000 Philadelphia Pennsylvania Authority,
3.55% due 12/01/08.................................. 200,000
----------
1,250,000
----------
STUDENT LOANS - 20.02%
300,000 Indiana Secondary Market
Educational Loans,
3.55% due 12/01/14.................................. 300,000
250,000 Kentucky Higher Education Student Loan,
3.50% due 07/15/18.................................. 250,000
200,000 Missouri Higher Education Loan Authority Student
Loan,
3.55% due 12/01/05.................................. 200,000
200,000 North Texas Higher Education Authority,
3.55% due 04/01/20.................................. 200,000
100,000 Pennsylvania Higher Education,
3.55% due 12/01/25.................................. 100,000
250,000 Utah State Board Regents Student Loan,
3.55% due 11/01/25.................................. 250,000
----------
1,300,000
----------
TRANSPORTATION - 3.85%
250,000 Orlando Florida - Republic Interchange,
3.40% due 10/01/21.................................. 250,000
----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
UTILITIES - 16.94%
$100,000 Detroit, Michigan Sewer Disposal Revenue, 3.45% due
07/01/23............................................ $ 100,000
300,000 Grand Rapids, Michigan Water Supply, 3.35% due
01/01/20............................................ 300,000
200,000 Massachusetts State Water Reservoir Authority,
3.30% due 04/01/28.................................. 200,000
250,000 Municipal Electric Authority Georgia,
3.40% due 01/01/20.................................. 250,000
250,000 Piedmont Municipal Power Agency South Carolina
Electric,
3.50% due 12/01/15.................................. 250,000
----------
1,100,000
----------
TOTAL MUNICIPALITIES - SHORT TERM
(Cost $6,440,000)................................... 6,440,000
----------
TOTAL INVESTMENTS
(Cost $6,440,000) - 99.19%.......................... $6,440,000
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
104 October 31, 1999
MUNICIPAL MONEY MARKET FUND - CONTINUED
<TABLE>
<CAPTION>
<S> <C>
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $6,440,000)........................... $6,440,000
Receivables for:
Fund shares sold.................................................. 1,305
Dividends and interest............................................ 28,647
Other assets....................................................... 85,931
----------
TOTAL ASSETS 6,555,883
----------
LIABILITIES:
Payable for Fund shares redeemed................................... 1,848
Payable to affiliates:
Advisory fees..................................................... 27,357
Distribution fees for Class A & B................................. 2,976
Other............................................................. 31,380
Accrued expenses and other liabilities............................. 22
----------
TOTAL LIABILITIES.................................................. 63,583
----------
NET ASSETS......................................................... $6,492,300
----------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized, 6,492,300 shares
outstanding....................................................... $ 64,923
Additional paid in capital......................................... 6,427,377
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $6,492,300
----------
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($3,651,379 divided by 3,651,379 shares).................... $ 1.00
----------
Net asset value and offering price per Class B
share ($2,840,921 divided by 2,840,921 shares)*................... $ 1.00
----------
* Redemption price per share is equal to net asset value
less any applicable contingent deferred sales charge.
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
105
MUNICIPAL MONEY MARKET FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Tax-exempt interest................................................ $176,895
--------
Total investment income........................................... 176,895
--------
EXPENSES:
Advisory fees...................................................... 27,357
Transfer agent fees................................................ 14,865
Custodian fees..................................................... 7,553
Distribution fees:
Class A........................................................... 6,983
Class B........................................................... 26,326
Registration and filing fees....................................... 33,769
Audit fees and tax services........................................ 3,125
Accounting services................................................ 1,645
Trustees' fees and expenses........................................ 962
Report to shareholders............................................. 278
Miscellaneous...................................................... 1,989
--------
Total expenses.................................................... 124,852
Expense reimbursement (see Note 3)................................ (47,418)
--------
Net expenses...................................................... 77,434
--------
NET INVESTMENT INCOME.............................................. 99,461
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................... $ 99,461
--------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
<S> <C> <C>
-----------------------------------
OPERATIONS:
Net investment income..................... $ 99,461 $ -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A.................................. (61,916) -
Class B.................................. (37,545) -
------------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (99,461) -
------------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A.................................. 3,648,879 2,500
Class B.................................. 2,838,421 2,500
------------------------------------
Total increase in net assets resulting
from share transactions................... 6,487,300 5,000
------------------------------------
TOTAL INCREASE IN NET ASSETS.............. 6,487,300 5,000
NET ASSETS:
Beginning of year........................ 5,000 -
------------------------------------
End of period............................ $6,492,300 $5,000
------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING ------------------------------------------ ------------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
--------------------- ------------------ --------------------- ------------------
Shares Amount Shares Amount Shares Amount Shares Amount
--------------------- ------------------ --------------------- ------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold............. 3,984,748 $3,984,748 2,500 $ 2,500 2,853,653 $2,853,653 2,500 $ 2,500
Shares issued for
distributions
reinvested.............. 61,818 61,818 - - 37,545 37,545 - -
Shares repurchased...... (397,687) (397,687) - - (52,777) (52,777) - -
--------------------- ------------------ --------------------- ------------------
Increase in shares
outstanding............. 3,648,879 3,648,879 2,500 2,500 2,838,421 2,838,421 2,500 2,500
Shares outstanding:
Beginning of period..... 2,500 2,500 - - 2,500 2,500 - -
--------------------- ------------------ --------------------- ------------------
End of period........... 3,651,379 $3,651,379 2,500 $ 2,500 2,840,921 $2,840,921 2,500 $ 2,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
106 GROWTH LIFESTYLE FUNDOctober 31, 1999
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
INVESTMENT COMPANIES - AFFILIATED - 98.91%
BOND FUNDS - 9.67%
AGSPC 2 Domestic Bond Fund:
20,152 Class A........................................... $ 188,828
49,874 Class B........................................... 467,821
16,214 Class I........................................... 152,086
15,734 Class II.......................................... 147,589
----------
956,324
----------
INTERNATIONAL EQUITY FUNDS - 29.48%
AGSPC 2 International Growth Fund:
24,998 Class A........................................... 287,472
62,524 Class B........................................... 712,775
20,093 Class I........................................... 231,273
19,476 Class II.......................................... 224,557
AGSPC 2 International Value Fund:
19,973 Class A........................................... 288,013
50,006 Class B........................................... 713,587
16,070 Class I........................................... 231,732
15,576 Class II.......................................... 225,077
----------
2,914,486
----------
LARGE CAP EQUITY FUNDS - 25.06%
AGSPC 2 Large Cap Growth Fund:
18,882 Class A........................................... 256,799
47,218 Class B........................................... 636,030
15,186 Class I........................................... 206,678
14,730 Class II.......................................... 200,326
AGSPC 2 Large Cap Value Fund:
20,391 Class A........................................... 232,250
50,628 Class B........................................... 576,143
16,421 Class I........................................... 187,204
15,959 Class II.......................................... 181,774
----------
2,477,204
----------
MID CAP EQUITY FUNDS - 15.01%
AGSPC 2 Mid Cap Growth Fund:
13,457 Class A........................................... 138,606
33,417 Class B........................................... 341,185
10,719 Class I........................................... 110,621
10,379 Class II.......................................... 107,212
AGSPC 2 Mid Cap Value Fund:
12,967 Class A........................................... 155,212
32,477 Class B........................................... 384,856
10,509 Class I........................................... 125,583
10,127 Class II.......................................... 121,015
----------
1,484,290
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SMALL CAP EQUITY FUNDS - 19.69%
AGSPC 2 Small Cap Growth Fund:
13,758 Class A............................................. $ 195,086
34,405 Class B............................................. 483,041
11,056 Class I............................................. 156,879
10,693 Class II............................................ 152,161
AGSPC 2 Small Cap Value Fund:
20,422 Class A............................................. 189,316
50,715 Class B............................................. 469,620
16,430 Class I............................................. 152,306
15,943 Class II............................................ 147,791
----------
1,946,200
----------
TOTAL INVESTMENT COMPANIES -
AFFILIATED
(Cost $8,788,514)................................... 9,778,504
----------
TOTAL INVESTMENTS
(Cost $8,788,514) - 98.91%.......................... $9,778,504
----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $8,788,514)........................... $ 9,778,504
Receivables for:
Investments sold.................................................. 186,637
Fund shares sold.................................................. 115,501
Dividends and interest............................................ 4,014
Other assets....................................................... 3,449
-----------
TOTAL ASSETS....................................................... 10,088,105
-----------
LIABILITIES:
Payable for Investments purchased.................................. 193,265
Payable to affiliates-Advisory fees................................ 6,886
Accrued expenses and other liabilities............................. 1,577
-----------
TOTAL LIABILITIES.................................................. 201,728
-----------
NET ASSETS......................................................... $ 9,886,377
-----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized, 830,296 shares
outstanding...................................................... $ 8,303
Additional paid in capital........................................ 8,748,852
Undistributed net realized gain on securities..................... 131,422
Undistributed net investment income............................... 7,810
Unrealized appreciation of securities............................. 989,990
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................ $9,886,377
----------
- --------------------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($1,928,848 divided by 161,876 shares)..................... $ 11.92
----------
Offering price per Class A share
(100/94.25 of $11.92)*........................................... $ 12.65
----------
Net asset value and offering price per Class B
share ($4,914,875 divided by 412,900 shares)**................... $ 11.90
----------
Net asset value, offering price and redemption
price per Class I share ($1,546,520 divided by
129,872 shares).................................................. $ 11.91
----------
Net asset value, offering price and redemption
price per Class II share ($1,496,134 divided by
125,648 shares).................................................. $ 11.91
----------
* Offering price includes sales charge of 5.75%.
The sales charge is reduced for purchases
of $25,000 and over.
** Redemption price per share is equal to net asset value
less any applicable contingent deferred sales charge.
