<PAGE>
Annual Report
August 31, 1999
American
General
Series
Portfolio
Company 3
---------------
<PAGE>
AMERICAN GENERAL SERIES PORTFOLIO COMPANY 3 - ANNUAL REPORT AUGUST 31, 1999
TABLE OF CONTENTS
<TABLE>
<S> <C>
Chairman's Letter........................................................... 1
International Growth Fund................................................... 3
Large Cap Growth Fund....................................................... 6
Mid Cap Growth Fund......................................................... 10
Small Cap Growth Fund....................................................... 13
International Value Fund.................................................... 17
Large Cap Value Fund........................................................ 21
Mid Cap Value Fund.......................................................... 24
Small Cap Value Fund........................................................ 27
Socially Responsible Fund................................................... 38
Balanced Fund............................................................... 44
High Yield Bond Fund........................................................ 48
Strategic Bond Fund......................................................... 51
Domestic Bond Fund.......................................................... 54
Core Bond Fund.............................................................. 56
Money Market Fund........................................................... 59
Growth Lifestyle Fund....................................................... 61
Moderate Growth Lifestyle Fund.............................................. 63
Conservative Growth Lifestyle Fund.......................................... 65
Notes to Financial Statements............................................... 67
Financial Highlights........................................................ 71
Report of Independent Auditors.............................................. 73
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
AGSPC3 CHAIRMAN'S LETTER 1
Dear Valued Investor:
We are pleased to present the first Annual Report for the American General
Series Portfolio Company 3 (AGSPC 3). In this report, you will find financial
and performance information for the 18 funds in the series for the fiscal year
ended August 31, 1999.
Through your variable annuity contract, you are able to invest in one or more
of the funds described in this report.
MARKET CONDITIONS
What a difference a year makes. As we started the investment process for AGSPC
3 in September of 1998, the whole world seemed affected by the Asian flu.
Interest rates tumbled worldwide--even the U.S. long bond reached a thirty-
year low. Capital flight destabilized emerging markets, collapsed Russia's
financial system and then threatened Brazil and other important Latin American
markets. By January 1999, the global economic outlook improved significantly.
This led to mostly positive stock market returns and lower bond prices. Many
economists expected that worldwide business activity would be restrained
because of the recent global events. Surprisingly, by spring, global activity
seemed to have stabilized. The change in attitude seemed to be a reflection of
the continued vigor of the U.S. economy, the rebound in Asia and the increased
positive response to the easing of monetary policy in Europe.
The brighter outlook has changed the type of stock investor favor. A year ago,
it was fashionable to own large-cap growth stocks as large-caps are thought to
be less vulnerable to market downturns. More recently, however, investors have
revisited the opportunities offered by value stocks and small-cap stocks,
relying on the prospect for increased corporate earnings, as the U.S. economy
remains healthy.
FUND RETURNS
Lifestyle and Balanced Funds
The three lifestyle funds--Conservative, Moderate and Growth--returned 19.00%,
23.52% and 28.28%, respectively. This reflected the progressively increasing
allocation to U.S. equities as one moves from conservative to growth. The
Balanced Fund returned 26.49%, outperforming its blended benchmark return of
22.73%.
Equity Funds
For U.S. equities in general, "growth" outperformed "value" and "large
capitalization" outperformed "small capitalization" during the year. Large
capitalized U.S. stocks outperformed foreign stocks, although, interestingly,
the International Value Fund outperformed its Growth counterpart (47.41% to
12.20%). Domestically, the Large Cap Value Fund trailed its growth
counterpart, 29.87% to 39.77%, while both trailed the S&P 500 return of
39.81%. The mid cap sector provided the only exception to the growth vs. value
trend, with the Value Fund outperforming its Growth counterpart 42.38% to
24.50%. In the small cap sector, Growth strongly outperformed Value 48.82% to
7.34%. In a specialized category restricted from investing in tobacco,
defense-oriented companies and significant polluters, the Social Responsible
Fund turned in a strong performance of 36.27%, however it trailed the S&P 500
return of 39.81%.
Bond Funds
In the fixed income markets, high-yield offered the best returns. The High
Yield Bond Fund's 5.50% trailed only slightly its Salomon Brothers benchmark
of 5.59%. The broader bond market trailed high yield. The Strategic Bond Fund
with a broad mandate across many types of fixed income securities, returned
5.33% while the Core Bond Fund returned 1.12%. The Core Bond Fund's modest
return exceeded the Lehman Brothers Aggregate benchmark of 0.79% and reflected
a focus on higher quality regions of the bond market, which did not perform as
well this year.
Outlook
As the U.S. and other developed markets continue to expand and as business in
Asia continues to improve, investors should expect favorable performance
relative to the various benchmarks.
We strive to provide a variety of quality investment options to meet your
investment needs. Thank you for your continued confidence in our ability to
invest your funds wisely.
Sincerely,
/s/ Thomas L. West, Jr.
Thomas L. West, Jr., Chairman
American General Series Portfolio Company 3
[Graph Appears Here]
- -------------------------------------------------------------------------------
<PAGE>
2 AGSPC3 CHAIRMAN'S LETTER CONTINUED
FUND RETURNS AND TRACKING DIFFERENCES
For the Fiscal Year Ended August 31, 1999
<TABLE>
<CAPTION>
(3) (4)
Fund Total
Performance Index
Before Return
(1) (2) Subtracting Including Tracking
AGSPC 3 Fund/Relevant Fund Fund Expenses Reinvested Differences
Market Index Return(a) Expenses (1) + (2) Dividends (3) - (4)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
International Growth
Fund / Salomon Brothers
Primary Market Index.... 12.20% 1.13% 13.33% 34.75% (21.42)
Large Cap Growth
Fund / Russell 1000
Growth Index............ 39.77 0.81 40.58 48.33 (7.75)
Mid Cap Growth
Fund / Russell MidCap
Growth Index............ 24.50 0.77 25.27 48.84 (23.57)
Small Cap Growth
Fund / Russell 2000
Growth Index............ 48.82 1.11 49.93 43.31 6.62
International Value
Fund / Salomon Brothers
Primary Market Index.... 47.41 1.01 48.42 34.75 13.67
Large Cap Value
Fund / Russell 1000
Value Index............. 29.87 0.80 30.67 30.08 0.59
Mid Cap Value
Fund / Russell MidCap
Value Index............. 42.38 1.03 43.41 21.87 21.54
Small Cap Value
Fund / Russell 2000
Value Index............. 7.34 0.96 8.30 14.08 (5.78)
Socially Responsible
Fund / S&P 500 Index.... 36.27 0.55 36.82 39.81 (2.99)
Balanced Fund / Balanced
Blend(b)................ 26.49 0.80 27.29 22.73 4.56
High Yield Bond
Fund / Salomon Brothers
High Yield Market
Index................... 5.50 0.98 6.48 5.59 0.89
Strategic Bond
Fund / Lehman Brothers
Aggregate Index......... 5.33 0.88 6.21 0.79 5.42
Domestic Bond
Fund / Lehman Brothers
Aggregate Index......... 0.59 0.77 1.36 0.79 0.57
Core Bond Fund / Lehman
Brothers Aggregate
Index................... 1.12 0.80 1.92 0.79 1.13
Money Market Fund / 30
Day Certificate of
Deposit Primary Offering
Rate by New York City
Banks (NYC 30 Day CD
Rate)................... 4.66 0.54 5.20 4.38 0.82
Growth Lifestyle Fund... 28.28 0.10 28.38 N/A N/A
Moderate Growth
Lifestyle Fund.......... 23.52 0.10 23.62 N/A N/A
Conservative Growth
Lifestyle Fund.......... 19.00 0.10 19.10 N/A N/A
</TABLE>
- -----------
(a) Fund Level Returns are net of investment management fees and other fund
expenses, but do not reflect charges specified in annuity contracts for
mortality and expense guarantees, administrative fees, or surrender
charges.
(b) Balanced Blend consists of 40% Lehman Brothers Government and Corporate
and 60% S&P 500 Index.
SUMMARY OF NET ASSET VALUES PER SHARE
AND PER SHARE DISTRIBUTIONS
<TABLE>
<CAPTION>
Distributions from Net
Investment Income and
Net Realized Gains on
Net Asset Values (per share) Securities (per share)
---------------------------------- -------------------------
Unaudited
August 31, February 28, August 31, 9/1/98 to 3/1/99 to
Fund 1998 1999 1999 2/28/99 8/31/99
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
International Growth
Fund.................... $10.00 $10.22 $11.22 $ -- $ --
Large Cap Growth Fund... 10.00 12.63 13.96 0.01 --
Mid Cap Growth Fund..... 10.00 12.56 12.45 -- --
Small Cap Growth Fund... 10.00 12.98 14.86 0.05 --
International Value
Fund.................... 10.00 11.91 14.72 0.02 --
Large Cap Value Fund.... 10.00 12.14 12.85 0.06 0.07
Mid Cap Value Fund...... 10.00 12.37 13.82 0.35 0.02
Small Cap Value Fund.... 10.00 10.17 10.48 0.19 0.07
Socially Responsible
Fund.................... 10.00 12.26 12.88 0.64 0.07
Balanced Fund........... 10.00 11.86 12.32 0.18 0.14
High Yield Bond Fund.... 10.00 10.32 9.69 0.39 0.48
Strategic Bond Fund..... 10.00 10.25 9.86 0.30 0.37
Domestic Bond Fund...... 10.00 9.90 9.43 0.38 0.27
Core Bond Fund.......... 10.00 9.99 9.58 0.25 0.28
Money Market Fund....... 1.00 1.00 1.00 -- 0.05
Growth Lifestyle Fund... 10.00 11.66 12.77 0.02 0.03
Moderate Growth
Lifestyle Fund.......... 10.00 11.50 12.24 0.04 0.07
Conservative Growth
Lifestyle Fund.......... 10.00 11.24 11.73 0.06 0.11
</TABLE>
The change in net asset value of the funds will not be the same as the change
in the accumulation unit value of your annuity contract because (1) the change
in net asset value does not reflect the reinvestment of income and capital
gain distributions and (2) the mortality and expense charges described in your
annuity contract are not included.
- -------------------------------------------------------------------------------
<PAGE>
3 August 31, 1999
INTERNATIONAL GROWTH FUND - STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
COMMON STOCK - 97.57%
AEROSPACE/DEFENSE - 0.67%
3,900 Celsius AB, Class B................................ $ 45,508
----------
APPAREL & PRODUCTS - 1.47%
621 Christian Dior..................................... 100,027
----------
AUTO - CARS - 2.48%
3,130 Renault, S.A....................................... 169,160
----------
BANKS - OTHER - 4.63%
2,100 Bank Austria AG.................................... 111,825
2,000 ING Groep N.V. .................................... 109,997
478 Societe Generale, Class A.......................... 93,861
----------
315,683
----------
BANKS - REGIONAL - 4.25%
750 Banco Pastor, S.A. ................................ 35,367
16,500 DAO Heng Bank Group, Ltd. ......................... 75,220
9,400(/1/) Hanvit Bank - ADR.................................. 75,388
14,000 United Overseas Bank, Ltd. ........................ 103,919
----------
289,894
----------
BROADCASTING - 0.80%
1,500 * Grupo Televisa, S.A................................ 54,563
----------
CHEMICAL - MISCELLANEOUS - 1.92%
2,802 Akzo Nobel......................................... 130,797
----------
CONGLOMERATES - 4.09%
3,223 Lagardere S.C.A. .................................. 131,152
46,000 LI & Fung.......................................... 147,505
----------
278,657
----------
CONSUMER FINANCE - 2.09%
1,400 Acom Co. .......................................... 142,257
----------
DRUGS - 1.87%
11 Roche Holdings AG.................................. 127,600
----------
ELECTRICAL EQUIPMENT - 6.96%
3,900 Ericsson LMTEL Co. - ADR, Series B................. 126,994
10,000 Johnson Electric Holdings, Ltd. ................... 45,073
1,196 Koninklijke Philips Electronic..................... 123,635
10,100 Powergen 1998, Plc. ............................... 100,731
600 Sony Corp. ........................................ 77,814
----------
474,247
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ELECTRICAL PRODUCTS -
MISCELLANEOUS - 1.64%
11,000 Hitachi, Ltd. .................................... $ 111,773
----------
FINANCE COMPANIES - 3.23%
43,000 Grupo Financiero Banamex
Accival,
S.A. de CV (Banacci)............................... 85,315
1,400 Orix Corp. ........................................ 134,958
----------
220,273
----------
FINANCIAL SERVICES - 3.35%
14,900 Amvescap, Plc. .................................... 128,333
8,200 Investor AB, Class B............................... 100,169
----------
228,502
----------
FOODS - 3.67%
424 Barry Callebaut AG................................. 72,990
3,000 Companhia Brasileira -
ADR................................................ 61,875
1,700 Huhtamaki I........................................ 59,089
14,900 Somerfield, Plc. .................................. 55,651
----------
249,605
----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 0.81%
8,000 Forsoft, Ltd. ..................................... 55,000
----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 1.78%
1,000 TDK Corp. ......................................... 121,642
----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 2.85%
2,600 Getronics NV....................................... 127,704
7,500 Misys, Plc. ....................................... 66,650
----------
194,354
----------
INSURANCE - 1.53%
2,081 Scor............................................... 104,131
----------
INSURANCE - MISCELLANEOUS - 1.15%
5,800 ESG RE, Ltd. ...................................... 78,300
----------
INSURANCE - MULTILINE - 1.43%
2,000 Pohjola Group Insurance
Corp., Class B..................................... 97,704
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISING - FOOD - 1.36%
93,000 Dairy Farm International............................... $ 92,535
----------
METALS - ALUMINUM - 2.42%
2,823 Pechiney, S.A., Class A................................ 164,833
----------
METALS - STEEL - 8.26%
5,000 Aceralia Corp. Siderurgica, S.A. ...................... 68,669
2,200 Boehler-Udeholm AG..................................... 106,053
32,100 Industrias CH, S.A., Series B.......................... 88,000
5,500 Ispat International NV - ADR........................... 57,063
2,900 Pohang Iron & Steel, Ltd. - ADR........................ 106,575
8,800 Usinor, S.A. .......................................... 136,617
----------
562,977
----------
MISCELLANEOUS - 1.00%
88,000 First Pacific Co., Ltd. ............................... 67,996
----------
OIL - INTEGRATED INTERNATIONAL - 2.02%
22,800 Eni, SpA............................................... 137,477
----------
OIL - SERVICE - PRODUCTS - 0.71%
3,800 Petroleo Brasileiro, S.A. - ADR........................ 48,450
----------
PAPER/FOREST PRODUCTS - 2.70%
19,400 Metsa Serla, Class B................................... 184,201
----------
PHOTOGRAPHY - 2.15%
4,000 Fuji Photo Film Co. ................................... 146,336
----------
PUBLISHING - NEWS - 1.95%
20,000 News Corp., Ltd. ...................................... 132,663
----------
REAL ESTATE - 3.20%
14,000 Cheung Kong............................................ 121,697
74,000 Wheelock & Company, Ltd. .............................. 96,250
----------
217,947
----------
TELECOMMUNICATIONS - 16.97%
28,000 China Telecom (Hong Kong).............................. 87,081
18 DDI Corp. ............................................. 113,593
3,495 ECI Telecommunications................................. 99,171
5,100 Embratel Participacoes, S.A. - ADR..................... 54,506
5,341 Hellenic Telecommunications Organization, S.A. (OTE)... 110,956
1,600 KDD Corp. ............................................. 125,117
2,000 * Korea Telecom Corp. ................................... 65,000
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
4 August 31, 1999
INTERNATIONAL GROWTH FUND - STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
TELECOMMUNICATIONS - Continued
2,630 KPN NV (Koninklijke)................................ $ 118,169
6,400 SK Telecom Co., Ltd. - ADR.......................... 72,400
6,514 Telefonica, S.A. ................................... 104,234
12,900 Telenorte Leste Partic - ADR........................ 206,399
----------
1,156,626
----------
TOBACCO - 0.74%
15,500 Fomento Economico Mexicano UBD...................... 50,759
----------
UTILITIES - ELECTRIC - 1.42%
29,500 Hong Kong Electric Holdings......................... 97,065
----------
TOTAL COMMON STOCK
(Cost $6,221,280)................................... 6,649,542
----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 2.51%
BANKS - OTHER - 2.51%
$171,000 State Street Bank Repurchase Agreement, 5.35%, dated
08/31/99, to be repurchased at $171,025 on 09/01/99,
collateralized by U.S. Treasury Note, 4.63%, 11/30/00,
with value of
$175,000 (Cost $171,000) .............................. $ 171,000
----------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $171,000)........................................ 171,000
----------
TOTAL INVESTMENTS
(Cost $6,392,280) - 100.08%............................ 6,820,542
Other assets less liabilities, net - (0.08%)........... (5,311)
----------
NET ASSETS - 100.00%
(equivalent to $11.22 per share on
607,650 shares outstanding)............................ $6,815,231
----------
</TABLE>
*Non-income producing
(/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 August 31,
1999, the aggregate value of these securities was $75,388, representing
1.11% of net assets.
<TABLE>
<CAPTION>
<S> <C> <C>
- -----------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized, 607,650 shares outstanding.......... $ 6,077
Additional paid in capital....................................... 6,132,431
Undistributed net realized gain on securities ................... 167,651
Undistributed net investment income.............................. 80,860
Unrealized appreciation (depreciation) of:
Investments............................................ $428,262
Foreign currency translation........................... (50) 428,212
-------- ----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................ $6,815,231
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
INTERNATIONAL GROWTH FUND - FINANCIAL STATEMENTS 5
STATEMENT OF OPERATIONS
For the Fiscal Year Ended August 31, 1999
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes of $13,843)............. $117,198
Interest............................................................ 29,001
--------
Total investment income............................................ 146,199
--------
EXPENSES:
Advisory fees....................................................... 51,153
Custodian fees...................................................... 22,186
Administrative service fee.......................................... 14,210
Audit fees and tax services......................................... 11,589
Trustees' fees and expenses......................................... 4,355
Accounting services................................................. 1,705
Pricing services.................................................... 1,036
Report to shareholders.............................................. 1,000
Miscellaneous....................................................... 2,420
--------
Total expenses..................................................... 109,654
Expense reimbursement (see Note 3)................................. (44,315)
--------
Net expenses....................................................... 65,339
--------
NET INVESTMENT INCOME............................................... 80,860
--------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FOREIGN
CURRENCIES:
Net realized gain (loss) on:
Investments............................................... $226,670
Foreign currency transactions............................. (59,019) 167,651
--------
Net unrealized appreciation (depreciation) during the year:
Investments............................................... 428,262
Foreign currency translation.............................. (50) 428,212
-------- --------
Net realized and unrealized gain on securities and
foreign currencies during the year................................ 595,863
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................... $676,723
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the period
year ended August 26, 1998
August 31, 1999 to August 31, 1998
------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................... $ 80,860 $ -
Net realized gain on securities and foreign
currency transactions....................... 167,651 -
Net unrealized appreciation of securities
and translation of foreign currencies during
the year.................................... 428,212 -
------------------------------------
Increase in net assets resulting from
operations................................. 676,723 -
------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... - -
Net realized gain on securities............. - -
------------------------------------
Decrease in net assets resulting from
distributions
to shareholders............................ - -
------------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 6,525,710 4,867
Proceeds from shares issued for
distributions reinvested.................... - -
------------------------------------
6,525,710 4,867
Cost of shares repurchased.................. (392,069) -
------------------------------------
Increase in net assets resulting from
share transactions......................... 6,133,641 4,867
------------------------------------
TOTAL INCREASE IN NET ASSETS................ 6,810,364 4,867
NET ASSETS:
Beginning of year........................... 4,867 -
------------------------------------
End of year (including undistributed net
investment income of $80,860 and $0)........ $6,815,231 $4,867
------------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 642,435 487
Shares issued for distributions reinvested.. - -
Shares repurchased.......................... (35,272) -
------------------------------------
Increase in shares outstanding............. 607,163 487
Shares outstanding:
Beginning of year.......................... 487 -
------------------------------------
End of year................................ 607,650 487
------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
6 August 31, 1999
LARGE CAP GROWTH FUND - STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK - 99.58%
ADVERTISING - 0.16%
400 Omnicom Group, Inc. .................................. $ 30,150
-----------
AEROSPACE/DEFENSE - 0.65%
300 General Dynamics
Corp. ................................................ 18,900
200 Raytheon Co., Class B................................. 13,625
1,400 United Technologies
Corp. ................................................ 92,575
-----------
125,100
-----------
AIRLINES - 0.22%
400 Delta Air Lines, Inc. ................................ 20,325
400 * Sabre Holdings, Inc................................... 22,400
-----------
42,725
-----------
AUTO - CARS - 1.77%
300 Ford Motor Co. ....................................... 15,638
2,800 General Motors Corp.,
Class H............................................... 144,199
4,500 Hertz Corp., Class A.................................. 181,406
-----------
341,243
-----------
BANKS - NEW YORK CITY - 0.75%
3,250 Citigroup, Inc. ...................................... 144,422
-----------
BANKS - OTHER - 0.36%
200 Bank of America Corp. ................................ 12,100
750 Providian Financial
Corp. ................................................ 58,219
-----------
70,319
-----------
BANKS - REGIONAL - 0.31%
1,500 Firstar Corp. ........................................ 40,219
300 SunTrust Banks, Inc. ................................. 19,294
-----------
59,513
-----------
BEVERAGE -
BREWERS/DISTRIBUTORS - 0.46%
Anheuser-Busch
200 Companies, Inc. ...................................... 15,400
1,400 Seagram Co., Ltd. .................................... 74,288
-----------
89,688
-----------
BEVERAGE - SOFT DRINKS - 1.86%
4,400 Coca-Cola Co. ........................................ 263,174
500 Coca-Cola Enterprises,
Inc. ................................................. 14,219
2,400 PepsiCo, Inc. ........................................ 81,900
-----------
359,293
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BROADCASTING - 0.65%
1,800 Comcast Corp., Class A................................ $ 58,725
1,600* Viacom, Inc., Class B................................. 67,300
-----------
126,025
-----------
BUILDING MATERIALS - 0.33%
1,400 Lowe's Companies, Inc. ............................... 63,350
-----------
CHEMICAL - MAJOR - 0.64%
800 Dow Chemical Co. ..................................... 90,900
800 Monsanto Co. ......................................... 32,850
-----------
123,750
-----------
CONGLOMERATES - 0.89%
1,700 Tyco International, Ltd. ............................. 172,231
-----------
CONSUMER FINANCE - 0.23%
800 Capital One Financial Corp. .......................... 30,200
600 MBNA Corp. ........................................... 14,813
-----------
45,013
-----------
CONTAINERS - METAL/GLASS - 0.10%
300 Corning, Inc. ........................................ 19,950
-----------
DRUGS - 10.53%
1,600 Allergan, Inc. ....................................... 159,800
1,500 American Home Products Corp. ......................... 62,250
4,000 Amgen, Inc. .......................................... 332,750
900 Bausch & Lomb, Inc. .................................. 59,456
1,600 Biogen, Inc. ......................................... 122,800
5,300 Bristol Myers Squibb Co. ............................. 372,987
1,200 Eli Lilly and Co. .................................... 89,550
800 Immunex Corp. ........................................ 53,850
4,500 Merck & Co., Inc. .................................... 302,344
7,600 Pfizer, Inc. ......................................... 286,900
2,000 Schering-Plough Corp. ................................ 105,125
1,300 Warner-Lambert Co. ................................... 86,125
-----------
2,033,937
-----------
ELECTRICAL EQUIPMENT - 5.72%
300 Emerson Electric Co. ................................. 18,788
9,000 General Electric Co. ................................. 1,010,813
1,100 Teradyne, Inc. ....................................... 74,869
-----------
1,104,470
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ENTERTAINMENT - 1.19%
1,900 Carnival Corp., Class A............................... $ 84,906
1,050 Hasbro, Inc. ......................................... 25,659
1,200 Time Warner, Inc. .................................... 71,175
1,700 Walt Disney Co. ...................................... 47,175
-----------
228,915
-----------
FINANCIAL SERVICES - 0.28%
400 American Express Co. ................................. 55,000
-----------
FOODS - 3.27%
900 BestFoods............................................. 44,213
4,700 ConAgra, Inc. ........................................ 115,150
600 Hormel Foods Corp. ................................... 24,150
8,200 IBP, Inc. ............................................ 188,087
9,900 Nabisco Group Holdings Corp. ......................... 175,725
1,200 Nabisco Holdings Corp., Class A....................... 47,175
1,800 U.S. Foodservice...................................... 37,463
-----------
631,963
-----------
FOOTWEAR - 0.43%
1,800 NIKE, Inc., Class B................................... 83,250
-----------
FREIGHT - 0.07%
300* FDX Corp. ............................................ 12,731
-----------
GOVERNMENT SPONSORED - 0.21%
300 Federal Home Loan Mortgage Corp. ..................... 15,450
400 Federal National Mortgage Association................. 24,850
-----------
40,300
-----------
HEALTHCARE - 3.29%
550 Cardinal Health, Inc. ................................ 35,063
1,700 Lincare Holdings, Inc. ............................... 44,838
2,300 PacifiCare Health System, Inc., Class A............... 138,000
1,500 Trigon Healthcare, Inc. .............................. 54,469
3,200 United HealthCare Corp. .............................. 194,599
2,300 Wellpoint Health Networks, Inc. ...................... 167,613
-----------
634,582
-----------
HEAVY DUTY TRUCKS/PARTS - 1.03%
4,100 Navistar International Corp. ......................... 199,363
-----------
HOSPITAL MANAGEMENT - 0.43%
4,800 Tenet Healthcare Corp................................. 83,700
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
7 August 31, 1999
LARGE CAP GROWTH FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C> <C>
- --------------------------------------------------------------------------------
HOSPITAL SUPPLIES - 3.30%
3,300 Abbott Laboratories.................................. $ 143,138
3,600 Johnson & Johnson.................................... 368,100
1,600 Medtronic, Inc. ..................................... 125,200
-----------
636,438
-----------
HOUSEHOLD PRODUCTS - 3.02%
600 Clorox Co. .......................................... 27,150
5,100 Procter & Gamble Co. ................................ 506,175
714 Unilever N V - ADR................................... 49,177
-----------
582,502
-----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 7.44%
200 * Broadcom Corp. ...................................... 25,750
14,200 * Microsoft Corp. ..................................... 1,314,387
2,650 * Oracle Corp. ........................................ 96,725
-----------
1,436,862
-----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 5.89%
600 * Adaptec, Inc. ....................................... 23,400
3,300 * Apple Computer, Inc. ................................ 215,325
4,900 * Dell Computer Corp. ................................. 239,181
700 * Electronics for Imaging, Inc. ....................... 41,038
2,800 * Lexmark International
Group, Inc. ......................................... 220,500
5,000 * Sun Microsystems,
Inc. ................................................ 397,499
-----------
1,136,943
-----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 2.74%
3,700 * America Online, Inc. ................................ 337,855
400 Automatic Data
Processing, Inc. .................................... 15,725
500 * CMGI, Inc. .......................................... 41,969
700 Electronic Data Systems
Corp. ............................................... 39,288
1,400 First Data Corp. .................................... 61,600
300 * VeriSign, Inc. ...................................... 32,494
-----------
528,931
-----------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 0.14%
300 * Intuit, Inc. ........................................ 26,869
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
DATA SERVICES - 8.68%
600 * Computer Sciences Corp. ............................. $ 41,513
2,800 * E M C Corp. ......................................... 168,000
3,800 Hewlett Packard Co. ................................. 400,424
6,200 International Business Machines...................... 772,287
2,400 * Novell, Inc. ........................................ 56,850
500 * PsiNet, Inc. ........................................ 23,938
400 * Solectron Corp. ..................................... 31,300
1,400 * Unisys Corp. ........................................ 60,200
1,600 Xerox Corp. ......................................... 76,400
300 * Yahoo!, Inc. ........................................ 44,250
-----------
1,675,162
-----------
INFORMATION PROCESSING -
NETWORKING - 4.46%
12,100 * Cisco Systems, Inc. ................................. 820,530
500 * Exodus Communications, Inc. ......................... 40,188
-----------
860,718
-----------
INSURANCE - LIFE - 0.29%
1,300 Hartford Life, Inc., Class A......................... 56,469
-----------
INSURANCE - MULTILINE - 1.30%
600 Allstate Corp. ...................................... 19,688
1,625 American International Group, Inc. .................. 150,616
1,100 Marsh & McLennan Companies, Inc. .................... 80,094
-----------
250,398
-----------
LEISURE TIME - 0.08%
300 Harley-Davidson, Inc. ............................... 16,350
-----------
LODGING - 0.35%
2,000 Marriott International, Inc. ........................ 68,500
-----------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.19%
400 * Calpine Corp. ....................................... 36,250
-----------
MACHINERY - INDUSTRIAL/SPECIALTY - 0.24%
300 Johnson Controls, Inc. .............................. 20,513
600 Parker Hannifin Corp. ............................... 26,250
-----------
46,763
-----------
MEDICAL TECHNOLOGY - 0.14%
400 PE Corp.- PE Biosystems Group........................ 27,525
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISE - DRUG - 0.76%
3,500 CVS Corp. ............................................ $ 145,906
-----------
MERCHANDISE - SPECIALTY - 3.96%
1,400 * Best Buy Co., Inc. ................................... 98,350
2,700 Circuit City Stores, Inc. ............................ 116,100
400 Fortune Brands, Inc. ................................. 15,000
5,700 Home Depot, Inc. ..................................... 348,412
300 * Kohl's Corp. ......................................... 21,375
500 Sotheby's Holdings, Inc., Class A..................... 14,563
1,900 * Staples, Inc. ........................................ 41,325
400 Tandy Corp. .......................................... 18,900
1,400 Tiffany & Co. ........................................ 74,025
600 TJX Companies, Inc. .................................. 17,325
-----------
765,375
-----------
MERCHANDISING - DEPARTMENT - 0.30%
1,000 Dayton Hudson Corp. .................................. 58,000
-----------
MERCHANDISING - FOOD - 0.75%
800 Albertsons, Inc. ..................................... 38,350
2,400 * Kroger Co. ........................................... 55,500
1,100 * Safeway, Inc. ........................................ 51,219
-----------
145,069
-----------
MERCHANDISING - MASS - 1.24%
5,400 Wal-Mart Stores, Inc. ................................ 239,288
-----------
OIL - INTEGRATED INTERNATIONAL - 0.55%
1,100 Exxon Corp. .......................................... 86,763
300 Royal Dutch Petroleum Co. ............................ 18,563
-----------
105,326
-----------
OIL - SERVICES - 0.28%
800 Schlumberger, Ltd. ................................... 53,400
-----------
PAPER/FOREST PRODUCTS - 0.48%
1,000 Georgia-Pacific Corp. ................................ 41,375
900 Kimberly-Clark Corp. ................................. 51,244
-----------
92,619
-----------
PHOTOGRAPHY - 0.91%
2,400 Eastman Kodak Co. .................................... 176,250
-----------
POLLUTION CONTROL - 0.25%
4,500 * Republic Services, Inc., Class A...................... 48,938
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
8 August 31, 1999
LARGE CAP GROWTH FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PUBLISHING/PRINTING - 0.11%
400 McGraw-Hill, Inc. .................................... $ 20,675
-----------
RESTAURANTS - 0.62%
2,000 McDonald's Corp. ..................................... 82,750
900 * Tricon Global Restaurants, Inc. ...................... 36,563
-----------
119,313
-----------
SECURITIES RELATED - 1.00%
400 Bear Stearns Co., Inc. ............................... 16,650
2,700 Charles Schwab Corp. ................................. 106,649
700 * E*Trade Group, Inc. .................................. 17,500
400 Standard & Poor's Depositary Receipts................. 52,825
-----------
193,624
-----------
SEMICONDUCTOR EQUIPMENT - 0.92%
2,500 * Applied Materials, Inc. .............................. 177,656
-----------
SEMICONDUCTORS - 3.85%
8,500 Intel Corp. .......................................... 698,593
200 Texas Instruments, Inc. .............................. 16,413
400 * Xilinx, Inc. ......................................... 27,975
-----------
742,981
-----------
TELECOMMUNICATIONS - 6.59%
1,100 ALLTEL Corp. ......................................... 74,388
1,200 * Level 3 Communications, Inc. ......................... 71,700
7,100 Lucent Technologies, Inc. ............................ 454,843
2,500 * MCI Worldcom, Inc. ................................... 189,375
400 * NEXTLINK Communications, Inc. ........................ 20,150
1,500 QUALCOMM, Inc. ....................................... 288,281
4,100 * Qwest Communications
International, Inc. .................................. 117,875
1,100 Scientific-Atlanta, Inc. ............................. 56,375
-----------
1,272,987
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
TOBACCO - 1.07%
5,500 Philip Morris Companies, Inc. ........................ $ 205,906
-----------
UTILITIES - COMMUNICATION - 1.77%
2,400 AT&T Corp. ........................................... 108,000
400 BellSouth Corp. ...................................... 18,100
300 SBC Communications, Inc. ............................. 14,400
2,800 Sprint Corp. FON Group................................ 124,250
1,100 Telephone and Data Systems, Inc. ..................... 76,450
-----------
341,200
-----------
UTILITIES - ELECTRIC - 0.08%
500 Entergy Corp. ........................................ 14,906
-----------
TOTAL COMMON STOCK
(Cost $17,079,016).................................... 19,227,082
-----------
<CAPTION>
PAR
VALUE
---------
<C> <S> <C>
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 0.70%
BANKS - OTHER - 0.70%
$136,000 State Street Bank Repurchase Agreement, 5.35%, dated
08/31/99, to be repurchased at $136,020 on 09/01/99,
collateralized by U.S. Treasury Note, 4.63%, 11/30/00,
with value of $140,000 (Cost $136,000)................ 136,000
-----------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $136,000)....................................... 136,000
-----------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.13%
U.S. TREASURY BILLS - 0.13%
United States Treasury Bills:
15,000 4.54% due 09/30/99.................................... 14,945
10,000 4.30% due 09/30/99.................................... 9,965
-----------
24,910
-----------
TOTAL UNITED STATES GOVERNMENT-
SHORT TERM
(Cost $24,910)........................................ 24,910
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $17,239,926) - 100.41%.......................... $19,387,992
Other assets less liabilities, net - (0.41%).......... (78,864)
-----------
NET ASSETS - 100.00%
(equivalent to $13.96 per share on 1,383,348 shares
outstanding).......................................... $19,309,128
-----------
*Non-income producing
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
<S> <C> <C>
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S> <C>
FUTURES CONTRACTS PURCHASED(/1/)
2(/2/) (Delivery month/Value at 08/31/99)
E-mini S&P Futures
(September/$1,319.75)........................................ $(2,345)
-------
</TABLE>
(/1/) U.S. Treasury Bills with a market value of approximately $24,910 were
maintained in a segregated account with a portion placed as collateral
for futures contracts.