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
107
GROWTH LIFESTYLE FUND - CONTINUED
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends.......................................................... $ 50,734
----------
Total investment income........................................... 50,734
EXPENSES:
Advisory fees...................................................... 6,889
----------
NET INVESTMENT INCOME.............................................. 43,845
----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities.................................... 131,422
Net unrealized appreciation of securities during the period........ 989,990
----------
Net realized and unrealized gain on securities during the period.. 1,121,412
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................... $1,165,257
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income..................... $ 43,845 $ -
Net realized gain on securities........... 131,422 -
Net unrealized appreciation of securities
during the period......................... 989,990 -
-----------------------------------
Increase in net assets resulting from
operations............................... 1,165,257 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A.................................. (7,843) -
Class B.................................. (13,419) -
Class I.................................. (7,389) -
Class II................................. (7,384) -
-----------------------------------
Total distributions to shareholders from
net investment income................... (36,035) -
-----------------------------------
Net realized gain on securities
Class A.................................. - -
Class B.................................. - -
Class I.................................. - -
Class II................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (36,035) -
-----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A.................................. 1,667,344 1,250
Class B.................................. 4,523,841 1,250
Class I.................................. 1,304,837 1,250
Class II................................. 1,256,133 1,250
-----------------------------------
Total increase in net assets resulting
from share transactions................... 8,752,155 5,000
-----------------------------------
TOTAL INCREASE IN NET ASSETS.............. 9,881,377 5,000
NET ASSETS:
Beginning of year........................ 5,000 -
-----------------------------------
End of period (including undistributed
net investment income of $7,810 and $0).. $9,886,377 $5,000
</TABLE>
------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING ----------------------------------------- -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------- -------------------- ------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------- -------------------- ------------------- --------------------
Shares sold..... 161,537 $1,664,691 125 $ 1,250 413,726 $4,534,939 125 $ 1,250
Shares issued
for
distributions
reinvested...... 682 7,811 - - 1,164 13,408 - -
Shares
repurchased..... (468) (5,158) - - (2,115) (24,506) - -
------------------- -------------------- ------------------- --------------------
Increase in
shares
outstanding..... 161,751 1,667,344 125 1,250 412,775 4,523,841 125 1,250
Shares
outstanding:
Beginning of
period.......... 125 1,250 - - 125 1,250 - -
------------------- -------------------- ------------------- --------------------
End of period... 161,876 $1,668,594 125 $ 1,250 412,900 $4,525,091 125 $1,250
------------------- -------------------- ------------------- --------------------
<CAPTION>
CHANGE IN SHARES Class I Class II
OUTSTANDING ----------------------------------------- ---------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
-------------------- -------------------- ------------------ --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-------------------- -------------------- ------------------ --------------------
Shares sold..... 130,012 $1,308,193 125 $ 1,250 124,875 $1,248,750 125 $ 1,250
Shares issued
for
distributions
reinvested...... 648 7,389 - - 648 7,383 - -
Shares
repurchased..... (913) (10,745) - - - - - -
-------------------- -------------------- ------------------ --------------------
Increase in
shares
outstanding..... 129,747 1,304,837 125 1,250 125,523 1,256,133 125 1,250
Shares
outstanding:
Beginning of
period.......... 125 1,250 - - 125 1,250 - -
-------------------- -------------------- ------------------ --------------------
End of period... 129,872 $1,306,087 125 $ 1,250 125,648 $1,257,383 125 $ 1,250
-------------------- -------------------- ------------------ --------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
108 October 31, 1999
MODERATE GROWTH LIFESTYLE FUND
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
INVESTMENT COMPANIES - AFFILIATED - 100.44%
BOND FUNDS - 24.58%
AGSPC 2 Domestic Bond Fund:
50,284 Class A........................................... $ 471,161
145,249 Class B........................................... 1,362,433
40,346 Class I........................................... 378,448
37,964 Class II.......................................... 356,102
----------
2,568,144
----------
INTERNATIONAL EQUITY FUNDS - 15.00%
AGSPC 2 International Growth Fund:
11,636 Class A........................................... 133,810
34,064 Class B........................................... 388,326
9,329 Class I........................................... 107,378
8,764 Class II.......................................... 101,043
AGSPC 2 International Value Fund:
10,626 Class A........................................... 153,227
31,126 Class B........................................... 444,163
8,528 Class I........................................... 122,962
8,011 Class II.......................................... 115,757
----------
1,566,666
----------
LARGE CAP EQUITY FUNDS - 30.58%
AGSPC 2 Large Cap Growth Fund:
21,710 Class A........................................... 295,261
63,603 Class B........................................... 856,729
17,425 Class I........................................... 237,138
16,323 Class II.......................................... 221,991
AGSPC 2 Large Cap Value Fund:
25,410 Class A........................................... 289,417
73,944 Class B........................................... 841,487
20,441 Class I........................................... 233,026
19,282 Class II.......................................... 219,623
----------
3,194,672
----------
MID CAP EQUITY FUNDS - 15.27%
AGSPC 2 Mid Cap Growth Fund:
13,331 Class A........................................... 137,308
39,081 Class B........................................... 399,021
10,670 Class I........................................... 110,119
10,010 Class II.......................................... 103,402
AGSPC 2 Mid Cap Value Fund:
12,920 Class A........................................... 154,655
38,001 Class B........................................... 450,307
10,394 Class I........................................... 124,212
9,766 Class II.......................................... 116,704
----------
1,595,728
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SMALL CAP EQUITY FUNDS - 15.01%
AGSPC 2 Small Cap Growth Fund:
9,607 Class A................................................ $ 136,222
28,104 Class B................................................ 394,582
7,699 Class I................................................ 109,246
7,220 Class II............................................... 102,748
AGSPC 2 Small Cap Value Fund:
16,298 Class A................................................ 151,081
47,457 Class B................................................ 439,448
13,135 Class I................................................ 121,763
12,245 Class II............................................... 113,510
-----------
1,568,600
-----------
TOTAL INVESTMENT COMPANIES - AFFILIATED
(Cost $9,754,482)...................................... 10,493,810
-----------
TOTAL INVESTMENTS
(Cost $9,754,482) - 100.44%............................ $10,493,810
-----------
</TABLE>
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $9,754,482)........................... $10,493,810
Receivables for:
Investments sold.................................................. 166,284
Fund shares sold.................................................. 9,301
Dividends and interest............................................ 16,537
Other assets....................................................... 72,545
-----------
TOTAL ASSETS....................................................... 10,758,477
-----------
LIABILITIES:
Payable for:
Investments purchased............................................. 251,518
Fund shares redeemed.............................................. 52,000
Payable to affiliates-Advisory fees................................ 7,250
Accrued expenses and other liabilities............................. 191
-----------
TOTAL LIABILITIES.................................................. 310,959
-----------
NET ASSETS......................................................... $10,447,518
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
VALUE
<S> <C>
- -------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 915,908 shares
outstanding........................................................ $ 9,159
Additional paid in capital......................................... 9,600,244
Undistributed net realized gain on securities...................... 87,982
Undistributed net investment income................................ 10,805
Unrealized appreciation of securities.............................. 739,328
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $10,447,518
-----------
- -------------------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($1,917,606 divided by 168,283 shares)....................... $ 11.40
-----------
Offering price per Class A share
(100/94.25 of $11.40)*............................................. $ 12.10
-----------
Net asset value and offering price per Class B
share ($5,553,377 divided by 486,350 shares) **.................... $ 11.42
-----------
Net asset value, offering price and redemption
price per Class I share ($1,536,784 divided by
134,881 shares).................................................... $ 11.39
-----------
Net asset value, offering price and redemption
price per Class II share ($1,439,751 divided by
126,394 shares).................................................... $ 11.39
-----------
</TABLE>
* Offering price includes sales charge of 5.75%. The sales charge is reduced
for purchases of $25,000 and over.
** Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charge.
- -------------------------------------------------------------------------------
<PAGE>
MODERATE GROWTH LIFESTYLE FUND - CONTINUED 109
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends.............................................................. $105,871
--------
Total investment income............................................... 105,871
EXPENSES:
Advisory fees.......................................................... 7,247
--------
NET INVESTMENT INCOME.................................................. 98,624
--------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities........................................ 87,982
Net unrealized appreciation of securities during the period............ 739,328
--------
Net realized and unrealized gain on securities during the period...... 827,310
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....................... $925,934
--------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income..................... $ 98,624 $ -
Net realized gain on securities........... 87,982 -
Net unrealized appreciation of securities
during the period......................... 739,328 -
-----------------------------------
Increase in net assets resulting from
operations............................... 925,934 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A.................................. (18,579) -
Class B.................................. (35,672) -
Class I.................................. (18,006) -
Class II................................. (15,562) -
-----------------------------------
Total distributions to shareholders from
net investment income................... (87,819) -
-----------------------------------
Net realized gain on securities
Class A.................................. - -
Class B.................................. - -
Class I.................................. - -
Class II................................. - -
-----------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
-----------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (87,819) -
-----------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A.................................. 1,731,166 1,250
Class B.................................. 5,250,001 1,250
Class I.................................. 1,358,924 1,250
Class II................................. 1,264,312 1,250
-----------------------------------
Total increase in net assets resulting
from share transactions................... 9,604,403 5,000
-----------------------------------
TOTAL INCREASE IN NET ASSETS.............. 10,442,518 5,000
NET ASSETS:
Beginning of year........................ 5,000 -
-----------------------------------
End of period (including undistributed
net investment income of $10,805 and $0). $10,447,518 $5,000
-----------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHANGE IN SHARES Class A Class B
OUTSTANDING ----------------------------------------- -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------- -------------------- ------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
------------------- -------------------- ------------------- --------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold..... 167,065 $1,718,775 125 $ 1,250 490,629 $5,299,614 125 $ 1,250
Shares issued for
distributions
reinvested...... 1,665 18,578 - - 3,143 35,286 - -
Shares
repurchased..... (572) (6,187) - - (7,547) (84,899) - -
------------------- -------------------- ------------------- --------------------
Increase in shares
outstanding..... 168,158 1,731,166 125 1,250 486,225 5,250,001 125 1,250
Shares
outstanding:
Beginning of
period.......... 125 1,250 - - 125 1,250 - -
------------------- -------------------- ------------------- --------------------
End of period... 168,283 $1,732,416 125 $ 1,250 486,350 $5,251,251 125 $1,250
------------------- -------------------- ------------------- --------------------
</TABLE>
<TABLE>
<CAPTION>
CHANGE IN SHARES Class I Class II
OUTSTANDING ----------------------------------------- ---------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
-------------------- -------------------- ------------------ --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
-------------------- -------------------- ------------------ --------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold..... 133,299 $1,342,797 125 $ 1,250 124,875 $1,248,750 125 $ 1,250
Shares issued for
distributions
reinvested...... 1,620 18,006 - - 1,394 15,562 - -
Shares
repurchased..... (163) (1,879) - - - - - -
------------------- -------------------- ------------------- --------------------
Increase in shares
outstanding..... 134,756 1,358,924 125 1,250 126,269 1,264,312 125 1,250
Shares
outstanding:
Beginning of
period.......... 125 1,250 - - 125 1,250 - -
------------------- -------------------- ------------------- --------------------
End of period... 134,881 $1,360,174 125 $ 1,250 126,394 $1,265,562 125 $ 1,250
------------------- -------------------- ------------------- --------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
110 October 31, 1999
CONSERVATIVE GROWTH LIFESTYLE FUND
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
INVESTMENT COMPANIES - AFFILIATED - 99.96%
BOND FUNDS - 39.32%
AGSPC 2 Domestic Bond Fund:
75,360 Class A........................................... $ 706,119
245,485 Class B........................................... 2,302,644
63,464 Class I........................................... 595,288
59,391 Class II.......................................... 557,089
----------
4,161,140
----------
INTERNATIONAL EQUITY FUNDS - 9.96%
AGSPC 2 International Growth Fund:
7,796 Class A........................................... 89,652
25,444 Class B........................................... 290,064
6,481 Class I........................................... 74,594
6,128 Class II.......................................... 70,661
AGSPC 2 International Value Fund:
6,232 Class A........................................... 89,859
20,505 Class B........................................... 292,602
5,235 Class I........................................... 75,485
4,878 Class II.......................................... 70,492
----------
1,053,409
----------
LARGE CAP EQUITY FUNDS - 30.54%
AGSPC 2 Large Cap Growth Fund:
20,377 Class A........................................... 277,124
67,036 Class B........................................... 902,978
17,042 Class I........................................... 231,937
15,969 Class II.......................................... 217,177
AGSPC 2 Large Cap Value Fund:
23,820 Class A........................................... 271,309
77,805 Class B........................................... 885,421
20,342 Class I........................................... 231,904
18,771 Class II.......................................... 213,803
----------
3,231,653
----------
MID CAP EQUITY FUNDS - 10.15%
AGSPC 2 Mid Cap Growth Fund:
8,917 Class A........................................... 91,843
29,459 Class B........................................... 300,772
7,396 Class I........................................... 76,327
6,983 Class II.......................................... 72,136
AGSPC 2 Mid Cap Value Fund:
7,570 Class A........................................... 90,608
24,953 Class B........................................... 295,692
6,355 Class I........................................... 75,945
5,923 Class II.......................................... 70,775
----------
1,074,098
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SMALL CAP EQUITY FUNDS - 9.99%
AGSPC 2 Small Cap Growth Fund:
6,407 Class A................................................ $ 90,846
21,202 Class B................................................ 297,682
5,378 Class I................................................ 76,318
5,043 Class II............................................... 71,759
AGSPC 2 Small Cap Value Fund:
9,543 Class A................................................ 88,464
31,074 Class B................................................ 287,746
8,043 Class I................................................ 74,556
7,525 Class II............................................... 69,758
-----------
1,057,129
-----------
TOTAL INVESTMENT COMPANIES - AFFILIATED
(Cost $10,110,677)..................................... 10,577,429
-----------
TOTAL INVESTMENTS
(Cost $10,110,677) - 99.96%............................ $10,577,429
-----------
</TABLE>
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $10,110,677).......................... $10,577,429
Receivables for:
Investments sold.................................................. 197,254
Fund shares sold.................................................. 32,543
Dividends and interest............................................ 22,062
-----------
TOTAL ASSETS....................................................... 10,829,288
-----------
LIABILITIES:
Payable for:
Investments purchased............................................. 208,134
Fund shares redeemed.............................................. 23,658
Payable to affiliates-Advisory fees................................ 7,049
Accrued expenses and other liabilities............................. 8,432
-----------
TOTAL LIABILITIES.................................................. 247,273
-----------
NET ASSETS......................................................... $10,582,015
-----------
</TABLE>
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized, 958,047 shares
outstanding.................................................... $ 9,581
Additional paid in capital..................................... 9,994,196
Undistributed net realized gain on securities.................. 99,813
Undistributed net investment income............................ 11,673
Unrealized appreciation of securities.......................... 466,752
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.......................................... $10,582,015
-----------
- -------------------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE
AND OFFERING PRICE:
Net asset value and redemption price per Class A
share ($1,789,719 divided by 162,238 shares)................... $ 11.03
-----------
Offering price per Class A share
(100/94.25 of $11.03)*......................................... $ 11.70
-----------
Net asset value and offering price per Class B
share ($5,880,491 divided by 531,725 shares)**................. $ 11.06
-----------
Net asset value, offering price and redemption
price per Class I share ($1,507,602 divided by
136,733 shares)................................................ $ 11.03
-----------
Net asset value, offering price and redemption
price per Class II share ($1,404,203 divided by 127,351
shares)........................................................ $ 11.03
-----------
* Offering price includes sales charge of 5.75%.
The sales charge is reduced for purchases
of $25,000 and over.
** Redemption price per share is equal to net asset value
less any applicable contingent deferred sales charge.
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
CONSERVATIVE GROWTH LIFESTYLE FUND - CONTINUED 111
STATEMENT OF OPERATIONS
For the Fiscal Year Ended October 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends.............................................................. $151,738
--------
Total investment income............................................... 151,738
EXPENSES:
Advisory fees.......................................................... 7,049
--------
NET INVESTMENT INCOME.................................................. 144,689
--------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities........................................ 99,813
Net unrealized appreciation of securities during the period............ 466,752
--------
Net realized and unrealized gain on securities during the period...... 566,565
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....................... $711,254
--------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<S> <C> <C>
<CAPTION>
For the For the Period
Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income..................... $ 144,689 $ -
Net realized gain on securities........... 99,813 -
Net unrealized appreciation of securities
during the period......................... 466,752 -
---------------------------------
Increase in net assets resulting from
operations............................... 711,254 -
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A.................................. (28,694) -
Class B.................................. (52,880) -
Class I.................................. (25,850) -
Class II................................. (25,592) -
---------------------------------
Total distributions to shareholders from
net investment income................... (133,016) -
---------------------------------
Net realized gain on securities
Class A.................................. - -
Class B.................................. - -
Class I.................................. - -
Class II................................. - -
---------------------------------
Total distributions to shareholders
from net realized gain on securities.... - -
---------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (133,016) -
---------------------------------
SHARE TRANSACTIONS:
Net increase in net assets resulting from
share transactions
Class A.................................. 1,651,288 1,250
Class B.................................. 5,695,871 1,250
Class I.................................. 1,377,276 1,250
Class II................................. 1,274,342 1,250
---------------------------------
Total increase in net assets resulting
from share transactions................... 9,998,777 5,000
---------------------------------
TOTAL INCREASE IN NET ASSETS.............. 10,577,015 5,000
NET ASSETS:
Beginning of year........................ 5,000 -
---------------------------------
End of period (including undistributed
net investment income of $11,673 and
$0)...................................... $10,582,015 $5,000
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
CHANGE IN SHARES OUTSTANDING Class A Class B
----------------------------------------- -----------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------ -------------------- ------------------- --------------------
Shares Amount Shares Amount Shares Amount Shares Amount
------------------ -------------------- -------------------- --------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold...................... 161,245 $1,641,759 125 $ 1,250 532,302 $5,703,840 125 $ 1,250
Shares issued for
distributions reinvested........ 2,626 28,624 - - 4,759 52,029 - -
Shares repurchased............... (1,758) (19,095) - - (5,461) (59,998) - -
-------------------- ---------------- -------------------- ------------------
Increase in shares outstanding.. 162,113 1,651,288 125 1,250 531,600 5,695,871 125 1,250
Shares outstanding:
Beginning of period............. 125 1,250 - - 125 1,250 - -
-------------------- ---------------- -------------------- ------------------
End of period................... 162,238 $1,652,538 125 $ 1,250 531,725 $5,697,121 125 $ 1,250
==================== ================ ==================== ==================
CHANGE IN SHARES OUTSTANDING Class I Class II
--------------------------------------- ------------------------------------
For the For the Period For the For the Period
Year Ended October 7, 1998 to Year Ended October 7, 1998 to
October 31, 1999 October 31, 1998 October 31, 1999 October 31, 1998
------------------- ------------------ ---------------- ------------------
Shares Amount Shares Amount Shares Amount Shares Amount
------------------- ------------------ ---------------- ------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold...................... 134,800 $1,357,610 125 $ 1,250 124,375 $1,248,750 125 $ 1,250
Shares issued for
distributions reinvested........ 2,374 25,851 - - 2,851 25,592 - -
Shares repurchased............... (566) (6,185) - - - - - -
-------------------- ---------------- -------------------- ------------------
Increase in shares outstanding.. 136,608 1,377,276 125 1,250 127,226 1,274,342 125 1,250
Shares outstanding:
Beginning of period............. 125 1,250 - - 125 1,250 - -
-------------------- ---------------- -------------------- ------------------
End of period................... 136,733 $1,378,526 125 $ 1,250 127,351 $1,275,592 125 $ 1,250
==================== ================ ==================== ==================
SEE NOTES TO FINANCIAL STATEMENTS.
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
112
NOTES TO FINANCIAL STATEMENTS
Note 1 -- Organization
American General Series Portfolio Company 2 (the "Series" or "AGSPC 2") was
organized as a Delaware business trust on March 16, 1998 by The Variable
Annuity Life Insurance Company hereafter referred to as ("VALIC" or the
"Adviser") and is registered under the Investment Company Act of 1940, as
amended, (the "1940 Act") as an open-end, management investment company. On
October 7, 1998 VALIC contributed $100,000 to the Series as its initial
funding. On November 2, 1998 VALIC contributed an additional $99,900,000 and
the Series commenced operations. The Series consists of the following 23
separate investment portfolios or "funds", each of which is, in effect, a
separate mutual fund issuing its own separate classes of shares of beneficial
interest.
Stock Index Fund Balanced Fund
Mid Cap Index Fund High Yield Bond Fund
Small Cap Index Fund Strategic Bond Fund
International Growth Fund Domestic Bond Fund
Large Cap Growth Fund Core Bond Fund
Mid Cap Growth Fund Municipal Bond Fund
Small Cap Growth Fund Money Market Fund
International Value Fund Municipal Money Market Fund
Large Cap Value Fund Growth Lifestyle Fund*
Mid Cap Value Fund Moderate Growth Lifestyle Fund*
Small Cap Value Fund Conservative Growth Lifestyle Fund*
Socially Responsible Fund
* The Lifestyle Funds represent "Funds of Funds" which invest in up to nine
underlying AGSPC 2 funds.
The Stock Index Fund, Mid Cap Index Fund, Small Cap Index Fund, Municipal Bond
Fund, and Municipal Money Market Fund offer only Class A and Class B shares of
beneficial interest. The remaining 18 AGSPC 2 funds offer Class A, Class B,
Class I, and Class II shares. Class A shares are sold with a front-end sales
charge and Class B shares are subject to a contingent deferred sales charge.
Class B Shares automatically convert to Class A shares six years after
purchase.
Note 2 -- Significant Accounting Policies
The financial statements have been prepared in accordance with generally
accepted accounting principles ("GAAP"). GAAP requires accruals which
occasionally are based upon management estimates. The following is a summary of
significant accounting policies consistently followed by each Fund in the
preparation of its financial statements.
A. Investment Valuation
Securities listed or traded on a national exchange are valued daily at their
last reported sale price. In the absence of any exchange sales on that day and
for unlisted issues, securities are valued at the last sale price on the NASDAQ
National Market System. In the absence of any National Market System sales on
that day, securities are valued at the last reported bid price. However,
options written for which other over-the-counter market quotations are readily
available are valued at the last reported asked price, in the absence of any
National Market System sales on that day. Futures contracts, options thereon,
and options on stock indexes are valued at the amount which would be received
upon a current disposition of such investments (i.e., their fair market value),
in the absence of any sales on that day. Short term debt securities for which
market quotations are readily available are valued at the last reported bid
price. However, any short term security with a remaining maturity of 60 days or
less and all investments of the Money Market Fund and the Municipal Money
Market Fund are valued by the amortized cost method which approximates fair
market value. Investments for which market quotations are not readily available
are valued at fair value as determined in good faith by, or under authority
delegated by, the Series' Board of Trustees. Lifestyle fund securities are
valued at the net asset value (market value) of the underlying AGSPC 2 fund.
B. Options, Futures, and Forward Currency Contracts
Call and Put Options. When a Fund writes a call or a put option, an amount
equal to the premium received is recorded as a liability. The liability is
"marked to market" daily to reflect the current market value of the option
written. When a written option expires, the Fund realizes a gain in the amount
of the premium originally received. If the Fund enters into a closing purchase
transaction, the Fund realizes a gain or loss in the amount of the original
premium less the cost of the closing transaction. If a written call option is
exercised, the Fund realizes a gain or loss from the sale of the underlying
security, and the proceeds from such sale are increased by the premium
originally received. If a written put option is exercised, the amount of the
premium originally received reduces the cost of the security which the Fund
purchases upon exercise of the option.
Purchased options are recorded as investments. If a purchased option expires,
the Fund realizes a loss in the amount of the cost of the option. If the Fund
enters into a closing transaction, it realizes a gain (or loss), to the extent
that the proceeds from the sale are greater (or less) than the cost of the
option. If the Fund exercises a put option, it realizes a gain or loss from the
sale of the underlying security by adjusting the proceeds from such sale by the
amount of the premium originally paid. If the Fund exercises a call option, the
cost of the security purchased upon exercise is increased by the premium
originally paid.