(/2/) Per 250.
- -------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 1,383,348 shares outstanding..................... $ 13,833
Additional paid in capital.......................................... 16,554,965
Undistributed net realized gain on securities....................... 591,864
Undistributed net investment income................................. 2,745
Unrealized appreciation (depreciation) of:
Investments............................................ $2,148,066
Futures................................................ (2,345) 2,145,721
----------- -----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................... $19,309,128
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- -------------------------------------------------------------------------------
<PAGE>
LARGE CAP GROWTH FUND - FINANCIAL STATEMENTS 9
STATEMENT OF OPERATIONS
For the Fiscal Year Ended August 31, 1999
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Dividends.......................................................... $ 80,126
Interest........................................................... 28,984
----------
Total investment income........................................... 109,110
----------
EXPENSES:
Advisory fees...................................................... 60,346
Custodian fees..................................................... 40,815
Administrative service fee......................................... 27,430
Audit fees and tax services........................................ 21,124
Trustees' fees and expenses........................................ 6,599
Accounting services................................................ 3,292
Report to shareholders............................................. 2,212
Pricing services................................................... 1,875
Miscellaneous...................................................... 3,792
----------
Total expenses.................................................... 167,485
Expense reimbursement (see Note 3)................................ (73,294)
----------
Net expenses...................................................... 94,191
----------
NET INVESTMENT INCOME.............................................. 14,919
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain on:
Investments............................................ $ 463,405
Futures contracts...................................... 128,459 591,864
----------
Net unrealized appreciation (depreciation) during the year:
Investments............................................ 2,148,066
Futures contracts...................................... (2,345) 2,145,721
---------- ----------
Net realized and unrealized gain on securities during the year... 2,737,585
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................... $2,752,504
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the period
year ended August 26, 1998
August 31, 1999 to August 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income...................... $ 14,919 $ -
Net realized gain on securities............ 591,864 -
Net unrealized appreciation of securities
during the year............................ 2,145,721 -
-----------------------------------
Increase in net assets resulting from
operations................................ 2,752,504 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income...................... (12,174) -
Net realized gain on securities............ - -
-----------------------------------
Decrease in net assets resulting from
distributions
to shareholders........................... (12,174) -
-----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold.................. 18,067,450 3,800
Proceeds from shares issued for
distributions reinvested................... 12,174 -
-----------------------------------
18,079,624 3,800
Cost of shares repurchased................. (1,514,626) -
-----------------------------------
Increase in net assets resulting from
share transactions........................ 16,564,998 3,800
-----------------------------------
TOTAL INCREASE IN NET ASSETS............... 19,305,328 3,800
NET ASSETS:
Beginning of year.......................... 3,800 -
-----------------------------------
End of year (including undistributed net
investment income of $2,745 and $0)........ $19,309,128 $3,800
-----------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................ 1,493,550 380
Shares issued for distributions
reinvested................................. 971 -
Shares repurchased......................... (111,553) -
-----------------------------------
Increase in shares outstanding............ 1,382,968 380
Shares outstanding:
Beginning of year......................... 380 -
-----------------------------------
End of year............................... 1,383,348 380
-----------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
10 August 31, 1999
MID CAP GROWTH FUND - STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK - 95.95%
ADVERTISING - 2.58%
2,100 Catalina Marketing Corp. .............................. $ 190,575
----------
APPAREL & PRODUCTS - 1.81%
2,600 Cintas Corp. .......................................... 133,575
----------
AUTO - ORIGINAL EQUIPMENT - 0.87%
1,100 Danaher Corp. ......................................... 64,625
----------
BUILDING MATERIALS - 3.59%
5,300 Fastenal Co. .......................................... 265,663
----------
DRUGS - 3.61%
5,300 * ALZA Corp. ............................................ 266,988
----------
ELECTRONIC INSTRUMENTS - 2.26%
700 * Solectron Corp. ....................................... 54,774
1,500 * Sanmina Corp. ......................................... 112,500
----------
167,274
----------
FINANCIAL SERVICES - 10.72%
5,800 Equifax, Inc. ......................................... 176,900
6,000 Franklin Resources, Inc. .............................. 215,624
5,700 Legg Mason, Inc. ...................................... 217,669
5,900 T Rowe Price Associates, Inc. ......................... 182,531
----------
792,724
----------
GOVERNMENT SPONSORED - 2.93%
4,900 SLM Holding Corp. ..................................... 216,519
----------
HEALTHCARE - 11.11%
3,900 Cardinal Health, Inc. ................................. 248,624
7,300 * Covance, Inc. ......................................... 117,256
7,300 * HCR Manor Care, Inc. .................................. 142,806
17,000 * Health Management Associates, Inc. .................... 136,000
5,700 Omnicare, Inc. ........................................ 54,863
3,400 * Quintiles Transnational Corp. ......................... 121,763
----------
821,312
----------
HOSPITAL SUPPLIES - 1.93%
4,200 * Boston Scientific Corp. ............................... 142,537
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 4.48%
4,700 Dial Corp. ............................................ $ 130,425
4,900 Newell Rubbermaid, Inc. ............................... 200,900
----------
331,325
----------
HUMAN RESOURCES - 2.24%
5,000 * Interim Services, Inc. ................................ 92,188
2,800 * Robert Half International, Inc......................... 73,500
----------
165,688
----------
INFORMATION PROCESSING - 1.73%
7,300 * Acxiom Corp. .......................................... 128,206
----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 9.43%
6,500 * BMC Software, Inc. .................................... 349,781
6,500 * Compuware Corp. ....................................... 196,219
10,800 * Parametric Technology Corp. ........................... 151,200
----------
697,200
----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 1.30%
1,600 * EMC Corp. ............................................. 96,000
----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 4.67%
2,900 * BISYS Group, Inc. ..................................... 137,750
7,050 Paychex, Inc. ......................................... 207,534
----------
345,284
----------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 3.36%
5,000 * Keane, Inc. ........................................... 108,438
8,300 * Networks Associates, Inc. ............................. 140,062
----------
248,500
----------
INFORMATION PROCESSING -
DATA SERVICES - 5.01%
5,100 * Fiserv, Inc. .......................................... 157,144
3,700 * Sterling Commerce, Inc. ............................... 70,763
7,100 * Sterling Software, Inc. ............................... 142,888
----------
370,795
----------
INSURANCE - MULTILINE - 2.31%
3,800 AFLAC, Inc. ........................................... 170,762
----------
LEISURE - TIME - 2.43%
3,300 Harley-Davidson, Inc. ................................. 179,850
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
MEDICAL TECHNOLOGY - 3.91%
4,200 PE Corp-PE Biosystems Group......................... $ 289,013
----------
MERCHANDISE - SPECIALTY - 4.51%
7,437 Dollar General Corp. ............................... 193,362
2,300 * Dollar Tree Stores, Inc. ........................... 75,900
900 * Kohl's Corp. ....................................... 64,125
----------
333,387
----------
OIL - SERVICES - 0.76%
1,200 * Smith International, Inc. .......................... 56,025
----------
SCHOOLS - 1.64%
6,100 * Sylvan Learning Systems, Inc. ...................... 121,238
----------
SEMICONDUCTORS - 3.19%
5,600 * Altera Corp. ....................................... 235,900
----------
TELECOMMUNICATIONS - 2.05%
4,100 * ADC Communications, Inc. ........................... 151,956
----------
TEXTILE-PRODUCTS - 1.52%
2,700 G & K Services, Inc., Class A....................... 112,219
----------
TOTAL COMMON STOCK
(Cost $6,770,132) .................................. 7,095,140
----------
<CAPTION>
PAR
VALUE
---------
<C> <S> <C>
CORPORATE - SHORT TERM -
REPURCHASE AGREEMENT - 4.53%
BANKS - OTHER - 4.53%
$335,000 State Street Bank Repurchase Agreement, 5.35%, dated
08/31/99, to be repurchased at $335,050 on 09/01/99
collateralized by U.S. Treasury Note, 4.63%,
11/30/00, with value of
$345,000 (Cost $335,000)............................ 335,000
----------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $335,000)..................................... 335,000
----------
TOTAL INVESTMENTS
(Cost $7,105,132) - 100.48%......................... 7,430,140
Other assets less liabilities, net - (0.48%)........ (35,679)
----------
NET ASSETS - 100.00%
(equivalent to $12.45 per share on 593,795 shares
outstanding)........................................ $7,394,461
----------
*Non-income producing
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 MID CAP GROWTH FUND - STATEMENT OF NET ASSETS 11
<TABLE>
<CAPTION>
<C> <S> <C>
- ------------------
</TABLE>
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 593,795 shares outstanding...................... $ 5,938
Additional paid in capital......................................... 6,212,148
Undistributed net realized gain on securities...................... 851,367
Unrealized appreciation of securities.............................. 325,008
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $7,394,461
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
12 MID CAP GROWTH FUND - FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the Fiscal Year Ended August 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends........................................................... $ 21,550
Interest............................................................ 14,672
----------
Total investment income............................................ 36,222
----------
EXPENSES:
Advisory fees....................................................... 43,155
Custodian fees...................................................... 26,044
Administrative service fee.......................................... 16,598
Audit fees and tax services......................................... 13,516
Trustees' fees and expenses......................................... 5,136
Accounting services................................................. 1,992
Report to shareholders.............................................. 1,200
Pricing services.................................................... 1,217
Miscellaneous....................................................... 2,752
----------
Total expenses..................................................... 111,610
Expense reimbursement (see Note 3)................................. (59,171)
----------
Net expenses....................................................... 52,439
----------
NET INVESTMENT LOSS................................................. (16,217)
----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities..................................... 867,584
Net unrealized appreciation of securities during the year........... 325,008
----------
Net realized and unrealized gain on securities during the year..... 1,192,592
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................... $1,176,375
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the period
year ended August 26, 1998
August 31, 1999 to August 31, 1998
------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment loss........................ $ (16,217) $ -
Net realized gain on securities............ 867,584 -
Net unrealized appreciation of securities
during the year............................ 325,008 -
-----------------------------------
Increase in net assets resulting from
operations................................ 1,176,375 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income...................... - -
Net realized gain on securities............ - -
-----------------------------------
Decrease in net assets resulting from
distributions
to shareholders........................... - -
-----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold.................. 6,675,852 5,400
Proceeds from shares issued for
distributions reinvested................... - -
-----------------------------------
6,675,852 5,400
Cost of shares repurchased................. (463,166) -
-----------------------------------
Increase in net assets resulting from
share transactions........................ 6,212,686 5,400
-----------------------------------
TOTAL INCREASE IN NET ASSETS............... 7,389,061 5,400
NET ASSETS:
Beginning of year.......................... 5,400 -
-----------------------------------
End of year................................ $7,394,461 $5,400
-----------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................ 627,713 540
Shares issued for distributions
reinvested................................. - -
Shares repurchased......................... (34,458) -
-----------------------------------
Increase in shares outstanding............ 593,255 540
Shares outstanding:
Beginning of year......................... 540 -
-----------------------------------
End of year............................... 593,795 540
-----------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 SMALL CAP GROWTH FUND - STATEMENT OF NET ASSETS 13
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK - 96.58%
AEROSPACE/DEFENSE - 1.72%
600 * Alliant Techsystems, Inc. ......................... $ 43,800
2,700 * L-3 Communications Holdings, Inc. ................. 107,156
1,600 * Orbital Sciences Corp. ............................ 35,499
----------
186,455
----------
AIRLINES - 0.24%
600 * Alaska Air Group, Inc. ............................ 25,950
----------
APPAREL & PRODUCTS - 2.26%
2,800 * Ann Taylor Stores Corp. ........................... 92,750
3,500 * Bebe Stores, Inc................................... 84,000
2,200 Talbots, Inc. ..................................... 68,062
----------
244,812
----------
APPLIANCES/FURNISHINGS - 0.24%
1,300 * Furniture Brands International..................... 26,081
----------
AUTO - REPLACEMENT PARTS - 0.54%
4,900 Gentek, Inc. ...................................... 58,494
----------
BANKS - OTHER - 0.29%
2,600 Sterling Bancshares, Inc. ......................... 31,200
----------
BANKS - REGIONAL - 2.85%
2,100 Bank United Corp. ................................. 72,055
225 * Centennial Bancorp................................. 2,643
500 * City National Corp. ............................... 16,594
700 Colonial BancGroup, Inc. .......................... 8,663
1,300 Commercial Federal Corp. .......................... 30,225
600 * FNB Financial Services Corp. ...................... 8,700
1,100 * Hamilton Bancorp, Inc. ............................ 26,813
1,300 Independent Bank Corp. ............................ 21,775
5,000 National Commerce Bancorp. ........................ 105,938
600 Webster Financial Corp. ........................... 16,162
----------
309,568
----------
BEVERAGE - BREWERS/DISTRIBUTORS - 0.70%
2,200 * Robert Mondavi Corp., Class A...................... 76,038
----------
BROADCASTING - 4.62%
1,600 * Entercom Communications Corp. ..................... 58,399
2,050 * Insight Communications Co. ........................ 55,863
600 * Jones Intercable, Inc. ............................ 26,325
4,700 * Nielson Media Research, Inc. ...................... 172,431
200 Radio One, Inc. ................................... 8,338
2,300 * Univision Communications, Inc. .................... 169,625
250 * Wink Communications, Inc. ......................... 10,249
----------
501,230
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CHEMICAL - MAJOR - 0.77%
4,800 Albemarle Corp. ....................................... $ 83,100
----------
CHEMICAL - MISCELLANEOUS - 2.38%
4,300 General Chemical Group, Inc. .......................... 14,781
2,600 Geon, Co. ............................................. 77,675
5,100 Georgia Gulf Corp. .................................... 116,401
3,500 Olin Corp. ............................................ 49,655
----------
258,512
----------
CONSUMER FINANCE - 0.26%
1,100 * Creditrust Corp. ...................................... 28,600
----------
CONTAINERS - PAPER - 0.41%
2,900 * Ivex Packaging Corp. .................................. 44,950
----------
COSMETICS/TOILETRIES - 0.41%
1,600 * Steiner Leisure, Ltd. ................................. 44,600
----------
DRUGS - 7.39%
3,200 * Human Genome Sciences, Inc. ........................... 217,800
500 * IDEC Pharmaceuticals Corp. ............................ 63,531
1,600 * Incyte Pharmaceuticals, Inc. .......................... 45,400
7,500 * Ligand Pharmaceuticals, Inc., Class B.................. 50,625
1,600 * Millennium Pharmaceuticals, Inc. ...................... 94,300
5,400 * SangStat Medical Corp. ................................ 111,375
1,100 * Triangle Pharmaceuticals, Inc. ........................ 20,213
11,700 * US Bioscience, Inc. ................................... 136,013
1,700 * Vertex Pharmaceuticals, Inc. .......................... 47,174
1,100 * Vical, Inc. ........................................... 14,713
----------
801,144
----------
ENTERTAINMENT - 2.13%
1,300 * Aztar Corp. ........................................... 11,943
6,300 * Cinar Corp. ........................................... 157,500
1,800 * Pixar, Inc. ........................................... 61,312
----------
230,755
----------
FINANCE COMPANIES - 0.69%
4,000 * Financial Federal Corp. ............................... 75,250
----------
FINANCIAL SERVICES - 1.60%
2,100 * Gabelli Asset Management, Inc. ........................ 33,600
2,200 Heller Financial, Inc.................................. 50,325
1,855 * Sun Bancorp, Inc. ..................................... 28,289
2,150 * TD Waterhouse Group, Inc. ............................. 32,384
1,500 * Wit Capital Group, Inc. ............................... 29,063
----------
173,661
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FOODS - 0.86%
1,400 * American Italian Pasta Co., Class A.................... $ 39,200
1,800 * Keebler Foods Co. ..................................... 53,663
----------
92,863
----------
FOOTWEAR - 1.75%
1,000 * Kenneth Cole Productions, Inc., Class A................ 34,187
2,400 K-Swiss, Inc........................................... 75,300
5,000 * Steven Madden, Ltd. ................................... 59,063
1,800 * Vans, Inc. ............................................ 20,925
----------
189,475
----------
HEALTHCARE - 1.89%
3,500 * Allscripts, Inc. ...................................... 45,281
2,800 * drkoop.com, Inc. ...................................... 47,600
400 * Kendle International, Inc. ............................ 4,175
1,100 * Medquist, Inc. ........................................ 38,293
1,500 * Osteotech, Inc. ....................................... 30,938
1,700 * Superior Consultant Holdings Corp...................... 38,888
----------
205,175
----------
HOUSEHOLD PRODUCTS - 1.42%
1,300 * Cost Plus, Inc. ....................................... 57,850
2,800 * Linens 'N Things, Inc. ................................ 95,900
----------
153,750
----------
HUMAN RESOURCES - 0.58%
2,300 * Condor Technology Solutions, Inc. ..................... 6,756
500 * On Assignment, Inc. ................................... 14,938
3,000 * Provant, Inc. ......................................... 41,250
----------
62,944
----------
INFORMATION PROCESSING - 1.08%
510 * Internet Capital Group, Inc. .......................... 38,250
1,925 * National Information Consortium, Inc. ................. 31,763
700 * Safeguard Scientifics, Inc. ........................... 47,075
----------
117,088
----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 6.67%
1,800 * 24/7 Media, Inc. ...................................... 61,649
1,300 * Actuate Software Corp. ................................ 42,888
100 * Agile Software Corp. .................................. 4,975
500 * Art Technology Group, Inc. ............................ 10,000
5,500 * Aspen Technology, Inc. ................................ 47,094
600 * CoStar Group, Inc. .................................... 17,213
2,000 * Exchange Applications, Inc. ........................... 59,750
300 * Go2Net, Inc. .......................................... 19,500
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
14 August 31, 1999
SMALL CAP GROWTH FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - Continued
3,000 * Mapics, Inc. .......................................... $ 25,875
3,900 * Microstrategy, Inc. ................................... 155,025
800 * Mission Critical Software, Inc. ....................... 32,500
2,100 * Multex.com, Inc. ...................................... 34,913
1,700 * Net Perceptions, Inc. ................................. 28,050
100 * NetIQ Corp. ........................................... 3,000
1,700 * NFront, Inc. .......................................... 22,525
2,100 * Peregrine Systems, Inc................................. 69,300
3,400 * Private Business, Inc.................................. 21,250
150 * Quest Software, Inc. .................................. 6,281
150 * Red Hat, Inc. ......................................... 12,281
2,200 * Saleslogix Corp. ...................................... 39,600
400 * Tumbleweed Communications Corp......................... 7,700
55 * US Interactive......................................... 1,141
----------
722,510
----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 4.99%
1,900 Creative Technology, Ltd. ............................. 18,644
200 * Efficient Networks, Inc. .............................. 9,388
1,050 * E-Tek Dynamics, Inc. .................................. 59,522
3,200 * In Focus Systems, Inc. ................................ 51,200
300 * Paradyne Networks, Inc. ............................... 13,219
1,000 * Pinnacle Systems, Inc. ................................ 32,625
2,600 * Polycom, Inc. ......................................... 95,063
6,000 * Radiant Systems, Inc. ................................. 118,125
1,700 * Sandisk Corp. ......................................... 143,438
----------
541,224
----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 0.06%
200 * Verticalnet, Inc. ..................................... 6,900
----------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 0.92%
3,800 * 3DO Co. ............................................... 30,638
2,200 * Liberate Technologies, Inc. ........................... 58,025
900 * Mpath Interactive, Inc. ............................... 10,632
----------
99,295
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
DATA SERVICES - 3.83%
3,700 * AppNet Systems, Inc. ................................... $ 54,112
1,800 * CBT Group, Plc. - ADR .................................. 37,800
1,400 * Diamond Tech Partners, Inc. ............................ 46,375
1,700 National Computer Systems, Inc. ........................ 66,300
2,300 * Navigant Consulting Co. ................................ 100,913
2,500 * Sykes Enterprises, Inc. ................................ 60,000
1,300 * Profit Recovery Group International, Inc. .............. 49,481
----------
414,981
----------
INFORMATION PROCESSING -
NETWORKING - 5.14%
6,600 * Concentric Network Corp. ............................... 144,787
2,200 * Exodus Communications, Inc. ............................ 176,825
700 * Net2phone, Inc. ........................................ 59,500
2,300 * Prodigy Communications Corp. ........................... 42,694
3,600 * Verio, Inc.............................................. 133,875
----------
557,681
----------
INSURANCE - CASUALTY - 0.50%
1,500 RenaissanceRe Holdings, Ltd. ........................... 54,188
----------
INSURANCE - MISCELLANEOUS - 0.23%
2,500 Fremont General Corp. .................................. 24,844
----------
LEISURE TIME - 2.42%
3,700 * Action Performance Co., Inc. ........................... 91,343
1,200 * American Classic Voyages Co. ........................... 24,450
1,100 * Anchor Gaming........................................... 53,453
1,500 * Premier Parks, Inc. .................................... 49,125
2,500 * Vail Resorts, Inc. ..................................... 44,219
----------
262,590
----------
LODGING - 0.50%
500 * MGM Grand, Inc. ........................................ 24,563
1,000 * Sun International Hotels, Ltd. ......................... 29,125
----------
53,688
----------
MACHINE TOOLS - 0.28%
1,700 Milacron, Inc. ......................................... 30,600
----------
MACHINERY - AGRICULTURE - 0.76%
1,800 AGCO Corp. ............................................. 18,563
4,100 New Holland N.V......................................... 63,550
----------
82,113
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MEDICAL TECHNOLOGY - 1.67%
1,200 * Affymetrix, Inc. ...................................... $ 102,749
4,600 * IDEXX Laboratories, Inc. .............................. 78,200
----------
180,949
----------
MERCHANDISE - SPECIALTY - 1.68%
1,500 * Bush Boake Allen, Inc. ................................ 39,094
1,200 * Etoys, Inc. ........................................... 52,200
2,200 * Hibbett Sporting Goods, Inc. .......................... 34,375
2,800 * MSC Industrial Direct Co. ............................. 26,775
3,300 * Finish Line, Inc. ..................................... 29,494
----------
181,938
----------
METALS - MISCELLANEOUS - 0.39%
1,400 Kennametal, Inc. ...................................... 37,100
500 * RTI International Metals, Inc. ........................ 4,656
----------
41,756
----------
METALS - STEEL - 0.49%
1,700 * Mueller Industries, Inc. .............................. 52,700
----------
MISCELLANEOUS - 0.18%
600 Central Parking Corp. ................................. 19,274
----------
OIL - SERVICE - PRODUCTS - 0.69%
1,800 * Cooper Cameron Corp. .................................. 74,925
----------
OIL - SERVICES - 1.89%
3,500 Devon Energy Corp. .................................... 135,188
1,500 * Smith International, Inc. ............................. 70,031
----------
205,219
----------
OIL/GAS PRODUCERS - 0.16%
800 Valero Energy/Corp. ................................... 17,000
----------
PAPER/FOREST PRODUCTS - 0.68%
4,300 Universal Forest Products, Inc. ....................... 73,906
----------
PUBLISHING/PRINTING - 0.66%
1,100 * Scholastic Corp. ...................................... 43,588
2,000 * Source Information Management Co. ..................... 27,750
----------
71,338
----------
REAL ESTATE INVESTMENT TRUSTS - 0.91%
2,300 Allied Capital Corp. .................................. 51,965
700 Arden Reality, Inc. ................................... 16,319
1,700 Indymac Mortgage Holdings, Inc. ....................... 22,844
300 Macerich Co. .......................................... 7,519
----------
98,647
----------
RESTAURANTS - 1.06%
2,900 * Papa Johns International, Inc. ........................ 115,275
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 15
SMALL CAP GROWTH FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHOOLS - 1.12%
3,400 * DeVry, Inc. ........................................... $ 70,975
2,400 * Education Management Corp. ............................ 31,050
1,600 * School Specialty, Inc. ................................ 19,800
----------
121,825
----------
SEMICONDUCTOR EQUIPMENT - 7.63%
900 * Asyst Technologies, Inc. .............................. 28,125
6,800 * ATMI, Inc. ............................................ 224,398
1,900 * Brooks Automation, Inc. ............................... 41,324
3,000 * Cognex Corp. .......................................... 90,563
2,500 * Cymer, Inc. ........................................... 87,344
700 * Electro Scientific Industries, Inc. ................... 28,000
3,900 * Gasonics International Corp. .......................... 61,425
4,200 * Intevac, Inc. ......................................... 21,000
2,200 * LAM Research Corp. .................................... 124,163
4,200 * MKS Instruments, Inc. ................................. 77,175
1,300 * Veeco Instruments, Inc. ............................... 43,631
----------
827,148
----------
SEMICONDUCTORS - 6.35%
900 * Applied Micro Circuits Corp. .......................... 83,024
5,700 * Cypress Semiconductor Corp. ........................... 131,813
1,800 * Exar Corp.............................................. 65,700
3,070 * Fairchild Semiconductor Corp. ......................... 83,274
1,300 * Galileo Technology, Inc. .............................. 67,763
600 * HI/FN, Inc. ........................................... 72,413
4,200 * Integrated Device Technology, Inc. .................... 81,900
800 * Microchip Technology, Inc. ............................ 43,800
600 * MMC Networks, Inc. .................................... 18,525
1,700 * PLX Technology, Inc. .................................. 40,800
----------
689,012
----------
TELECOMMUNICATIONS - 6.35%
3,100 * Allegiance Telecom, Inc. .............................. 186,387
4,650 * American Mobile Satellite Corp. ....................... 90,675
2,500 * Caprock Communications Corp. .......................... 61,563
1,500 * Covad Communications Group, Inc. ...................... 69,188
1,200 * MGC Communications, Inc. .............................. 27,600
2,400 * NEXTLINK Communications, Inc. ......................... 120,900
3,800 * Splitrock Services, Inc. .............................. 42,750
800 * Versatel Telecom International NV - ADR................ 10,850
700 * WinStar Communications, Inc. .......................... 35,569
----------
645,482
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
TEXTILE - PRODUCTS - 1.33%
8,600 Wellman, Inc. ...................................... $ 144,588
-----------
UTILITIES - GAS, DISTRIBUTION - 0.36%
2,300 * National-Oilwell, Inc. ............................. 39,100
-----------
TOTAL COMMON STOCK
(Cost $8,817,390)................................... 10,472,391
-----------
PREFERRED STOCK - 0.19%
OIL-INTEGRATED DOMESTIC - 0.19%
1,200 Tesoro Petroleum Corp. ............................. 20,550
-----------
TOTAL PREFERRED STOCK
(Cost $17,045)...................................... 20,550
-----------
<CAPTION>
PAR
VALUE
---------
<C> <S> <C>
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 2.75%
BANKS - OTHER - 2.75%
$298,000 State Street Bank Repurchase Agreement, 5.35%, dated
08/31/99, to be repurchased at $298,044 on 09/01/99,
collateralized by U.S. Treasury Note, 4.63%,
11/30/00, with value of $305,000 (Cost $298,000).... 298,000
-----------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $298,000)..................................... 298,000
-----------
TOTAL INVESTMENTS
(Cost $9,132,435) - 99.52%.......................... 10,790,941
Other assets less liabilities, net - 0.48%.......... 52,397
-----------
NET ASSETS - 100.00%
(equivalent to $14.86 per share on 729,534 shares
outstanding)........................................ $10,843,338
-----------
*Non-income producing
</TABLE>
<TABLE>
- -------------------------------------------------------------------------------
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 729,534 shares outstanding..................... $ 7,295
Additional paid in capital........................................ 8,133,524
Undistributed net realized gain on securities..................... 1,044,013
Unrealized appreciation of securities............................. 1,658,506
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $10,843,338
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
16 SMALL CAP GROWTH FUND - FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the Fiscal Year Ended August 31, 1999
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Dividends.......................................................... $ 24,355
Interest........................................................... 29,203
----------
Total investment income........................................... 53,558
----------
EXPENSES:
Advisory fees...................................................... 66,613
Custodian fees..................................................... 29,946
Administrative service fee......................................... 19,592
Audit fees and tax services........................................ 15,678
Trustees' fees and expenses........................................ 5,627
Accounting services................................................ 2,351
Report to shareholders............................................. 1,441
Pricing services................................................... 1,393
Miscellaneous...................................................... 3,020
----------
Total expenses.................................................... 145,661
Expense reimbursement (see Note 3)................................ (54,826)
----------
Net expenses...................................................... 90,835
----------
NET INVESTMENT LOSS................................................ (37,277)
----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities.................................... 1,104,850
Net unrealized appreciation of securities during the year.......... 1,658,506
----------
Net realized and unrealized gain on securities during the year.... 2,763,356
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................... $2,726,079
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the period
year ended August 26, 1998
August 31, 1999 to August 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment loss........................ $ (37,277) $ -
Net realized gain on securities............ 1,104,850 -
Net unrealized appreciation of securities
during the year............................ 1,658,506 -
-----------------------------------
Increase in net assets resulting from
operations................................ 2,726,079 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income...................... - -
Net realized gain on securities............ (23,560) -
-----------------------------------
Decrease in net assets resulting from
distributions
to shareholders........................... (23,560) -
-----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold.................. 8,757,239 5,200
Proceeds from shares issued for
distributions reinvested................... 23,560 -
------------------------------------
8,780,799 5,200
Cost of shares repurchased................. (645,180) -
------------------------------------
Increase in net assets resulting from
share transactions........................ 8,135,619 5,200
------------------------------------
TOTAL INCREASE IN NET ASSETS............... 10,838,138 5,200
NET ASSETS:
Beginning of year.......................... 5,200 -
------------------------------------
End of year................................ $10,843,338 $5,200
------------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................ 772,300 520
Shares issued for distributions
reinvested................................. 1,746 -
Shares repurchased......................... (45,032) -
------------------------------------
Increase in shares outstanding............ 729,014 520
Shares outstanding:
Beginning of year......................... 520 -
------------------------------------
End of year............................... 729,534 520
------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 17
INTERNATIONAL VALUE FUND - STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK - 98.80%
AEROSPACE/DEFENSE - 0.84%
4,400 Bombardier, Inc. ....................................... $ 68,419
----------
APPAREL & PRODUCTS - 0.45%
700 Societe BIC, S.A. ...................................... 36,793
----------
AUTO - CARS - 3.02%
400 Fiat SpA................................................ 13,030
2,670 Fiat SpA, Private....................................... 42,172
13,000 Nissan Motor Co......................................... 75,857
350 Peugeot, S.A............................................ 64,536
3,000 Suzuki Motor Corp. ..................................... 50,760
----------
246,355
----------
BANKS - OTHER - 5.34%
800 ABN Amro Holdings NV.................................... 19,541
8,507 Australia & New Zealand Banking
Group, Ltd.............................................. 55,451