Futures Contracts. The initial margin deposit made upon entering into a
futures contract is held by the custodian bank, in a segregated account, in the
name of the broker (the Fund's agent in acquiring the futures position). During
the period the futures contract is open, changes in the value of the contract
are recognized as unrealized gains or losses by "marking to market" on a daily
basis to reflect the market value of the contract at the end of each day's
trading. Variation margin payments are received or made daily, as unrealized
gains or losses are incurred. When the contract is closed, the Fund realizes a
gain or loss in the amount of the cost of or proceeds from the closing
transaction less the Fund's basis in the contract.
Forward Currency Contracts. Certain Funds may engage in forward currency
contracts, which are agreements between two parties to buy and sell currencies
at a set price on a future date. The U.S. dollar value of forward currency
contracts is determined using current forward currency exchange rates supplied
by a quotation service. The market value of the contract will fluctuate with
changes in currency exchange rates. During the period the forward currency
contract is open, the contract is "marked to market" daily and the change in
market value is recorded as an unrealized gain or loss. When the contract is
closed, the fund records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed. The fund could be exposed to risk if the value of the
currency changes unfavorably, if the counterparties to the contracts are unable
to meet the terms of their contracts, or if the fund is unable to enter into a
closing position.
C. Repurchase Agreements
A fund may acquire securities subject to repurchase agreements. Under a
typical repurchase agreement, a fund would acquire a debt security for a
relatively short period (usually for one day and not more than one week)
subject to an obligation of the seller to repurchase and of the fund to resell
the debt security at an agreed-upon higher price, thereby establishing a fixed
investment return during the fund's holding period. Under each repurchase
agreement, the fund receives, as collateral, securities whose market value is
at least equal to the repurchase price.
D. Foreign Currency Translation
The accounting records of each Fund are maintained in U.S. dollars. Investment
securities and other assets and liabilities denominated in foreign currencies
("local currencies") are translated into U.S. dollars at prevailing exchange
rates at period end. Purchases and sales of securities, income receipts and
expense payments are translated into U.S. dollars at the prevailing exchange
rate on the respective dates of the transactions.
Net realized gains or losses on foreign currency transactions include exchange
rate gains and losses from disposition of foreign currencies, currency gains
and losses realized between trade and settlement dates of security
transactions, and currency gains and losses realized on settlement of other
assets and liabilities settled in local currencies.
- --------------------------------------------------------------------------------
<PAGE>
113
NOTES TO FINANCIAL STATEMENTS CONTINUED
In determining realized and unrealized gains or losses on foreign securities
for the period, the Funds do not isolate exchange rate fluctuations from local
security price fluctuations. Foreign currencies and other assets and
liabilities denominated in local currencies are marked-to-market daily to
reflect fluctuations in foreign exchange rates.
E. Federal Income Taxes
Each Fund intends to qualify as a "regulated investment company" under
Subchapter M of the Internal Revenue Code and to distribute all of its taxable
net investment income and taxable net realized capital gains, in excess of any
available capital loss carryovers. Therefore, no Federal income tax provision
is required.
F. Investment Transactions and Related Investment Income
Investment transactions are accounted for on the trade date. Realized gains
and losses on securities sold are determined on the basis of identified cost.
Dividend income and capital gain distributions received are recorded on the ex-
dividend date. Dividend income on certain foreign securities is recorded when
the Fund becomes aware of the dividend. Interest income on investments is
accrued daily.
G. Distributions to Shareholders
Distributions to shareholders are recorded on the record date. The Funds
declare distributions from net investment income quarterly, except for the
Money Market Fund and Municipal Money Market Fund which declare daily. The High
Yield Bond Fund, Strategic Bond Fund, the Domestic Bond Fund, the Core Bond
Fund, and the Municipal Bond Fund declare dividends daily and distribute such
dividends monthly. The International Growth Fund and International Value Fund
pay dividends semi-annually. Capital gains distributions are declared annually.
Investment income and capital gains and losses are recognized in accordance
with generally accepted accounting principles ("book"). Distributions from net
investment income and realized capital gains are based on earnings as
determined in accordance with federal tax regulations ("tax") which may differ
from book basis earnings. At the end of the year, offsetting adjustments to
undistributed net investment income and undistributed net realized gains
(losses) are made to eliminate permanent book/tax differences arising in the
current year.
Note 3 -- Advisory Fees and Other Transactions with Affiliates
VALIC (the "Adviser") serves as investment adviser to the Series. VALIC is an
indirect wholly-owned subsidiary of American General Corporation, Houston,
Texas. On October 7, 1998, the Adviser entered into sub-advisory agreements
with the following:
American General Investment Management, L.P. -- sub-adviser for the High
Yield Bond Fund, the Strategic Bond Fund, the Core Bond Fund, the Municipal
Bond Fund, and the Muncipal Money Market Fund.
Bankers Trust Company -- prior to September 1, 1999, was sub-adviser for
the Stock Index Fund, the Mid Cap Index Fund, the Small Cap Index Fund, and
was one of two sub-advisers for the Small Cap Value Fund. Effective
September 1, 1999, the Adviser and others assumed management for all or a
portion of each Fund previously managed by Bankers Trust Company.
Brown Capital Management, Inc. -- sub-adviser for the Mid Cap Growth Fund.
Capital Guardian Trust Company -- sub-adviser for the International Value
Fund, the Balanced Fund, and the Domestic Bond Fund.
Fiduciary Management Associates, Inc. -- sub-adviser for the actively
managed portion of the Small Cap Value Fund.
Goldman Sachs Asset Management -- sub-adviser for the Large Cap Growth
Fund.
J.P. Morgan Investment Management Inc. -- sub-adviser for the Small Cap
Growth Fund.
Jacobs Asset Management -- sub-adviser for the International Growth Fund.
Neuberger Berman Management, Inc. -- sub-adviser for the Mid Cap Value
Fund.
State Street Global Advisors -- sub-adviser for the Large Cap Value Fund.
Sub-advisers are compensated for such services by the Adviser.
The Adviser receives from the Series a monthly fee based on each Fund's average
daily net asset value at the following annual rates:
<TABLE>
<C> <S>
Stock Index Fund 0.27% on the first $500 million
0.26% on assets over $500 million
--------------------------------------------------------------------
Mid Cap Index Fund 0.28% on the first $500 million
0.27% on assets over $500 million
--------------------------------------------------------------------
Small Cap Index Fund 0.28% on the first $500 million
0.27% on assets over $500 million
--------------------------------------------------------------------
International Growth Fund 0.90% on the first $100 million
0.80% on assets more than $100 million
--------------------------------------------------------------------
Large Cap Growth Fund 0.55%
--------------------------------------------------------------------
Mid Cap Growth Fund 0.65% on the first $25 million
0.55% on the next $25 million
0.45% on assets more than $50 million
--------------------------------------------------------------------
Small Cap Growth Fund 0.85%
--------------------------------------------------------------------
International Value Fund 1.00% on the first $25 million
0.85% on the next $25 million
0.675% on the next $200 million
0.625% on assets more than $250 million
--------------------------------------------------------------------
Large Cap Value Fund 0.50%
--------------------------------------------------------------------
Mid Cap Value Fund 0.75% on the first $100 million
0.725% on the next $150 million
0.70% on the next $250 million
0.675% on the next $250 million
0.65% on assets more than $750 million
--------------------------------------------------------------------
Small Cap Value Fund 0.75% on the first $50 million
0.65% on assets more than $50 million
--------------------------------------------------------------------
Socially Responsible Fund 0.25%
--------------------------------------------------------------------
Balanced Fund 0.80% on the first $25 million
0.65% on the next $25 million
0.45% on assets more than $50 million
--------------------------------------------------------------------
High Yield Bond Fund 0.70% on the first $200 million
0.60% on the next $300 million
0.55% on assets more than $500 million
--------------------------------------------------------------------
Strategic Bond Fund 0.60% on the first $200 million
0.50% on the next $300 million
0.45% on assets more than $500 million
--------------------------------------------------------------------
Domestic Bond Fund 0.60% on the first $50 million
0.45% on the next $50 million
0.43% on the next $200 million
0.40% on assets more than $300 million
--------------------------------------------------------------------
Core Bond Fund, 0.50% on the first $200 million
Municipal Bond Fund and, 0.45% on the next $300 million
Municipal Money Market Fund 0.40% on assets over $500 million
--------------------------------------------------------------------
Money Market Fund 0.25%
--------------------------------------------------------------------
Growth Lifestyle Fund, 0.10%
Moderate Growth Lifestyle
Fund and,
Conservative Growth
Lifestyle Fund
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
114 NOTES TO FINANCIAL STATEMENTS CONTINUED
The Adviser has voluntarily agreed to waive a portion of its management fee
or to reimburse certain expenses of each Fund, other than the Lifestyle Funds.
The Adviser may withdraw this voluntary undertaking at any time. The table
below reflects total annual operating expenses by Fund, as voluntarily limited
by the Adviser, shown as a percentage of average net assets for the year ended
October 31, 1999:
<TABLE>
<CAPTION>
Class A Class B Class I Class II
---------------------------------------------------
<S> <C> <C> <C> <C>
Stock Index Fund 0.82% 1.57% N/A N/A
Mid Cap Index
Fund 0.83% 1.58% N/A N/A
Small Cap Index
Fund 0.83% 1.58% N/A N/A
International
Growth Fund 1.40% 2.15% 1.28% 1.03%
Large Cap Growth
Fund 1.10% 1.85% 0.98% 0.73%
Mid Cap Growth
Fund 1.04% 1.79% 0.92% 0.67%
Small Cap Growth
Fund 1.40% 2.15% 1.28% 1.03%
International
Value Fund 1.29% 2.04% 1.17% 0.92%
Large Cap Value
Fund 1.05% 1.80% 0.93% 0.68%
Mid Cap Value
Fund 1.29% 2.04% 1.17% 0.92%
Small Cap Value
Fund 1.23% 1.98% 1.11% 0.86%
Socially
Responsible Fund 0.80% 1.55% 0.68% 0.43%
Balanced Fund 1.07% 1.82% 0.95% 0.70%
High Yield Bond
Fund 1.25% 2.00% 1.13% 0.88%
Strategic Bond
Fund 1.15% 1.90% 1.03% 0.78%
Domestic Bond
Fund 1.03% 1.78% 0.91% 0.66%
Core Bond Fund 1.05% 1.80% 0.93% 0.68%
Municipal Bond
Fund 1.05% 1.80% N/A N/A
Money Market
Fund 0.80% 1.55% 0.68% 0.43%
Municipal Money
Market Fund 1.05% 1.80% N/A N/A
</TABLE>
On October 7, 1998, the Series entered into an Accounting Services Agreement
with VALIC which appointed VALIC as Accounting Services Agent. Under the
agreement VALIC will provide certain accounting and administrative services to
the Series. VALIC receives from each Fund, other than the Lifestyle Funds, an
annual fee of 0.03% based on average daily net asset value of the Fund.
Effective May 1, 1999, American General Distributors, Inc., ("AGD"), replaced
VALIC Investment Services Company ("VISCO"), as the Distributor for the
series. AGD and VISCO are wholly-owned subsidiaries of American General
Corporation. AGD received $19,414 in net commissions from May 1, 1999 to
October 31, 1999. VISCO received $4,746 in net commissions for the six months
ended April 30, 1999.
The Series has adopted a Distribution and Service Plan ("Plan") pursuant to
Rule 12b-1 of the Investment Company Act of 1940. The Plan provides for
payment of a distribution and service fee to the Distributor at an annual rate
of 0.25% and 1.00% of average net assets on Class A and Class B shares,
respectively, other than the Lifestyle Funds. Under the Plan, the Distributor
receives a fee for providing investor services and activities related to the
distribution of shares of the Series. For the period ended October 31, 1999,
the Distributor received fees under the Plan of $90,165 and $490,331 for Class
A and Class B, respectively.
The Series has entered into an Administrative Service Agreement ("Service
Agreement") with VALIC Retirement Services Company ("VRSCO") and VISCO for the
provision of recordkeeping and shareholder services to retirement and employee
benefit plans purchasing Class I shares. Under the terms of the Service
Agreement, the Series pays either VRSCO or VISCO, a fee on Class I shares
equal to 0.25% of average net assets of each fund's Class I shares, other than
the Lifestyle Funds. For the period ended October 31, 1999, the Series paid
VRSCO $53,988 pursuant to the Service Agreement.
At October 31, 1999, the Series owed to the Adviser $4,333,078 representing
fees payable from Advisory, Accounting Services, and Administrative Services,
net of expense reimbursements.
At October 31, 1999 the American General Retirement Plan, a Defined Benefit
Pension Plan sponsored by American General Corporation, owned directly or
indirectly, over 5 percent of the outstanding shares of the AGSPC2 Money
Market Fund, High Yield Bond Fund, and Core Bond Fund.
At October 31, 1999 VALIC, as sponsor of the Series, owned over 5% of the
outstanding shares of each Fund, except High Yield Bond Fund and Core Bond
Fund.
Note 4 -- Investment Activity
The information in the following table is presented on the basis of cost for
Federal income tax purposes at October 31, 1999.
<TABLE>
<CAPTION>
Gross Gross
Identified Unrealized Unrealized Net
Cost Appreciation Depreciation Unrealized
--------------------------------------------------
<S> <C> <C> <C> <C>
Stock Index Fund........... $19,223,080 $2,243,096 $ 770,055 $ 1,473,041
Mid Cap Index.............. 7,496,069 973,907 757,978 215,929
Small Cap Index............ 6,395,724 828,273 971,820 (143,547)
International Growth Fund.. 7,027,081 934,746 354,686 580,060
Large Cap Growth Fund...... 13,970,775 2,743,629 579,690 2,163,939
Mid Cap Growth Fund........ 15,134,446 1,102,258 2,271,363 (1,169,105)
Small Cap Growth Fund...... 11,164,342 2,659,396 563,212 2,096,184
International Value Fund... 7,578,405 2,253,291 195,438 2,057,853
Large Cap Value Fund....... 9,763,523 953,584 500,651 452,933
Mid Cap Value Fund......... 9,643,931 445,524 803,328 (357,804)
Small Cap Value Fund....... 6,413,737 337,301 611,000 (273,699)
Socially Responsible Fund.. 7,495,915 1,225,385 461,739 763,646
Balanced Fund.............. 10,848,074 997,768 598,505 399,263
High Yield Bond Fund....... 65,730,405 617,226 3,662,513 (3,045,287)
Strategic Bond Fund........ 6,094,741 40,646 159,651 (119,005)
Domestic Bond Fund......... 13,720,327 580 319,892 (319,312)
Core Bond Fund............. 348,270,386 507,678 9,514,878 (9,007,200)
Municipal Bond Fund........ 7,891,429 1,053 628,409 (627,356)
Money Market Fund.......... 21,257,197 - - -
Municipal Money Market
Fund....................... 6,440,000 - - -
Growth Lifestyle Fund...... 8,788,514 1,092,783 102,793 989,990
Moderate Lifestyle Fund.... 9,754,482 898,996 159,668 739,328
Conservative Lifestyle
Fund....................... 10,112,585 667,293 202,449 464,844
</TABLE>
The following net realized capital loss carryforwards at October 31, 1999,
may be utilized to offset future capital gains.
<TABLE>
<CAPTION>
Capital Loss Carryforward Expiration through
------------------------- ------------------
<S> <C> <C>
Small Cap Value Fund............... $ 149,815 October 31, 2007
High Yield Bond Fund............... 710,603 October 31, 2007
Strategic Bond Fund................ 128,913 October 31, 2007
Domestic Bond Fund................. 170,201 October 31, 2007
Core Bond Fund..................... 7,080,619 October 31, 2007
Municipal Bond Fund................ 20,931 October 31, 2007
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
115
NOTES TO FINANCIAL STATEMENTS CONTINUED
During the fiscal year ended October 31, 1999, the cost of purchases and
proceeds from sales of securities, excluding short term securities were:
<TABLE>
<CAPTION>
Proceeds from
Cost of Securities
Securities Sold or
Fund Purchased Matured
- -------------------------------------------------------------------------------
<S> <C> <C>
Stock Index Fund................................. $ 17,585,362 $ 1,425,861
Mid Cap Index Fund............................... 7,427,564 2,404,335
Small Cap Index Fund............................. 7,493,656 2,604,569
International Growth Fund........................ 11,307,334 5,068,817
Large Cap Growth Fund............................ 19,354,164 5,952,199
Mid Cap Growth Fund.............................. 16,173,657 2,093,651
Small Cap Growth Fund............................ 18,009,008 9,276,851
International Value Fund......................... 8,393,769 2,103,980
Large Cap Value Fund............................. 14,045,390 4,735,399
Mid Cap Value Fund............................... 19,874,306 12,051,919
Small Cap Value Fund............................. 10,252,530 4,409,009
Socially Responsible Fund........................ 8,663,059 1,509,678
Balanced Fund.................................... 14,383,601 4,533,426
High Yield Bond Fund............................. 103,887,350 43,104,956
Strategic Bond Fund.............................. 14,233,260 9,107,888
Domestic Bond Fund............................... 19,734,161 7,234,482
Core Bond Fund................................... 1,855,341,759 1,528,298,790
Municipal Bond Fund.............................. 7,962,782 471,879
Growth Lifestyle Fund............................ 9,283,412 626,320
Moderate Growth Lifestyle Fund................... 10,487,927 821,427
Conservative Growth Lifestyle Fund............... 10,735,641 724,776
</TABLE>
Note 5 -- Investment Holdings by Country
The following represent investment holdings by country held by the
International Growth Fund and International Value Fund, as of October 31,
1999:
<TABLE>
<CAPTION>
International Growth Fund International Value Fund
----------------------------- -----------------------------
Percent of Market Percent of Market
Country Net Assets Value Net Assets Value
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Australia............ 1.99% $ 148,343 3.65% $ 348,291
Austria.............. 2.53 187,872 - -
Bermuda.............. 0.56 41,850 - -
Brazil............... 4.44 330,438 0.13 12,500
Canada............... - - 3.64 346,829
China................ 1.66 123,250 - -
Finland.............. 3.55 263,854 3.82 364,041
France............... 12.50 928,939 5.76 549,329
Germany.............. 2.55 189,478 7.73 737,226
Hong Kong............ 7.81 581,151 1.80 171,664
Ireland.............. - - 0.69 65,819
Israel............... 2.26 167,788 - -
Italy................ 2.00 148,956 3.28 312,644
Japan................ 13.77 1,024,185 27.31 2,605,068
</TABLE>
Note 5 -- Investment Holdings by Country - Continued
<TABLE>
<CAPTION>
International
International Growth Fund Value Fund
---------------------------- ---------------------
Percent of Market Percent of Market
Country Net Assets Value Net Assets Value
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Korea.................... 4.14% $ 308,191 0.74% $ 70,991
Mexico................... 3.65 271,470 2.49 237,502
Netherlands.............. 10.13 753,215 5.38 513,539
Norway................... - - 0.36 33,935
Singapore................ 1.98 147,370 1.33 126,930
South Africa............. - - 0.43 40,594
Spain.................... 3.35 248,963 0.88 83,900
Supra National........... - - 1.51 144,437
Sweden................... 5.75 427,477 0.86 81,731
Switzerland.............. 0.53 39,241 4.70 448,065
Taiwan................... - - 2.58 246,019
United Kingdom........... 7.68 571,485 12.48 1,189,862
United States............ 9.46 703,625 9.49 905,342
---------------------------------------------------
Total value of
investments.............. 102.29 7,607,141 101.04 9,636,258
Other assets less
liabilities.............. (2.29) (170,663) (1.04) (98,510)
---------------------------------------------------
Net assets............... 100.00% $ 7,436,478 100.00% $9,537,748
---------------------------------------------------
</TABLE>
Note 6 -- Year 2000 (Unaudited)
VALIC serves as investment adviser to the Series. VALIC initiated its Year
2000 readiness plan in 1995. Since that time, VALIC management along with a
team of skilled information technology and business professionals have been
dedicated to achieving the objectives of the plan. This plan calls for the
renovation, upgrade and/or replacement of our mission critical computer
systems, whether developed internally or otherwise. It includes the five steps
that VALIC believes are essential to Year 2000 readiness: inventory and
discovery; analysis; construction; testing; and implementation. As of
October 31, 1999, VALIC has substantially completed all steps with respect to
the Series critical systems.
VALIC's plan also includes an evaluation of the status of the Series key
third party relationships and their efforts in addressing Year 2000 issues.
Throughout 1999 VALIC will continue to work with critical third party
dependencies and to develop contingency plans for any identified risks or
shortcomings. If significant third parties fail to achieve Year 2000 readiness
on a timely basis, then the Year 2000 issue could have a material adverse
impact on the operations of VALIC and the Series. However, the third party
contingency plans VALIC has developed are meant to identify those risks and
provide alternative actions should a third party not achieve readiness. While
VALIC believes no one can predict with certainty outcomes as to all the issues
that may arise, VALIC is confident that its comprehensive plan and resource
commitment will allow it to meet its Year 2000 objectives.
Through October 31, 1999, VALIC has incurred and expensed $31 million
(pretax) related to Year 2000 readiness,including $4.4 million incurred during
1999. VALIC currently anticipates that it will incur future costs of $0.8
million for additional internal staff, third party vendors, and other expenses
to maintain readiness and complete third party contingency plans.
- -------------------------------------------------------------------------------
<PAGE>
116 FINANCIAL HIGHLIGHTS
Per share data is for a share of beneficial interest outstanding throughout the
period. Total return includes reinvestment of distributions on the reinvestment
date.