600 Bank of Montreal........................................ 21,068
2,500 Bank of Nova Scotia..................................... 54,174
580 Banque Nationale De Paris............................... 44,499
2,550 Foreningssparbanken AB.................................. 38,434
1,000 Royal Bank of Canada.................................... 42,637
9,000 Sakura Bank, Ltd. ...................................... 47,742
2,900 Standard Charter, Plc................................... 42,765
77 UBS AG.................................................. 21,795
7,667 Westpac Banking Corp.................................... 46,590
----------
434,696
----------
BANKS - REGIONAL - 0.92%
2,500 Barclays, Plc. ......................................... 74,538
----------
BEVERAGE - BREWERS/
DISTRIBUTORS - 1.79%
2,000 Asahi Breweries......................................... 30,438
900 Heineken NV............................................. 45,016
400 Heineken Holding NV..................................... 14,836
4,127 South African Breweries, Ltd............................ 33,897
2,600 South African Breweries, Plc............................ 21,410
----------
145,597
----------
BEVERAGE - SOFT DRINKS - 0.31%
7,053 Coca-Cola Amatil, Ltd................................... 25,521
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BROADCASTING - 0.77%
800 Canal Plus.............................................. $ 55,274
1,001 News Corp, Ltd.......................................... 7,331
----------
62,605
----------
BUILDING MATERIALS - 2.83%
3,011 Cemex SA CPO -- ADR..................................... 27,475
350 Compagnie De Saint - Gobain............................. 67,874
3,528 CRH, Plc................................................ 79,259
45 Holderbank Financiere Glarus AG, Class B................ 55,567
----------
230,175
----------
CHEMICAL - MAJOR - 1.60%
2,800 BOC Group, Plc. ........................................ 59,096
607 DSM NV.................................................. 71,625
----------
130,721
----------
CHEMICAL - MISCELLANEOUS - 0.57%
1,100 Hoechst AG.............................................. 46,627
----------
CONGLOMERATES - 3.22%
7,196 Broken Hill Proprietary Co.............................. 77,559
5,000 Hutchison Whampoa....................................... 48,775
1,311 Preussag AG............................................. 74,881
51,000 Singapore Technology Engineering, Ltd................... 61,478
----------
262,693
----------
CONSUMER FINANCE - 0.68%
600 Nichiei Co., Ltd........................................ 55,425
----------
COSMETICS/TOILETRIES - 0.01%
71 Reckitt & Colman, Plc. ................................. 789
----------
DRUGS - 4.86%
2,100 Astrazeneca, Plc........................................ 82,424
200 Astrazeneca, Plc. - ADR................................. 7,875
2,724 Astrazeneca, Plc. - (SEK)............................... 106,946
45 Novartis AG............................................. 64,952
3,000 Sankyo Co............................................... 83,686
1,000 Takeda Chemical Industries.............................. 50,303
----------
396,186
----------
ELECTRICAL PRODUCTS -
MISCELLANEOUS - 2.90%
2,400 ASM Lithography Holdings, NV............................ 152,342
1,000 Siemens AG.............................................. 84,352
----------
236,694
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 8.42%
700 Hirose Electric Co. Ltd. ............................... $ 88,350
19,000 Johnson Electric Holdings, Ltd.......................... 85,639
700 Mabuchi Motor Co., Ltd.................................. 87,326
1,000 Murata Manufacturing Co., Ltd........................... 80,485
6,000 NEC Corp................................................ 97,679
1,900 Sony Corp............................................... 246,412
----------
685,891
----------
ELECTRONIC INSTRUMENTS - 3.12%
1,200 Advantest Corp.......................................... 162,982
400 Keyence Corp. .......................................... 90,911
----------
253,893
----------
ENTERTAINMENT - 1.65%
3,100 EMI Group, Plc. ........................................ 26,388
500 Nintendo Co., Ltd....................................... 86,887
200 Sony Music Entertainment................................ 21,255
----------
134,530
----------
FINANCE COMPANIES - 1.75%
5,000 3I Group................................................ 66,730
3,600 Lend Lease Corp., Ltd................................... 44,079
200 Newcourt Credit Group, Inc.............................. 2,876
300 Orix Corp............................................... 28,920
----------
142,605
----------
FINANCIAL SERVICES - 1.92%
32 Aiful Corporation....................................... 5,564
400 Compagnie Financiere de Paribas......................... 42,685
522 Deutsche Bank AG........................................ 35,646
100 Shohkoh Fund & Co., Ltd................................. 72,528
----------
156,423
----------
FOODS - 2.27%
8,600 Cadbury Schweppes, Plc.................................. 54,411
300 Groupe Danone Frf10..................................... 74,455
11 Nestle, S.A............................................. 21,776
234 Tesco, Plc.............................................. 696
3,500 Unilever, Plc........................................... 33,526
----------
184,864
----------
HOUSEHOLD PRODUCT - 0.35%
1,000 KAO Corp. .............................................. 28,440
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
18 August 31, 1999
INTERNATIONAL VALUE FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 2.77%
7,161 Asustek Computer, Inc. ................................. $ 103,835
1,000 TDK Corp................................................ 121,642
----------
225,477
----------
INFORMATION PROCESSING -
NETWORKING - 0.37%
1,100 New Bridge Networks Corp. .............................. 30,163
----------
INSURANCE - CASUALTY - 0.61%
9,000 Mitsui Marine & Fire.................................... 49,471
----------
INSURANCE - MISCELLANEOUS - 0.65%
27 Schweizerische Rueckversicherungs....................... 52,826
----------
INSURANCE - MULTILINE - 3.22%
1,640 AEGON, N.V. ............................................ 143,899
1,900 Assicurazioni Generali.................................. 64,329
6,527 Royal & Sun Alliance Insurance Group.................... 54,063
----------
262,291
----------
LODGING - 0.30%
100 Accor, S.A. ............................................ 24,140
----------
MACHINE TOOLS - 1.21%
3,000 THK Co., Ltd. .......................................... 98,502
----------
MACHINERY - INDUSTRIAL/SPECIALTY - 5.44%
17,800 Invensys, Plc. ......................................... 91,270
1,900 Mannesmann AG........................................... 292,350
7,400 TI Group, Plc. ......................................... 59,983
----------
443,603
----------
MEDICAL TECHNOLOGY - 1.40%
1,400 Degussa Ag.............................................. 54,299
1,000 Hoya Corp. ............................................. 59,997
----------
114,296
----------
MERCHANDISING - DEPARTMENT - 0.44%
6,000 Mycal Corp. ............................................ 36,218
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISING - MASS - 1.12%
2,300 * Cifra, S.A. de CV - ADR................................ $ 37,663
9,600 Coles Myer, Ltd. ...................................... 53,674
----------
91,337
----------
METALS - ALUMINUM - 1.00%
1,400 Pechiney, S.A., Class A................................ 81,745
----------
METALS - STEEL - 0.77%
1,700 Pohang Iron & Steel Co., Ltd. - ADR.................... 62,475
----------
MISCELLANEOUS - 2.43%
3,000 De Beers Cons Mines - ADR.............................. 81,563
1,700 Dixons Group, Plc. .................................... 32,130
2,200 Metallgesellschaft AG.................................. 49,891
30 Societe Generale de Surveillance
Holding, S.A. ......................................... 34,224
----------
197,808
----------
OIL - INTEGRATED INTERNATIONAL - 1.92%
10,000 Eni, SpA............................................... 60,297
1,000 Norsk Hydro ASA........................................ 41,796
6,800 Shell Transport & Trading Co. ......................... 54,381
----------
156,474
----------
OIL/GAS PRODUCERS - 0.92%
300 Total Fina, S.A. ...................................... 38,785
5,200 Woodside Petroleum, Ltd. .............................. 36,438
----------
75,223
----------
PAPER/FOREST PRODUCTS - 1.15%
2,700 UPM-Kymmene Oyj........................................ 93,704
----------
PHOTOGRAPHY - 0.83%
4,000 Nikon Corp. ........................................... 67,900
----------
PUBLISHING - NEWS - 2.76%
900 News Corp., Ltd. - ADR................................. 23,794
6,400 Reuters Group, Plc. ................................... 94,069
2,000 Singapore Press Holdings, Ltd. ........................ 33,253
2,500 Thomson Corp. ......................................... 73,736
----------
224,852
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - 0.42%
4,000 Sun Hung Kai Properties................................ $ 34,255
----------
SEMICONDUCTOR EQUIPMENT - 1.73%
2,000 Tokyo Electron, Ltd. .................................. 140,848
----------
SEMICONDUCTORS - 2.95%
1,000 Fujitsu, Ltd. ......................................... 30,909
1,600 STMicroelectronics, N.V. .............................. 106,563
3,567 * Taiwan Semiconductor - ADR............................. 103,220
----------
240,692
----------
TELECOMMUNICATIONS - 7.18%
900 Bord Telecom Eireann................................... 4,111
5,600 Colt TelecomGroup...................................... 123,151
100 Ericsson LMTEL Co. - ADR, Series B..................... 3,256
1,100 Ericsson LMTEL Co., Series B........................... 35,566
2,300 Nokia Oyj.............................................. 192,547
2 NTT Mobile Communications.............................. 33,291
8 NTT Mobile Communications W/I.......................... 132,434
2,500 Orange, Plc. .......................................... 42,240
1,100 Teleglobe.............................................. 18,797
----------
585,393
----------
TOBACCO - 0.70%
30 CIE Financ Richemont - UTS, Class A.................... 57,205
----------
UTILITIES - COMMUNICATION - 6.71%
2,000 Deutsche Telekom AG.................................... 88,803
3 NTT Corp. ............................................. 33,749
231 Swisscom AG............................................ 76,396
9,000 Telecom Italia Mobile, SpA............................. 31,282
19,900 Telecom Italia, SpA.................................... 122,136
4,710 Telefonica, S.A. ...................................... 75,367
1,600 Telefonos De Mexico - ADR.............................. 119,000
----------
546,733
----------
UTILITIES - MISCELLANEOUS - 0.21%
100 Suez Lyonnaise Des Eaux................................ 16,733
----------
TOTAL COMMON STOCK
(Cost $5,898,763)...................................... 8,050,844
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
19 August 31, 1999
INTERNATIONAL VALUE FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 2.17%
BANKS - OTHER - 2.17%
$177,000 State Street Bank Repurchase Agreement, 5.35%, dated
08/31/99, to be
repurchased at $177,026 on 09/01/99,
collateralized by U.S. Treasury Note,
4.63%, 11/30/00, with value of
$185,000 (Cost $177,000)............................... $ 177,000
----------
TOTAL CORPORATE - SHORT TERM
REPURCHASE AGREEMENT
(Cost $177,000)........................................ 177,000
----------
TOTAL INVESTMENTS
(Cost $6,075,763) - 100.97%............................ 8,227,844
Other assets less liabilities, net - (0.97%)........... (79,228)
----------
NET ASSETS - 100.00%
(equivalent to $14.72 per share on 553,756 shares
outstanding)........................................... $8,148,616
----------
*Non-income producing
</TABLE>
FORWARD CURRENCY - CONTRACTS
<TABLE>
- --------------------------------------------------------------------------------
<CAPTION>
Unrealized
Settlement Face Market Appreciation
Long/Short Date(s) Value Value (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
16,570 EUR / 2,033,030 JPY 09/20/99 $16,927 $15,862 $(1,065)
107,530 EUR / 13,471,408 JPY 12/08/99 111,219 100,855 (10,364)
16,768 EUR / 27,246 CND 10/28/99 17,873 17,483 (390)
28,064 EUR / 18,854 GBP 10/28/99 29,911 29,416 (495)
7,485 EUR / 8,027 GBP 11/04/99 8,027 7,989 (38)
45,419 EUR / 71,054 AUD 01/19/00 48,408 51,488 3,080
53,000 USD / 5,715,520 JPY 02/28/00 53,000 52,158 (842)
-------- -------- --------
$285,365 $275,251 $(10,114)
-------- -------- --------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
- -----------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized, 553,756 shares outstanding.......... $ 5,538
Additional paid in capital....................................... 5,650,627
Undistributed net realized gain on securities.................... 314,836
Undistributed net investment income.............................. 36,133
Unrealized appreciation (depreciation) of:
Investments......................................... $2,152,081
Foreign currency translations....................... (485)
Forward currency contracts translation.............. (10,114) 2,141,482
---------- ----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................ $8,148,616
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
20 INTERNATIONAL VALUE FUND - FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the Fiscal Year Ended August 31, 1999
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes of $13,577)............ $ 94,320
Interest........................................................... 16,402
----------
Total investment income........................................... 110,722
----------
EXPENSES:
Advisory fees...................................................... 64,076
Custodian fees..................................................... 24,820
Administrative service fee......................................... 16,019
Audit fees and tax services........................................ 12,954
Trustees' fees and expenses........................................ 4,824
Accounting services................................................ 1,922
Pricing services................................................... 1,161
Report to shareholders............................................. 1,148
Miscellaneous...................................................... 2,644
----------
Total expenses................................................... 129,568
Expense reimbursement (see Note 3)............................... (62,979)
----------
Net expenses..................................................... 66,589
----------
NET INVESTMENT INCOME.............................................. 44,133
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FORWARD
CURRENCY CONTRACTS:
Net realized gain (loss) on:
Investments....................................................... 351,762
Foreign currency transactions..................................... (2,100)
Forward currency contracts transaction............................ (34,826)
----------
314,836
Net unrealized appreciation (depreciation) during the year:
Investments............................................ $2,152,081
Foreign currency translation........................... (485)
Forward currency contracts translation................. (10,114) 2,141,482
---------- ----------
Net realized and unrealized gain on securities and
foreign currencies during the year............................... 2,456,318
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................... $2,500,451
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the period
year ended August 26, 1998
August 31, 1999 to August 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................... $ 44,133 $ -
Net realized gain on securities and foreign
exchange loss............................... 314,836 -
Net unrealized appreciation of securities,
foreign currencies and forward currency
contracts during the year................... 2,141,482 -
-----------------------------------
Increase in net assets resulting from
operations................................. 2,500,451 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... (8,000) -
Net realized gain on securities............. - -
-----------------------------------
Decrease in net assets resulting from
distributions
to shareholders............................ (8,000) -
-----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 6,221,423 4,800
Proceeds from shares issued for
distributions reinvested.................... 8,000 -
-----------------------------------
6,229,423 4,800
Cost of shares repurchased.................. (578,058) -
-----------------------------------
Increase in net assets resulting from
share transactions......................... 5,651,365 4,800
-----------------------------------
TOTAL INCREASE IN NET ASSETS................ 8,143,816 4,800
NET ASSETS:
Beginning of year........................... 4,800 -
-----------------------------------
End of year (including undistributed net
investment income of $36,133 and $0)........ $8,148,616 $4,800
-----------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 593,951 480
Shares issued for distributions reinvested.. 704 -
Shares repurchased.......................... (41,379) -
-----------------------------------
Increase in shares outstanding............. 553,276 480
Shares outstanding:
Beginning of year.......................... 480 -
-----------------------------------
End of year................................ 553,756 480
-----------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 LARGE CAP VALUE FUND - STATEMENT OF NET ASSETS 21
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK - 99.93%
AEROSPACE/DEFENSE - 1.39%
500 B.F. Goodrich Co....................................... $ 18,469
2,000 Boeing Co. ............................................ 90,625
----------
109,094
----------
AUTO - CARS - 2.51%
2,400 Ford Motor Co. ........................................ 125,100
400 General Motors Corp. .................................. 26,450
2,100 Meritor Automotive, Inc. .............................. 45,806
----------
197,356
----------
BANKS - NEW YORK CITY - 5.13%
6,750 Citigroup, Inc. ....................................... 299,953
800 J. P. Morgan & Co., Inc. .............................. 103,350
----------
403,303
----------
BANKS - OTHER - 6.15%
3,800 Bank of America Corp. ................................. 229,900
500 First Union Corp. ..................................... 20,750
2,800 Fleet Financial Group, Inc. ........................... 111,475
1,600 Unionbancal Corp. ..................................... 61,400
1,500 Wells Fargo Co. ....................................... 59,719
----------
483,244
----------
BANKS - REGIONAL - 6.68%
2,144 BankOne Corp. ......................................... 86,028
2,200 Chase Manhattan Corp. ................................. 184,113
700 Comerica, Inc. ........................................ 36,444
2,800 Pacific Century Financial Corp. ....................... 51,975
1,900 PNC Bank Corp. ........................................ 99,394
1,900 SouthTrust Corp. ...................................... 67,094
----------
525,048
----------
BROADCASTING - 0.85%
700 * MediaOne Group, Inc. .................................. 46,024
400 U.S. WEST, Inc. ....................................... 20,900
----------
66,924
----------
BUILDING MATERIALS - 0.72%
900 Sherwin-Williams Co. .................................. 21,937
700 USG Corp. ............................................. 34,300
----------
56,237
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CHEMICAL - MAJOR - 2.42%
600 Dow Chemical Co. ...................................... $ 68,174
1,233 E.I. du Pont de Nemours and Co. ....................... 78,141
2,200 Solutia, Inc. ......................................... 44,000
----------
190,315
----------
CHEMICAL - MISCELLANEOUS - 0.86%
1,400 * Cytec Industries, Inc. ................................ 32,638
600 * FMC Corp. ............................................. 34,950
----------
67,588
----------
CONGLOMERATES - 0.43%
1,500 Ogden Corp. ........................................... 34,125
----------
DRUGS - 0.51%
400 Allergan, Inc. ........................................ 39,950
----------
ENTERTAINMENT - 0.49%
1,400 Walt Disney Co. ....................................... 38,850
----------
FOODS - 2.02%
2,000 Dean Foods Co. ........................................ 80,500
3,400 IBP, Inc. ............................................. 77,988
----------
158,488
----------
GOVERNMENT SPONSORED - 1.50%
1,900 Federal National Mortgage Association.................. 118,038
----------
HEALTHCARE - 2.16%
800 * PacifiCare Health Systems Inc., Class A................ 48,001
900 * Trigon Healthcare, Inc. ............................... 32,681
1,100 United HealthCare Corp. ............................... 66,894
300 * Wellpoint Health Networks, Inc. ....................... 21,863
----------
169,439
----------
HEAVY DUTY TRUCKS/PARTS - 1.46%
700 Cummins Engine Co., Inc. .............................. 41,475
600 * Navistar International Corp. .......................... 29,175
800 PACCAR, Inc. .......................................... 44,100
----------
114,750
----------
HOSPITAL SUPPLIES - 1.01%
900 Baxter International, Inc. ............................ 60,357
400 C.R. Bard, Inc. ....................................... 18,650
----------
79,007
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 1.42%
200 Minnesota Mining & Manufacturing Co. .................. $ 18,900
2,300 Premark International, Inc. ........................... 76,476
1,000 ServiceMaster Co. ..................................... 16,500
----------
111,876
----------
HUMAN RESOURCES - 0.36%
1,800 * Modis Professional Services, Inc. ..................... 28,463
----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 1.41%
1,700 * Apple Computer, Inc. .................................. 110,926
----------
INFORMATION PROCESSING -
DATA SERVICES - 3.68%
700 Hewlett Packard Co. ................................... 73,763
1,100 International Business Machines........................ 137,020
1,800 Reynolds and Reynolds Co., Class A..................... 39,375
900 * Unisys Corp. .......................................... 38,700
----------
288,858
----------
INSURANCE - CASUALTY - 0.71%
2,000 Everest Reinsurance Holdings, Inc. .................... 55,500
----------
INSURANCE - LIFE - 1.51%
2,900 Conseco, Inc. ......................................... 69,600
800 Equitable Companies, Inc. ............................. 49,400
----------
119,000
----------
INSURANCE - MISCELLANEOUS - 2.08%
1,800 MGIC Investment Corp. ................................. 78,189
2,000 PMI Group, Inc. ....................................... 85,000
----------
163,189
----------
INSURANCE - MULTILINE - 2.70%
1,900 American International Group, Inc. .................... 176,107
500 Marsh & McLennan Companies, Inc. ...................... 36,406
----------
212,513
----------
LEISURE TIME - 0.71%
1,000 * Sabre Holdings Corp. .................................. 56,000
----------
MACHINERY - INDUSTRIAL/SPECIALTY - 0.94%
800 Ingersoll-Rand Co. .................................... 50,901
700 Tidewater, Inc. ....................................... 22,750
----------
73,651
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
22 August 31, 1999
LARGE CAP VALUE FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISE - SPECIALTY - 1.80%
600 * Best Buy Co., Inc. .................................... $ 42,150
900 Circuit City Stores, Inc. ............................. 38,701
500 Fortune Brands, Inc. .................................. 18,750
3,000 * Toys "R" Us, Inc. ..................................... 41,438
----------
141,039
----------
MERCHANDISING - DEPARTMENT - 1.99%
500 Dillards, Inc., Class A................................ 11,750
1,100 * Federated Department Stores, Inc. ..................... 50,600
2,400 May Department Stores Co. ............................. 93,750
----------
156,100
----------
MERCHANDISING - FOOD - 1.06%
3,700 Supervalu, Inc. ....................................... 83,250
----------
MERCHANDISING - MASS - 0.67%
1,400 Sears Roebuck and Co. ................................. 52,500
----------
OIL - INTEGRATED DOMESTIC - 1.27%
600 Amerada Hess Corp. .................................... 37,238
500 Burlington Resources, Inc. ............................ 20,906
3,000 Pennzoil-Quaker State Co. ............................. 41,625
----------
99,769
----------
OIL - INTEGRATED INTERNATIONAL - 5.54%
500 Chevron Corp. ......................................... 46,125
3,200 Exxon Corp. ........................................... 252,401
800 Mobil Corp. ........................................... 81,900
700 Murphy Oil Corp. ...................................... 35,525
300 Texaco, Inc. .......................................... 19,050
----------
435,001
----------
OIL - SERVICE - PRODUCERS - 0.50%
3,900 * Ocean Energy, Inc. .................................... 39,488
----------
OIL - SERVICES - 0.99%
1,900 York International Corp. .............................. 78,138
----------
OIL/GAS PRODUCERS - 1.87%
1,300 Apache Corp. .......................................... 59,150
3,600 * Pioneer Natural Resources Corp. ....................... 40,950
1,800 Ultramar Diamond Shamrock Corp. ....................... 47,025
----------
147,125
----------
PAPER/FOREST PRODUCTS - 3.10%
1,200 Boise Cascade Corp. ................................... 43,650
1,300 Georgia-Pacific Corp. ................................. 53,788
1,100 Kimberly-Clark Corp. .................................. 62,631
1,000 Louisiana Pacific Corp. ............................... 18,500
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS - Continued
800 Weyerhaeuser Co. ...................................... $ 45,000
500 Willamette Industries, Inc. ........................... 19,813
----------
243,382
----------
PUBLISHING - NEWS - 1.03%
1,500 Knight-Ridder, Inc. ................................... 80,906
----------
PUBLISHING/PRINTING - 1.00%
2,500 R.R. Donnelley and Sons Co. ........................... 78,438
----------
RAILROAD - 0.70%
1,900 Burlington Northern Santa Fe Corp. .................... 55,100
----------
RESTAURANTS - 0.57%
1,100 * Tricon Global Restaurants, Inc. ....................... 44,688
----------
SAVINGS & LOAN - 1.50%
3,300 Charter One Financial, Inc. ........................... 77,241
2,200 Dime Bancorp, Inc. .................................... 40,425
----------
117,666
----------
SECURITIES RELATED - 2.39%
900 Lehman Brothers Holdings, Inc. ........................ 48,375
600 Merrill Lynch & Co., Inc. ............................. 44,775
1,100 Morgan Stanley Dean Witter & Co. ...................... 94,394
----------
187,544
----------
SEMICONDUCTORS - 1.64%
1,400 Motorola, Inc. ........................................ 129,150
----------
TELECOMMUNICATIONS - 1.19%
600 ALLTEL Corp. .......................................... 40,575
700 * MCI Worldcom, Inc. .................................... 53,025
----------
93,600
----------
TOBACCO - 0.24%
500 Philip Morris Companies, Inc. ......................... 18,719
----------
UTILITIES - COMMUNICATION - 10.95%
4,048 AT&T Corp. ............................................ 182,159
2,100 Ameritech Corp. ....................................... 132,563
2,800 Bell Atlantic Corp. ................................... 171,500
3,600 BellSouth Corp. ....................................... 162,900
1,400 GTE Corp. ............................................. 96,075
2,400 SBC Communications, Inc. .............................. 115,200
----------
860,397
----------
UTILITIES - ELECTRIC - 6.85%
1,400 Allegheny Energy, Inc. ................................ 47,250
300 Ameren Corp. .......................................... 12,019
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
UTILITIES - ELECTRIC - Continued
1,300 Central & South West Corp. ............................ $ 29,413
900 Constellation Energy Group, Inc. ...................... 26,663
1,200 DTE Energy Co. ........................................ 47,325
600 Duke Energy Co. ....................................... 34,500
2,100 Edison International................................... 53,288
1,300 FirstEnergy Corp. ..................................... 37,131
900 GPU, Inc. ............................................. 30,713
2,000 LG&E Energy Corp. ..................................... 46,000
1,300 New Century Energies, Inc. ............................ 46,962
300 Peco Energy Co. ....................................... 12,188
700 PP&L Resources, Inc. .................................. 19,600
1,300 Public Service Enterprise Group, Inc. ................. 53,300
1,500 Reliant Energy, Inc. .................................. 41,531
----------
537,883
----------
UTILITIES - GAS DISTRIBUTION - 0.67%
500 MCN Energy Group, Inc. ................................ 8,938
1,700 Tosco Corp. ........................................... 43,350
----------
52,288
----------
UTILITIES - GAS PIPELINE - 0.60%
2,100 Sempra Energy.......................................... 46,856
----------
TOTAL COMMON STOCK
(Cost $7,420,662)...................................... 7,850,759
----------
TOTAL INVESTMENTS
(Cost $7,420,662) - 99.93%............................. 7,850,759
Other assets less liabilities, net - 0.07%............. 5,636
----------
NET ASSETS - 100.00%
(equivalent to $12.85 per share on 611,375 shares
outstanding)........................................... $7,856,395
----------
*Non-income producing
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 611,375 shares outstanding...................... $ 6,114
Additional paid in capital......................................... 6,399,424
Undistributed net realized gain on securities...................... 1,019,748
Undistributed net investment income................................ 1,012
Unrealized appreciation of securities.............................. 430,097
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $7,856,395
----------
</TABLE>
SEE NOTES FOR FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
LARGE CAP VALUE FUND - FINANCIAL STATEMENTS 23
STATEMENT OF OPERATIONS
For the Fiscal Year Ended August 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends....................................................... $ 124,994
Interest........................................................ 4,977
----------
Total investment
income......................................................... 129,971
----------
EXPENSES:
Advisory fees................................................... 33,827
Custodian fees.................................................. 26,404
Administrative service fee...................................... 16,913
Audit fees and tax services..................................... 13,699
Trustees' fees and expenses..................................... 5,113
Accounting services............................................. 2,030
Pricing services................................................ 1,237
Report to shareholders.......................................... 1,190
Miscellaneous................................................... 2,812
----------
Total expenses................................................. 103,225
Expense reimbursement (see Note 3)............................. (48,467)
----------
Net expenses................................................... 54,758
----------
NET INVESTMENT
INCOME.......................................................... 75,213
----------
REALIZED AND
UNREALIZED GAIN ON
SECURITIES:
Net realized gain on securities................................. 1,019,748
Net unrealized appreciation of securities during the year....... 430,097
----------
Net realized and unrealized gain on securities during the year.. 1,449,845
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................ $1,525,058
----------
</TABLE>
STATEMENT OF CHANGE IN NET ASSETS
<TABLE>
<CAPTION>
For the For the period
year ended August 26, 1998
August 31, 1999 to August 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income...................... $ 75,213 $ -
Net realized gain on securities............ 1,019,748 -
Net unrealized appreciation of securities
during the year............................ 430,097 -
-----------------------------------
Increase in net assets resulting from
operations................................ 1,525,058 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income...................... (74,349) -
Net realized gain on securities............ - -
-----------------------------------
Decrease in net assets resulting from
distributions
to shareholders........................... (74,349) -
-----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold.................. 7,688,588 3,867
Proceeds from shares issued for
distributions reinvested................... 74,349 -
-----------------------------------
7,762,937 3,867
Cost of shares repurchased................. (1,361,118) -
-----------------------------------
Increase in net assets resulting from
share transactions........................ 6,401,819 3,867
-----------------------------------
TOTAL INCREASE IN NET ASSETS............... 7,852,528 3,867
NET ASSETS:
Beginning of year.......................... 3,867 -
-----------------------------------
End of year (including undistributed net
investment income of $1,012 and $0)........ $7,856,395 $3,867
-----------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................ 705,711 387
Shares issued for distributions
reinvested................................. 5,876 -
Shares repurchased......................... (100,599) -
-----------------------------------
Increase in shares outstanding............ 610,988 387
Shares outstanding:
Beginning of year......................... 387 -
-----------------------------------
End of year............................... 611,375 387
-----------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
24 August 31, 1999
MID CAP VALUE FUND - STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK - 99.10%
AEROSPACE/DEFENSE - 2.44%
3,500 General Dynamics Corp. ................................ $ 220,500
----------
AIRLINES - 1.35%
3,000 * Continental Airlines, Inc., Class B.................... 122,438
----------
AUTO - CARS - 2.05%
3,600 * General Motors Corp., Class H.......................... 185,400
----------
AUTO - ORIGINAL EQUIPMENT - 1.91%
4,300 * Lear Corp. ............................................ 172,806
----------
AUTO - REPLACEMENT PARTS - 2.16%
2,300 * SPX Corp. ............................................. 194,925
----------
BANKS - OTHER - 2.77%
5,400 BankBoston Corp. ...................................... 250,763
----------
BANKS - REGIONAL - 0.93%
3,250 Valley National Bancorp ............................... 84,500
----------
BROADCASTING - 1.78%
8,500 A.H. Belo Corp. ....................................... 160,969
----------
BUILDING MATERIALS - 1.38%
5,100 Sherwin-Williams Co. .................................. 124,313
----------
CHEMICAL - MISCELLANEOUS - 5.10%
7,300 Lyondell Chemical Co. ................................. 106,305
3,700 Praxair, Inc. ......................................... 173,900
9,400 * W.R. Grace & Co. ...................................... 179,775
----------
459,980
----------
CONTAINERS - METAL/GLASS - 1.59%
8,800 * American National Can Group............................ 144,100
----------
ELECTRICAL EQUIPMENT - 3.54%
1,000 * Teradyne, Inc. ........................................ 68,063
6,400 * UCAR International, Inc. .............................. 156,000
2,200 W. W. Grainger, Inc. .................................. 95,837
----------
319,900
----------
FINANCE COMPANIES - 1.93%
4,600 Finova Group, Inc. .................................... 174,800
----------
FINANCIAL SERVICES - 1.42%
4,000 Countrywide Credit Industries, Inc. ................... 128,500
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FOODS - 2.26%
9,500 Food Lion, Inc., Class A............................... $ 75,109
16,000 Food Lion, Inc., Class B............................... 129,000
----------
204,109
----------
GOVERNMENT SPONSORED - 2.00%
4,100 SLM Holding Corp. ..................................... 181,169
----------
HEALTHCARE - 3.38%
2,400 * PacifiCare Health Systems Inc., Class A................ 144,000
2,200 * Wellpoint Health Networks Corp. ....................... 160,325
----------
304,325
----------
HEAVY DUTY TRUCKS/PARTS - 0.81%
1,500 * Navistar International Corp. .......................... 72,938
----------
HOSPITAL SUPPLIES - 1.74%
5,600 Becton, Dickinson and Co. ............................. 157,500
----------
INFORMATION PROCESSING - 1.55%
10,000 * Parametric Technology Corp. ........................... 140,000
----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 1.74%
2,000 * Lexmark International Group, Inc. ..................... 157,500
----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 1.86%
6,000 * Ceridian Corp. ........................................ 168,000
----------
INFORMATION PROCESSING -
DATA SERVICES - 5.65%
10,400 Comdisco, Inc. ........................................ 219,050
1,900 Computer Associates International, Inc. ............... 107,350
3,800 Galileo International, Inc. ........................... 184,300
----------
510,700
----------
INSURANCE - MISCELLANEOUS - 2.49%
7,300 Ace Limited............................................ 156,494
1,300 Ambac Financial Group, Inc. ........................... 68,656
----------
225,150
----------
INSURANCE - MULTILINE - 2.50%
1,500 CIGNA Corp. ........................................... 134,717
2,300 Cincinnati Financial Corp. ............................ 91,138
----------
225,855
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