CLASS A SHARES
<TABLE>
<CAPTION>
For the Fiscal
Year Ended Stock Mid Cap Small Cap International Large Cap Mid Cap Small Cap International Large Cap
October 31, 1999 Index Fund Index Fund Index Fund Growth Fund Growth Fund Growth Fund Growth Fund Value Fund Value Fund
- ---------------- ---------- ---------- ---------- ------------- ----------- ----------- ----------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value
at beginning of
year............ $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 $10.00
Income (loss)
from investment
operations:
Net investment
income (loss).. 0.11 0.10 0.10 0.10 (0.01) (0.03) (0.07) 0.04 0.09
Net realized
and unrealized
gain (loss) on
securities..... 2.32 1.80 1.03 1.40 3.61 0.33 4.24 4.38 1.39
Total income
(loss) from
investment
operations..... 2.43 1.90 1.13 1.50 3.60 0.30 4.17 4.42 1.48
Distributions:
Distributions
from net
investment
income......... (0.11) (0.10) (0.10) - - - - - (0.09)
Distributions
from net
realized gain
on securities.. - - - - - - - - -
Total
distributions.. (0.11) (0.10) (0.10) - - - - - (0.09)
Net asset value
at end of
period.......... $12.32 $11.80 $11.03 $11.50 $13.60 $10.30 $14.17 $14.42 $11.39
TOTAL RETURN.... 24.36 % 19.00 % 11.32 % 15.03% 36.00 % 3.01 % 41.80 % 44.22% 14.85 %
RATIOS/SUPPLEMENTAL
DATA
Ratio of
expenses to
average net
assets.......... 0.82 % 0.83 % 0.83 % 1.40% 1.10 % 1.04 % 1.40 % 1.29% 1.05 %
Ratio of
expenses to
average net
assets before
expense
reductions...... 1.53 % 1.67 % 1.69 % 2.68% 2.03 % 2.36 % 2.44 % 2.65% 2.13 %
Ratio of net
investment
income (loss) to
average net
assets.......... 1.08 % 0.91 % 0.97 % 1.06% (0.10)% (0.31)% (0.71)% 0.38% 0.93 %
Portfolio
turnover rate... 14 % 44 % 48 % 91% 65 % 25 % 128 % 32% 66 %
Number of shares
outstanding at
end of period
(000's)......... 457 272 263 143 203 172 171 134 178
Net assets at
the end of
period (000's).. $5,634 $3,209 $2,900 $1,650 $2,760 $1,769 $2,424 $1,936 $2,028
<CAPTION>
For the Fiscal Socially
Year Ended Mid Cap Small Cap Responsible
October 31, 1999 Value Fund Value Fund Fund
- ---------------- ---------- ---------- -----------
<S> <C> <C> <C>
PER SHARE DATA
Net asset value
at beginning of
year............ $10.00 $10.00 $10.00
---------------------------------
Income (loss)
from investment
operations:
Net investment
income (loss).. 0.06 0.11 0.10
Net realized
and unrealized
gain (loss) on
securities..... 1.97 (0.73) 2.15
---------------------------------
Total income
(loss) from
investment
operations..... 2.03 (0.62) 2.25
---------------------------------
Distributions:
Distributions
from net
investment
income......... (0.05) (0.11) (0.10)
Distributions
from net
realized gain
on securities.. - - -
---------------------------------
Total
distributions.. (0.05) (0.11) (0.10)
---------------------------------
Net asset value
at end of
period.......... $11.98 $9.27 $12.15
---------------------------------
TOTAL RETURN.... 20.23 % (6.29)% 22.53 %
---------------------------------
RATIOS/SUPPLEMENTAL
DATA
Ratio of
expenses to
average net
assets.......... 1.29 % 1.23 % 0.80 %
Ratio of
expenses to
average net
assets before
expense
reductions...... 2.43 % 2.61 % 1.97 %
Ratio of net
investment
income (loss) to
average net
assets.......... 0.51 % 1.15 % 0.87 %
Portfolio
turnover rate... 177 % 91 % 24 %
Number of shares
outstanding at
end of period
(000's)......... 144 148 137
Net assets at
the end of
period (000's).. $1,728 $1,371 $1,663
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
FINANCIAL HIGHLIGHTS - CONTINUED 117
Per share data is for a share of beneficial interest outstanding throughout the
period. Total return includes reinvestment of distributions on the reinvestment
date.
CLASS A SHARES CONTINUED
<TABLE>
<CAPTION>
For the Fiscal Municipal Growth
Year Ended Balanced High Yield Strategic Domestic Core Municipal Money Market Money Market Lifestyle
October 31, 1999 Fund Bond Fund Bond Fund Bond Fund Bond Fund Bond Fund Fund Fund Fund
- ---------------- -------- ---------- --------- --------- --------- --------- ------------ ------------ ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value
at beginning of
year............ $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 $ 1.00 $ 1.00 $10.00
Income (loss)
from investment
operations:
Net investment
income (loss).. 0.21 0.81 0.67 0.50 0.50 0.36 0.04 0.02 0.07
Net realized
and unrealized
gain (loss) on
securities..... 1.36 (0.57) (0.45) (0.63) (0.55) (0.93) - - 1.91
Total income
(loss) from
investment
operations..... 1.57 0.24 0.22 (0.13) (0.05) (0.57) 0.04 0.02 1.98
Distributions:
Distributions
from net
investment
income......... (0.21) (0.81) (0.67) (0.50) (0.50) (0.36) (0.04) (0.02) (0.06)
Distributions
from net
realized gain
on securities.. - - - - - - - - -
Total
distributions.. (0.21) (0.81) (0.67) (0.50) (0.50) (0.36) (0.04) (0.02) (0.06)
Net asset value
at end of
period.......... $11.36 $ 9.43 $ 9.55 $ 9.37 $ 9.45 $ 9.07 $ 1.00 $ 1.00 $11.92
TOTAL RETURN.... 15.72 % 2.28 % 2.26 % (1.34)% (0.52)% (5.84)% 4.54 % 2.18 % 19.65 %
RATIOS/SUPPLEMENTAL
DATA
Ratio of
expenses to
average net
assets.......... 1.07 % 1.25 % 1.15 % 1.03 % 1.05 % 1.05 % 0.80 % 1.05 % 0.10 %
Ratio of
expenses to
average net
assets before
expense
reductions...... 2.47 % 2.01 % 2.48 % 2.30 % 1.59 % 1.93 % 1.42 % 1.89 % 0.10 %
Ratio of net
investment
income (loss) to
average net
assets.......... 1.98 % 5.69 % 6.92 % 5.21 % 4.43 % 3.69 % 4.58 % 2.18 % 0.63 %
Portfolio
turnover rate... 62 % 72 % 183 % 98 % 469 % 9 % N/A N/A 9 %
Number of shares
outstanding at
end of period
(000's)......... 159 4 136 208 14 332 7,549 3,651 162
Net assets at
the end of
period (000's).. $1,809 $ 34 $1,298 $1,948 $ 130 $3,005 $7,549 $3,651 $1,929
<CAPTION>
For the Fiscal Moderate Conservative
Year Ended Growth Growth
October 31, 1999 Lifestyle Fund Lifestyle Fund
- ---------------- -------------- --------------
<S> <C> <C>
PER SHARE DATA
Net asset value
at beginning of
year............ $10.00 $10.00
-----------------------------
Income (loss)
from investment
operations:
Net investment
income (loss).. 0.14 0.21
Net realized
and unrealized
gain (loss) on
securities..... 1.39 1.02
-----------------------------
Total income
(loss) from
investment
operations..... 1.53 1.23
-----------------------------
Distributions:
Distributions
from net
investment
income......... (0.13) (0.20)
Distributions
from net
realized gain
on securities.. - -
-----------------------------
Total
distributions.. (0.13) (0.20)
-----------------------------
Net asset value
at end of
period.......... $11.40 $11.03
-----------------------------
TOTAL RETURN.... 15.20 % 12.30 %
-----------------------------
RATIOS/SUPPLEMENTAL
DATA
Ratio of
expenses to
average net
assets.......... 0.10 % 0.10 %
Ratio of
expenses to
average net
assets before
expense
reductions...... 0.10 % 0.10 %
Ratio of net
investment
income (loss) to
average net
assets.......... 1.33 % 2.01 %
Portfolio
turnover rate... 11 % 10 %
Number of shares
outstanding at
end of period
(000's)......... 168 162
Net assets at
the end of
period (000's).. $1,918 $1,790
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
118 FINANCIAL HIGHLIGHTS - CONTINUED
Per share data is for a share of beneficial interest outstanding throughout the
period. Total return includes reinvestment of distributions on the reinvestment
date.
CLASS B SHARES
<TABLE>
<CAPTION>
For the Fiscal
Year Ended Stock Mid Cap Small Cap International Large Cap Mid Cap Small Cap International Large Cap
October 31, 1999 Index Fund Index Fund Index Fund Growth Fund Growth Fund Growth Fund Growth Fund Value Fund Value Fund
- ---------------- ---------- ---------- ---------- ------------- ----------- ----------- ----------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value
at beginning of
year............ $ 10.00 $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 $10.00
Income (loss)
from investment
operations:
Net investment
income (loss).. 0.02 0.01 0.02 0.02 (0.05) (0.07) (0.10) (0.03) 0.01
Net realized
and unrealized
gain (loss) on
securities..... 2.23 1.79 1.03 1.38 3.52 0.28 4.14 4.30 1.38
Total income
(loss) from
investment
operations..... 2.25 1.80 1.05 1.40 3.47 0.21 4.04 4.27 1.39
Distributions:
Distributions
from net
investment
income......... (0.02) (0.01) (0.02) - - - - - (0.01)
Distributions
from net
realized gain
on securities.. - - - - - - - - -
Total
distributions.. (0.02) (0.01) (0.02) - - - - - (0.01)
Net asset value
at end of
period.......... $ 12.23 $11.79 $11.03 $11.40 $13.47 $10.21 $14.04 $14.27 $11.38
TOTAL RETURN.... 22.55 % 18.05 % 10.53 % 14.00% 34.70 % 2.10 % 40.40 % 42.70 % 13.92 %
RATIOS/SUPPLEMENTAL
DATA
Ratio of
expenses to
average net
assets.......... 1.57 % 1.58 % 1.58 % 2.15% 1.85 % 1.79 % 2.15 % 2.04 % 1.80 %
Ratio of
expenses to
average net
assets before
expense
reductions...... 1.98 % 2.29 % 2.37 % 3.15% 2.34 % 2.74 % 2.83 % 3.06 % 2.48 %
Ratio of net
investment
income (loss) to
average net
assets.......... 0.37 % 0.17 % 0.23 % 0.24% (0.86)% (1.08)% (1.44)% (0.40)% 0.17 %
Portfolio
turnover rate... 14 % 44 % 48 % 91% 65 % 25 % 128 % 32 % 66 %
Number of shares
outstanding at
end of period
(000's)......... 1,229 376 305 248 657 357 368 261 434
Net assets at
the end of
period (000's).. $15,040 $4,433 $3,361 $2,826 $8,853 $3,652 $5,170 $3,731 $4,939
<CAPTION>
For the Fiscal Socially
Year Ended Mid Cap Small Cap Responsible
October 31, 1999 Value Fund Value Fund Fund
- ---------------- ---------- ---------- -----------
<S> <C> <C> <C>
PER SHARE DATA
Net asset value
at beginning of
year............ $10.00 $10.00 $10.00
---------------------------------
Income (loss)
from investment
operations:
Net investment
income (loss).. - 0.03 0.02
Net realized
and unrealized
gain (loss) on
securities..... 1.87 (0.74) 2.13
---------------------------------
Total income
(loss) from
investment
operations..... 1.87 (0.71) 2.15
---------------------------------
Distributions:
Distributions
from net
investment
income......... (0.02) (0.03) (0.02)
Distributions
from net
realized gain
on securities.. - - -
---------------------------------
Total
distributions.. (0.02) (0.03) (0.02)
---------------------------------
Net asset value
at end of
period.......... $11.85 $9.26 $12.13
---------------------------------
TOTAL RETURN.... 18.71 % (7.09)% 21.50 %
---------------------------------
RATIOS/SUPPLEMENTAL
DATA
Ratio of
expenses to
average net
assets.......... 2.04 % 1.98 % 1.55 %
Ratio of
expenses to
average net
assets before
expense
reductions...... 2.77 % 3.08 % 2.49 %
Ratio of net
investment
income (loss) to
average net
assets.......... (0.26)% 0.42 % 0.09 %
Portfolio
turnover rate... 177 % 91 % 24 %
Number of shares
outstanding at
end of period
(000's)......... 384 248 243
Net assets at
the end of
period (000's).. $4,555 $2,296 $2,943
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
FINANCIAL HIGHLIGHTS - CONTINUED 119
Per share data is for a share of beneficial interest outstanding throughout the
period. Total return includes reinvestment of distributions on the reinvestment
date.
CLASS B SHARES CONTINUED
<TABLE>
<CAPTION>
For the Fiscal Municipal Growth
Year Ended Balanced High Yield Strategic Domestic Core Municipal Money Market Money Market Lifestyle
October 31, 1999 Fund Bond Fund Bond Fund Bond Fund Bond Fund Bond Fund Fund Fund Fund
- ---------------- -------- ---------- --------- --------- --------- --------- ------------ ------------ ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value
at beginning of
year............ $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 $ 1.00 $ 1.00 $10.00
Income (loss)
from investment
operations:
Net investment
income (loss).. 0.09 0.74 0.59 0.44 0.42 0.28 0.04 0.01 0.06
Net realized
and unrealized
gain (loss) on
securities..... 1.35 (0.57) (0.45) (0.62) (0.55) (0.94) - - 1.89
Total income
(loss) from
investment
operations..... 1.44 0.17 0.14 (0.18) (0.13) (0.66) 0.04 0.01 1.95
Distributions:
Distributions
from net
investment
income......... (0.09) (0.74) (0.59) (0.44) (0.42) (0.28) (0.04) (0.01) (0.05)
Distributions
from net
realized gain
on securities.. - - - - - - - - -
Total
distributions.. (0.09) (0.74) (0.59) (0.44) (0.42) (0.28) (0.04) (0.01) (0.05)
Net asset value
at end of
period.......... $11.35 $ 9.43 $ 9.55 $ 9.38 $ 9.45 $ 9.06 $ 1.00 $ 1.00 $11.90
TOTAL RETURN.... 14.42 % 1.53 % 1.48 % 1.89 % (1.27)% (6.75)% 3.93 % 1.42 % 19.52 %
RATIOS/SUPPLEMENTAL
DATA
Ratio of
expenses to
average net
assets.......... 1.82 % 2.00 % 1.90 % 1.78 % 1.80 % 1.80 % 1.55 % 1.80 % 0.10 %
Ratio of
expenses to
average net
assets before
expense
reductions...... 2.76 % 2.37 % 3.08 % 2.55 % 2.22 % 2.56 % 2.23 % 2.69 % 0.10 %
Ratio of net
investment
income (loss) to
average net
assets.......... 1.29 % 7.30 % 6.21 % 4.63 % 4.10 % 2.98 % 3.97 % 1.42 % 0.66 %
Portfolio
turnover rate... 62 % 72 % 183 % 98 % 469 % 9 % N/A N/A 9 %
Number of shares
outstanding at
end of period
(000's)......... 552 69 179 600 31 450 6,058 2,841 413
Net assets at
the end of
period (000's).. $6,261 $ 652 $1,704 $5,633 $ 294 $4,074 $6,058 $2,841 $4,915
<CAPTION>
For the Fiscal Moderate Conservative
Year Ended Growth Growth
October 31, 1999 Lifestyle Fund Lifestyle Fund
- ---------------- -------------- --------------
<S> <C> <C>
PER SHARE DATA
Net asset value
at beginning of
year............ $10.00 $10.00
-----------------------------
Income (loss)
from investment
operations:
Net investment
income (loss).. 0.12 0.18
Net realized
and unrealized
gain (loss) on
securities..... 1.41 1.05
-----------------------------
Total income
(loss) from
investment
operations..... 1.53 1.23
-----------------------------
Distributions:
Distributions
from net
investment
income......... (0.11) (0.17)
Distributions
from net
realized gain
on securities.. - -
-----------------------------
Total
distributions.. (0.11) (0.17)
-----------------------------
Net asset value
at end of
period.......... $11.42 $11.06
-----------------------------
TOTAL RETURN.... 15.26 % 12.21 %
-----------------------------
RATIOS/SUPPLEMENTAL
DATA
Ratio of
expenses to
average net
assets.......... 0.10 % 0.10 %
Ratio of
expenses to
average net
assets before
expense
reductions...... 0.10 % 0.10 %
Ratio of net
investment
income (loss) to
average net
assets.......... 1.40 % 2.11 %
Portfolio
turnover rate... 11 % 10 %
Number of shares
outstanding at
end of period
(000's)......... 486 532
Net assets at
the end of
period (000's).. $5,553 $5,880
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
120
FINANCIAL HIGHLIGHTS - CONTINUED
Per share data is for a share of beneficial interest outstanding throughout the
period. Total return includes reinvestment of distributions on the reinvestment
date.
CLASS I SHARES
<TABLE>
<CAPTION>
For the Fiscal Socially
Year Ended International Large Cap Mid Cap Small Cap International Large Cap Mid Cap Small Cap Responsible
October 31, 1999 Growth Fund Growth Fund Growth Fund Growth Fund Value Fund Value Fund Value Fund Value Fund Fund
- ---------------- ------------- ----------- ----------- ----------- ------------- ---------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value
at beginning of
year............ $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 $10.00
---------------------------------------------------------------------------------------------------------
Income (loss)
from investment
operations:
Net investment
income (loss).. 0.12 - (0.01) (0.04) 0.05 0.11 0.07 0.12 0.11
Net realized
and unrealized
gain (loss) on
securities..... 1.39 3.61 0.33 4.23 4.37 1.40 1.94 (0.73) 2.16
---------------------------------------------------------------------------------------------------------
Total income
(loss) from
investment
operations..... 1.51 3.61 0.32 4.19 4.42 1.51 2.01 (0.61) 2.27
---------------------------------------------------------------------------------------------------------
Distributions:
Distributions
from net
investment
income......... - - - - - (0.11) (0.06) (0.12) (0.11)
Distributions
from net
realized gain
on securities.. - - - - - - - - -
---------------------------------------------------------------------------------------------------------
Total
distributions.. - - - - - (0.11) (0.06) (0.12) (0.11)
---------------------------------------------------------------------------------------------------------
Net asset value
at end of
period.......... $11.51 $13.61 $10.32 $14.19 $14.42 $11.40 $11.95 $9.27 $12.16
---------------------------------------------------------------------------------------------------------
TOTAL RETURN.... 15.16% 36.14% 3.24 % 41.90 % 44.25% 15.09 % 20.18 % (6.16)% 22.73 %
---------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL
DATA
Ratio of
expenses to
average net
assets.......... 1.28% 0.98% 0.92 % 1.28 % 1.17% 0.93 % 1.17 % 1.11 % 0.68 %
Ratio of
expenses to
average net
assets before
expense
reductions...... 2.75% 2.18% 1.83 % 2.42 % 2.68% 2.29 % 2.51 % 2.68 % 1.89 %
Ratio of net
investment
income (loss) to
average net
assets.......... 1.18% - (0.14)% (0.58)% 0.48% 1.05 % 0.64 % 1.26 % 0.97 %
Portfolio
turnover rate... 91% 65% 25 % 128 % 32% 66 % 177 % 91 % 24 %
Number of shares
outstanding at
end of period
(000's)......... 129 215 680 256 148 155 126 133 173
Net assets at
end of period
(000's)......... $1,487 $2,923 $7,010 $3,626 $2,132 $1,761 $1,507 $1,234 $2,098
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
121
FINANCIAL HIGHLIGHTS - CONTINUED
Per share data is for a share of beneficial interest outstanding throughout the
period. Total return includes reinvestment of distributions on the reinvestment
date.
CLASS I SHARES CONTINUED
<TABLE>
<CAPTION>
For the Fiscal Growth Moderate Conservative
Year Ended Balanced High Yield Strategic Domestic Core Money Market Lifestyle Growth Growth
October 31, 1999 Fund Bond Fund Bond Fund Bond Fund Bond Fund Fund Fund Lifestyle Fund Lifestyle Fund
- ---------------- -------- ---------- --------- --------- --------- ------------ --------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value
at beginning of
year............ $10.00 $10.00 $10.00 $10.00 $10.00 $ 1.00 $10.00 $10.00 $10.00
-------------------------------------------------------------------------------------------------------
Income (loss)
from investment
operations:
Net investment
income (loss).. 0.22 0.83 0.69 0.51 0.51 0.05 0.07 0.15 0.21
Net realized
and unrealized
gain (loss) on
securities..... 1.37 (0.57) (0.45) (0.62) (0.55) - 1.90 1.38 1.02
-------------------------------------------------------------------------------------------------------
Total income
(loss) from
investment
operations..... 1.59 0.26 0.24 (0.11) (0.04) 0.05 1.97 1.53 1.23
-------------------------------------------------------------------------------------------------------
Distributions:
Distributions
from net
investment
income......... (0.22) (0.83) (0.69) (0.51) (0.51) (0.05) (0.06) (0.14) (0.20)
Distributions
from net
realized gain
on securities.. - - - - - - - - -
-------------------------------------------------------------------------------------------------------
Total
distributions.. (0.22) (0.83) (0.69) (0.51) (0.51) (0.05) (0.06) (0.14) (0.20)
-------------------------------------------------------------------------------------------------------
Net asset value
at end of
period.......... $11.37 $ 9.43 $ 9.55 $ 9.38 $ 9.45 $ 1.00 $11.91 $11.39 $11.03
-------------------------------------------------------------------------------------------------------
TOTAL RETURN.... 15.92 % 2.44 % 2.50 % (1.12)% (0.38)% 4.63 % 19.71 % 15.35 % 12.24 %
-------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL
DATA
Ratio of
expenses to
average net
assets.......... 0.95 % 1.13 % 1.03 % 0.91 % 0.93 % 0.68 % 0.10 % 0.10 % 0.10 %
Ratio of
expenses to
average net
assets before
expense
reductions...... 2.57 % 2.05 % 2.50 % 2.10 % 1.77 % 1.85 % 0.10 % 0.10 % 0.10 %
Ratio of net
investment
income (loss) to
average net
assets.......... 2.09 % 5.57 % 7.09 % 5.43 % 4.03 % 4.64 % 0.62 % 1.42 % 2.01 %
Portfolio
turnover rate... 62 % 72 % 183 % 98 % 469 % N/A 9 % 11 % 10 %
Number of shares
outstanding at
end of period
(000's)......... 156 1 134 374 5 2,910 130 135 137
Net assets at
the end of
period (000's).. $1,777 $ 14 $1,281 $3,509 $ 49 $2,910 $1,547 $1,537 $1,508
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
122
FINANCIAL HIGHLIGHTS - CONTINUED
Per share data is for a share of beneficial interest outstanding throughout the
period. Total return includes reinvestment of distributions on the reinvestment
date.