LEISURE TIME - 0.98%
6,800 * Mirage Resorts, Inc. ................................. $ 88,825
-----------
MERCHANDISE - DRUG - 1.88%
9,200 Rite Aid Corp. ....................................... 170,200
-----------
MERCHANDISE - SPECIALTY - 2.20%
6,500 * Consolidated Stores Corp. ............................ 104,812
9,000 * Office Depot, Inc. ................................... 93,938
-----------
198,750
-----------
METALS - ALUMINUM - 0.84%
1,200 Reynolds Metals Co. .................................. 75,975
-----------
METALS - MISCELLANEOUS - 1.32%
6,000 Engelhard Corp. ...................................... 119,625
-----------
METALS - STEEL - 0.98%
4,200 AK Steel Holding Corp. ............................... 88,200
-----------
MULTIMEDIA - 1.70%
11,300 * Cadence Design Systems, Inc. ......................... 153,963
-----------
NATURAL GAS - DIVERSIFIED - 1.92%
4,000 Coastal Corp. ........................................ 173,250
-----------
OIL - INTEGRATED DOMESTIC - 2.03%
5,900 USX-Marathon Group.................................... 183,638
-----------
OIL - SERVICE - PRODUCTS - 0.71%
2,600 * Noble Drilling Corp. ................................. 64,025
-----------
OIL - SERVICES - 2.13%
4,600 McDermott International, Inc. ........................ 103,788
2,600 Transocean Offshore, Inc. ............................ 88,400
-----------
192,188
-----------
OIL/GAS PRODUCERS - 1.76%
3,500 Apache Corp. ......................................... 159,250
-----------
PAPER/FOREST PRODUCTS - 1.96%
5,500 Fort James Corp. ..................................... 177,375
-----------
POLLUTION CONTROL - 1.93%
13,700 * Allied Waste Industries, Inc. ........................ 174,675
-----------
PUBLISHING - NEWS - 2.57%
4,600 News Corp., Ltd. - ADR................................ 121,613
2,300 Scripps Co. .......................................... 110,400
-----------
232,013
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
25 August 31, 1999
MID CAP VALUE FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PUBLISHING/PRINTING - 3.66%
7,900 Dun & Bradstreet Corp. ................................ $ 206,880
2,800 Harcourt General, Inc. ................................ 122,675
----------
329,555
----------
RAILROAD - 2.33%
4,400 Burlington Northern Santa Fe Corp. .................... 127,600
1,800 Kansas City Southern Industries, Inc. ................. 83,363
----------
210,963
----------
REAL ESTATE INVESTMENT TRUSTS - 1.47%
9,900 Indymac Mortgage Holdings, Inc. ....................... 133,031
----------
SECURITIES RELATED - 2.49%
5,400 Bear Stearns Co., Inc. ................................ 224,775
----------
TELECOMMUNICATIONS - 1.41%
5,600 * American Tower Corp., Class A.......................... 127,400
----------
UTILITIES - COMMUNICATION - 1.27%
3,600 * AT&T Corp.............................................. 115,200
----------
UTILITIES - ELECTRIC - 1.83%
6,100 * Niagara Mohawk Holdings, Inc. ......................... 92,262
1,900 Unicom Corp. .......................................... 73,388
----------
165,650
----------
UTILITIES - GAS, DISTRIBUTION - 1.35%
4,800 Tosco Corp. ........................................... 122,400
----------
UTILITIES - GAS, PIPELINE - 2.05%
4,500 Williams Companies, Inc. .............................. 185,625
----------
TOTAL COMMON STOCK
(Cost $9,390,057)...................................... 8,957,691
----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 1.57%
BANKS - OTHER - 1.57%
$142,000 State Street Bank Repurchase Agreement, 5.35%, dated
08/31/99, to be
repurchased at $142,021 on 09/01/99,
collateralized by U.S. Treasury Note,
4.63%, 11/30/00, with a value of
$150,000 (Cost $142,000)................................. $ 142,000
----------
TOTAL CORPORATE SHORT TERM - REPURCHASE AGREEMENT
(Cost $142,000).......................................... 142,000
----------
TOTAL INVESTMENTS
(Cost $9,532,057) - 100.67%.............................. 9,099,691
Other assets less liabilities, net - (0.67%)............. (60,701)
----------
NET ASSETS - 100.00%
(equivalent to $13.82 per share on 653,992 shares
outstanding)............................................. $9,038,990
----------
*Non-income producing
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,unlimited
shares authorized, 653,992 shares outstanding...................... $ 6,540
Additional paid in capital......................................... 7,047,886
Undistributed net realized gain on securities...................... 2,414,422
Undistributed net investment income................................ 2,508
Unrealized depreciation of securities.............................. (432,366)
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $9,038,990
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
26 MID CAP VALUE FUND - FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the Fiscal Year Ended August 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends........................................................... $ 118,062
Interest............................................................ 11,803
----------
Total investment income............................................ 129,865
----------
EXPENSES:
Advisory fees....................................................... 54,453
Custodian fees...................................................... 27,918
Administrative service fee.......................................... 18,151
Audit fees and tax services......................................... 14,584
Trustees' fees and expenses......................................... 5,309
Accounting services................................................. 2,178
Pricing services.................................................... 1,312
Report to shareholders.............................................. 1,294
Miscellaneous....................................................... 2,926
----------
Total expenses..................................................... 128,125
Expense Reimbursement (see Note 3)................................. (51,979)
----------
Net expenses....................................................... 76,146
----------
NET INVESTMENT INCOME............................................... 53,719
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain on securities..................................... 2,554,226
Net unrealized depreciation of securities during the year........... (432,366)
----------
Net realized and unrealized gain on securities during the year..... 2,121,860
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................... $2,175,579
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the period
year ended August 26, 1998
August 31, 1999 to August 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income...................... $ 53,719 $ -
Net realized gain on securities............ 2,554,226 -
Net unrealized depreciation of securities
during the year............................ (432,366) -
-----------------------------------
Increase in net assets resulting from
operations................................ 2,175,579 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ..................... (51,583) -
Net realized gain on securities ........... (139,804) -
-----------------------------------
Decrease in net assets resulting from
distributions
to shareholders........................... (191,387) -
-----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold.................. 7,528,054 5,267
Proceeds from shares issued for
distributions reinvested................... 191,387 -
-----------------------------------
7,719,441 5,267
Cost of shares repurchased................. (669,910) -
-----------------------------------
Increase in net assets resulting from
share transactions........................ 7,049,531 5,267
-----------------------------------
TOTAL INCREASE IN NET ASSETS............... 9,033,723 5,267
NET ASSETS:
Beginning of year.......................... 5,267 -
-----------------------------------
End of year (including undistributed net
investment income of $2,508 and $0)........ $9,038,990 $5,267
-----------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................ 684,711 527
Shares issued for distributions
reinvested................................. 15,395 -
Shares repurchased......................... (46,641) -
-----------------------------------
Increase in shares outstanding ........... 653,465 527
Shares outstanding:
Beginning of year......................... 527 -
-----------------------------------
End of year............................... 653,992 527
-----------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 SMALL CAP VALUE FUND - STATEMENT OF NET ASSETS 27
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK - 89.51%
ADVERTISING - 0.05%
100 True North Communications, Inc......................... $ 3,294
----------
AEROSPACE/DEFENSE - 0.50%
200 Aviall, Inc. .......................................... 2,225
224 B.F. Goodrich Co. ..................................... 8,273
200 EG&G, Inc. ............................................ 6,363
200 * Fairchild Corp., Class A............................... 1,825
200 Gencorp, Inc. ......................................... 4,300
200 * Remec, Inc. ........................................... 2,488
100 * Sequa Corp., Class A................................... 6,763
----------
32,237
----------
AIRLINES - 0.34%
200 * Airtran Holdings, Inc. ................................ 1,106
200 * Alaska Air Group, Inc. ................................ 8,650
300 * American West Holdings Corp., Class B.................. 5,850
100 Circle International Group, Inc. ...................... 2,475
300 * Mesa Airlines, Inc. ................................... 2,063
500 * Transport World Airlines, Inc. ........................ 1,969
----------
22,113
----------
APPAREL & PRODUCTS - 1.21%
200 Brown Shoe Company, Inc. .............................. 3,475
100 Cato Corp., Class A.................................... 1,344
2,450 Claire's Stores, Inc. ................................. 46,091
100 * Donna Karan International, Inc. ....................... 825
200 * Dress Barn, Inc. ...................................... 3,013
100 * Footstar, Inc. ........................................ 3,250
100 * Gymboree Corp. ........................................ 519
200 * Jo-Ann Stores, Inc. ................................... 2,738
200 Kellwood Co. .......................................... 4,775
200 * Nautica Enterprises, Inc. ............................. 2,688
200 Phillips-Van Heusen Corp. ............................. 1,700
100 Talbots, Inc. ......................................... 3,094
100 UniFirst Corp. ........................................ 1,513
100 * United Retail Group, Inc. ............................. 1,263
100 * Value City Department Stores, Inc. .................... 1,250
----------
77,538
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
APPLIANCES/FURNISHINGS - 0.62%
100 Bassett Furniture Industries........................... $ 2,038
100 * CORT Business Services Corp. .......................... 2,505
300 * Griffon Corp. ......................................... 2,138
200 Haverty Furniture Cos, Inc............................. 3,237
400 Heilig-Meyers Co. ..................................... 2,125
300 Hussmann International, Inc. .......................... 5,100
200 Kimball International, Inc., Class B................... 3,863
300 La-Z-Boy Chair Co. .................................... 6,580
300 * Metromedia International Group, Inc. .................. 1,894
100 National Presto Industries, Inc. ...................... 3,913
600 * Sunbeam Corp. ......................................... 3,713
200 * Windmere Corp. ........................................ 2,913
----------
40,019
----------
AUTO - CARS - 0.10%
100 * Avis Rent A Car, Inc. ................................. 2,200
200 * Budget Group, Inc. .................................... 1,763
200 * United Auto Group, Inc. ............................... 2,525
----------
6,488
----------
AUTO - ORIGINAL EQUIPMENT - 0.46%
200 * Allen Telecom, Inc. ................................... 1,688
200 Arvin Industries, Inc. ................................ 7,150
100 Donaldson Co., Inc. ................................... 1,963
300 Mark IV Industries, Inc. .............................. 5,944
100 * Miller Industries, Inc. ............................... 256
100 Modine Manufacturing Co. .............................. 2,974
200 Superior Industries International, Inc. ............... 5,600
200 * Tower Automotive, Inc. ................................ 4,000
----------
29,575
----------
AUTO - REPLACEMENT PARTS - 0.41%
100 A.O. Smith Corp. ...................................... 2,713
200 * Aftermarket Technology Corp. .......................... 1,800
400 Collins & Aikman Corp. ................................ 2,125
100 * Discount Auto Parts, Inc. ............................. 1,913
100 Gentek, Inc. .......................................... 1,194
100 Kaydon Corp. .......................................... 3,068
110 Myers Industries, Inc. ................................ 2,324
300 Pep Boys-Manny, Moe & Jack............................. 4,369
100 Simpson Industries, Inc. .............................. 1,250
100 Standard Motor Products, Inc. ......................... 2,250
100 Standard Products Co., Class A......................... 3,462
----------
26,468
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKS - OTHER - 0.17%
100 Alabama National Bancorp............................... $ 2,663
150 First Merchants Corp................................... 3,436
100 Premier National Bancorp, Inc. ........................ 1,738
300 Republic Security Financial Co. ....................... 2,868
----------
10,705
----------
BANKS - REGIONAL - 6.71%
200 AMCORE Financial, Inc. ................................ 4,375
100 Anchor BanCorp Wisconsin, Inc. ........................ 1,663
100 Area Bancshares Corporation ........................... 2,500
400 BancorpSouth, Inc. .................................... 6,200
100 BancWest Corp. ........................................ 4,181
460 Bank Atlantic Bancorp, Class B......................... 3,335
200 Bank United Corp. ..................................... 6,863
200 Banknorth Group, Inc. ................................. 5,800
100 BSB Bancorp. Inc. ..................................... 2,494
100 BT Financial Corp. .................................... 2,350
200 Carolina First Corp. .................................. 4,375
125 Chemical Financial Corp. .............................. 3,906
200 Citizens Banking Corp. ................................ 5,300
100 City Holding Co. ...................................... 2,300
200 Commonwealth Bancorp, Inc. ............................ 3,588
1,500 Community First Bankshares............................. 30,797
110 Community Trust Bancorp................................ 2,475
100 Corus Bankshares, Inc. ................................ 2,863
100 CPB, Inc. ............................................. 2,306
2,350 Cullen/Frost Bankers, Inc. ............................ 61,394
100 F&M National Corp. .................................... 3,150
5,700 Fidelity National Corp. ............................... 47,737
400 First American Financial Corp., Class A................ 5,950
100 First Charter Corp. ................................... 2,175
200 First Commonwealth Financial Corp...................... 4,813
200 First Federal Capital Corp ............................ 3,138
110 First Financial Bankshares, Inc. ...................... 3,355
100 First Financial Corp. ................................. 3,700
200 First Midwest Bancorp, Inc. ........................... 7,975
100 * First Republic Bank.................................... 2,569
200 First United Bancshares, Inc. ......................... 3,138
205 FNB Corp. ............................................. 5,535
85 GBC Bancorp............................................ 1,668
110 Grand Premier Financial, Inc. ......................... 1,403
500 Greater Bay Bancorp.................................... 17,125
100 Harbor Florida Bancshares, Inc. ....................... 1,231
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
28 August 31, 1999
SMALL CAP VALUE FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKS - REGIONAL - Continued
100 Harleysville National Corp. ........................... $ 3,506
2,700 * Imperial Bancorp....................................... 45,900
500 Independence Community Bank............................ 6,188
100 Independent Bank Corp. ................................ 1,350
100 InterWest Bancorp, Inc. ............................... 2,200
100 JeffBanks, Inc. ....................................... 2,975
100 Mid-State Bancshares................................... 3,425
100 National Bancorp of Alaska, Inc. ...................... 2,619
100 National City Bancshares, Inc. ........................ 2,556
105 NBT Bancorp, Inc. ..................................... 1,982
200 Ocean Financial Corp. ................................. 3,575
300 * Ocwen Financial Corp. ................................. 2,006
100 Omega Financial Corp. ................................. 3,219
200 One Valley Bancorp, Inc. .............................. 7,649
200 * PFF Bancorp, Inc. ..................................... 3,975
200 Riggs National Corp. .................................. 3,725
100 Second Bancorp, Inc. .................................. 2,538
100 * Silicon Valley Bancshares.............................. 2,244
100 Simmons First National Corp. .......................... 3,056
300 St. Paul Bancorp, Inc. ................................ 6,524
200 Susquehanna Bancshares, Inc. .......................... 3,325
100 Texas Regional Bancshares, Inc., Class A............... 2,556
100 U.S. Bancorp, Inc. .................................... 1,472
100 UMB Financial Corp. ................................... 4,250
110 United National Bancorp................................ 2,406
300 UST Corp. ............................................. 9,112
300 Webster Financial Corp. ............................... 8,081
110 West Coast Bancorp..................................... 1,898
100 Westcorp............................................... 1,400
100 Western Bancorp........................................ 3,975
200 Whitney Holding Corp. ................................. 7,549
----------
430,963
----------
BEVERAGE - BREWERS/DISTRIBUTORS - 0.14%
100 * Canandaigua Brands, Inc., Class A...................... 5,788
100 * Robert Mondavi Corp., Class A.......................... 3,456
----------
9,244
----------
BROADCASTING - 0.51%
550 * Cox Radio, Inc., Class A............................... 29,150
200 * Sinclair Broadcast Group, Inc. ........................ 3,250
----------
32,400
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BUILDING MATERIALS - 2.48%
100 * Comfort Systems USA, Inc. ............................. $ 1,413
200 * Dal-Tile International, Inc. .......................... 1,775
200 Fedders USA, Inc. ..................................... 1,300
100 * Genlyte Group, Inc. ................................... 2,450
400 Interface, Inc., Class A............................... 3,475
1,100 Lone Star Industries, Inc. ............................ 37,813
100 * NCI Building Systems, Inc. ............................ 1,831
1,300 * Nortek, Inc. .......................................... 46,312
1,950 Texas Industries, Inc. ................................ 62,400
----------
158,769
----------
CHEMICAL - MAJOR - 0.69%
160 Albemarle Corp. ....................................... 2,770
750 Borg-Warner Automotive, Inc. .......................... 35,511
100 Chemed Corp. .......................................... 3,038
200 * Polymer Group, Inc. ................................... 2,800
----------
44,119
----------
CHEMICAL - MISCELLANEOUS - 1.69%
200 A. Schulman, Inc. ..................................... 3,588
300 * Agribiotech, Inc. ..................................... 1,172
300 * Airgas, Inc. .......................................... 3,938
100 Arch Chemicals, Inc. .................................. 1,969
200 Cambrex Corp. ......................................... 5,375
200 ChemFirst, Inc. ....................................... 5,100
100 Crompton & Knowles Corp. .............................. 1,750
1,400 * Cytec Industries, Inc. ................................ 32,637
100 Dexter Corp. .......................................... 3,644
600 Ethyl Corp. ........................................... 3,188
200 Ferro Corp. ........................................... 4,800
100 * Fisher Scientific International, Inc. ................. 1,800
100 Geon, Co. ............................................. 2,988
100 Georgia Gulf Corp. .................................... 1,819
100 H.B. Fuller Co. ....................................... 6,024
300 M.A. Hanna Co. ........................................ 4,106
100 Minerals Technologies, Inc. ........................... 4,949
200 NL Industries, Inc. ................................... 2,413
100 * Octel Corp. ........................................... 1,138
300 Olin Corp. ............................................ 4,256
200 OM Group, Inc. ........................................ 7,874
200 * W.R. Grace & Co. ...................................... 3,825
----------
108,353
----------
COAL - 0.04%
200 Consol Energy, Inc. ................................... 2,688
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONGLOMERATES - 0.33%
300 Alexander & Baldwin, Inc. ............................. $ 7,256
100 * MAXXAM, Inc. .......................................... 5,700
200 Ogden Corp. ........................................... 4,550
100 * PEC Israel Economic Corp. ............................. 3,419
----------
20,925
----------
CONSUMER FINANCE - 0.07%
300 * Arcadia Financial, Ltd. ............................... 1,706
7 Chittenden Corp. ...................................... 190
100 WesBanco, Inc. ........................................ 2,850
----------
4,746
----------
CONTAINERS - METAL/GLASS - 0.21%
100 * Alltrista Corp. ....................................... 2,500
200 AptarGroup, Inc. ...................................... 5,150
100 CLARCOR, Inc. ......................................... 1,794
100 Greif Brothers Corp., Class A.......................... 2,425
100 * Silgan Holdings, Inc. ................................. 1,800
----------
13,669
----------
CONTAINERS - PAPER - 0.16%
100 Chesapeake Corp. ...................................... 3,381
300 * Gaylord Container Corp., Class A....................... 2,419
100 * Ivex Packaging Corp. .................................. 1,550
100 Rock-Tenn Co., Class A................................. 1,413
100 * Shorewood Packaging Corp. ............................. 1,475
----------
10,238
----------
COSMETICS/TOILETRIES - 0.02%
100 * Playtex Products, Inc. ................................ 1,456
----------
DRUGS - 2.14%
100 Bindley Western Industries ............................ 1,675
200 Carter-Wallace, Inc. .................................. 3,575
100 * Copley Pharmaceutical, Inc. ........................... 1,088
3,200 * Dura Pharmaceuticals, Inc. ............................ 42,600
200 * Guilford Pharmaceuticals, Inc. ........................ 2,700
100 Herbalife International, Inc., Class A................. 1,200
2,100 * King Pharmaceuticals, Inc. ............................ 72,713
100 * Neurogen Corp. ........................................ 1,613
200 * P-Com, Inc. ........................................... 963
200 * Regeneron Pharmaceuticals, Inc. ....................... 1,900
500 * Sicor, Inc. ........................................... 2,000
200 * Vertex Pharmaceuticals, Inc. .......................... 5,550
----------
137,577
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 29
SMALL CAP VALUE FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ELECTRIC PRODUCTS -
MISCELLANEOUS - 0.08%
200 Cmp Group, Inc. ................................... $ 5,313
----------
ELECTRICAL EQUIPMENT - 1.77%
650 * ANTEC Corp. ....................................... 29,615
300 Avista Corp ....................................... 5,175
200 Belden, Inc. ...................................... 4,688
1,000 * Benchmark Electronics, Inc ........................ 36,812
200 * Cable Design Technologies Corp. ................... 4,213
200 * Electro Rent Corp. ................................ 2,425
200 * Esterline Technologies Corp. ...................... 3,275
100 General Cable Corp. ............................... 1,450
400 * Intergraph Corp. .................................. 2,225
5 * Juno Lighting, Inc. ............................... 61
200 * Kemet Corp. ....................................... 5,163
200 * Kent Electronics Corp. ............................ 3,388
100 * Pinnnacle Holdings, Inc. .......................... 2,518
100 * Stoneridge, Inc. .................................. 1,800
100 Thomas Industries, Inc. ........................... 1,944
300 * UCAR International, Inc. .......................... 7,312
100 * WESCO International, Inc. ......................... 1,263
----------
113,327
----------
ELECTRONIC INSTRUMENTS - 2.53%
100 Analogic Corp. .................................... 3,350
200 BMC Industries, Inc. .............................. 2,463
300 * Checkpoint Systems, Inc. .......................... 2,550
100 Gerber Scientific, Inc. ........................... 2,044
100 * Hadco Corp. ....................................... 4,156
100 Harman International Industries, Inc. ............. 4,250
300 * Imation Corp. ..................................... 8,456
200 * MagnaTek, Inc. .................................... 1,850
100 * Marshall Industries................................ 3,669
100 Methode Electronics, Inc., Class A................. 1,800
100 Park Electrochemical Corp.......................... 2,906
1,900 * Performance Food Group Co.......................... 49,458
200 Pioneer-Standard Electronics, Inc. ................ 2,825
200 Pittston Bax Group................................. 1,788
300 Pittston Brink's Group............................. 7,144
300 * Read-Rite Corp. ................................... 1,688
400 Sensormatic Electronics Corp. ..................... 4,675
300 Tektronix, Inc. ................................... 9,975
2,200 * Vishay Intertechnology, Inc. ...................... 47,162
----------
162,209
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ENTERTAINMENT - 0.28%
300 * Ascent Entertainment Group, Inc. .................. $ 4,087
200 * Aztar Corp. ....................................... 1,838
200 * Florida Panthers Holdings, Inc. ................... 1,988
100 Gaylord Entertainment Co. ......................... 3,050
100 * GC Companies, Inc. ................................ 3,350
100 * GTECH Holdings Corp. .............................. 2,525
100 * Trans World Entertainment Corp. ................... 1,200
----------
18,038
----------
FERTILIZERS - 0.03%
200 Mississippi Chemical Corp. ........................ 1,513
200 Terra Industries, Inc. ............................ 450
----------
1,963
----------
FINANCE COMPANIES - 0.71%
300 * Amresco, Inc. ..................................... 2,006
200 Charter Municipal Mortgage
Acceptance Co. .................................... 2,488
200 * Contifinancial Corp. .............................. 263
200 * Credit Acceptance Corp. ........................... 1,175
100 * Franchise Mtg Acceptance Co. ...................... 856
100 Freedom Securities Corp. .......................... 1,406
300 * Imperial Credit Industries, Inc. .................. 1,631
300 Phoenix Investment Partners, Ltd. ................. 2,588
200 Resource Bancshares Mortgage
Group, Inc. ....................................... 1,200
100 * Triad Guaranty, Inc. .............................. 1,950
350 U.S. Trust Corp. .................................. 29,093
300 * UniCapital Corp.................................... 1,106
----------
45,762
----------
FINANCIAL SERVICES - 1.39%
200 Advanta Corp. ..................................... 3,938
100 First Liberty Financial Corp. ..................... 2,913
200 Jefferies Group, Inc. ............................. 4,950
300 Leucadia National Corp. ........................... 6,356
100 Resource America, Inc. ............................ 1,000
3,350 Richmond Count Financial Corp. .................... 66,371
200 United Asset Management Corp. ..................... 3,913
----------
89,441
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FOODS - 2.59%
2,900 * Aurora Foods, Inc. ................................ $ 48,937
400 Chiquita Brands International, Inc. ............... 2,650
300 Corn Products International........................ 9,769
100 * Del Monte.......................................... 1,513
2,200 Earthgrains Co. ................................... 53,074
200 Imperial Sugar Co. ................................ 1,225
200 International Multifoods Corp. .................... 4,538
200 Interpool, Inc. ................................... 1,900
100 Michael Foods, Inc. ............................... 2,769
400 * NBTY, Inc. ........................................ 3,250
170 * Ralcorp Holdings, Inc. ............................ 2,784
300 Richfood Holdings, Inc. ........................... 5,494
200 Smucker, J.M. Co., Class A......................... 4,600
200 * Suiza Foods Corp. ................................. 6,375
300 Trinity Industries, Inc. .......................... 9,412
300 Universal Foods Corp. ............................. 6,338
200 * Vlasic Foods International, Inc. .................. 1,475
----------
166,103
----------
FOOTWEAR - 0.15%
200 Justin Industries, Inc. ........................... 2,856
300 * Reebok International, Ltd. ........................ 3,543
100 Stride Rite Corp. ................................. 869
200 Wolverine World Wide, Inc. ........................ 2,263
----------
9,531
----------
FREIGHT - 0.30%
100 Air Express International Corp. ................... 2,444
300 Airborne Freight Corp. ............................ 7,556
100 J.B. Hunt Transport Services, Inc. ................ 1,481
200 Overseas Shipholding Group. ....................... 2,788
100 * SEACOR SMIT, Inc. ................................. 5,194
----------
19,463
----------
HARDWARE & TOOLS - 0.03%
100 Barnes Group, Inc. ................................ 1,981
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
30 August 31, 1999
SMALL CAP VALUE FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HEALTHCARE - 0.43%
200 * AmeriPath, Inc. ................................... $ 1,875
400 * Apria Healthcare Group, Inc. ...................... 6,749
100 * First Health Group Corp. .......................... 2,156
400 * Integrated Health Services, Inc. .................. 1,225
100 Invacare Corp. .................................... 1,869
300 Laboratory Corp. of America........................ 863
20 * LTC Healtcare, Inc. ............................... 33
300 * Matria Healthcare, Inc. ........................... 1,781
200 * PhyCor, Inc. ...................................... 813
500 * Quorum Health Group, Inc. ......................... 4,405
200 * Sierra Health Services, Inc. ...................... 2,375
300 * Sun Healthcare Group, Inc. ........................ 113
200 * Sunrise Medical, Inc. ............................. 1,400
194 * US Oncology, Inc. ................................. 1,989
----------
27,646
----------
HEAVY DUTY TRUCKS/PARTS - 1.40%
100 Bandag, Inc. ...................................... 3,325
100 Detroit Diesel Corp. .............................. 2,044
1,800 * Terex Corp. ....................................... 48,374
100 Titan International, Inc. ......................... 1,113
1,650 Wabash National Corp. ............................. 34,650
----------
89,506
----------
HOME BUILDERS - 0.49%
300 D R Horton, Inc. .................................. 4,369
100 * Del Webb Corp. .................................... 2,175
300 Kaufman & Broad Home Corp. ........................ 6,131
200 M.D.C. Holdings, Inc. ............................. 3,763
200 Pulte Corp. ....................................... 4,625
100 Ryland Group, Inc. ................................ 2,406
100 Standard Pacific Corp. ............................ 1,119
200 * Toll Brothers, Inc. ............................... 4,050
100 * U.S. Home Corp. ................................... 3,000
----------
31,638
----------
HOSPITAL MANAGEMENT - 0.20%
600 * Beverly Enterprises, Inc. ......................... 3,000
400 * Coventry Health Care, Inc. ........................ 4,025
100 * DVI, Inc. ......................................... 1,681
300 * Magellan Health Services, Inc. .................... 2,738
400 Ventas, Inc. ...................................... 1,525
----------
12,969
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HOSPITAL SUPPLIES - 1.95%
200 * Acuson Corp. .......................................... $ 3,150
100 Arrow International, Inc. ............................. 2,900
6,200 * Bio-Technology General Corp. .......................... 63,162
200 * Coherent, Inc. ........................................ 3,788
100 * Datascope Corp. ....................................... 3,125
100 Diagnostic Products Corp. ............................. 2,600
4,200 Owens & Minor, Inc. ................................... 46,463
----------
125,188
----------
HOUSEHOLD PRODUCTS - 1.06%
1,300 Church & Dwight Co., Inc. ............................. 60,449
100 Libbey, Inc. .......................................... 3,063
200 Tupperware Corp. ...................................... 4,513
----------
68,025
----------
HUMAN RESOURCES - 0.31%
290 * Interim Services, Inc. ................................ 5,347
200 Kelly Services, Inc., Class A.......................... 5,625
500 Olsten Corp. .......................................... 5,125
200 * Personnel Group of America, Inc. ...................... 1,675
200 * Staffmark, Inc. ....................................... 1,944
----------
19,716
----------
INFORMATION PROCESSING - 0.21%
400 * CHS Electronics, Inc. ................................. 950
200 * Fritz Companies, Inc................................... 2,275
100 * Learn2.com, Inc. ...................................... 313
200 * Pegasystems, Inc....................................... 1,675
500 * Sybase, Inc. .......................................... 6,249
200 * Systemax, Inc.......................................... 1,863
----------
13,325
----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 0.13%
400 * Komag, Inc. ........................................... 1,275
200 * MEMC Electronic Materials, Inc......................... 3,975
500 * Merisel, Inc., Com..................................... 813
400 * Western Digitial Corp. ................................ 2,450
----------
8,513
----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 0.03%
100 * Nichols Research Corp. ................................ 2,125
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
DATA SERVICES - 3.07%
200 * Anixter Internationall, Inc. .......................... $ 4,213
200 * Applied Graphics Technology, Inc. ..................... 1,800
800 * CSG Systems International, Inc. ....................... 18,050
400 * Data General Corp. .................................... 7,375
200 * In Focus Systems, Inc. ................................ 3,200
300 * Information Resources, Inc. ........................... 3,263
100 * JDA Software Group, Inc. .............................. 894
200 MTS Systems Corp. ..................................... 2,200
300 * Mentor Graphics Corp. ................................. 2,691
1,050 National Computer Systems, Inc. ....................... 40,949
200 * Paxar Corp. ........................................... 1,738
100 * Phoenix Technologies, Ltd. ............................ 1,119
1,245 * Radisys Corp. ......................................... 47,938
300 * S3, Inc. .............................................. 3,000
300 * Sequent Computer Systems, Inc. ........................ 5,288
1,700 * Symantec Corp.......................................... 50,999
100 * Volt Information Sciences, Inc ........................ 2,406
----------
197,123
----------
INFORMATION PROCESSING -
NETWORKING - 0.07%
300 * Picturetel Corp. ...................................... 1,659
200 * Ziff-Davis, Inc. ...................................... 3,088
----------
4,747
----------
INSURANCE - CASUALTY - 0.49%
100 * Acceptance Insurance Co., Inc. ........................ 1,325
100 Baldwin & Lyons, Inc., Class B......................... 2,125
200 Commerce Group, Inc. .................................. 4,450
200 Frontier Insurance Group, Inc. ........................ 2,425
300 HCC Insurance Holdings, Inc. .......................... 4,388
100 Pma Capital Corp. ..................................... 1,981
500 Reliance Group Holdings, Inc. ......................... 2,375
100 * Risk Capital Holdings, Inc. ........................... 1,500
200 Selective Insurance Group.............................. 3,563
100 State Auto Financial Corp. ............................ 1,250
100 Stewart Information Services, Corp. ................... 2,081
100 * Superior National Insurance Group, Inc. ............... 1,481
100 Trenwick Group, Inc. .................................. 2,194
----------
31,138
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 31
SMALL CAP VALUE FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INSURANCE - LIFE - 0.50%
100 American Heritage Life Investment Corp. ............... $ 3,138
100 Guarantee Life Co., Inc................................ 2,513
100 Life USA Holding, Inc. ................................ 2,056
300 Mony Group, Inc. ...................................... 8,400
200 Presidential Life Corp. ............................... 3,600
100 StanCorp Financial Group, Inc. ........................ 2,369
200 * UICI................................................... 5,263
200 W.R. Berkley........................................... 4,549
----------
31,888
----------
INSURANCE - MISCELLANEOUS - 1.75%
1,200 Arthur J. Gallaher & Co. .............................. 65,550
100 Capital Re Corp. ...................................... 1,213
100 Chicago Title Corp. ................................... 4,531
200 Fidelity National Financial, Inc. ..................... 3,075
100 Foremost Corp. of America.............................. 2,375
100 Harleysville Group, Inc. .............................. 1,944
100 Liberty Corp. ......................................... 4,806
300 * Mid Atlantic Med Services, Inc. ....................... 2,531
200 MMI Companies, Inc. ................................... 2,663
600 Ohio Casualty Corp. ................................... 9,225
200 Radian Group, Inc. .................................... 9,263
100 SCPIE Holdings, Inc. .................................. 3,031
100 Zenith National Insurance Corp. ....................... 2,156
----------
112,363
----------
INSURANCE - MULTILINE - 1.30%
300 Alfa Corp. ............................................ 5,081
100 AmerUs Life Holdings, Inc. ............................ 2,413
100 Argonaut Group, Inc. .................................. 2,525
200 CNA Surety Corp. ...................................... 2,588
104 * Delphi Financial Group, Inc., Class A.................. 3,692
100 FBL Financial Group, Inc., Class A..................... 1,981
1,900 Horace Mann Educators Corp. ........................... 57,237
100 LandAmerica Financial Group, Inc. ..................... 2,313
210 * Medical Assurance, Inc. ............................... 5,276
----------
83,106
----------
LEISURE TIME - 2.22%
500 AMF Bowling, Inc. ..................................... 2,000
1,950 * Bally Total Fitness Holding Corp. ..................... 62,521
300 * Boyd Gaming Corp. ..................................... 1,613
300 Callaway Golf Co. ..................................... 2,981
200 * Dollar Thrifty Automotive Group, Inc. ................. 3,763
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
LEISURE TIME - Continued
300 * Handleman Co. ......................................... $ 3,975
200 * Hollywood Park, Inc. .................................. 3,388
300 * Players International, Inc. ........................... 2,278
4,400 * Sunterra Corp. ........................................ 58,025
100 * Vail Resorts, Inc. .................................... 1,769
----------
142,313
----------
LODGING - 0.32%
100 Deltic Timber Corp. ................................... 2,494
300 * Extended Stay America, Inc. ........................... 2,700
200 * Lodgian, Inc. ......................................... 875
200 Marcus Corp. .......................................... 2,388
300 Meristar Hospitality Corp. ............................ 5,062
300 * Prime Hospitality Corp. ............................... 2,794
1,200 Wyndham International, Inc. ........................... 4,275
----------
20,588
----------
MACHINE TOOLS - 0.08%
300 Milacron, Inc. ........................................ 5,400
----------
MACHINERY - AGRICULTURE - 0.12%
400 AGCO Corp. ............................................ 4,125
100 Toro Co. .............................................. 3,675
----------
7,800
----------
MACHINERY - CONSTRUCTION &
CONTRACTS - 1.18%
300 Foster Wheeler Corp. .................................. 3,881
2,150 Granite Construction, Inc. ............................ 53,749
100 * Jacobs Engineering Group, Inc. ........................ 3,300
200 Kaman Corp., Class A................................... 2,613
300 Lennar Corp. .......................................... 5,700
300 * Morrison Knudsen Corp. ................................ 3,225
100 T.J. International, Inc. .............................. 2,913
----------
75,381
----------
MACHINERY - INDUSTRIAL/SPECIALTY - 1.15%
200 AAR Corp. ............................................. 4,274
202 * Albany International Corp., Class A.................... 3,346
200 Applied Industrial Tech., Inc. ........................ 3,013
200 Baldor Electric Co. ................................... 3,550
100 Burlington Coat Factory Warehouse Corp................. 1,650
200 Exide Corp. ........................................... 2,213
300 Flowserve Corp. ....................................... 4,744
100 * Gardner Denver, Inc. .................................. 1,919
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MACHINERY - INDUSTRIAL/SPECIALTY - Continued
200 Hughes Supply, Inc. ................................... $ 4,650
100 * IDEX Corp. ............................................ 2,956
100 * Ionics, Inc. .......................................... 2,925
100 JLG Industries, Inc. .................................. 1,775
200 * Kulicke & Soffa Industries, Inc........................ 4,113
200 Lilly Industries, Inc., Class A........................ 3,175
200 Lincoln Electric Holdings, Inc......................... 4,050
100 Manitowoc Co., Inc. ................................... 3,706
100 Regal-Beloit Corp. .................................... 2,231
171 * Speedfam-ipec, Inc. ................................... 1,689
100 * SPS Technologies, Inc. ................................ 3,919
200 Stewart & Stevenson Services, Inc. .................... 2,375
400 Timken Co. ............................................ 7,024
200 Watts Industries, Inc., Class A........................ 4,400
----------
73,697
----------
MEDICAL TECHNOLOGY - 0.39%
100 * Bio-Rad Laboratories, Inc., Class A.................... 2,650
200 Celera Genomics........................................ 5,749
100 * Maxxim Med, Inc. ...................................... 2,463
200 * Quest Diagnostics, Inc. ............................... 5,288
200 * Serologicals, Corp. ................................... 1,275
200 Varian Medical Systems, Inc. .......................... 4,325
89 West Pharmaceutical Services, Inc. .................... 3,349
----------
25,099
----------
MERCHANDISE - DRUG - 0.06%
500 * Perrigo Co. ........................................... 3,969
----------
MERCHANDISE - SPECIALTY - 2.80%
1,250 * Ames Department Stores, Inc. .......................... 36,717
200 Arctic Cat, Inc. ...................................... 1,887
100 Avid Technology, Inc. ................................. 1,263
100 * Barnesandnoble.com, inc. .............................. 1,706
200 * Bombay Co, Inc. ....................................... 1,238
200 * Boyds Collection, Ltd. ................................ 2,687
200 Cash America International, Inc. ...................... 1,438
100 * Central Garden & Pet Co. .............................. 775
600 * Charming Shoppes, Inc. ................................ 3,338
400 * Compucom Systems, Inc. ................................ 1,450
500 * CompUSA, Inc. ......................................... 3,031
500 * Corporate Express, Inc. ............................... 4,453
100 * Daisytek International Corp. .......................... 1,163
100 * Department 56, Inc. ................................... 2,800
200 * Earthshell Corp. ...................................... 969
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
32 August 31, 1999
SMALL CAP VALUE FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
MERCHANDISE - SPECIALTY - Continued
100 * Finish Line, Inc. ................................... $ 894
100 * Franklin Covey Co. .................................. 775
100 Hancock Holding Co. ................................. 3,813
300 * Homebase, Inc. ...................................... 1,313
300 * Inacom Corp. ........................................ 2,925
100 Jostens, Inc. ....................................... 2,013
2,350 * Michaels Stores, Inc. ............................... 72,114
200 * Micro Warehouse, Inc. ............................... 2,450
600 * OfficeMax, Inc. ..................................... 4,538
200 O'Sullivan Industries Holdings, Inc.................. 3,150
200 * Petco Animal Supplies, Inc. ......................... 2,500
100 Russ Berrie and Co., Inc. ........................... 2,344
200 * Seitel, Inc. ........................................ 1,950
100 South Jersey Industries, Inc. ....................... 2,850
200 * Spiegel, Inc., Class A............................... 1,788
200 Sturm, Ruger & Co., Inc. ............................ 1,925
200 * Twinlab Corp. ....................................... 1,769
200 * United Stationers, Inc. ............................. 4,524
300 * US Office Products, Co. ............................. 1,163
----------
179,713
----------
MERCHANDISING - DEPARTMENT - 0.08%
300 * Borders Group, Inc. ................................. 3,993
100 Pier 1 Imports, Inc. ................................ 544
100 * Stein Mart, Inc. .................................... 694
----------
5,231
----------
MERCHANDISING - FOOD - 0.97%
300 Fleming Companies, Inc. ............................. 3,619
1,250 Great Atlantic & Pacific Tea Co., Inc................ 43,905
200 * IHOP Corp. .......................................... 4,500
100 Ingles Markets, Inc., Class A........................ 1,344
200 Ruddick Corp. ....................................... 3,713
100 Smart & Final Inc. .................................. 969
100 * Smithfield Foods, Inc. .............................. 2,937
200 * Zapata Corp.......................................... 1,188
----------
62,175
----------
MERCHANDISING - MASS - 0.65%
1,450 * ShopKo Stores, Inc. ................................. 41,506
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
METALS - ALUMINUM - 0.11%
100 * ACX Technologies, Inc. ................................ $ 1,238
200 IMCO Recycling, Inc. .................................. 3,137
300 * Kaiser Aluminum Corp. ................................. 2,681
----------
7,056
----------
METALS - COPPER - 0.17%
300 ASARCO, Inc. .......................................... 6,262
200 Southern Peru Copper Corp. ............................ 3,075
100 * Wolverine Tube, Inc. .................................. 1,538
----------
10,875
----------
METALS - MISCELLANEOUS - 0.50%
200 Brush Wellman, Inc. ................................... 3,400
100 Castle A. M. & Co. .................................... 1,450
100 Commercial Metals Co. ................................. 3,063
600 Cyprus Amax Minerals Co. .............................. 10,162
200 Kennametal, Inc. ...................................... 5,300
200 Precision Castparts Corp. ............................. 7,100
100 * RTI International Metals, Inc. ........................ 931
100 Titanium Metals Corp. ................................. 856
----------
32,262
----------
METALS - STEEL - 1.97%
500 * Armco, Inc. ........................................... 3,438
900 * Bethlehem Steel Corp. ................................. 6,919
100 Carpenter Technology Corp. ............................ 2,288
100 * Citation Corp. ........................................ 1,581
100 Cleveland-Cliffs, Inc. ................................ 3,206
100 Commercial Intertech Corp. ............................ 1,250
2,550 Gibraltar Steel Corp. ................................. 62,793
300 Harsco Corp. .......................................... 8,305
200 Intermet Corp. ........................................ 2,306
700 LTV Corp. ............................................. 4,025
200 * Metals USA, Inc. ...................................... 2,125
200 * Mueller Industries, Inc. .............................. 6,200
200 National Steel Corp., Class B.......................... 1,625
200 Oregon Steel Mills, Inc. .............................. 2,188
100 Quanex Corp. .......................................... 2,600
100 Reliance Steel & Aluminium Co. ........................ 3,313
100 Rouge Industries, Inc., Class A........................ 725
100 Ryerson Tull, Inc. .................................... 1,894
500 Worthington Industries, Inc. .......................... 7,500
100 * Wyman-Gordon Co. ...................................... 1,838
----------
126,119
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MISCELLANEOUS - 1.26%
400 * 7-eleven, Inc. ........................................ $ 825
100 ABC-Naco, Inc. ........................................ 1,419
200 AMCOL International Corp. ............................. 2,900
100 AMERCO, Inc. .......................................... 2,513
200 Arch Coal, Inc. ....................................... 2,675
4 Blount International Inc. ............................. 42
200 Brightpoint, Inc. ..................................... 706
41 Building One Services Corp. ........................... 533
100 Cabot Industrial Trust................................. 2,019
100 Integrated Electrical Services, Inc. .................. 1,525
100 * IT Group, Inc. ........................................ 1,194
200 Sola International, Inc. .............................. 3,175
700 USEC, Inc. ............................................ 7,569
200 * Veritas DGC, Inc. ..................................... 3,575
100 * Veterinary Centers of America.......................... 1,113
2,300 * Westinghouse Air Brake Co. ............................ 46,429
100 Woodward Governor Co. ................................. 2,488
----------
80,700
----------
MOBILE HOMES - 0.17%
100 Coachmen Industries, Inc. ............................. 1,581
200 Fleetwood Enterprises, Inc. ........................... 4,075
25 Monaco Coach Corp. .................................... 725
300 Oakwood Homes Corp. ................................... 1,819
100 Skyline Corp. ......................................... 2,775
----------
10,975
----------
MULTIMEDIA - 0.03%
100 Gray Communications Systems, Inc. ..................... 1,763
----------
NATURAL GAS - DIVERSIFIED - 0.62%
200 Atmos Energy Corp. .................................... 5,012
100 Eastern Enterprises.................................... 4,494
200 Laclede Gas Co. ....................................... 4,338
100 New Jersey Resources Corp. ............................ 3,875
110 * Southern Union Co. .................................... 2,303
200 Southwest Gas Corp. ................................... 5,574
200 UGI Corp. ............................................. 4,588
200 Western Gas Resources, Inc. ........................... 3,413
200 WICOR, Inc. ........................................... 5,850
----------
39,447
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 33
SMALL CAP VALUE FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
OIL - INTEGRATED DOMESTIC - 0.19%
500 Pennzoil-Quaker State Co. ............................. $ 6,937
300 Tesoro Petroleum Corp. ................................ 5,419
----------
12,356
----------
OIL - SERVICE - PRODUCTS - 1.38%
900 * BJ Services Co. ....................................... 30,825
200 * Global Industrial Technologies, Inc. .................. 2,225
200 * Global Industries, Inc. ............................... 2,238
200 * IRI International Corp. ............................... 938
200 * Maverick Tube Corp. ................................... 3,538
500 * Parker Drilling Co. ................................... 2,500
300 * Pride International, Inc. ............................. 4,463
3,400 * Santa Fe Snyder Corp. ................................. 33,148
100 SEMCO Energy, Inc. .................................... 1,450
200 * TransMontaigne, Inc. .................................. 2,400
400 * Varco International, Inc. ............................. 4,950
----------
88,675
----------
OIL - SERVICES - 1.58%
134 Devon Energy Corp. .................................... 5,176
500 Key Energy Services, Inc. ............................. 2,344
3,850 Marine Drilling Companies, Inc. ....................... 61,117
200 Mascotech, Inc. ....................................... 3,450
100 McMoRan Exploration Co. ............................... 2,019
100 Oceaneering International, Inc . ...................... 2,006
200 Offshore Logistics, Inc. .............................. 2,338
200 Pool Energy Services Co. .............................. 5,275
200 Tuboscope, Inc. ....................................... 2,913
200 U S Liquids, Inc. ..................................... 1,488
300 Unova, Inc. ........................................... 4,519
100 UTI Energy Corp. ...................................... 2,000
400 Witco Corp. ........................................... 6,475
----------
101,120
----------
OIL/GAS PRODUCERS - 1.86%
200 Cabot Oil & Gas Corp., Class A......................... 3,813
400 * EEX Corp. ............................................. 1,900
300 Equitable Resources, Inc. ............................. 11,025
900 * Grey Wolf, Inc. ....................................... 2,588
300 Helmerich & Payne, Inc. ............................... 8,269
200 * HS Resources, Inc. .................................... 3,425
300 * Input/Output, Inc. .................................... 2,213
200 * Louis Dreyfus Natural Gas Corp. ....................... 4,375
100 Mitchell Energy & Development Corp., Class A........... 2,038
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
OIL/GAS PRODUCERS - Continued
100 * Newfield Exploration Co. .............................. $ 3,038
2,900 * Nuevo Energy Co. ...................................... 50,746
300 Patterson Energy, Inc. ................................ 4,031
700 * Pioneer Natural Resources Corp. ....................... 7,963
100 St. Mary Land & Exploration Co. ....................... 2,650
100 * Swift Energy Co. ...................................... 1,263
200 * Tom Brown, Inc. ....................................... 3,288
300 Valero Energy Corp. ................................... 6,375
----------
119,000
----------
PAPER/FOREST PRODUCTS - 1.96%
100 * Boise Cascade Office Products Corp. ................... 963
200 * Buckeye Technologies, Inc. ............................ 3,175
100 Caraustar Industries, Inc. ............................ 2,269
400 Longview Fibre Co. .................................... 5,175
200 P. H. Glatfelter Co. .................................. 2,638
1,800 Potlatch Corp. ........................................ 69,524
800 Rayonier, Inc. ........................................ 33,200
100 Schweitzer-Mauduit, Inc. .............................. 1,356
100 Standard Register Co. ................................. 2,706
100 Universal Forest Products.............................. 1,719
200 Wausau-Mosinee Paper Corp. ............................ 2,750
----------
125,475
----------
PHOTOGRAPHY - 0.15%
300 Polaroid Corp. ........................................ 8,137
100 * Ultratech Stepper, Inc. ............................... 1,338
----------
9,475
----------
POLLUTION CONTROL - 0.95%
300 Calgon Carbon Corp. ................................... 2,006
6,300 * Newpark Resources, Inc. ............................... 56,700
100 * URS Corp............................................... 2,475
----------
61,181
----------
PUBLISHING - NEWS - 0.03%
200 * Network Equipment Technologies, Inc. .................. 1,750
----------
PUBLISHING/PRINTING - 1.58%
200 American Business Products, Inc. ...................... 3,000
200 Banta Corp. ........................................... 4,700
300 Bowne & Co., Inc. ..................................... 4,163
200 John H. Harland Co. ................................... 3,975
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PUBLISHING/PRINTING - Continued
100 * Journal Register Co. .................................. $ 1,538
1,750 McClatchy Company, Class A............................. 60,483
200 Merrill Corp. ......................................... 4,075
100 * Scientific Games Holdings, Corp. ...................... 2,031
300 Wallace Computer Services, Inc. ....................... 6,413
300 * World Color Press, Inc. ............................... 11,025
----------
101,403
----------
RAILROAD - 0.21%
200 Florida East Coast Industries, Inc. ................... 7,200
100 * Motivepower Industries, Inc. .......................... 1,238
300 * Wisconsin Central Transportation Corp. ................ 4,781
----------
13,219
----------
REAL ESTATE - 0.20%
100 * Castle & Cooke, Inc. .................................. 1,425
100 * CB Richard Ellis Services, Inc. ....................... 1,250
200 LNR Property Corp. .................................... 3,725
307 Republic Bancorp, Inc. ................................ 4,145
100 SL Green Realty Corp. ................................. 2,081
----------
12,626
----------
REAL ESTATE INVESTMENT TRUSTS - 6.62%
100 Alexandria Real Estate Equities, Inc. ................. 2,931
300 Allied Capital Corp.................................... 6,777
200 American Health Properties, Inc........................ 3,950
200 American Industrial Properties REIT.................... 2,238
100 Amli Residential Properties Trust...................... 2,075
100 Associated Estates Realty Corp......................... 931
200 Bedford Property Investors, Inc. ...................... 3,550
200 Berkshire Realty Co., Inc. ............................ 2,325
200 Boykin Lodging Company................................. 2,750
100 Bradley Real Estate, Inc. ............................. 1,913
2,600 Brandywine Realty Trust................................ 46,637
300 BRE Properties, Inc., Class A.......................... 7,575
300 Burnham Pacific Properties, Inc........................ 3,431
300 Camden Poperty Trust................................... 8,325
200 Capital Automotive REIT................................ 2,500
500 Capstead Mortgage Corp. ............................... 2,281
1,650 CBL & Associates Properties, Inc. ..................... 41,041
200 Center Trust, Inc...................................... 2,175
100 CenterPoint Properties Corp. .......................... 3,356
100 Chateau Communities, Inc. ............................. 2,913
100 Chelsea GCA Realty, Inc. .............................. 3,400
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
34 August 31, 1999
SMALL CAP VALUE FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - Continued
200 Colonial Properties Trust............................... $ 5,437
300 Commercial Net Lease Realty............................. 3,469
300 Cornerstone Realty Income Trust......................... 2,981
100 Crown American Realty Trust............................. 738
400 Developers Diversified Realty........................... 5,975
38 Duke-Weeks Realty Corp. ................................ 853
200 EastGroup Properties, Inc. ............................. 3,725
200 Entertainment Properties Trust.......................... 3,063
300 Equity Inns, Inc. ...................................... 2,625
100 Essex Property Trust, Inc. ............................. 3,513
200 Federal Realty Investment Trust......................... 4,375
200 First Industrial Realty Trust........................... 5,125
200 Gables Residential Trust................................ 4,788
200 Glenborough Realty Trust, Inc. ......................... 3,463
100 Glimcher Realty Trust................................... 1,525
200 Great Lakes REIT, Inc................................... 3,125
100 Health Care Property Investors, Inc..................... 2,600
200 Health Care REIT, Inc................................... 4,025
270 Healthcare Realty Trust, Inc. .......................... 5,484
100 Home Properties of NY, Inc. ............................ 2,700
300 Hospitality Properties Trust............................ 8,063
300 Imperial Credit Commercial Mortgage..................... 3,281
600 Indymac Mortgage Holdings, Inc. ........................ 8,063
300 Innkeepers USA Trust.................................... 2,719
200 IRT Property Co. ....................................... 1,963
200 JDN Realty Corp. ....................................... 4,200
200 JP Realty, Inc. ........................................ 3,875
200 Kilroy Realty Corp. .................................... 4,588
200 Koger Equity, Inc. ..................................... 3,400
300 Konover Property Trust, Inc. ........................... 1,950
100 LaSalle Hotel Properties................................ 1,444
100 Lexington Corporate Properties Trust.................... 1,119
200 LTC Properties, Inc. ................................... 2,225
200 Macerich Co. ........................................... 5,013
200 Manufactured Home Communities, Inc...................... 4,875
100 MGI Properties, Inc. ................................... 925
100 Mid-America Apartment Communities, Inc.................. 2,181
200 National Health Investors, Inc ......................... 3,550
300 Nationwide Health Properties, Inc. ..................... 4,669
200 Omega Healthcare Investors, Inc. ....................... 3,988
100 Pacific Gulf Properties, Inc. .......................... 2,188
100 Pennsylvania Real Estate
Investment Trust........................................ 1,994
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - Continued
300 Prentiss Properties Trust.............................. $ 6,806
300 Prime Retail, Inc. .................................... 2,250
100 PS Business Parks, Inc. ............................... 2,250
200 Realty Income Corp. ................................... 4,750
1,550 Reckson Associates Realty Corp., Class B............... 32,160
100 * Redwood Trust, Inc. ................................... 1,406
300 Regency Realty Corp. .................................. 6,300
200 RFS Hotel Investors, Inc. ............................. 2,288
300 * Security Capital Group, Inc............................ 4,219
200 Shurgard Storage Centers, Inc., Class A................ 5,050
100 Sovran Self Storage, Inc. ............................. 2,288
200 Storage USA, Inc. ..................................... 5,788
200 Summit Properties, Inc. ............................... 3,975
100 Sun Communities, Inc. ................................. 3,575
200 Sunstone Hotel Investors, Inc. ........................ 1,800
300 Taubman Centers, Inc. ................................. 3,825
200 Thornburg Mortgage Asset Corp. ........................ 1,838
200 TriNet Corporate Realty Trust.......................... 4,887
200 U.S. Restaurant Properties, Inc. ...................... 3,400
800 United Dominion Realty Trust........................... 9,199
100 Urban Shopping Centers, Inc. .......................... 3,069
100 Walden Residential Properties.......................... 1,881
100 Washington Real Estate Investments Trust............... 1,613
100 Weingarten Realty Investors............................ 3,950
200 * Wellsford Real Properties, Inc. ....................... 1,837
200 Western Properties Trust............................... 2,213
200 Westfield America, Inc. ............................... 2,900
----------
424,453
----------
RESTAURANTS - 1.37%
200 * Advantica Restaurant Corp. ............................ 613
1,850 Applebees International, Inc. ......................... 57,464
300 Bob Evans Farms, Inc. ................................. 6,113
400 * Buffets, Inc. ......................................... 4,475
400 CBRL Group, Inc. ...................................... 5,250
200 CKE Restaurants, Inc. ................................. 1,613
300 * Landry's Seafood Restaurants, Inc. .................... 2,550
200 * Lone Star Steakhouse & Saloon.......................... 1,525
200 Luby's, Inc. .......................................... 2,675
300 * Ryan's Family Steak Houses, Inc. ...................... 2,906
100 * Sbarro, Inc. .......................................... 2,750
----------
87,934
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SAVINGS & LOAN - 2.43%
100 Alliance Bancorp....................................... $ 2,150
100 Andover Bancorp........................................ 3,150
100 Bay View Capital Corp. ................................ 1,631
100 Brookline Bancorp, Inc. ............................... 1,088
500 Capital Federal Financial.............................. 5,063
300 CFS Bancorp, Inc. ..................................... 3,206
100 Dime Community Bancshares.............................. 2,175
100 Downey Financial Corp. ................................ 2,125
105 F&M Bancorp/Frederick.................................. 3,019
1,500 First Financial Holdings, Inc. ........................ 28,125
200 First Sentinel Bancorp, Inc. .......................... 1,775
200 First Washington Bancorp, Inc. ........................ 3,750
200 * FirstFed Financial Corp. .............................. 3,050
100 JSB Financial, Inc. ................................... 5,313
100 * Local Financial Corp. ................................. 956
200 MAF Bancorp, Inc. ..................................... 4,250
2,610 Provident Bankshares Corp. ............................ 62,966
100 Reliance Bancorp, Inc. ................................ 3,456
300 Seacoast Financial Services Co. ....................... 3,338
300 Staten Island Bancorp, Inc. ........................... 5,381
200 United Community Financial Co. ........................ 2,413
300 Washington Federal, Inc. .............................. 7,163
----------
155,543
----------
SECURITIES RELATED - 1.92%
100 Dain Rauscher Corp. ................................... 4,963
200 Enhance Financial Services Group, Inc. ................ 4,100
1,800 Investors Financial Services Corp. .................... 65,924
1,150 Legg Mason, Inc. ...................................... 43,916
100 Liberty Financial Companies, Inc. ..................... 2,575
100 Morgan Keegan, Inc. ................................... 1,694
----------
123,172
----------
SEMICONDUCTOR EQUIPMENT - 0.76%
1,400 * ATMI, Inc. ............................................ 46,200
100 * Varian Semiconductor Equipment Associates, Inc. ....... 2,275
----------
48,475
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 35
SMALL CAP VALUE FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SEMICONDUCTORS - 1.46%
100 * Actel Corp. ....................................... $ 1,569
200 * Alliance Semiconductor Corp. ...................... 2,238
400 * Cirrus Logic, Inc. ................................ 4,475
100 Cohu, Inc. ........................................ 4,275
300 * Cypress Semiconductor Corp. ....................... 6,938
100 * Electroglas, Inc. ................................. 1,925
200 * ESS Technology, Inc. .............................. 2,525
600 * Integrated Device Technology, Inc. ................ 11,698
300 * International Rectifier Corp. ..................... 4,838
200 * MRV Communications, Inc. .......................... 3,688
200 * Silicon Valley Group, Inc. ........................ 2,375
950 * TranSwitch Corp. .................................. 47,203
----------
93,747
----------
TELECOMMUNICATIONS - 1.04%
500 * Andrew Corp. ...................................... 8,750
100 * Anicom, Inc. ...................................... 619
200 * Aspect Telecommunications Co. ..................... 2,213
100 * CoreComm Limited................................... 5,125
300 * General Communication, Inc. ....................... 1,828
400 * Glenayre Technologies, Inc. ....................... 1,250
1,150 L-3 Communications Holdings, Inc. ................. 45,640
200 * Paging Network, Inc. .............................. 619
100 * Premier Technologies, Inc. ........................ 653
----------
66,697
----------
TEXTILE - PRODUCTS - 0.28%
400 * Burlington Industries, Inc. ....................... 2,275
100 * Dan River Inc., Class A............................ 700
100 Guilford Mills, Inc. .............................. 944
200 * Lydall, Inc. ...................................... 2,163
200 Russell Corp. ..................................... 3,350
400 * Unifi, Inc. ....................................... 5,399
200 Wellman, Inc. ..................................... 3,363
----------
18,194
----------
TOBACCO - 0.15%
100 Brooke Group, Ltd. ................................ 1,944
300 DIMON, Inc. ....................................... 1,294
100 * General Cigar Holdings, Inc. ...................... 644
200 Universal Corp. ................................... 5,674
----------
9,556
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TRUCKERS - 1.10%
100 * American Freightways Corp. ........................ $ 2,100
200 Arnold Industries, Inc. ........................... 2,850
200 * Consolidated Freightways Corp. .................... 2,163
100 * Heartland Express, Inc. ........................... 1,488
100 * M.S. Carriers, Inc. ............................... 2,850
100 Roadway Express, Inc. ............................. 2,106
400 Rollins Truck Leasing Corp. ....................... 4,150
200 USFreightways Corp. ............................... 9,700
1,900 Werner Enterprises, Inc. .......................... 40,196
200 * Yellow Corp. ...................................... 3,175
----------
70,778
----------
UTILITIES - COMMUNICATION - 0.03%
100 PXRE Corp. ........................................ 1,694
----------
UTILITIES - ELECTRIC - 3.07%
80 Carolina Power & Light Co. ........................ 2,910
900 CILCORP, Inc. ..................................... 57,993
100 Cleco Corp. ....................................... 3,325
100 Commonwealth Energy System Co. .................... 4,375
100 Eastern Utilities Associates....................... 2,994
400 * El Paso Electric Co. .............................. 3,675
100 Empire District Electric Co. ...................... 2,550
200 Hawaiian Electric Industries....................... 7,113
300 Idacorp, Inc. ..................................... 9,394
233 Indiana Energy, Inc. .............................. 4,937
200 Madison Gas & Electric Co. ........................ 3,950
2,000 Northwestern Corp. ................................ 49,497
100 Otter Tail Power Co. .............................. 3,981
300 Public Service Co. of New Mexico................... 5,644
300 RGS Energy Group, Inc. ............................ 7,763
288 Sierra Pacific Resources........................... 7,020
200 SIG Corp, Inc. .................................... 5,363
100 TNP Enterprises, Inc. ............................. 3,738
200 * Unisource Energy Corp. ............................ 2,388
300 Washington Gas Light Co. .......................... 8,006
----------
196,616
----------
UTILITIES - GAS, DISTRIBUTION - 0.67%
400 AGL Resources, Inc. ............................... 7,224
100 Connecticut Energy Corp. .......................... 3,738
200 Energen Corp. ..................................... 3,775
300 * National-Oilwell, Inc. ............................ 5,100
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES - GAS, DISTRIBUTION - Continued
200 Northwest Natural Gas Co. ......................... $ 5,000
100 NUI Corp. ......................................... 2,563
200 Piedmont Natural Gas Co., Inc. .................... 6,712
100 Public Service Co. of North Carolina............... 3,050
200 Southwestern Energy Co. ........................... 1,788
100 Yankee Energy Systems, Inc. ....................... 4,100
----------
43,050
----------
UTILITIES - GAS, PIPELINE - 0.10%
200 ONEOK, Inc. ....................................... 6,213
----------
UTILITIES - MISCELLANEOUS - 0.91%
100 Central Hudson Gas & Electric Corp................. 4,225
1,900 MDU Resources Group, Inc. ......................... 44,650
300 * Walter Industries, Inc. ........................... 3,713
200 WPS Resources Corp. ............................... 5,825
----------
58,413
----------
WATER SERVICES - 0.36%
100 American States Water Co. ......................... 3,525
100 California Water Service Group..................... 2,988
100 E'Town Corp. ...................................... 5,075
200 Philadelphia Suburban Corp. ....................... 4,638
200 United Water Resources............................. 6,699
----------
22,925
----------
TOTAL COMMON STOCK
(Cost $5,684,043).................................. 5,741,540
----------
PREFERRED STOCK - 0.02%
22 Superior Trust I................................... 1,004
----------
TOTAL PREFERRED STOCK
(Cost $650)........................................ 1,004
----------
<CAPTION>
PAR
VALUE
---------
<C> <S> <C>
UNITED STATES GOVERNMENT -
SHORT TERM - 0.78%
UNITED STATES TREASURY BILLS - 0.78%
$50,000 United States Treasury Bills,
4.49% due 09/09/99................................. 49,950
----------
TOTAL UNITED STATES GOVERNMENT - SHORT TERM
(Cost $49,950)..................................... 49,950
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
36 August 31, 1999
SMALL CAP VALUE FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CORPORATE - SHORT TERM -
REPURCHASE AGREEMENT - 12.35%
BANKS - OTHER - 12.35%
$792,000 State Street Bank Repurchase Agreement,
5.35%, dated 08/31/99, to be
repurchased at $792,118 on 09/01/99,
collateralized by U.S. Treasury Note,
4.63%, 11/30/00, with value of
$815,000 (Cost $792,000)................................. $ 792,000
----------
TOTAL CORPORATE - SHORT TERM -
REPURCHASE AGREEMENT
(Cost $792,000).......................................... 792,000
----------
TOTAL INVESTMENTS
(Cost $6,526,643) - 102.66%.............................. 6,584,494
Other assets less liabilities, net - (2.66%)............. (170,378)
----------
NET ASSETS - 100.00%
(equivalent to $10.48 per share on
611,952 shares outstanding).............................. $6,414,116
----------
*Non-income producing
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
<C> <S> <C>
- -------------------------------------------------------------------------------
<C> <S> <C>
FUTURES CONTRACTS PURCHASED(/1/)
2(/2/) (Delivery month/Value at 08/31/99)
Russell 2000 Futures
(September/$428.40)................................... $ (17,100)
-----------
</TABLE>
(/1/) U.S. Treasury Bills with a market value of approximately $49,950 were
maintained in a segregated account with a portion placed as collateral
for futures contracts.
(/2/) Per 50
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized, 611,952 shares
outstanding.................................................. $ 6,120
Additional paid in capital.................................... 6,164,857
Undistributed net realized gain on securities................. 200,383
Undistributed net investment income........................... 2,005
Unrealized appreciation (depreciation) of:
Investments......................................... $ 57,851
Futures............................................. (17,100) 40,751
-------- ----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING......................................... $6,414,116
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
SMALL CAP VALUE FUND - FINANCIAL STATEMENTS 37
STATEMENT OF OPERATIONS
For the Fiscal Year Ended August 31, 1999
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends.......................................................... $108,179
Interest........................................................... 23,831
--------
Total investment income........................................... 132,010
--------
EXPENSES:
Advisory fees...................................................... 43,369
Custodian fees..................................................... 22,491
Administrative service fee......................................... 14,456
Audit fees and tax services........................................ 11,852
Trustees' fees and expenses........................................ 4,591
Accounting services................................................ 1,735
Pricing services................................................... 1,058
Report to shareholders............................................. 977
Miscellaneous...................................................... 2,485
--------
Total expenses.................................................... 103,014
Expense reimbursement (see Note 3)................................ (46,372)
--------
Net expenses...................................................... 56,642
--------
NET INVESTMENT INCOME.............................................. 75,368
--------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain on securities.................................... 267,470
Net unrealized appreciation (depreciation) during the year:
Investments............................................... $57,851
Futures contracts......................................... (17,100) 40,751
------- --------
Net realized and unrealized gain on securities during the year... 308,221
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................... $383,589
--------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the period
year ended August 26, 1998
August 31, 1999 to August 31, 1998
------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income...................... $ 75,368 $ -
Net realized gain on securities............ 267,470 -
Net unrealized appreciation of securities
during the year............................ 40,751 -
------------------------------------
Increase in net assets resulting from
operations................................ 383,589 -
------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM: -
Net investment income...................... (73,535) -
Net realized gain on securities............ (67,087) -
------------------------------------
Decrease in net assets resulting from
distributions
to shareholders........................... (140,622) -
------------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold.................. 6,409,530 5,133
Proceeds from shares issued for
distributions reinvested................... 140,622 -
------------------------------------
6,550,152 5,133
Cost of shares repurchased................. (384,136) -
------------------------------------
Increase in net assets resulting from
share transactions........................ 6,166,016 5,133
------------------------------------
TOTAL INCREASE IN NET ASSETS............... 6,408,983 5,133
NET ASSETS:
Beginning of year.......................... 5,133 -
------------------------------------
End of year (including undistributed net
investment income of $2,005 and $0)........ $6,414,116 $5,133
------------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................ 634,189 513
Shares issued for distributions
reinvested................................. 12,732 -
Shares repurchased......................... (35,482) -
------------------------------------
Increase in shares outstanding............ 611,439 513
Shares outstanding:
Beginning of year......................... 513 -
------------------------------------
End of year............................... 611,952 513
------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
38 August 31, 1999
SOCIALLY RESPONSIBLE FUND - STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK - 96.05%
ADVERTISING - 0.30%
400 Interpublic Group Companies, Inc. ..................... $ 15,850
200 Omnicom Group, Inc. ................................... 15,075
----------
30,925
----------
AEROSPACE/DEFENSE - 0.04%
55 United Technologies Corp. ............................. 3,637
----------
AIRLINES - 0.26%
200 AMR Corp. ............................................. 11,725
200 Delta Air Lines, Inc. ................................. 10,163
300 Southwest Airlines Co. ................................ 5,006
----------
26,894
----------
APPAREL & PRODUCTS - 0.05%
100 Cintas Corp. .......................................... 5,138
----------
AUTO - ORIGINAL EQUIPMENT - 0.06%
100 Danaher Corp. ......................................... 5,875
----------
AUTO - REPLACEMENT PARTS - 0.18%
350 Genuine Parts Co. ..................................... 10,106
100 * SPX Corp. ............................................. 8,475
----------
18,581
----------
BANKS - NEW YORK CITY - 2.24%
900 Bank of New York Co., Inc. ............................ 32,175
3,300 Citigroup, Inc. ....................................... 146,642
400 J. P. Morgan & Co., Inc. .............................. 51,675
----------
230,492
----------
BANKS - OTHER - 3.20%
1,922 Bank of America Corp. ................................. 116,280
200 BankBoston Corp. ...................................... 9,288
1,050 First Union Corp. ..................................... 43,575
500 Fleet Financial Group, Inc. ........................... 19,906
600 Mellon Bank Corp. ..................................... 20,025
700 National City Corp. ................................... 19,338
350 Providian Financial Corp. ............................. 27,169
100 Republic of New York Corp. ............................ 6,938
1,700 Wells Fargo Company.................................... 67,680
----------
330,199
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKS - REGIONAL - 3.09%
1,305 BankOne Corp. ......................................... $ 52,363
1,300 Chase Manhattan Corp. ................................. 108,793
100 Comerica, Inc. ........................................ 5,206
250 Fifth Third Bancorp. .................................. 16,563
600 Firstar Corp. ......................................... 16,088
350 KeyCorp. .............................................. 10,150
200 Northern Trust Corp. .................................. 16,963
300 PNC Bank Corp. ........................................ 15,694
200 State Street Corp. .................................... 11,975
400 SunTrust Banks, Inc. .................................. 25,725
500 U.S. Bancorp, Inc. .................................... 15,438
300 Wachovia Corp. ........................................ 23,513
----------
318,471
----------
BEVERAGE - SOFT DRINKS - 2.09%
2,600 Coca-Cola Co. ......................................... 155,512
300 Coca Cola Enterprises, Inc. ........................... 8,531
1,500 PepsiCo, Inc. ......................................... 51,188
----------
215,231
----------
BROADCASTING - 1.38%
150 * Clear Channel Communications........................... 10,509
700 Comcast Corp., Class A................................. 22,838
550 * Media One Group, Inc. ................................. 36,163
750 U S WEST, Inc. ........................................ 39,188
800 * Viacom, Inc., Class B.................................. 33,650
----------
142,348
----------
BUILDING MATERIALS - 0.24%
300 Lowe's Companies, Inc. ................................ 13,575
400 Masco Corp. ........................................... 11,325
----------
24,900
----------
CHEMICAL - MISCELLANEOUS - 0.33%
400 Ecolab, Inc. .......................................... 15,025
400 Praxair, Inc. ......................................... 18,800
----------
33,825
----------
CONGLOMERATES - 1.09%
800 Tenneco, Inc. ......................................... 16,100
950 Tyco International, Ltd. .............................. 96,246
----------
112,346
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER FINANCE - 0.37%
300 Capital One Financial Corp. ........................... $ 11,325
1,075 MBNA Corp. ............................................ 26,539
----------
37,864
----------
CONTAINERS - METAL/GLASS - 0.69%
300 Ball Corp. ............................................ 13,481
400 Corning, Inc. ......................................... 26,599
700 Crown Cork & Seal Co., Inc. ........................... 18,594
500 * Owens-Illinois, Inc. .................................. 12,375
----------
71,049
----------
CONTAINERS - PAPER - 0.31%
200 Bemis Co., Inc. ....................................... 7,588
100 Chesapeake Corp. ...................................... 3,381
100 Sonoco Products Co. ................................... 2,375
300 Temple-Inland, Inc. ................................... 18,599
----------
31,943
----------
COSMETICS/TOILETRIES - 0.80%
300 Avon Products, Inc. ................................... 13,163
1,400 Gillette Co. .......................................... 65,275
100 International Flavors & Fragrances, Inc. .............. 4,075
----------
82,513
----------
DRUGS - 7.21%
100 Allergan, Inc. ........................................ 9,988
100 * ALZA Corp. ............................................ 5,038
1,500 American Home Products Corp. .......................... 62,249
500 * Amgen, Inc. ........................................... 41,593
100 Bausch & Lomb, Inc. ................................... 6,606
2,300 Bristol Myers Squibb Co. .............................. 161,862
1,300 Eli Lilly and Co. ..................................... 97,013
3,000 Merck & Co., Inc. ..................................... 201,562
1,600 Schering-Plough Corp. ................................. 84,100
1,100 Warner-Lambert Co. .................................... 72,875
----------
742,886
----------
ELECTRICAL EQUIPMENT - 0.59%
850 Emerson Electric Co. .................................. 53,230
100 Molex, Inc. ........................................... 3,206
100 W. W. Grainger, Inc. .................................. 4,356
----------
60,792
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 39
SOCIALLY RESPONSIBLE FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ENTERTAINMENT - 1.47%
150 Hasbro, Inc. .......................................... $ 3,666
300 Mattel, Inc. .......................................... 6,394
1,400 Time Warner, Inc. ..................................... 83,037
2,100 Walt Disney Co. ....................................... 58,274
----------
151,371
----------
FINANCE COMPANIES - 0.66%
1,100 Associates First Capital Corp. ........................ 37,743
800 Household International, Inc. ......................... 30,200
----------
67,943
----------
FINANCIAL SERVICES - 1.34%
900 American Express Co. .................................. 123,749
100 Countrywide Credit Industries, Inc. ................... 3,213
200 H & R Block, Inc. ..................................... 11,125
----------
138,087
----------
FOODS - 1.79%
300 Best Foods............................................. 14,738
500 Campbell Soup Co. ..................................... 22,094
500 ConAgra, Inc. ......................................... 12,250
300 General Mills, Inc. ................................... 25,125
550 H J Heinz Co. ......................................... 25,677
100 Hershey Foods Corp. ................................... 5,356
500 Kellogg Co. ........................................... 17,781
100 Pioneer Hi-Bred International, Inc. ................... 3,913
200 Quaker Oats Co. ....................................... 13,363
200 Ralston Purina Co. .................................... 5,500
900 Sara Lee Corp. ........................................ 19,969
100 Trinity Industries, Inc. .............................. 3,138
200 Wm. Wrigley Jr. Co. ................................... 15,663
----------
184,567
----------
FOOTWEAR - 0.13%
300 NIKE, Inc., Class B.................................... 13,875
----------
FREIGHT - 0.16%
400 * FDX Corp. ............................................. 16,975
----------
FUNERAL SERVICES - 0.03%
200 Service Corp. International............................ 2,763
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
GOVERNMENT SPONSORED - 1.43%
950 Federal Home Loan Mortgage Corp. ...................... $ 48,925
1,450 Federal National Mortgage Association.................. 90,080
200 SLM Holding Corp. ..................................... 8,838
----------
147,843
----------
HARDWARE & TOOLS - 0.12%
100 Black & Decker Corp. .................................. 5,263
200 Snap-on, Inc. ......................................... 6,763
----------
12,026
----------
HEALTHCARE - 0.53%
300 Cardinal Health, Inc. ................................. 19,124
200 * HealthSouth Corp. ..................................... 1,638
100 * Humana, Inc. .......................................... 906
200 IMS Health, Inc. ...................................... 5,525
311 McKesson HBOC, Inc. ................................... 9,680
300 United HealthCare Corp. ............................... 18,243
----------
55,116
----------
HEAVY DUTY TRUCKS/PARTS - 0.24%
100 Cummins Engine Co., Inc. .............................. 5,925
200 Dana Corp. ............................................ 8,712
100 Eaton Corp. ........................................... 9,800
----------
24,437
----------
HOSPITAL MANAGEMENT - 0.17%
600 Columbia/HCA Healthcare Corp. ......................... 14,775
31 * Lifepoint Hospitals, Inc. ............................. 213
100 * Tenet Healthcare Corp. ................................ 1,744
31 * Triad Hospitals, Inc. ................................. 347
----------
17,079
----------
HOSPITAL SUPPLIES - 3.29%
1,700 Abbott Laboratories.................................... 73,738
400 Baxter International, Inc. ............................ 26,825
200 Becton, Dickinson and Co. ............................. 5,625
300 * Boston Scientific Corp. ............................... 10,181
1,600 Johnson & Johnson ..................................... 163,598
750 Medtronic, Inc. ....................................... 58,688
----------
338,655
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 3.12%
600 Clorox Co. ............................................ $ 27,150
900 Colgate-Palmolive Co. ................................. 48,150
278 Newell Co. ............................................ 11,398
1,800 Procter & Gamble Co. .................................. 178,648
814 Unilever NV - ADR...................................... 56,064
----------
321,410
----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 4.76%
100 * BMC Software, Inc. .................................... 5,381
4,800 * Microsoft Corp. ....................................... 444,298
1,125 * Oracle Corp. .......................................... 41,063
----------
490,742
----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 2.25%
100 * Apple Computer, Inc. .................................. 6,525
1,600 Compaq Computer Corp. ................................. 37,100
2,500 * Dell Computer Corp. ................................... 122,030
100 * Gateway, Inc. ......................................... 9,694
100 * Silicon Graphics, Inc. ................................ 1,144
700 * Sun Microsystems, Inc. ................................ 55,650
----------
232,143
----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 1.74%
1,200 * America Online, Inc. .................................. 109,574
600 Automatic Data Processing, Inc. ....................... 23,588
500 Electronic Data Systems Corp. ......................... 28,063
300 First Data Corp. ...................................... 13,200
26 * Gartner Group, Inc., Class B........................... 533
150 Paychex, Inc. ......................................... 4,416
----------
179,374
----------
INFORMATION PROCESSING -
DATA SERVICES - 5.13%
700 * Cendant Corp. ......................................... 12,556
400 Computer Associates International...................... 22,600
100 * Computer Sciences Corp. ............................... 6,919
200 * Compuware Corp. ....................................... 6,038
900 * EMC Corp. ............................................. 54,000
950 Hewlett Packard Co. ................................... 100,105
100 Honeywell, Inc. ....................................... 11,350
1,800 International Business Machines........................ 224,213
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
40 August 31, 1999
SOCIALLY RESPONSIBLE FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
DATA SERVICES - Continued
100 * Novell, Inc. .......................................... $ 2,369
400 Pitney Bowes, Inc. .................................... 23,600
200 * Seagate Technology..................................... 6,638
200 * Solectron Corp. ....................................... 15,650
100 * Unisys Corp. .......................................... 4,300
800 Xerox Corp. ........................................... 38,200
----------
528,538
----------
INFORMATION PROCESSING -
NETWORKING - 2.07%
200 * 3Com Corp. ............................................ 4,963
3,000 * Cisco Systems, Inc. ................................... 203,437
100 * General Instrument Corp. .............................. 4,919
----------
213,319
----------
INSURANCE - CASUALTY - 0.23%
150 Chubb Corp. ........................................... 8,578
100 Progressive Corp. ..................................... 10,200
150 St. Paul Companies, Inc. .............................. 4,809
----------
23,587
----------
INSURANCE - LIFE - 0.50%
300 Aetna, Inc. ........................................... 23,325
100 Conseco, Inc. ......................................... 2,400
100 Jefferson-Pilot Corp. ................................. 6,675
400 Lincoln National Corp. ................................ 18,750
----------
51,150
----------
INSURANCE - MULTILINE - 2.83%
143 Aegon, N.V. - ADR...................................... 12,414
100 AFLAC, Inc. ........................................... 4,494
700 Allstate Corp. ........................................ 22,969
1,713 American International Group., Inc. ................... 158,773
375 Aon Corp. ............................................. 12,516
300 CIGNA Corp. ........................................... 26,944
100 Cincinnati Financial Corp. ............................ 3,963
200 Hartford Financial Services Group, Inc. ............... 9,088
500 Marsh & McLennan Companies, Inc. ...................... 36,406
100 UnumProvident Corp. ................................... 3,606
----------
291,173
----------
LODGING - 0.03%
100 Marriott International, Inc. .......................... 3,425
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MACHINERY - AGRICULTURE - 0.32%
100 AGCO Corp. ............................................ $ 1,031
300 Case Corp. ............................................ 14,813
450 Deere & Co. ........................................... 17,494
----------
33,338
----------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.39%
700 Caterpillar, Inc. ..................................... 39,638
100 Harnischfeger Industries, Inc. ........................ 144
----------
39,782
----------
MACHINERY - INDUSTRIAL/SPECIALTY - 1.13%
300 Cooper Industries, Inc. ............................... 15,563
250 Dover Corp. ........................................... 9,672
650 Illinois Tool Works, Inc. ............................. 50,658
200 Ingersoll-Rand Co. .................................... 12,725
200 Johnson Controls, Inc. ................................ 13,675
100 Pall Corp. ............................................ 1,988
200 Parker Hannifin Corp. ................................. 8,750
200 Timken Co. ............................................ 3,513
----------
116,544
----------
MEDICAL TECHNOLOGY - 0.32%
50 Celera Genomics........................................ 1,438
300 Guidant Corp. ......................................... 17,606
200 * PE Corp.-PE Biosystems Group........................... 13,763
----------
32,807
----------
MERCHANDISE - DRUG - 0.30%
300 CVS Corp. ............................................. 12,506
100 Rite Aid Corp. ........................................ 1,850
700 Walgreen Co. .......................................... 16,231
----------
30,587
----------
MERCHANDISE - SPECIALTY - 1.63%
100 * Best Buy Co., Inc. .................................... 7,025
200 Circuit City Stores, Inc. ............................. 8,600
200 * Costco Wholesale Corporation........................... 14,950
200 Fortune Brands, Inc. .................................. 7,500
712 Gap, Inc. ............................................. 27,857
1,400 Home Depot, Inc. ...................................... 85,574
100 * Kohl's Corp. .......................................... 7,125
300 * Staples, Inc. ......................................... 6,525
100 TJX Companies, Inc. ................................... 2,888
----------
168,044
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISING - DEPARTMENT - 0.36%
400 Dayton Hudson Corp. ................................... $ 23,200
100 * Federated Department Stores, Inc. ..................... 4,600
225 May Department Stores Co. ............................. 8,789
----------
36,589
----------
MERCHANDISING - FOOD - 0.63%
426 Albertsons, Inc. ...................................... 20,421
400 * Kroger Co. ............................................ 9,250
500 * Safeway, Inc. ......................................... 23,281
250 SYSCO Corp. ........................................... 8,156
100 Winn-Dixie Stores, Inc. ............................... 3,400
----------
64,508
----------
MERCHANDISING - MASS - 2.11%
200 J.C. Penney Co., Inc. ................................. 7,250
100 * KMart Corp. ........................................... 1,256
250 Sears Roebuck and Co. ................................. 9,375
4,500 Wal-Mart Stores, Inc. ................................. 199,406
----------
217,287
----------
METALS - MISCELLANEOUS - 0.03%
100 Precision Castparts Corp. ............................. 3,550
----------
METALS - STEEL - 0.31%
300 AK Steel Holding Corp. ................................ 6,300
200 Allegheny Teldyne, Inc. ............................... 3,738
400 Carpenter Technology Corp. ............................ 9,150
300 Ryerson Tull, Inc. .................................... 5,681
500 Worthington Industries, Inc. .......................... 7,500
----------
32,369
----------
MISCELLANEOUS - 0.03%
100 Equifax, Inc. ......................................... 3,050
----------
NATURAL GAS - DIVERSIFIED - 0.56%
500 El Paso Energy Corp. .................................. 18,281
900 K N Energy, Inc. ...................................... 18,338
1,100 Questar Corp. ......................................... 20,763
----------
57,382
----------
OIL - INTEGRATED DOMESTIC - 0.07%
200 Ashland Oil, Inc. ..................................... 7,713
----------
OIL - SERVICES - 0.02%
100 McDermott International, Inc. ......................... 2,256
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 41
SOCIALLY RESPONSIBLE FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<S> <C> <C>
-------------------------------------------------------------------------------
OIL/GAS PRODUCERS - 0.86%
2,200 Sonat, Inc. ............................................ $ 79,475
200 Sunoco, Inc. ........................................... 6,513
100 Ultramar Diamond Shamrock Corp. ........................ 2,613
----------
88,601
----------
PAPER/FOREST PRODUCTS - 0.99%
300 Avery Dennison Corp. ................................... 16,463
400 Fort James Corp. ....................................... 12,900
1,000 Kimberly-Clark Corp. ................................... 56,937
100 Longview Fibre Co. ..................................... 1,294
400 Mead Corp. ............................................. 14,925
----------
102,519
----------
POLLUTION CONTROL - 0.16%
750 Waste Management, Inc. ................................. 16,359
----------
PUBLISHING - NEWS - 0.95%
100 Dow Jones & Co., Inc. .................................. 5,025
350 Gannett Co., Inc. ...................................... 23,778
150 New York Times Co., Class A ............................ 5,859
100 Tribune Co. ............................................ 9,331
100 Washington Post Co., Class B............................ 53,900
----------
97,893
----------
PUBLISHING/PRINTING - 0.28%
100 Deluxe Corp. ........................................... 3,406
200 Dun & Bradstreet Corp. ................................. 5,238
400 McGraw-Hill, Inc. ...................................... 20,675
----------
29,319
----------
RAILROAD - 1.22%
1,100 Burlington Northern Santa Fe Corp. ..................... 31,900
600 CSX Corp. .............................................. 26,213
200 Kansas City Southern Industries, Inc. .................. 9,263
1,100 Norfolk Southern Corp. ................................. 28,806
600 Union Pacific Corp. .................................... 29,213
----------
125,395
----------
RESTAURANTS - 0.68%
1,600 McDonald's Corp. ....................................... 66,200
100 * Tricon Global Restaurants, Inc. ........................ 4,063
----------
70,263
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SAVINGS & LOAN - 0.21%
100 Golden West Financial Corp. ........................... $ 9,081
400 Washington Mutual, Inc. ............................... 12,700
----------
21,781
----------
SECURITIES RELATED - 2.97%
900 Charles Schwab Corp. .................................. 35,550
100 Franklin Resources, Inc. .............................. 3,594
350 Merrill Lynch & Co., Inc. ............................. 26,119
650 Morgan Stanley Dean Witter & Co. ...................... 55,778
1,400 Standard & Poor's Depositary Receipts.................. 184,888
----------
305,929
----------
SEMICONDUCTOR EQUIPMENT - 0.27%
300 * Applied Materials, Inc. ............................... 21,319
100 * KLA-Tencor Corp. ...................................... 6,281
----------
27,600
----------
SEMICONDUCTORS - 4.27%
100 * Advanced Micro Devices, Inc. .......................... 2,069
3,200 Intel Corp. ........................................... 263,000
200 * Micron Technology, Inc. ............................... 14,913
700 Motorola, Inc. ........................................ 64,575
500 Rockwell International Corp. .......................... 29,563
800 Texas Instruments, Inc. ............................... 65,650
----------
439,770
----------
TELECOMMUNICATIONS - 4.97%
450 ALLTEL Corp. .......................................... 30,431
100 Frontier Corp. ........................................ 4,194
3,330 Lucent Technologies, Inc. ............................. 213,328
1,600 * MCI Worldcom, Inc. .................................... 121,200
200 * Nextel Communications, Inc., Class A................... 11,563
1,400 Nortel Networks Corp. ................................. 57,488
400 * Tellabs, Inc. ......................................... 23,825
250 Vodafone Airtouch, Plc. - ADR.......................... 50,141
----------
512,170
----------
TEXTILE - PRODUCTS - 0.03%
100 V.F. Corp. ............................................ 3,600
----------
UTILITIES - COMMUNICATION - 6.23%
1,350 Ameritech Corp. ....................................... 85,219
3,100 AT&T Corp. ............................................ 139,500
1,800 Bell Atlantic Corp. ................................... 110,250
2,000 BellSouth Corp. ....................................... 90,500
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES - COMMUNICATION - Continued
600 GTE Corp. ............................................. $ 41,175
2,100 SBC Communications, Inc. .............................. 100,800
1,200 Sprint Corp. FON Group................................. 53,250
350 * Sprint Corp. PCS Group................................. 20,913
----------
641,607
----------
UTILITIES - ELECTRIC - 1.84%
100 * AES Corp. ............................................. 6,069
350 Allegheny Energy, Inc. ................................ 11,813
400 Black Hills Corp. ..................................... 9,900
450 Cinergy Corp. ......................................... 13,669
100 Cleco Corp. ........................................... 3,325
400 DPL, Inc. ............................................. 7,575
100 Hawaiian Electric Industries, Inc. .................... 3,556
200 Idacorp, Inc. ......................................... 6,263
200 IPALCO Enterprises, Inc. .............................. 4,188
100 Kansas City Power & Light Co. ......................... 2,406
200 Minnesota Power, Inc. ................................. 3,563
600 Montana Power Co. ..................................... 18,563
450 New Century Energies, Inc. ............................ 16,256
200 Nisource, Inc. ........................................ 4,750
200 OGE Energy Corp. ...................................... 4,700
700 PacifiCorp............................................. 14,306
350 Potomac Electric Power Co. ............................ 9,275
250 Puget Sound Energy, Inc. .............................. 5,922
100 Sierra Pacific Resources............................... 2,438
200 TECO Energy, Inc. ..................................... 4,200
1,600 UtiliCorp United, Inc. ................................ 37,100
----------
189,837
----------
UTILITIES - GAS, DISTRIBUTION - 1.09%
100 AGL Resources, Inc. ................................... 1,806
300 KeySpan Corp. ......................................... 8,850
2,300 MCN Energy Group, Inc. ................................ 41,113
1,200 National Fuel Gas Co. ................................. 56,475
100 NICOR, Inc. ........................................... 3,869
----------
112,113
----------
UTILITIES - GAS, PIPELINE - 2.25%
800 Columbia Energy Group.................................. 47,250
1,200 Consolidated Natural Gas Co. .......................... 76,425
1,400 ONEOK, Inc. ........................................... 43,488
200 Peoples Energy Corp. .................................. 7,288
1,400 Williams Companies, Inc. .............................. 57,750
----------
232,201
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
42 August 31, 1999
SOCIALLY RESPONSIBLE FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
WATER SERVICES - 0.03%
100 American Water Works Co., Inc. .................. $ 2,913
-----------
TOTAL COMMON STOCK
(Cost $8,802,042)................................ 9,897,183
-----------
<CAPTION>
PAR
VALUE
---------
<C> <S> <C>
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 3.98%
BANKS - OTHER - 3.98%
$410,000 State Street Bank Repurchase Agreement, 5.35%
dated 08/31/99, to be repurchased at $410,061 on
09/01/99 collateralized by U.S. Treasury Note,
4.63%, 11/30/00, with value of $420,000 (Cost
$410,000)........................................ 410,000
-----------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $410,000).................................. 410,000
-----------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.24%
U.S. TREASURY BILLS - 0.24%
25,000 United States Treasury Bills,
4.35% due 09/30/99............................... 24,912
-----------
TOTAL UNITED STATES GOVERNMENT -
SHORT TERM
(Cost $24,912)................................... 24,912
-----------
TOTAL INVESTMENTS
(Cost $9,236,954) - 100.27%...................... 10,332,095
Other assets less liabilities, net - (0.27)%..... (28,156)
-----------
NET ASSETS - 100.00%
(equivalent to $12.88 per share on 800,287 shares
outstanding)..................................... $10,303,939
-----------
* Non-income producing
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
<C> <S> <C>
- -----------------------------------------
FUTURES CONTRACTS PUR-
CHASED(/1/)
1(/2/)(Delivery
month/Value at
08/31/99)
S&P 500 Futures
(September/$1,319.80).$ 2,700
-----------
</TABLE>
(/1/) U.S. Treasury Bills with a market value of approximately $24,912 were
maintained in a segregated account with a portion placed as collateral
for futures contracts.
(/2/) Per 500.
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized, 800,287 shares outstanding........ $ 8,003
Additional paid in capital..................................... 8,807,466
Undistributed net realized gain on securities.................. 389,293
Undistributed net investment income............................ 1,336
Unrealized appreciation of:
Investment......................................... $1,095,141
Futures contracts.................................. 2,700 1,097,841
---------- -----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.......................................... $10,303,939
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
43 SOCIALLY RESPONSIBLE FUND - FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the Fiscal Year Ended August 31, 1999
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends...................................................... $ 96,268
Interest....................................................... 33,753
----------
Total investment income........................................ 130,021
----------
EXPENSES:
Custodian fees................................................. 29,577
Advisory fees.................................................. 19,258
Administrative service fee..................................... 19,258
Audit fees and tax services.................................... 15,430
Trustees' fees and expenses.................................... 5,512
Accounting services............................................ 2,311
Report to shareholders......................................... 1,452
Pricing services............................................... 1,377
Miscellaneous.................................................. 3,013
----------
Total expenses................................................ 97,188
Expense reimbursement (see Note 3)............................ (54,068)
----------
Net expenses.................................................. 43,120
----------
NET INVESTMENT INCOME.......................................... 86,901
----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on:
Investments........................................ $ 304,300
Future contracts................................... 370,726 675,026
----------
Net unrealized appreciation of securities during the year:
Investments........................................ 1,095,141
Futures contracts.................................. 2,700 1,097,841
---------- ----------
Net realized and unrealized gain on securities during the
year......................................................... 1,772,867
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............... $1,859,768
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the period
year ended August 26, 1998
August 31, 1999 to August 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income...................... $ 86,901 $ -
Net realized gain on securities............ 675,026 -
Net unrealized appreciation of securities
during the year............................ 1,097,841 -
-----------------------------------
Increase in net assets resulting from
operations................................ 1,859,768 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ..................... (85,565) -
Net realized gain on securities............ (285,733) -
-----------------------------------
Decrease in net assets resulting from
distributions
to shareholders........................... (371,298) -
-----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold.................. 8,600,154 6,667
Proceeds from shares issued for
distributions reinvested................... 371,298 -
-----------------------------------
8,971,452 6,667
Cost of shares repurchased................. (162,650) -
-----------------------------------
Increase in net assets resulting from
share transactions........................ 8,808,802 6,667
-----------------------------------
TOTAL INCREASE IN NET ASSETS............... 10,297,272 6,667
NET ASSETS:
Beginning of year.......................... 6,667 -
-----------------------------------
End of year (including undistributed net
investment income of $1,336 and $0)........ $10,303,939 $6,667
-----------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................ 781,747 667
Shares issued for distributions
reinvested................................. 30,223 -
Shares repurchased......................... (12,350) -
-----------------------------------
Increase in shares outstanding............ 799,620 667
Shares outstanding:
Beginning of year......................... 667 -
-----------------------------------
End of year............................... 800,287 667
-----------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
44 August 31, 1999
BALANCED FUND - STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK - 62.09%
ADVERTISING - 0.21%
400 Young & Rubicam, Inc. ................................. $ 17,850
----------
AEROSPACE/DEFENSE - 1.41%
900 Boeing Co. ............................................ 40,780
1,200 United Technologies Corp. ............................. 79,350
----------
120,130
----------
APPAREL & PRODUCTS - 0.44%
1,100 * Tommy Hilfiger Corp. .................................. 37,331
----------
AUTO - CARS - 0.51%
2,900 * Autonation, Inc. ...................................... 37,518
300 Delphi Automotive Systems Corp. ....................... 5,625
----------
43,143
----------
AUTO - ORIGINAL EQUIPMENT - 0.64%
1,200 Federal-Mogul Corp. ................................... 54,750
----------
BANKS - NEW YORK CITY - 1.29%
2,475 Citigroup, Inc. ....................................... 109,983
----------
BANKS - OTHER - 3.43%
2,278 Bank of America Corp. ................................. 137,818
3,900 Wells Fargo Co. ....................................... 155,269
----------
293,087
----------
BEVERAGE - SOFT DRINKS - 0.47%
500 Coca-Cola Co. ......................................... 29,905
300 PepsiCo, Inc. ......................................... 10,238
----------
40,143
----------
BROADCASTING - 2.46%
500 * Adelphia Communications Corp., Class A................. 31,000
1,100 * Cablevision Systems Corp., Class A..................... 77,687
2,400 * Viacom, Inc., Class B.................................. 100,950
----------
209,637
----------
BUILDING MATERIALS - 0.53%
1,000 Lowe's Companies, Inc. ................................ 45,250
----------
CHEMICAL - MISCELLANEOUS - 0.57%
1,300 Ecolab, Inc. .......................................... 48,831
----------
CONGLOMERATES - 1.30%
500 Textron, Inc. ......................................... 40,374
700 Tyco International, Ltd. .............................. 70,919
----------
111,293
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONTAINERS - PAPER - 0.69%
1,000 * Sealed Air Corp. ...................................... $ 58,750
----------
COSMETICS/TOILETRIES - 0.60%
900 Kimberly-Clark Corp. .................................. 51,244
----------
DRUGS - 2.38%
2,160 Astrazeneca, Plc. - ADR................................ 85,050
800 * Forest Laboratories, Inc. ............................. 38,750
2,100 Pfizer, Inc. .......................................... 79,274
----------
203,074
----------
ELECTRICAL EQUIPMENT - 0.96%
200 General Electric Co. .................................. 22,463
400 Sony Corp. ............................................ 50,925
200 W. W. Grainger, Inc. .................................. 8,713
----------
82,101
----------
ELECTRONIC INSTRUMENTS - 0.71%
5,200 * Sensormatic Electronics Corp. ......................... 60,775
----------
ENTERTAINMENT - 2.08%
1,000 * Blockbuster, Inc. ..................................... 14,875
900 Carnival Corp., Class A................................ 40,219
1,300 * Fox Entertainment Group, Inc. ......................... 29,981
2,100 Hasbro, Inc. .......................................... 51,319
700 Time Warner, Inc. ..................................... 41,519
----------
177,913
----------
FINANCE COMPANIES - 1.39%
600 Goldman Sachs Group, Inc. ............................. 35,888
2,200 Household International, Inc. ......................... 83,050
----------
118,938
----------
FOODS - 1.50%
900 Campbell Soup Co. ..................................... 39,769
1,600 Kellogg Co. ........................................... 56,900
800 Nabisco Holdings Corp., Class A........................ 31,450
----------
128,119
----------
FOOTWEAR - 0.16%
300 NIKE, Inc., Class B.................................... 13,875
----------
GOVERNMENT SPONSORED - 1.29%
2,500 SLM Holding Corp. ..................................... 110,469
----------
HEALTHCARE - 1.37%
500 * PacifiCare Health Systems Inc., Class A................ 30,000
1,400 * Quintiles Transnational Corp. ......................... 50,137
600 United HealthCare Corp. ............................... 36,488
----------
116,625
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HOSPITAL SUPPLIES - 0.73%
800 Medtronic, Inc. ................................... $ 62,600
----------
HOUSEHOLD PRODUCTS - 0.93%
800 Clorox Co. ........................................ 36,200
800 Colgate-Palmolive Co. ............................. 42,800
----------
79,000
----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 0.56%
3,400 * Peoplesoft, Inc. .................................. 48,025
----------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 0.54%
300 * Gateway 2000, Inc. ................................ 29,081
2,800 * Western Digitial Corp. ............................ 17,150
----------
46,231
----------
INFORMATION PROCESSING -
DATA SERVICES - 2.58%
1,100 Autodesk, Inc. .................................... 25,300
600 International Business Machines.................... 74,737
600 * Policy Management Systems Corp. ................... 18,338
1,200 * Storage Technology Corp. .......................... 25,200
1,600 Xerox Corp. ....................................... 76,400
----------
219,975
----------
INFORMATION PROCESSING -
NETWORKING - 0.19%
600 * Newbridge Networks Corp. .......................... 16,463
----------
INSURANCE - LIFE - 0.49%
200 Jefferson-Pilot Corp. ............................. 13,350
600 Lincoln National Corp. ............................ 28,125
----------
41,475
----------
INSURANCE - MISCELLANEOUS - 1.77%
21 * Berkshire Hathaway, Inc. .......................... 42,063
1 * Berkshire Hathaway, Inc., Class A.................. 64,200
1,050 PMI Group, Inc. ................................... 44,625
----------
150,888
----------
INSURANCE - MULTILINE - 1.36%
1,400 Cincinnati Financial Corp. ........................ 55,475
1,200 XL Capital, Ltd. .................................. 60,375
----------
115,850
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
45 August 31, 1999
BALANCED FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MACHINERY - INDUSTRIAL/SPECIALTY - 1.45%
1,800 Dover Corp. ......................................... $ 69,638
700 Illinois Tool Works, Inc. ........................... 54,556
-----------
124,194
-----------
MEDICAL TECHNOLOGY - 2.07%
1,600 Guidant Corp. ....................................... 93,900
1,200 PE Corp-PE Biosystems Group.......................... 82,575
-----------
176,475
-----------
MERCHANDISE - SPECIALTY - 0.76%
1,100 American Greetings Corp., Class A.................... 30,456
800 Circuit City Stores, Inc. ........................... 34,400
-----------
64,856
-----------
MERCHANDISING - MASS - 0.52%
1,000 Wal-Mart Stores, Inc. ............................... 44,313
-----------
METALS - ALUMINUM - 0.23%
300 Alcoa, Inc. ......................................... 19,369
-----------
MULTIMEDIA - 0.53%
3,300 * Cadence Design Systems, Inc. ........................ 44,963
-----------
NATURAL GAS - DIVERSIFIED - 0.33%
1,400 K N Energy, Inc. .................................... 28,525
-----------
OIL - INTEGRATED DOMESTIC - 0.71%
1,000 Burlington Resources, Inc. .......................... 41,813
600 USX-Marathon Group................................... 18,675
-----------
60,488
-----------
OIL - INTEGRATED INTERNATIONAL - 1.03%
600 Exxon Corp. ......................................... 47,325
400 Mobil Corp. ......................................... 40,950
-----------
88,275
-----------
OIL - SERVICE - PRODUCTS - 1.56%
2,400 Shell Transport & Trading - ADR...................... 115,650
500 Weatherford International, Inc. ..................... 17,813
-----------
133,463
-----------
OIL - SERVICES - 0.84%
2,100 Baker Hughes, Inc. .................................. 71,400
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS - 1.12%
700 Bowater, Inc. ....................................... $ 37,537
1,800 Fort James Corp. .................................... 58,050
-----------
95,587
-----------
PUBLISHING - NEWS - 0.14%
300 New York Times Co., Class A.......................... 11,719
-----------
REAL ESTATE INVESTMENT TRUSTS - 0.50%
3,200 Indymac Mortgage Holdings, Inc. ..................... 43,000
-----------
RESTAURANTS - 0.27%
1,000 * Starbucks Corp. ..................................... 22,875
-----------
SAVINGS & LOAN - 0.64%
1,708 Washington Mutual, Inc. ............................. 54,229
-----------
SECURITIES RELATED - 0.45%
800 Donaldson, Lufkin & Jenrette, Inc. .................. 38,250
-----------
SEMICONDUCTOR EQUIPMENT - 1.96%
900 * Applied Materials, Inc. ............................. 63,956
1,200 * KLA-Tencor Corp. .................................... 75,375
500 * LAM Research Corp. .................................. 28,219
-----------
167,550
-----------
SEMICONDUCTORS - 1.32%
800 Intel Corp. ......................................... 65,750
700 * Maxim Integrated Products, Inc. ..................... 47,119
-----------
112,869
-----------
TELECOMMUNICATIONS - 2.69%
2,000 * Loral Space & Communications, Ltd. .................. 36,750
1,195 * MCI Worldcom, Inc. .................................. 90,521
500 Nokia Corp. - ADR, Series A.......................... 41,688
300 Vodafone Airtouch, Plc. - ADR........................ 60,169
-----------
229,128
-----------
TEXTILE - PRODUCTS - 0.39%
1,300 * Jones Apparel Group, Inc. ........................... 33,719
-----------
TOBACCO - 0.66%
1,500 Philip Morris Companies, Inc. ....................... 56,156
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET
VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
UTILITIES - COMMUNICATION - 3.01%
1,450 AT&T Corp. .......................................... $ 65,250
4,200 * AT&T Corp. - Liberty Media Group..................... 134,400
1,300 Sprint Corp. FON Group............................... 57,688
------------
257,338
------------
UTILITIES - ELECTRIC - 2.65%
1,600 * AES Corp. ........................................... 97,100
600 American Electric Power, Inc. ....................... 21,787
1,000 Cinergy Corp. ....................................... 30,375
900 * Niagara Mohawk Holdings, Inc. ....................... 13,613
3,600 * Northeast Utilities.................................. 63,225
------------
226,100
------------
UTILITIES - GAS, PIPELINE - 0.72%
1,500 Williams Companies, Inc. ............................ 61,875
------------
TOTAL COMMON STOCK
(Cost $4,398,070)................................... 5,300,534
------------
<CAPTION>
PAR
VALUE
---------
<C> <S> <C>
CORPORATE BONDS - LONG TERM - 10.83%
BROADCASTING - 0.91%
$100,000 Fox/Liberty Networks, LLC.,
9.75% due 08/15/07................................... 78,000
------------
ELECTRICAL EQUIPMENT - 1.16%
100,000 Philips Electronics, N.V.,
7.20% due 06/01/26................................... 98,990
------------
FINANCE COMPANIES - 2.21%
93,306 Commercial Mortgage Acceptance,
5.80% due 03/15/06................................... 89,909
100,000 Green Tree Financial Corp., Class A7,
7.14% due 01/15/29................................... 99,156
------------
189,065
------------
FINANCIAL SERVICES - 3.27%
100,000 Charter Communications Holding,
8.25% due 04/01/07................................... 96,250
100,000 Ford Motor Credit Co.,
5.80% due 01/12/09................................... 89,715
100,000 Household Finance Corp.,
6.40% due 06/17/08................................... 93,238
------------
279,203
------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
46 August 31, 1999
BALANCED FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
FOODS - 1.14%
$100,000 Nabisco, Inc.,
7.55% due 06/15/15............................. $ 96,940
----------
HEALTHCARE - 0.35%
100,000 Integrated Health Services,
9.25% at 01/15/08.............................. 30,000
----------
TELECOMMUNICATIONS - 0.65%
100,000(/1/) Spectrasite Holdings, Inc.,
12.00% due 07/15/08............................ 55,000
----------
UTILITIES - COMMUNICATION - 1.14%
100,000 GTE Corp.,
7.90% due 02/01/27............................. 97,422
----------
TOTAL CORPORATE BONDS - LONG TERM
(Cost $1,059,920).............................. 924,620
----------
CORPORATE - SHORT TERM -
REPURCHASE AGREEMENT - 5.08%
BANKS - OTHER - 5.08%
434,000 State Street Bank Repurchase Agreement, 5.35%,
dated 08/31/99, to be repurchased at $434,065
on 09/01/99 collateralized by U.S. Treasury
Note, 4.63%, 11/30/00, with value of
$445,000 (Cost $434,000)....................... 434,000
----------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $434,000)................................ 434,000
----------
UNITED STATES GOVERNMENT
LONG TERM - 21.91%
FEDERAL AGENCIES - 6.26%
100,000 Federal Home Loan Bank,
5.13% due 09/15/03............................. 95,234
Government National Mortgage Association:
210,580 7.00% due 09/15/28............................. 204,064
249,230 6.50% due 06/15/29............................. 235,053
----------
534,351
----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
GOVERNMENT SPONSORED - 5.57%
$400,000 Federal National Mortgage Association,
6.00% due 05/15/08............................. $ 377,188
100,000(/1/) Government Lease Trust, Class A2,
6.18% due 05/18/05............................. 97,900
----------
475,088
----------
UNITED STATES NOTES - 10.08%
United States Treasury Notes:
650,000 6.38% due 08/15/02............................. 659,042
200,000 6.25% due 02/15/03............................. 201,874
----------
860,916
----------
TOTAL UNITED STATES GOVERNMENT -
LONG TERM
(Cost $1,913,897).............................. 1,870,355
----------
TOTAL INVESTMENTS
(Cost $7,805,887) - 99.91%..................... 8,529,509
Other assets less liabilities, net - 0.09%..... 7,826
----------
NET ASSETS - 100.00%
(equivalent to $12.32 per share on 693,234
shares outstanding)............................ $8,537,335
----------
</TABLE>
* Non-income producing
(/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 August 31,
1999, the aggregate value of these securities was $152,900, representing
1.79% of net assets.
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 693,234 shares outstanding...................... $ 6,932
Additional paid in capital......................................... 7,372,359
Undistributed net realized gain on securities...................... 432,836
Undistributed net investment income................................ 1,586
Unrealized appreciation of securities.............................. 723,622
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $8,537,335
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
47 BALANCED FUND - FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the Fiscal Year Ended August 31, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends.......................................................... $ 51,676
Interest........................................................... 154,547
----------
Total investment income........................................... 206,223
----------
EXPENSES:
Advisory fees...................................................... 54,692
Custodian fees..................................................... 26,602
Administration service fee......................................... 17,091
Audit fees and tax services........................................ 13,785
Trustees' fees and expenses........................................ 5,010
Accounting services................................................ 2,052
Report to shareholders............................................. 1,274
Pricing services................................................... 1,237
Miscellaneous...................................................... 2,767
----------
Total expenses.................................................... 124,510
Expense reimbursement (see Note 3)................................ (68,472)
----------
Net expenses...................................................... 56,038
----------
NET INVESTMENT INCOME.............................................. 150,185
----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities.................................... 466,887
Net unrealized appreciation of securities during the year.......... 723,622
----------
Net realized and unrealized gain on securities during the year..... 1,190,509
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................... $1,340,694
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the period
year ended August 26, 1998
August 31, 1999 to August 31, 1998
-------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................... $ 150,185 $ -
Net realized gain on securities............. 466,887 -
Net unrealized appreciation of securities
during the year............................. 723,622 -
-------------------------------------
Increase in net assets resulting from
operations................................. 1,340,694 -
-------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ...................... (148,979) -
Net realized gain on securities............. (34,051) -
-------------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (183,030) -
-------------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 7,231,067 6,667
Proceeds from shares issued for
distributions reinvested.................... 183,030 -
-------------------------------------
7,414,097 6,667
Cost of shares repurchased.................. (41,093) -
-------------------------------------
Increase in net assets resulting from
share transactions......................... 7,373,004 6,667
-------------------------------------
TOTAL INCREASE IN NET ASSETS................ 8,530,668 6,667
NET ASSETS:
Beginning of year........................... 6,667 -
-------------------------------------
End of year (including undistributed net
investment income of $1,586 and $0)......... $8,537,335 $6,667
-------------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 680,625 667
Shares issued for distributions reinvested.. 15,285 -
Shares repurchased.......................... (3,343) -
-------------------------------------
Increase in shares outstanding............. 692,567 667
Shares outstanding:
Beginning of year.......................... 667 -
-------------------------------------
End of year ............................... 693,234 667
-------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
48 August 31, 1999
HIGH YIELD BOND FUND - STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE BONDS - 95.88%
ADVERTISING - 4.72%
$250,000 Interep National Radio Sales, Series B,
10.00% due 07/01/08................................ $ 254,688
----------
APPAREL & PRODUCTS - 3.29%
87,000 Anvil Knitwear, Inc., Series B,
10.88% due 03/15/07................................ 55,789
100,000 Bell Sports, Inc.,
11.00% due 08/15/08................................ 97,750
50,000(/1/) Galey & Lord, Inc.,
9.13% due 03/01/08................................. 24,000
----------
177,539
----------
AUTO - REPLACEMENT PARTS - 3.97%
200,000 Hayes Wheels International, Inc.,
11.00% due 07/15/06................................ 214,000
----------
BROADCASTING - 2.80%
50,000 Cumulus Media,
10.38% due 07/01/08................................ 51,625
100,000 Echostar DBS Corp.,
9.38% due 02/01/09................................. 99,250
----------
150,875
----------
CHEMICAL - MAJOR - 4.35%
100,000 Koppers Industries, Inc.,
9.88% due 12/01/07................................. 93,000
100,000 Polymer Group, Inc.,
9.00% due 07/01/07................................. 95,500
50,000 Royster-Clark, Inc.,
10.25% due 04/01/09................................ 46,500
----------
235,000
----------
CHEMICAL - MISCELLANEOUS - 1.85%
100,000 Lyondell Chemical Co., Series B,
9.88% due 05/01/07................................. 100,000
----------
CONSUMER FINANCE - 1.83%
100,000 AmeriCredit Corp.,
9.25% due 02/01/04................................. 98,500
----------
DRUGS - 0.95%
50,000 King Pharmaceuticals, Inc.,
10.75% due 02/15/09................................ 51,250
----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
ELECTRONIC INSTRUMENTS - 1.82%
$100,000(/1/) Flextronics International,
8.75% due 10/15/07................................. $ 98,000
----------
ENTERTAINMENT - 3.30%
200,000(/1/) Cinemark USA, Inc.,
9.63% due 08/01/08................................. 178,000
----------
FOODS - 3.56%
100,000 Agrilink Foods,
11.88% due 11/01/08................................ 94,500
50,000 Packaged Ice, Inc., Class B,
9.75% due 02/01/05................................. 47,250
50,000 Southern Foods,
9.88% due 09/01/07................................. 50,625
----------
192,375
----------
FREIGHT - 1.90%
100,000 Coach USA, Inc.,
9.38% due 07/01/07................................. 102,500
----------
HEALTHCARE - 4.03%
50,000 Hanger Orthopedic Group, Inc.,
11.25% due 06/15/09................................ 50,500
100,000(/1/) Universal Hospital Services,
10.25% due 03/01/08................................ 74,000
100,000 Vista Eyecare, Inc.,
12.75% due 10/15/05................................ 93,000
----------
217,500
----------
INFORMATION PROCESSING -
NETWORKING - 1.74%
100,000 Condor Systems, Inc.,
11.88% due 05/01/09..................................... 93,750
----------
LEISURE TIME - 3.63%
150,000 Boyd Gaming Corp.,
9.50% due 07/15/07...................................... 147,750
50,000 Hollywood Park, Inc., Series B,
9.25% due 02/15/07...................................... 48,250
----------
196,000
----------
LODGING - 1.83%
100,000 Prime Hospitality Corp.,
9.75% due 04/01/07...................................... 99,000
----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.93%
$ 50,000 National Equipment Services, Inc., Series D,
10.00% due 11/30/04...................................... $ 50,000
----------
MACHINERY - INDUSTRIAL/SPECIALTY - 1.67%
100,000 General Binding Corp.,
9.38% due 06/01/08....................................... 90,000
----------
MERCHANDISE - DRUG - 0.94%
50,000 Express Scripts, Inc.,
9.63% due 06/15/09....................................... 50,500
----------
MERCHANDISE - SPECIALTY - 3.34%
150,000 Finlay Enterprises, Inc.,
8.38% due 05/01/08....................................... 142,500
50,000 MTS, Inc.,
9.38% due 05/01/05....................................... 37,500
----------
180,000
----------
METALS - STEEL - 3.30%
100,000 Metals USA, Inc.,
8.63% due 02/15/08....................................... 93,000
100,000 Renco Steel Holdings, Class B,
10.88% due 02/01/05...................................... 85,000
----------
178,000
----------
MISCELLANEOUS - 2.29%
125,000 Caithness Coso Fund Corp.,
9.05% due 12/15/09....................................... 123,750
----------
NATURAL GAS - DIVERSIFIED - 1.89%
100,000 Leviathan Gas Pipeline Partners, L.P.,
10.38% due 06/01/09...................................... 101,750
----------
OIL - SERVICE - PRODUCTS - 1.83%
100,000 Triton Energy Limited,
8.75% due 04/15/02....................................... 98,612
----------
OIL/GAS PRODUCERS - 3.59%
Chesapeake Energy Corp.:
25,000 10.00% due 05/01/05...................................... 23,531
25,000 9.13% due 04/15/06....................................... 22,875
100,000 HS Resources, Inc.,
9.25% due 11/15/06....................................... 97,500
50,000 Port Arthur Finance Corp.,
12.50% due 01/15/09...................................... 50,000
----------
193,906
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 49
HIGH YIELD BOND FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS - 3.61%
$200,000 Bear Island, LLC, Class B,
10.00% due 12/01/07...................................... $ 195,000
----------
POLLUTION CONTROL - 1.36%
75,000 Marsulex, Inc.,
9.63% due 07/01/08....................................... 73,500
----------
PUBLISHING/PRINTING - 0.46%
25,000 Cadmus Communications Corp.,
9.75% due 06/01/09....................................... 25,000
----------
RESTAURANTS - 1.84%
50,000 Apple South, Inc.,
9.75% due 06/01/06....................................... 47,500
50,000 Perkins Family Restaurants, L.P.,
10.13% due 12/15/07...................................... 52,000
----------
99,500
----------
SCHOOLS - 1.74%
100,000 Kindercare Learning Centers,
9.50% due 02/15/09....................................... 93,750
----------
TELECOMMUNICATIONS - 19.95%
50,000 Amphenol Corp.,
9.88% due 05/15/07....................................... 50,125
225,000 Energis, Plc.,
9.75% due 06/15/09....................................... 228,938
100,000 Global Crossing,
9.63% due 05/15/08....................................... 100,000
50,000 Intermedia Communications, Inc.,
8.50% due 01/15/08....................................... 44,125
200,000 Level 3 Communications, Inc.,
9.13% due 05/01/08....................................... 185,000
100,000 NEXTLINK Communications, Inc.,
10.75% due 06/01/09...................................... 101,624
150,000 Orbcomm Global, Class B,
14.00% due 08/15/04...................................... 141,000
200,000 Telewest, Plc.,
9.63% due 10/01/06....................................... 202,000
25,000 Versatel Telecom BV-ADR,
11.88% due 07/15/09...................................... 23,957
----------
1,076,769
----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TOBACCO - 1.57%
$100,000 Standard Commercial Corp.,
8.88% due 08/01/05.................................... $ 85,000
----------
TOTAL CORPORATE BONDS
(Cost $5,308,772)..................................... 5,174,014
----------
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 2.83%
BANKS - OTHER - 2.83%
153,000 State Street Bank Repurchase Agreement,
5.35%, dated 08/31/99, to be repurchased at
$153,023 on 09/01/99 collateralized by U.S.
Treasury Note, 4.63%, 11/30/00, with value of
$160,000 (Cost $153,000).............................. 153,000
----------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $153,000)....................................... 153,000
----------
<CAPTION>
NUMBER
OF SHARES
---------
<C> <S> <C>
PREFERRED STOCK - 0.83%
TELECOMMUNICATIONS - 0.83%
50 * Dobson Communications Corp. .......................... 45,000
----------
TOTAL PREFERRED STOCK
(Cost $45,875)........................................ 45,000
----------
TOTAL INVESTMENTS
(Cost $5,507,647) - 99.54%............................ 5,372,014
Other assets less liabilities, net - 0.46%............ 25,013
----------
NET ASSETS - 100.00%
(equivalent to $9.69 per share on 557,079 shares
outstanding).......................................... $5,397,027
----------
*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 August 31,
1999 the aggregate value of these securities was $374,000, representing
6.93% of net assets.
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 557,079 shares outstanding..................... $ 5,571
Additional paid in capital........................................ 5,572,053
Accumulated net realized loss on securities....................... (48,311)
Undistributed net investment income............................... 3,347
Unrealized depreciation of securities............................. (135,633)
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $5,397,027
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
50 HIGH YIELD BOND FUND - FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the Fiscal Year Ended August 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Interest.............................................................. $507,267
--------
Total investment income.............................................. 507,267
--------
EXPENSES:
Advisory fees......................................................... 37,138
Custodian fees........................................................ 21,281
Administrative service fee............................................ 13,263
Audit fees and tax services........................................... 10,971
Trustees' fees and expenses........................................... 4,224
Accounting services................................................... 1,592
Pricing services...................................................... 990
Report to shareholders................................................ 975
Miscellaneous......................................................... 2,357
--------
Total expenses....................................................... 92,791
Expense reimbursement (see Note 3)................................... (40,246)
--------
Net expenses......................................................... 52,545
--------
NET INVESTMENT INCOME................................................. 454,722
--------
REALIZED AND UNREALIZED LOSS ON SECURITIES:
Net realized loss on securities...................................... (48,311)
Net unrealized depreciation of securities during the year............ (135,633)
--------
Net realized and unrealized loss on securities during the year...... (183,944)
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................... $270,778
--------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the period
year ended August 26, 1998
August 31, 1999 to August 31, 1998
----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................... $ 454,722 $ -
Net realized loss on securities............. (48,311) -
Net unrealized depreciation of securities
during the year............................. (135,633) -
----------------------------------
Increase in net assets resulting from
operations................................. 270,778 -
----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... (453,039) -
Net realized gain on securities............. - -
----------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (453,039) -
----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 5,137,206 6,667
Proceeds from shares issued for
distributions reinvested.................... 453,039 -
----------------------------------
5,590,245 6,667
Cost of shares repurchased.................. (17,624) -
----------------------------------
Increase in net assets resulting from
share transactions......................... 5,572,621 6,667
----------------------------------
TOTAL INCREASE IN NET ASSETS................ 5,390,360 6,667
NET ASSETS:
Beginning of year........................... 6,667 -
----------------------------------
End of year (including undistributed net
investment income of $3,347 and $0)......... $5,397,027 $6,667
----------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 513,223 667
Shares issued for distributions reinvested.. 44,931 -
Shares repurchased.......................... (1,742) -
----------------------------------
Increase in shares outstanding............. 556,412 667
Shares outstanding:
Beginning of year.......................... 667 -
----------------------------------
End of year................................ 557,079 667
----------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 STRATEGIC BOND FUND - STATEMENT OF NET ASSETS 51
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CORPORATE BONDS - 47.01%
BROADCASTING - 1.91%
$ 50,000 Cumulus Media, Inc.,
10.38% due 07/01/08................................. $ 51,625
50,000 Echostar DBS Corp.,
9.38% due 02/01/09.................................. 49,625
----------
101,250
----------
CHEMICAL - MAJOR - 2.68%
50,000 Koppers Industries, Inc.,
9.88% due 12/01/07.................................. 46,500
100,000 Polymer Group, Inc.,
9.00% due 07/01/07.................................. 95,500
----------
142,000
----------
CONSUMER FINANCE - 1.86%
100,000 AmeriCredit Corp.,
9.25% due 02/01/04.................................. 98,500
----------
DRUGS - 1.75%
100,000 ICN Pharmaceuticals, Inc.,
8.75% due 11/15/08.................................. 92,750
----------
ELECTRONIC INSTRUMENTS - 1.85%
100,000(/1/) Flextronics International,
8.75% due 10/15/07.................................. 98,000
----------
ENTERTAINMENT - 1.62%
50,000 Hollywood Entertainment Corp.,
10.63% due 08/15/04................................. 48,250
50,000 MTS, Inc.,
9.38% due 05/01/05.................................. 37,500
----------
85,750
----------
FOODS - 0.89%
50,000 Agrilink Foods, Inc.,
11.88% due 11/01/08................................. 47,250
----------
FREIGHT - 1.94%
100,000 Coach USA, Inc.,
9.38% due 07/01/07.................................. 102,500
----------
HOME BUILDERS - 1.82%
Beazer Homes USA, Inc.:
75,000 9.00% due 03/01/04................................. 72,939
25,000 8.88% due 04/01/08................................. 23,281
----------
96,220
----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
LEISURE TIME - 1.86%
$ 100,000 Boyd Gaming Corp.,
9.50% due 07/15/07...................................... $ 98,500
----------
LODGING - 1.87%
100,000 Prime Hospitality Corp.,
9.75% due 04/01/07...................................... 99,000
----------
MACHINERY - CONSTRUCTION & CONTRACTS - 0.88%
50,000 Calpine Corp.,
7.75% due 04/15/09...................................... 46,625
----------
MACHINERY - INDUSTRIAL/SPECIALTY - 1.94%
100,000 Synthetic Industries, Inc.,
9.25% due 02/15/07...................................... 102,750
----------
MERCHANDISE - DEPARTMENT - 3.53%
200,000 True Temper Sports, Inc., Series B,
10.88% due 12/01/08..................................... 187,000
----------
MERCHANDISE - SPECIALTY - 0.90%
50,000 Finlay Enterprises, Inc.,
8.38% due 05/01/08...................................... 47,500
----------
MERCHANDISING - FOOD - 0.80%
50,000 Disco S.A.,
9.88% due 05/15/08...................................... 42,375
----------
METALS - STEEL - 3.67%
100,000 Metals USA, Inc.,
8.63% due 02/15/08...................................... 93,000
100,000 National Steel Corp., Series D,
9.88% due 03/01/09...................................... 101,250
----------
194,250
----------
RESTAURANTS - 1.94%
50,000 Perkins Family Restaurants, L.P.,
10.13% due 12/15/07..................................... 52,000
50,000 Southern Foods,
9.88% due 09/01/07...................................... 50,625
----------
102,625
----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
TELECOMMUNICATIONS - 8.66%
$ 50,000 Amphenol Corp.,
9.88% due 05/15/07.................................. $ 50,125
50,000 Global Crossing,
9.63% due 05/15/08.................................. 50,000
50,000 Intermedia Communications, Inc.,
8.50% due 01/15/08.................................. 44,125
100,000 Intermedia Communications, Inc., Series B,
9.50% due 03/01/09.................................. 93,750
100,000 National Communications Corp., Series B,
11.50% due 10/01/08................................. 106,250
200,000(/1/) Telecorp, Pcs., Inc.,
Zero coupon due 04/15/09............................ 115,000
----------
459,250
----------
UTILITIES - COMMUNICATION - 3.63%
200,000(/1/) Southwestern Bell Telephone,
6.55% due 10/07/08.................................. 192,138
----------
UTILITIES - MISCELLANEOUS - 1.01%
60,000 ESI Tractebel Acq Corp.,
7.99% due 12/30/11.................................. 53,387
----------
TOTAL CORPORATE BONDS
(Cost $2,531,654)................................... 2,489,620
----------
UNITED STATES GOVERNMENT -
LONG TERM - 23.35%
GOVERNMENT SPONSORED - 23.35%
Federal Home Loan Mortgage Corp.:
199,854 7.00% due 06/01/29................................. 194,232
399,007 6.50% due 07/01/29................................. 377,807
Federal National Mortgage Association:
388,830 5.50% due 01/01/29................................. 345,813
358,251 5.50% due 05/01/29................................. 318,618
----------
1,236,470
----------
TOTAL UNITED STATES GOVERNMENT -
LONG TERM
(Cost $1,283,902)................................... 1,236,470
----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
52 August 31, 1999
STRATEGIC BOND FUND - STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
MARKET
PAR VALUE VALUE
<C> <S> <C>
- -----------------------------------------------------------------------------
CORPORATE BONDS -
FOREIGN - 4.73%
FINANCIAL SERVICES - 0.97%
$ 50,000 Tembec Finance Corp.,
9.88% due 09/30/05.............................. $ 51,625
----------
TELECOMMUNICATIONS -
3.76%
200,000 Cable & Wireless
Communications, Plc.,
6.38% due 03/06/03.............................. 199,258
----------
TOTAL CORPORATE BONDS -
FOREIGN
(Cost $253,133)................................. 250,883
----------
GOVERNMENT BONDS -
FOREIGN - 19.35%
119,528 Brazil - C Bond,
8.00% due 04/15/14.............................. 71,047
350,000 Canada,
5.25% due 09/01/03.............................. 230,245
128,000 Export-Import Bank of
Korea,
6.38% due 02/15/06.............................. 115,264
50,000,000 Hellenic Republic,
8.80% due 06/19/07.............................. 183,042
186,000 Republic of Argentina,
5.94% due 03/31/05.............................. 157,923
100,000 Republic of Poland,
5.00% due 10/27/14.............................. 87,580
250,000 United Mexico States
Series W-B,
6.25% due 12/31/19.............................. 179,483
----------
TOTAL GOVERNMENT BONDS -
FOREIGN
(Cost $992,209)................................. 1,024,584
----------
NUMBER PREFERRED STOCK - 0.94%
OF SHARES TELECOMMUNICATIONS -
0.94%
500 * Global Crossing................................. 50,000
----------
TOTAL PREFERRED STOCK
(Cost $50,000).................................. 50,000
----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -----------------------------------------------------------------------------
CORPORATE SHORT TERM - REPURCHASE AGREEMENT - 3.55%
BANKS - OTHER - 3.55%
$ 188,000 State Street Bank Repurchase Agreement, 5.35%,
dated 08/31/99, to be repurchased at $188,028 on
09/01/99, collateralized by U.S. Treasury Note,
4.63%, 11/30/00, with value of $195,000 (Cost
$188,000).......................................... $ 188,000
----------
TOTAL CORPORATE SHORT TERM - REPURCHASE AGREEMENT
(Cost $188,000).................................... 188,000
----------
TOTAL INVESTMENTS
(Cost $5,298,898) - 98.93%......................... 5,239,557
Other assets less liabilities, net - 1.07%......... 56,673
----------
NET ASSETS - 100.00%
(equivalent to $9.86 per share on
536,901 shares outstanding)........................ $5,296,230
----------
</TABLE>
* Non-income producing
(/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 August 31,
1999 the aggregate value of these securities was $307,138, representing
5.80% of net assets.
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized, 536,901 shares outstanding....... $ 5,369
Additional paid in capital.................................... 5,366,904
Accumulated net realized loss on securities................... (39,633)
Undistributed net investment income........................... 22,931
Unrealized appreciation (depreciation) of:
Investments........................................ $(63,749)
Foreign currency translation....................... 4,408 (59,341)
-------- ----------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING................... $5,296,230
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
STRATEGIC BOND FUND - FINANCIAL STATEMENTS 53
STATEMENT OF OPERATIONS
For the Fiscal Year Ended August 31, 1999
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends........................................................ $ 2,610
Interest......................................................... 400,635
--------
Total investment income......................................... 403,245
--------
EXPENSES:
Advisory fees.................................................... 31,455
Custodian fees................................................... 21,060
Administrative service fee....................................... 13,107
Audit fees and tax services...................................... 10,865
Trustees' fees and expenses...................................... 4,188
Accounting services.............................................. 1,573
Pricing services................................................. 980
Report to shareholders........................................... 959
Miscellaneous.................................................... 2,353
--------
Total expenses.................................................. 86,540
Expense reimbursement (see Note 3).............................. (39,896)
--------
Net expenses.................................................... 46,644
--------
NET INVESTMENT INCOME............................................ 356,601
--------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
AND FOREIGN CURRENCIES:
Net realized loss on:
Investments........................................... $(27,238)
Foreign currency transaction.......................... (1,331) (28,569)
--------
Net unrealized appreciation (depreciation) during the year:
Investments........................................... (63,749)
Foreign currency translation.......................... 4,408 (59,341)
-------- --------
Net realized and unrealized loss on securities during the year.. (87,910)
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ................ $268,691
--------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the period
year ended August 26, 1998
August 31, 1999 to August 31, 1998
----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income...................... $ 356,601 $ -
Net realized loss on securities............ (28,569) -
Net unrealized depreciation of securities
during the year............................ (59,341) -
----------------------------------
Increase in net assets resulting from
operations................................ 268,691 -
----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income...................... (335,000) -
Net realized gain on securities............ (11,064) -
----------------------------------
Decrease in net assets resulting from
distributions
to shareholders........................... (346,064) -
----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold.................. 5,021,496 6,667
Proceeds from shares issued for
distributions reinvested................... 346,064 -
----------------------------------
5,367,560 6,667
Cost of shares repurchased................. (624) -
----------------------------------
Increase in net assets resulting from
share transactions........................ 5,366,936 6,667
----------------------------------
TOTAL INCREASE IN NET ASSETS............... 5,289,563 6,667
----------------------------------
NET ASSETS:
Beginning of year.......................... 6,667 -
----------------------------------
End of year (including undistributed net
investment income of $22,931 and $0)....... $5,296,230 $6,667
----------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................ 502,059 667
Shares issued for distributions
reinvested................................. 34,237 -
Shares repurchased......................... (62) -
----------------------------------
Increase in shares outstanding............ 536,234 667
Shares outstanding:
Beginning of year......................... 667 -
----------------------------------
End of year............................... 536,901 667
----------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
54 August 31, 1999
DOMESTIC BOND FUND - STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CORPORATE BONDS - 26.30%
AIRLINES - 4.61%
$249,237 Airplanes Pass-Thru Trust,
8.15% due 03/15/11...................................... $ 235,860
149,980 Continental Airlines,
7.08% due 11/01/04...................................... 144,303
----------
380,163
----------
BROADCASTING - 1.42%
150,000 Fox/Liberty Networks, LLC.,
9.75% due 08/15/07...................................... 117,000
----------
DRUGS - 1.56%
150,000 McKesson Corp.,
6.40% due 03/01/08...................................... 128,897
----------
ELECTRICAL EQUIPMENT - 1.80%
150,000 Philips Electronics, NV.,
7.20% due 06/01/26...................................... 148,485
----------
FINANCE COMPANIES - 6.73%
139,959 Commercial Mortgage Acceptance,
5.80% due 03/15/06...................................... 134,863
135,128 DLJ Commercial Mortgage Corp.,
6.14% due 10/15/06...................................... 129,786
150,000 Green Tree Financial Corp., Series A-7,
7.14% due 01/15/29...................................... 148,734
150,000 Sears Credit Account Master Trust,
5.25% due 10/16/08...................................... 142,077
----------
555,460
----------
FINANCIAL SERVICES - 3.44%
150,000 Charter Communications Holdings, LLC,
8.25% due 04/01/07...................................... 144,375
150,000 Household Finance Corp.,
6.40% due 06/17/08...................................... 139,856
----------
284,231
----------
FOODS - 1.76%
150,000 Nabisco, Inc.,
7.55% due 06/15/15...................................... 145,410
----------
HEALTHCARE - 0.55%
150,000 Integrated Health Services,
9.25% due 01/15/08...................................... 45,000
----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
TELECOMMUNICATIONS - 2.66%
$ 250,000 Crown Castle International Corp.,
10.38% due 05/15/11.............................. $ 137,175
150,000(/1/) Spectrasite Holdings, Inc.,
12.00% due 07/15/08.............................. 82,500
----------
219,675
----------
UTILITIES - COMMUNICATION - 1.77%
150,000 GTE Corp.,
7.90% due 02/01/27............................... 146,133
----------
TOTAL CORPORATE BONDS
(Cost $2,424,274)................................ 2,170,454
----------
UNITED STATES GOVERNMENT -
LONG TERM - 66.10%
FEDERAL AGENCIES - 17.73%
400,000 Federal Home Loan Bank,
5.13% due 09/15/03............................... 380,936
Government National Mortgage Association:
631,739 7.00% due 09/15/28............................... 612,193
498,459 6.50% due 06/15/29............................... 470,107
----------
1,463,236
----------
GOVERNMENT SPONSORED - 21.75%
Federal National Mortgage Association:
993,732 6.50% due 04/01/29............................... 940,627
750,000 6.00% due 05/15/08............................... 707,228
150,000(/1/) Government Lease Trust, Series A2,
6.18% due 05/18/05............................... 146,850
----------
1,794,705
----------
UNITED STATES NOTES - 26.62%
United States Treasury Notes:
650,000 6.88% due 05/15/06............................... 675,292
1,500,000 6.38% due 08/15/02............................... 1,520,865
----------
2,196,157
----------
TOTAL UNITED STATES GOVERNMENT -
LONG TERM
(Cost $5,613,617)................................ 5,454,098
----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE - SHORT TERM -
REPURCHASE AGREEMENT - 7.17%
BANKS - OTHER - 7.17%
$592,000 State Street Bank Repurchase Agreement, 5.35%, dated
08/31/99, to be repurchased at $592,088 on 09/01/99,
collateralized by U.S. Treasury Note, 4.63%, 11/30/00,
with a value of $605,000 (Cost $592,000) ............... $ 592,000
----------
TOTAL CORPORATE - SHORT TERM -
REPURCHASE AGREEMENT
(Cost $592,000)......................................... 592,000
----------
TOTAL INVESTMENTS
(Cost $8,629,891) - 99.57%.............................. 8,216,552
Other assets less liabilities, net - 0.43%.............. 35,251
----------
NET ASSETS - 100.00%
(equivalent to $9.43 per share on 874,840 shares
outstanding)............................................ $8,251,803
----------
</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 August 31,
1999 the aggregate value of these securities was $229,350, representing
2.78% of net assets.
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 874,840 shares outstanding..................... $ 8,748
Additional paid in capital........................................ 8,699,443
Undistributed net realized loss on securities..................... (46,310)
Undistributed net investment income............................... 3,261
Unrealized depreciation of securities............................. (413,339)
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $8,251,803
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
DOMESTIC BOND FUND - FINANCIAL STATEMENTS 55
STATEMENT OF OPERATIONS
For the Fiscal Year Ended August 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Interest............................................................. $ 404,398
---------
Total investment income............................................. 404,398
---------
EXPENSES:
Advisory fees........................................................ 38,602
Custodian fees....................................................... 24,777
Administrative service fee........................................... 16,084
Audit fees and tax services.......................................... 12,965
Trustees' fees and expenses.......................................... 4,649
Accounting services.................................................. 1,930
Pricing services..................................................... 1,164
Report to shareholders............................................... 1,153
Miscellaneous........................................................ 2,659
---------
Total expenses...................................................... 103,983
Expense reimbursement (see Note 3).................................. (53,837)
---------
Net expenses........................................................ 50,146
---------
NET INVESTMENT INCOME................................................ 354,252
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain on investments..................................... 17,325
Net unrealized depreciation of investments during the year........... (413,339)
---------
Net realized and unrealized loss on securities during the year...... (396,014)
---------
DECREASE IN NET ASSETS RESULTING FROM OPERATIONS..................... $ (41,762)
---------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the period
year ended August 26, 1998
August 31, 1999 to August 31, 1998
----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income...................... $ 354,252 $ -
Net realized gain on securities............ 17,325 -
Net unrealized depreciation of securities
during the year............................ (413,339) -
----------------------------------
Decrease in net assets resulting from
operations................................ (41,762) -
----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income...................... (352,037) -
Net realized gain on securities............ (63,635) -
----------------------------------
Decrease in net assets resulting from
distributions
to shareholders........................... (415,672) -
----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold.................. 10,859,615 1,667
Proceeds from shares issued for
distributions reinvested................... 415,672 -
----------------------------------
11,275,287 1,667
Cost of shares repurchased................. (2,567,717) -
----------------------------------
Increase in net assets resulting from
share transactions........................ 8,707,570 1,667
----------------------------------
TOTAL INCREASE IN NET ASSETS............... 8,250,136 1,667
NET ASSETS:
Beginning of year.......................... 1,667 -
----------------------------------
End of year (including undistributed net
investment income of $3,261 and $0)........ $8,251,803 $1,667
----------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................ 1,097,349 167
Shares issued for distributions
reinvested................................. 42,275 -
Shares repurchased......................... (264,951) -
----------------------------------
Increase in shares outstanding............ 874,673 167
Shares outstanding:
Beginning of year......................... 167 -
----------------------------------
End of year............................... 874,840 167
----------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
56 August 31, 1999
CORE BOND FUND - STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
<CAPTION>
CORPORATE BONDS - 62.14%
BANKS - OTHER - 2.17%
<C> <S> <C>
BankAmerica Corp.:
$ 50,000 6.63% due 06/15/04....................................... $ 49,094
70,000 5.88% due 02/15/09....................................... 62,103
----------
111,197
----------
<CAPTION>
BANKS - REGIONAL - 2.17%
<C> <S> <C>
75,000 First Union National Bank,
5.80% due 12/01/08....................................... 66,719
50,000 Wachovia Corp.,
5.63% due 12/15/08....................................... 44,527
----------
111,246
----------
<CAPTION>
BROADCASTING - 0.99%
<C> <S> <C>
50,000 Cox Communications, Inc.,
7.88% due 08/15/09....................................... 50,536
----------
<CAPTION>
CONTAINERS - METAL/GLASS - 1.70%
<C> <S> <C>
90,000 Owens Corning,
7.70% due 05/01/08....................................... 86,788
----------
<CAPTION>
ELECTRICAL EQUIPMENT - 1.58%
<C> <S> <C>
90,000 National Service Industry, Inc.,
6.00% due 02/01/09....................................... 80,750
----------
<CAPTION>
FINANCE COMPANIES - 9.60%
<C> <S> <C>
60,000 AT&T Capital Corp.,
6.88% due 01/16/01....................................... 59,983
60,000 Capital One Bank,
6.48% due 06/28/02....................................... 58,915
65,000 Caterpillar Financial Services Corp.,
6.88% due 08/01/04....................................... 64,401
75,000 Ford Motor Credit Co.,
6.70% due 07/16/04....................................... 73,799
75,000 General Motors Acceptance Corp.,
6.85% due 06/17/04....................................... 74,345
Newcourt Credit Group, Inc.:
80,000 7.13% due 12/17/03...................................... 78,514
85,000 6.88% due 02/16/05...................................... 81,907
----------
491,864
----------
<CAPTION>
FINANCIAL SERVICES - 6.56%
<C> <S> <C>
75,000 Countrywide Home,
6.25% due 04/15/09....................................... 67,940
50,000 Doral Financial Corp.,
8.50% due 07/08/04....................................... 49,683
Household Finance Corp.:
75,000 6.00% due 05/01/04...................................... 71,477
50,000 5.88% due 09/25/04...................................... 47,159
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
<CAPTION>
FINANCIAL SERVICES - Continued
<C> <S> <C>
$100,000 TransAmerica Finance Corp.,
7.25% due 08/15/02................................ $ 99,659
-----------
335,918
-----------
<CAPTION>
HEAVY DUTY TRUCKS/PARTS - 1.63%
<C> <S> <C>
95,000 Dana Corp.,
7.00% due 03/01/29............................... 83,658
-----------
INSURANCE - MULTILINE - 1.87%
Fairfax Financial Holdings, Ltd.:
45,000 8.25% due 10/01/15............................... 43,145
55,000 7.38% due 03/15/06............................... 52,427
-----------
95,572
-----------
MACHINERY - AGRICULTURE - 1.91%
100,000 Deere & Co.,
6.55% due 07/15/04................................ 97,807
-----------
MERCHANDISE - DRUG - 1.32%
75,000 Rite Aid Corp.,
6.00% due 12/15/05................................ 67,553
-----------
MERCHANDISE - MASS - 0.48%
25,000 Fred Meyer, Inc.,
7.45% due 03/01/08................................ 24,712
-----------
MISCELLANEOUS - 1.56%
80,000(/1/) Tyco International Group S.A.,
6.88% due 09/05/02................................ 79,718
-----------
NATURAL GAS - DIVERSIFIED - 2.39%
50,000 PanEnergy Corp.,
7.38% due 09/15/03................................ 51,110
75,000 Valero Energy Corp.,
7.38% due 03/15/06................................ 71,213
-----------
122,323
-----------
OIL - INTEGRATED DOMESTIC - 0.55%
30,000 USX-Marathon Group,
6.65% due 02/01/06................................ 28,005
-----------
OIL - SERVICE PRODUCTS - 0.98%
55,000 Halliburton Co.,
5.63% due 12/01/08................................ 50,098
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS - 1.09%
$ 60,000 Temple-Inland, Inc., Series F,
6.75% due 03/01/09...................................... $ 55,886
-----------
PUBLISHING - NEWS - 0.96%
50,000 United News & Media, Plc.,
7.75% due 07/01/09...................................... 48,993
-----------
SECURITIES RELATED - 2.58%
Merrill Lynch & Co., Inc.:
55,000 8.00% due 06/01/07...................................... 57,086
25,000 7.20% due 10/15/12...................................... 25,200
55,000 6.00% due 02/17/09...................................... 49,526
-----------
131,812
-----------
TELECOMMUNICATIONS - 10.05%
120,000 Bell Atlantic Pennsylvania,
6.00% due 12/01/28...................................... 97,307
100,000 Cable & Wire Optus, Ltd.,
8.13% due 06/15/09...................................... 100,914
50,000 Cable & Wireless Communication,
6.75% due 12/01/08...................................... 50,905
60,000 MetroNet Communications Corp.,
Zero coupon due 06/15/08................................ 45,923
30,000 Northwestern Bell Telephone,
7.75% due 05/01/30...................................... 29,897
Sprint Capital Corp.:
55,000 6.90% due 05/01/19..................................... 50,505
125,000 6.13% due 11/15/08..................................... 114,213
25,000 US West Cap Funding, Inc.,
6.88% due 08/15/01...................................... 24,909
-----------
514,573
-----------
UTILITIES - COMMUNICATION - 1.69%
100,000 Bellsouth Telecommunications,
6.38% due 06/01/28...................................... 86,512
-----------
UTILITIES - ELECTRIC - 4.36%
60,000 Arizona Public Service,
5.88% due 02/15/04...................................... 56,990
45,000 Cinergy Corp.,
6.13% due 04/15/04...................................... 42,992
National Rual Utilities:
55,000 6.20% due 02/01/08..................................... 51,816
25,000 5.70% due 01/15/10..................................... 22,283
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 57
CORE BOND FUND - STATEMENT OF NET ASSETS CONTINUED
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES - ELECTRIC - Continued
$ 55,000 Pennsylvania Electric Co., Series C,
6.63% due 04/01/19................................ $ 49,208
----------
223,289
----------
UTILITIES - GAS, PIPELINE - 3.95%
55,000 Enron Corp.,
6.75% due 09/01/04................................ 53,813
50,000 ONEOK, Inc.,
7.75% due 08/15/06................................ 49,814
55,000 Peco Energy Transition Trust,
6.13% due 03/01/09................................ 51,132
50,000 Williams Companies, Inc.,
7.63% due 07/15/19................................ 47,327
----------
202,086
----------
TOTAL CORPORATE BONDS
(Cost $3,294,166)................................. 3,180,896
----------
UNITED STATES GOVERNMENT -
LONG TERM - 35.82%
FEDERAL AGENCIES - 4.80%
Federal Home Loan Bank:
55,000 5.81% due 03/23/09................................ 50,514
75,000 5.32% due 12/23/08................................ 66,575
Government National Mortgage Association:
103,690 6.50% due 12/15/28................................ 97,792
32,464 6.50% due 01/15/29................................ 30,618
----------
245,499
----------
GOVERNMENT SPONSORED - 31.02%
85,000 Federal Farm Credit Bank,
6.75% due 07/07/09................................ 83,353
Federal Home Loan Mortgage Corp.:
23,215 8.50% due 11/01/26................................ 23,947
51,190 7.50% due 05/01/24................................ 51,046
40,790 7.00% due 03/01/12................................ 40,459
95,366 7.00% due 04/01/14................................ 94,590
99,912 7.00% due 07/01/29................................ 97,102
200,000 7.00% due 09/01/29................................ 194,376
50,000 6.25% due 07/15/04................................ 49,266
75,000 6.22% due 03/18/08................................ 70,863
100,010 6.00% due 08/01/14................................ 95,260
154,710 6.00% due 06/01/29................................ 142,429
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
GOVERNMENT SPONSORED - Continued
Federal National Mortgage Association:
$257,349 7.50% due 12/01/28.................................. $ 255,579
55,000 6.76% due 07/16/07.................................. 53,711
75,000 6.65% due 11/07/07.................................. 72,844
65,000 6.37% due 01/30/08.................................. 62,278
35,000 6.30% due 12/20/04.................................. 34,152
55,000 6.28% due 02/12/08.................................. 52,439
124,259 6.00% due 01/01/29.................................. 114,279
----------
1,587,973
----------
TOTAL UNITED STATES GOVERNMENT -
LONG TERM
(Cost $1,904,238)................................... 1,833,472
----------
CORPORATE SHORT TERM -
REPURCHASE AGREEMENT - 6.82%
BANKS - OTHER - 6.82%
349,000 State Street Bank Repurchase Agreement, 5.35% dated
08/31/99, to be repurchased at $349,052 on 09/01/99,
collateralized by U.S. Treasury Note, 4.63%,
11/30/00, with a value of $360,000 (Cost $349,000).. 349,000
----------
TOTAL CORPORATE SHORT TERM -
REPURCHASE AGREEMENT
(Cost $349,000)..................................... 349,000
----------
TOTAL INVESTMENTS
(Cost $5,547,404) - 104.78%......................... 5,363,368
Other assets less liabilities, net - (4.78%)........ (244,796)
----------
NET ASSETS - 100.00%
(equivalent to $9.58 per share on
534,568 shares outstanding)......................... $5,118,572
----------
</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 August 31,
1999, the aggregate value of these securities was $79,718, representing
1.56% of net assets.
<TABLE>
<CAPTION>
<C> <S> <C>
- -------------------
</TABLE>
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 534,568 shares outstanding..................... $ 5,346
Additional paid in capital........................................ 5,335,897
Accumulated net realized loss on securities....................... (40,687)
Undistributed net investment income............................... 2,052
Unrealized depreciation of securities............................. (184,036)
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $5,118,572
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
58 CORE BOND FUND - FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the Fiscal Year Ended August 31, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest............................................................. $ 301,846
---------
Total investment income............................................. 301,846
---------
EXPENSES:
Advisory fees........................................................ 25,633
Custodian fees....................................................... 20,586
Administrative service fee........................................... 12,817
Audit fees and tax services.......................................... 10,638
Trustees' fees and expenses.......................................... 4,097
Accounting services.................................................. 1,538
Pricing services..................................................... 959
Report to shareholders............................................... 931
Miscellaneous........................................................ 2,328
---------
Total expenses...................................................... 79,527
Expense reimbursement (see Note 3).................................. (38,494)
---------
Net expenses........................................................ 41,033
---------
NET INVESTMENT INCOME................................................ 260,813
---------
REALIZED AND UNREALIZED LOSS ON SECURITIES:
Net realized loss on securities...................................... (24,396)
Net unrealized depreciation of securities during the year............ (184,036)
---------
Net realized and unrealized loss on securities during the year...... (208,432)
---------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................... $ 52,381
---------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the period
year ended August 26, 1998
August 31, 1999 to August 31, 1998
<S> <C> <C>
----------------------------------
OPERATIONS:
Net investment income....................... $ 260,813 $ -
Net realized loss on securities............. (24,396) -
Net unrealized depreciation of securities
during the year............................. (184,036) -
----------------------------------
Increase in net assets resulting from
operations................................. 52,381 -
----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... (259,674) -
Net realized gain on securities............. (16,291) -
----------------------------------
Decrease in net assets resulting from
distributions
to shareholders............................ (275,965) -
----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 5,060,442 6,667
Proceeds from shares issued for
distributions reinvested.................... 275,965 -
----------------------------------
5,336,407 6,667
Cost of shares repurchased.................. (918) -
----------------------------------
Increase in net assets resulting from
share transactions......................... 5,335,489 6,667
----------------------------------
TOTAL INCREASE IN NET ASSETS ............... 5,111,905 6,667
NET ASSETS:
Beginning of year........................... 6,667 -
----------------------------------
End of year (including undistributed net
investment income of $2,052 and $0)......... $5,118,572 $6,667
----------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 506,020 667
Shares issued for distributions reinvested.. 27,974 -
Shares repurchased.......................... (93) -
----------------------------------
Increase in shares outstanding............. 533,901 667
Shares outstanding:
Beginning of year.......................... 667 -
----------------------------------
End of year................................ 534,568 667
----------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 MONEY MARKET FUND - STATEMENT OF NET ASSETS 59
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMERCIAL PAPER - 100.51%
BEVERAGE - SOFT DRINKS - 3.54%
$120,000 Coca-Cola Co.,
5.13% due 11/10/99....................................... $ 118,797
233,000 Coca-Cola Co.,
5.55% due 01/20/00....................................... 227,926
----------
346,723
----------
CHEMICAL - MAJOR - 5.11%
350,000 E.I. Du Pont de Nemours & Co.,
4.89% due 09/09/99....................................... 349,615
151,000 PPG Industries, Inc.,
5.15% due 09/13/99....................................... 150,740
----------
500,355
----------
CONGLOMERATES - 3.97%
391,000 Fortune Brands,
5.26% due 10/21/99....................................... 388,137
----------
CONSUMER FINANCE - 6.37%
Associates Corp. North America:
100,000 5.68% due 01/10/00....................................... 97,932
165,000 5.62% due 01/10/00....................................... 161,614
200,000 Sears Roebuck Acceptance Corp.,
4.90% due 09/30/99....................................... 199,201
165,000 Sears Roebuck Acceptance Corp.,
4.90% due 09/13/99....................................... 164,727
----------
623,474
----------
DRUGS - 2.10%
206,000 Schering Corp.,
5.06% due 09/28/99....................................... 205,212
----------
ENTERTAINMENT - 3.18%
180,000 Mattel, Inc.,
5.33% due 12/01/99....................................... 177,561
135,000 Walt Disney Co.,
4.78% due 11/09/99....................................... 133,744
----------
311,305
----------
FINANCE COMPANIES - 20.16%
123,000 Caterpillar Financial Services,
5.18% due 09/20/99....................................... 122,663
195,000 Ciesco, L.P.,
5.18% due 09/13/99 ...................................... 194,662
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCE COMPANIES -
Continued
$366,000 CIT Group Holdings, Inc.,
5.14% due 09/03/99....................................... $ 365,895
150,000 Ford Motor Credit Co.,
4.89% due 09/20/99....................................... 149,609
192,000 Ford Motor Credit Co.,
5.23% due 12/15/99....................................... 189,059
170,000 General Electric Capital Corp.,
4.87% due 09/02/99....................................... 169,977
118,000 General Electric Capital Corp.,
5.69% due 02/07/00....................................... 115,028
100,000 General Electric Capital Services, Inc.,
5.14% due 10/07/99....................................... 99,482
250,000 General Motors Acceptance Corp.,
4.80% due 09/01/99....................................... 250,000
318,000 International Lease Finance Corp.,
5.22% due 11/09/99....................................... 314,809
----------
1,971,184
----------
FINANCIAL SERVICES - 2.61%
258,000 Household Finance Corp.,
5.10% due 11/02/99....................................... 255,718
----------
FOODS - 7.68%
389,000 Archer Daniels Midland Co.,
5.28% due 11/16/99....................................... 384,658
369,000 Kellogg Co.,
5.23% due 10/08/99....................................... 367,015
----------
751,673
----------
GOVERNMENT SPONSORED - 4.18%
409,000 Province of British Columbia,
4.75% due 09/07/99....................................... 408,671
----------
HEALTHCARE - 3.49%
350,000 Baxter International, Inc.,
5.75% due 01/24/00....................................... 341,850
----------
INSURANCE - LIFE - 3.89%
390,000 Jefferson-Pilot Corp.,
5.70% due 02/02/00....................................... 380,459
----------
INSURANCE - MULTILINE - 7.97%
390,000 Aon Corp.,
5.20% due 09/07/99....................................... 389,661
391,000 Marsh & McLennan Companies, Inc.,
5.18% due 09/13/99....................................... 390,323
----------
779,984
----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
MACHINERY - INDUSTRIAL/SPECIALTY - 7.76%
$375,000 Cooper Industries, Inc.,
5.60% due 09/01/99....................................... $ 375,000
385,000 Dover Corp.,
5.13% due 09/08/99....................................... 384,614
----------
759,614
----------
MERCHANDISING - MASS - 3.98%
390,000 Wal-Mart Stores, Inc.,
5.05% due 09/07/99....................................... 389,671
----------
PHOTOGRAPHY - 3.63%
356,000 Eastman Kodak Co.,
5.12% due 09/24/99....................................... 354,831
----------
PUBLISHING/PRINTING - 4.00%
392,000 R.R. Donnelley and Sons Co.,
5.26% due 09/14/99....................................... 391,255
----------
SECURITIES RELATED - 3.57%
350,000 Merrill Lynch & Co., Inc.,
5.08% due 09/21/99....................................... 349,006
----------
UTILITIES - ELECTRIC - 3.32%
328,000 Southern California Edison Co.,
5.15% due 11/08/99....................................... 324,796
----------
TOTAL COMMERCIAL PAPER
(Cost $9,833,918)........................................ 9,833,918
----------
TOTAL INVESTMENT
(Cost $9,833,918) - 100.51%.............................. 9,833,918
Other assets less liabilities, net - (0.51)%............. (49,451)
----------
NET ASSETS - 100.00%
(equivalent to $1.00 per share on 9,784,467
shares outstanding)...................................... $9,784,467
==========
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 9,784,467 shares outstanding..................... $ 97,845
Additional paid in capital.......................................... 9,686,622
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................... $9,784,467
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
60 MONEY MARKET FUND - FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the Fiscal Year Ended August 31, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest.............................................................. $354,769
--------
Total investment income.............................................. 354,769
--------
EXPENSES:
Custodian fees........................................................ 27,426
Administrative service fee............................................ 17,307
Advisory fees......................................................... 17,307
Audit fees and tax services........................................... 13,748
Trustees' fees and expenses........................................... 4,893
Accounting services................................................... 2,077
Pricing services...................................................... 1,255
Report to shareholders................................................ 1,212
Miscellaneous......................................................... 2,836
--------
Total expenses....................................................... 88,061
Expense reimbursement................................................ (49,332)
--------
Net expense.......................................................... 38,729
--------
NET INVESTMENT INCOME................................................. 316,040
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................... $316,040
--------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the period
year ended August 26, 1998
August 31, 1999 to August 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income...................... $ 316,040 $ -
-----------------------------------
Increase in net assets resulting from
operations................................ 316,040 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income...................... (316,041) -
-----------------------------------
Decrease in net assets resulting from
distributions
to shareholders........................... (316,041) -
-----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold.................. 10,673,613 6,667
Proceeds from shares issued for
distributions reinvested................... 316,041 -
-----------------------------------
10,989,654 6,667
Cost of shares repurchased................. (1,211,854) -
-----------------------------------
Increase in net assets resulting from
share transactions........................ 9,777,800 6,667
-----------------------------------
TOTAL INCREASE IN NET ASSETS............... 9,777,800 6,667
NET ASSETS:
Beginning of year.......................... 6,667 -
-----------------------------------
End of year................................ $ 9,784,467 $6,667
-----------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................ 10,673,613 6,667
Shares issued for distributions
reinvested................................. 316,041 -
Shares repurchased......................... (1,211,854) -
-----------------------------------
Increase in shares outstanding............ 9,777,800 6,667
Shares outstanding:
Beginning of year......................... 6,667 -
-----------------------------------
End of year............................... 9,784,467 6,667
-----------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 GROWTH LIFESTYLE FUND - FINANCIAL STATEMENTS 61
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------
INVESTMENT PORTFOLIO -
INVESTMENT COMPANIES - AFFILIATED - 100.07%
BOND FUNDS - 10.06%
90,426 AGSPC 3 Domestic Bond Fund........................ $ 852,720
----------
INTERNATIONAL FUNDS - 30.70%
115,148 AGSPC 3 International Growth Fund................. 1,291,964
89,077 AGSPC 3 International Value Fund.................. 1,311,211
----------
2,603,175
----------
LARGE CAP FUNDS - 25.27%
82,214 AGSPC 3 Large Cap Growth Fund..................... 1,147,708
77,460 AGSPC 3 Large Cap Value Fund...................... 995,356
----------
2,143,064
----------
MID CAP FUNDS - 14.33%
45,873 AGSPC 3 Mid Cap Growth Fund....................... 571,121
46,638 AGSPC 3 Mid Cap Value Fund........................ 644,534
----------
1,215,655
----------
SMALL CAP FUNDS - 19.71%
56,761 AGSPC 3 Small Cap Growth Fund..................... 841,772
79,211 AGSPC 3 Small Cap Value Fund...................... 830,133
----------
1,671,905
----------
TOTAL INVESTMENT COMPANIES - AFFILIATED (Cost
$7,235,108) - 100.07%............................. 8,486,519
----------
TOTAL INVESTMENTS
(Cost $7,235,108) - 100.07%....................... 8,486,519
Other assets less liabilities, net - (0.07%)...... (6,344)
----------
NET ASSETS - 100.00%
(equivalent to $12.77 per share on 664,178 shares
outstanding)...................................... $8,480,175
----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (cost $7,235,108)............................ $8,486,519
Receivable for investments sold..................................... 39,612
Dividends receivable................................................ 19,407
Other............................................................... 228
----------
TOTAL ASSETS........................................................ $8,545,766
----------
LIABILITIES:
Payable for investments purchased................................... $ 19,407
Payable for capital shares repurchased.............................. 31,317
Payable to Advisor.................................................. 6,665
Accrued expenses and other liabilities.............................. 8,202
----------
TOTAL LIABILITIES................................................... 65,591
----------
NET ASSETS.......................................................... $8,480,175
----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 664,178 shares outstanding...................... $ 6,642
Additional paid in capital......................................... 7,015,950
Accumulated net realized gain on securities........................ 186,712
Undistributed net investment income................................ 19,460
Unrealized appreciation of securities.............................. 1,251,411
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $8,480,175
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
62 GROWTH LIFESTYLE FUND - FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the Fiscal Year Ended August 31, 1999
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Dividends.......................................................... $ 58,329
----------
Total investment income........................................... 58,329
----------
EXPENSES:
Advisory fees...................................................... 6,654
----------
Total expenses.................................................... 6,654
----------
NET INVESTMENT
INCOME............................................................. 51,675
----------
REALIZED AND UNREALIZED GAIN ON SECURITIES AND CAPITAL GAIN
DISTRIBUTIONS:
Net realized gain.................................................. 160,055
Capital gain distributions......................................... 26,657
Net unrealized appreciation of securities during the year.......... 1,251,411
----------
Net realized and unrealized gain on securities and capital gain
distributions during the year..................................... 1,438,123
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................... $1,489,798
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the period
year ended August 26, 1998
August 31, 1999 to August 31, 1998
-----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income...................... $ 51,675 $ -
Net realized gain on securities............ 160,055 -
Capital gain distributions................. 26,657 -
Net unrealized appreciation of securities
during the year............................ 1,251,411 -
-----------------------------------
Increase in net assets resulting from
operations................................ 1,489,798 -
-----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ..................... (32,215) -
Net realized gain on securities............ - -
-----------------------------------
Decrease in net assets resulting from
distributions
to shareholders........................... (32,215) -
-----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold.................. 7,135,612 6,667
Proceeds from shares issued for
distributions reinvested................... 32,215 -
-----------------------------------
7,167,827 6,667
Cost of shares repurchased................. (151,902) -
-----------------------------------
Increase in net assets resulting from
share transactions........................ 7,015,925 6,667
-----------------------------------
TOTAL INCREASE IN NET ASSETS............... 8,473,508 6,667
NET ASSETS:
Beginning of year.......................... 6,667 -
-----------------------------------
End of year (including undistributed net
investment income of $19,460 and $0)....... $8,480,175 $6,667
-----------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................ 672,676 667
Shares issued for distributions
reinvested................................. 2,639 -
Shares repurchased......................... (11,804) -
-----------------------------------
Increase in shares outstanding............ 663,511 667
Shares outstanding:
Beginning of year......................... 667 -
-----------------------------------
End of year............................... 664,178 667
-----------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 63
MODERATE GROWTH LIFESTYLE FUND - FINANCIAL STATEMENTS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------
INVESTMENT PORTFOLIO -
INVESTMENT COMPANIES - AFFILIATED - 100.07%
BOND FUNDS - 25.60%
280,917 AGSPC 3 Domestic Bond Fund....................... $ 2,648,629
-----------
INTERNATIONAL FUNDS - 15.38%
65,662 AGSPC 3 International Growth Fund................ 736,724
58,073 AGSPC 3 International Value Fund................. 854,837
-----------
1,591,561
-----------
LARGE CAP FUNDS - 29.82%
113,975 AGSPC 3 Large Cap Growth Fund.................... 1,591,095
116,359 AGSPC 3 Large Cap Value Fund..................... 1,495,274
-----------
3,086,369
-----------
MID CAP FUNDS - 14.37%
56,136 AGSPC 3 Mid Cap Growth Fund...................... 698,897
57,050 AGSPC 3 Mid Cap Value Fund....................... 788,433
-----------
1,487,330
-----------
SMALL CAP FUNDS - 14.90%
48,853 AGSPC 3 Small Cap Growth Fund.................... 724,492
78,042 AGSPC 3 Small Cap Value Fund..................... 817,884
-----------
1,542,376
-----------
TOTAL INVESTMENT COMPANIES - AFFILIATED
(Cost $9,430,357) - 100.07%...................... 10,356,265
-----------
TOTAL INVESTMENTS
(Cost $9,430,357) - 100.07%...................... 10,356,265
Other assets less liabilities, net - (0.07%)..... (7,655)
-----------
NET ASSETS - 100.00%
(equivalent to $12.24 per share on 845,277 shares
outstanding)..................................... $10,348,610
-----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (cost $9,430,357)........................... $10,356,265
Cash............................................................... 6,399
Receivable for capital shares sold................................. 6,421
Dividends receivable............................................... 47,506
Other.............................................................. 59
-----------
TOTAL ASSETS....................................................... $10,416,650
-----------
LIABILITIES:
Payable for investments purchased.................................. $ 60,520
Payable to Advisor................................................. 7,520
-----------
TOTAL LIABILITIES.................................................. 68,040
-----------
NET ASSETS......................................................... $10,348,610
-----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized, 845,277 shares
outstanding........................................................ $ 8,453
Additional paid in capital......................................... 9,114,279
Undistributed net realized gain on securities...................... 252,421
Undistributed net investment income................................ 47,549
Unrealized appreciation of securities.............................. 925,908
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $10,348,610
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
64 MODERATE GROWTH LIFESTYLE FUND - FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the Fiscal Year Ended August 31, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends....................................................... $ 131,607
----------
Total investment income........................................ 131,607
----------
EXPENSES:
Advisory fees................................................... 7,522
----------
Total expenses................................................. 7,522
----------
NET INVESTMENT INCOME........................................... 124,085
----------
REALIZED AND UNREALIZED GAIN ON SECURITIES AND CAPITAL GAIN
DISTRIBUTIONS:
Net realized gain............................................... 218,301
Capital gain distributions...................................... 34,120
Net unrealized appreciation of investments during the year...... 925,908
----------
Net realized and unrealized gain on securities and capital gain
distributions
during the year................................................. 1,178,329
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................ $1,302,414
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the period
year ended August 26, 1998
August 31, 1999 to August 31, 1998
------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................... $ 124,085 $ -
Net realized gain on securities............. 218,301 -
Capital gain distributions.................. 34,120 -
Net unrealized appreciation of securities
during the year............................. 925,908 -
------------------------------------
Increase in net assets resulting from
operations................................. 1,302,414 -
------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... (76,536) -
Net realized gain on securities............. - -
------------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (76,536) -
------------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 9,333,933 6,667
Proceeds from shares issued for
distributions reinvested.................... 76,536 -
------------------------------------
9,410,469 6,667
Cost of shares repurchased.................. (294,404) -
------------------------------------
Increase in net assets resulting from
share transactions......................... 9,116,065 6,667
------------------------------------
TOTAL INCREASE IN NET ASSETS................ 10,341,943 6,667
NET ASSETS:
Beginning of year........................... 6,667 -
------------------------------------
End of year (including undistributed net
investment income of $47,549 and $0)........ $10,348,610 $6,667
------------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 862,163 667
Shares issued for distributions reinvested.. 6,384 -
Shares repurchased.......................... (23,937) -
------------------------------------
Increase in shares outstanding............. 844,610 667
Shares outstanding:
Beginning of year.......................... 667 -
------------------------------------
End of year................................ 845,277 667
------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
August 31, 1999 65
CONSERVATIVE GROWTH LIFESTYLE FUND - FINANCIAL STATEMENTS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------
INVESTMENT PORTFOLIO -
INVESTMENT COMPANIES - AFFILIATED - 100.08%
BOND FUNDS - 40.23%
316,896 AGSPC 3 Domestic Bond Fund........................ $2,988,428
----------
INTERNATIONAL FUNDS - 10.22%
33,617 AGSPC 3 International Growth Fund................. 377,187
25,973 AGSPC 3 International Value Fund.................. 382,325
----------
759,512
----------
LARGE CAP FUNDS - 30.14%
82,686 AGSPC 3 Large Cap Growth Fund .................... 1,154,285
84,391 AGSPC 3 Large Cap Value Fund...................... 1,084,426
----------
2,238,711
----------
MID CAP FUNDS - 9.56%
28,711 AGSPC 3 Mid Cap Growth Fund....................... 357,451
25,531 AGSPC 3 Mid Cap Value Fund........................ 352,834
----------
710,285
----------
SMALL CAP FUNDS - 9.93%
25,127 AGSPC 3 Small Cap Growth Fund .................... 372,628
34,829 AGSPC 3 Small Cap Value Fund ..................... 365,004
----------
737,632
----------
TOTAL INVESTMENT COMPANIES - AFFILIATED
(Cost $7,327,691)................................. 7,434,568
----------
TOTAL INVESTMENTS
(Cost $7,327,691) - 100.08%....................... 7,434,568
Other assets less liabilities, net - (0.08%)...... (5,942)
----------
NET ASSETS - 100.00%
(equivalent to $11.73 per share on 633,306 shares
outstanding)...................................... $7,428,626
----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (cost $7,327,691)............................ $7,434,568
Cash................................................................ 1,672
Receivable for investments sold..................................... 8,016
Dividends receivable................................................ 49,247
Other............................................................... 403
----------
TOTAL ASSETS........................................................ $7,493,906
----------
LIABILITIES:
Payable for investments purchased................................... $ 58,935
Payable to Advisor.................................................. 6,345
----------
TOTAL LIABILITIES................................................... 65,280
----------
NET ASSETS.......................................................... $7,428,626
----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized, 633,306 shares outstanding...................... $ 6,333
Additional paid in capital......................................... 6,425,122
Undistributed net realized gain on securities...................... 840,987
Undistributed net investment income................................ 49,307
Unrealized appreciation of securities.............................. 106,877
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $7,428,626
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
66 CONSERVATIVE GROWTH LIFESTYLE FUND - FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the Fiscal Year Ended August 31, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends........................................................... $ 152,123
----------
Total investment income............................................ 152,123
----------
EXPENSES:
Advisory fees....................................................... 6,345
----------
Total expenses..................................................... 6,345
----------
NET INVESTMENT INCOME............................................... 145,778
----------
REALIZED AND UNREALIZED GAIN ON SECURITIES AND CAPITAL GAIN
DISTRIBUTIONS:
Net realized gain................................................... 804,016
Capital gain distributions.......................................... 36,971
Net unrealized appreciation of investments during the year ......... 106,877
----------
Net realized and unrealized gain on securities and capital gain
distributions
during the year.................................................... 947,864
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................... $1,093,642
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the period
year ended August 26, 1998
August 31, 1999 to August 31, 1998
------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................... $ 145,778 $ -
Net realized gain on securities............. 804,016 -
Capital gain distributions.................. 36,971 -
Net unrealized appreciation of securities
during the year............................. 106,877 -
------------------------------------
Increase in net assets resulting from
operations................................. 1,093,642 -
------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... (96,471) -
Net realized gain on securities............. - -
------------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (96,471) -
------------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 11,680,520 6,667
Proceeds from shares issued for
distributions reinvested.................... 96,471 -
------------------------------------
11,776,991 -
Cost of shares repurchased.................. (5,352,203) -
------------------------------------
Increase in net assets resulting from
share transactions......................... 6,424,788 6,667
------------------------------------
TOTAL INCREASE IN NET ASSETS................ 7,421,959 6,667
NET ASSETS:
Beginning of year........................... 6,667 -
------------------------------------
End of year (including undistributed net
investment income of $49,307 and $0)........ $ 7,428,626 $6,667
------------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 1,071,050 667
Shares issued for distributions reinvested.. 8,337 -
Shares repurchased.......................... (446,748) -
------------------------------------
Increase in shares outstanding............. 632,639 667
Shares outstanding:
Beginning of year.......................... 667 -
------------------------------------
End of year................................ 633,306 667
------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
NOTES TO FINANCIAL STATEMENTS 67
Note 1 -- Organization
American General Series Portfolio Company 3 (the "Series" or "AGSPC 3") was
organized as a Delaware business trust on May 6, 1998, by The Variable Annuity
Life Insurance Company ("VALIC") and is registered under the Investment Company
Act of 1940, as amended, (the "1940 Act") as an open-end, management investment
company. On August 26, 1998, VALIC contributed $100,000 to the Series as its
initial funding. On September 1, 1998, VALIC Separate Account A, invested an
additional $74,900,000, and the Series commenced operations. The Series
consists of the following 18 separate investment portfolios or "funds", each of
which is, in effect, a separate mutual fund issuing its own separate class of
shares of beneficial interest.
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
Money Market Fund
Growth Lifestyle Fund*
Moderate Growth Lifestyle Fund*
Conservative Growth Lifestyle Fund*
* The lifestyle funds represent "funds of funds" which invest in up to nine
underlying AGSPC 3 funds.
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 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 AGSPC3 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, 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. The fund 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
The seller of a repurchase agreement collateralizes the agreement with
securities delivered to the Fund's custodian bank. The Adviser determines, on a
daily basis, that the seller maintains collateral of at least 100% of the
repurchase proceeds due to the Fund at maturity.
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>
68 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, which declares daily. 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 August 26, 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, and the Core Bond Fund.
Bankers Trust Company -- one of two sub-advisers for the Small Cap Value
Fund. On July 27, 1999, effective September 1, 1999, the Board of Trustees
terminated its sub-advisory agreement with 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. -- one of two sub-advisers for 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>
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 the assets more than $750
million
--------------------------------------------------------------------------
Small Cap Value Fund 0.75% on the first $50 million
0.65% on the 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
0.45% on the next $300 million
0.40% on assets more than $500 million
--------------------------------------------------------------------------
Money Market Fund 0.25%
--------------------------------------------------------------------------
Growth Lifestyle Fund 0.10%
Moderate Growth Lifestyle Fund
Conservative Growth Lifestyle Fund
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
NOTES TO FINANCIAL STATEMENTS CONTINUED 69
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,
during the first fiscal year. 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:
<TABLE>
<CAPTION>
Maximum Total Fund
Expenses Expense After
Fund Name Limitation Reimbursement
--------------------------------------------------------
<S> <C> <C>
International Growth Fund 1.15% 1.13%
Large Cap Growth Fund 0.86% 0.81%
Mid Cap Growth Fund 0.79% 0.77%
Small Cap Growth Fund 1.16% 1.11%
International Value Fund 1.04% 1.01%
Large Cap Value Fund 0.81% 0.80%
Mid Cap Value Fund 1.05% 1.03%
Small Cap Value Fund 0.98% 0.96%
Socially Responsible Fund 0.56% 0.55%
Balanced Fund 0.82% 0.80%
High Yield Bond Fund 0.99% 0.98%
Strategic Bond Fund 0.89% 0.88%
Domestic Bond Fund 0.78% 0.77%
Core Bond Fund 0.80% 0.80%
Money Market Fund 0.56% 0.54%
</TABLE>
On August 26, 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.
On August 26, 1998, the Series entered into an Administrative Services
Agreement with VALIC for the provision of recordkeeping and shareholder
services. Valic receives from each fund, other than the Lifestyle Funds, an
annual fee of 0.25% based on average daily net asset value of the fund.
At August 31, 1999, the Series owed to the Adviser $916,876 representing fees
payable from Advisory, Accounting Services, and Administrative Services, net
of required expense reimbursements.
At August 31, 1999, VALIC Separate Account A (a registered separate account
of VALIC) owned, directly or indirectly, 100% of the outstanding shares on all
Funds. Certain officers and trustees of the Series are officers and directors
of VALIC or American General