CLASS II SHARES
<TABLE>
<CAPTION>
For the Fiscal Socially
Year Ended International Large Cap Mid Cap Small Cap International Large Cap Mid Cap Small Cap Responsible
October 31, 1999 Growth Fund Growth Fund Growth Fund Growth Fund Value Fund Value Fund Value Fund Value Fund Fund
- ---------------- ------------- ----------- ----------- ----------- ------------- ---------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value
at beginning of
year............ $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 $10.00
---------------------------------------------------------------------------------------------------------
Income (loss)
from investment
operations:
Net investment
income (loss).. 0.15 0.04 0.01 (0.04) 0.10 0.14 0.11 0.14 0.14
Net realized
and unrealized
gain (loss) on
securities..... 1.39 3.60 0.33 4.27 4.36 1.39 1.94 (0.73) 2.15
---------------------------------------------------------------------------------------------------------
Total income
(loss) from
investment
operations..... 1.54 3.64 0.34 4.23 4.46 1.53 2.05 (0.59) 2.29
---------------------------------------------------------------------------------------------------------
Distributions:
Distributions
from net
investment
income......... (0.01) (0.04) (0.01) - (0.01) (0.14) (0.10) (0.14) (0.14)
Distributions
from net
realized gain
on securities.. - - - - - - - - -
---------------------------------------------------------------------------------------------------------
Total
distributions.. (0.01) (0.04) (0.01) - (0.01) (0.14) (0.10) (0.14) (0.14)
---------------------------------------------------------------------------------------------------------
Net asset value
at end of
period.......... $11.53 $13.60 $10.33 $14.23 $14.45 $11.39 $11.95 $9.27 $12.15
---------------------------------------------------------------------------------------------------------
TOTAL RETURN.... 15.41 % 36.40 % 3.39 % 42.30 % 44.61 % 15.35 % 20.53 % (5.92)% 22.99 %
---------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL
DATA
Ratio of
expenses to
average net
assets.......... 1.03 % 0.73 % 0.67 % 1.03 % 0.92 % 0.68 % 0.92 % 0.86 % 0.43 %
Ratio of
expenses to
average net
assets before
expense
reductions...... 2.50 % 2.03 % 2.25 % 2.34 % 2.48 % 2.07 % 2.27 % 2.44 % 1.77 %
Ratio of net
investment
income (loss) to
average net
assets.......... 1.44 % 0.29 % 0.07 % (0.33) 0.75 % 1.32 % 0.88 % 1.53 % 1.25 %
Portfolio
turnover rate... 91 % 65 % 25 % 128 % 32 % 66 % 177 % 91 % 24 %
Number of shares
outstanding at
end of period
(000's)......... 128 118 126 122 120 124 122 132 127
Net assets at
end of period
(000's)......... $1,474 $1,601 $1,300 $1,731 $1,739 $1,416 $1,457 $1,228 $1,537
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
FINANCIAL HIGHLIGHTS - CONTINUED 123
Per share data is for a share of beneficial interest outstanding throughout the
period. Total return includes reinvestment of distributions on the reinvestment
date.
CLASS II SHARES CONTINUED
<TABLE>
<CAPTION>
For the Fiscal Growth Moderate Conservative
Year Ended Balanced High Yield Strategic Domestic Core Money Market Lifestyle Growth Growth
October 31, 1999 Fund Bond Fund Bond Fund Bond Fund Bond Fund Fund Fund Lifestyle Fund Lifestyle Fund
- ---------------- -------- ---------- --------- --------- --------- ------------ --------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value
at beginning of
year............ $10.00 $10.00 $10.00 $10.00 $10.00 $1.00 $10.00 $10.00 $10.00
---------------------------------------------------------------------------------------------------------
Income (loss)
from investment
operations:
Net investment
income (loss).. 0.26 0.86 0.71 0.53 0.52 0.05 0.07 0.13 0.21
Net realized
and unrealized
gain (loss) on
securities..... 1.36 (0.57) (0.45) (0.62) (0.55) - 1.90 1.38 1.02
---------------------------------------------------------------------------------------------------------
Total income
(loss) from
investment
operations..... 1.62 0.29 0.26 (0.09) (0.03) 0.05 1.97 1.51 1.23
---------------------------------------------------------------------------------------------------------
Distributions:
Distributions
from net
investment
income......... (0.26) (0.86) (0.71) (0.53) (0.52) (0.05) (0.06) (0.12) (0.20)
Distributions
from net
realized gain
on securities.. - - - - - - - - -
---------------------------------------------------------------------------------------------------------
Total
distributions.. (0.26) (0.86) (0.71) (0.53) (0.52) (0.05) (0.06) (0.12) (0.20)
---------------------------------------------------------------------------------------------------------
Net asset value
at end of
period.......... $11.36 $9.43 $9.55 $9.38 $9.45 $1.00 $11.91 $11.39 $11.03
---------------------------------------------------------------------------------------------------------
TOTAL RETURN.... 16.22 % 2.74 % 2.67 % (0.92)% (0.25)% 4.79 % 19.72 % 15.17 % 12.27 %
---------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL
DATA
Ratio of
expenses to
average net
assets.......... 0.70 % 0.88 % 0.78 % 0.66 % 0.68 % 0.43 % 0.10 % 0.10 % 0.10 %
Ratio of
expenses to
average net
assets before
expense
reductions...... 2.34 % 1.35 % 2.25 % 2.23 % 1.05 % 1.10 % 0.10 % 0.10 % 0.10 %
Ratio of net
investment
income (loss) to
average net
assets.......... 2.36 % 8.84 % 7.26 % 5.51 % 5.45 % 4.68 % 0.62 % 1.25 % 2.01 %
Portfolio
turnover rate... 62 % 72 % 183 % 98 % 469 % N/A 9 % 11 % 10 %
Number of shares
outstanding at
end of period
(000's)......... 128 6,630 134 153 34,645 4,669 126 126 127
Net assets at
the end of
period (000's).. $1,452 $62,506 $1,283 $1,432 $327,384 $4,669 $1,496 $1,440 $1,404
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
124 REPORT OF INDEPENDENT AUDITORS
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
AMERICAN GENERAL SERIES PORTFOLIO COMPANY 2
We have audited the accompanying statements of assets and liabilities,
including the Schedule of Investments of Stock Index Fund, Mid Cap Index Fund,
Small Cap Index Fund, International Growth Fund, Large Cap Growth Fund, Mid Cap
Growth Fund, Small Cap Growth Fund, International Value Fund, Large Cap Value
Fund, Mid Cap Value Fund, Small Cap Value Fund, Socially Responsible Fund,
Balanced Fund, High Yield Bond Fund, Strategic Bond Fund, Domestic Bond Fund,
Core Bond Fund, Municipal Bond Fund, Money Market Fund, Municipal Money Market
Fund, Growth Lifestyle Fund, Moderate Growth Lifestyle Fund, and Conservative
Growth Lifestyle Fund (such Funds comprising the American General Series
Portfolio Company 2) as of October 31, 1999. We have also audited for each of
the Funds the related statement of operations for the year ended October 31,
1999, the statement of changes in net assets for the year ended October 31,
1999 and for the period from October 7, 1998 (inception) to October 31, 1998,
and the financial highlights for the year ended October 31, 1999. These
financial statements and financial highlights are the responsibility of the
Company's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
October 31, 1999, by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective Funds comprising the American General Series Portfolio
Company 2 at October 31, 1999, the results of their operations and the changes
in their net assets for the periods identified above, and the financial
highlights for the year ended October 31, 1999, in conformity with generally
accepted accounting principles.
ERNST & YOUNG LLP
Houston, Texas
December 13, 1999
- --------------------------------------------------------------------------------
<PAGE>
125
AMERICAN GENERAL SERIES PORTFOLIO COMPANY 2
<TABLE>
<CAPTION>
<S> <C> <C>
BOARD OF TRUSTEES Jacobs Asset Management Donna L. Hathaway,
Kent E. Barrett 200 East Broward Boulevard Assistant Controller
Judith L. Craven Suite 1920 Heriberto R. Valdez,
Timothy J. Ebner Fort Lauderdale, Florida 33301 Assistant Controller
Gustavo E. Gonzales, Jr.
Norman Hackerman Neuberger Berman Management Inc.
Alice T. Kane 605 Third Avenue,
John W. Lancaster Second Floor
Ben H. Love New York, New York 10158-0180
John E. Maupin, Jr.
F. Robert Paulsen State Street Global Advisors
R. Miller Upton 2 International Place
Thomas L. West, Jr. Boston, Massachusetts 02110
DISTRIBUTOR INDEPENDENT AUDITORS
American General Ernst & Young LLP
Distributors, Inc. 1221 McKinney
2929 Allen Parkway Houston, Texas 77010
Houston, Texas 77019
CUSTODIAN SHAREHOLDER SERVICE AGENT
State Street Bank National Financial Data Services, Inc.
and Trust Company 330 West 9th Street
225 Franklin Street Kansas City, Missouri 64105
Boston, Massachusetts 02110
INVESTMENT ADVISER OFFICERS
The Variable Annuity Life Thomas L. West, Jr.,
Insurance Company (VALIC) Chairman
2929 Allen Parkway Alice T. Kane,
Houston, Texas 77019 President
Kent E. Barrett,
INVESTMENT SUB-ADVISERS Executive Vice President
American General Peter V. Tuters,
Investment Management, L.P. Senior Investment Officer
2929 Allen Parkway Pauletta P. Cohn,
Houston, Texas 77019 Vice President
Teresa S. Moro,
Brown Capital Management, Inc. Vice President and Investment Officer
1201 N. Calvert Street Maruti D. More,
Baltimore, Maryland 21202 Vice President - Investments
William Trimbur, Jr.,
Capital Guardian Trust Company Vice President and Investment Officer
333 South Hope Street Cynthia A. Toles,
Los Angeles, California 90071 Vice President and Secretary
Nori L. Gabert,
Fiduciary Management Vice President and Assistant Secretary
Associates, Inc. Cynthia A. Gibbons,
55 West Monroe Street Suite 2550 Assistant Vice President
Chicago, Illinois 60603 Gregory R. Seward,
Treasurer
Goldman Sachs Asset Management Jaime M. Sepulveda,
One New York Plaza Assistant Treasurer
New York, New York 10004 Gregory R. Kingston,
Assistant Treasurer
J.P. Morgan Investment Kathyrn A. Pearce,
Management Inc. Controller
522 Fifth Avenue
New York, New York 10036
</TABLE>
This report is for the information of the shareholders of American General
Series Portfolio Company 2. It is authorized for distribution to other persons
only when preceded or accompanied by an effective prospectus which contains
information on how to purchase shares and other pertinent information.
If you would like further information about the material or products issued by
American General, please contact your account representative.
"Standard & Poor's(R)", "Standard & Poor's Mid Cap 400 Index" and "S&P 500(R)"
are trademarks of Standard & Poor's Corporation. The Stock Index Fund and Mid
Cap Index Fund are not sponsored, endorsed, sold or promoted by S&P and S&P
makes no representation regarding the advisability of investing in the funds.
The Russell 2000(R) Index is a trademark/service mark of the Frank Russell
Company. Russell(TM) is a trademark of the Frank Russell Company.
TAX INFORMATION (unaudited)
In order to meet certain requirements of the Internal Revenue Code ("Code"), we
are advising you that the dividends paid by Municipal Bond Fund and Municipal
Money Market Fund during the fiscal year ended October 31, 1999 are tax exempt-
interest dividends, as defined by the Code.
- --------------------------------------------------------------------------------
<PAGE>
AMERICAN GENERAL SERIES PORTFOLIO COMPANY 2 Bulk Rate
U.S. Postage
P.O. Box 3206 PAID
Houston, Texas 77253-3206 Permit No. 6748
Houston, Texas
AMERICAN
GENERAL
FINANCIAL GROUP
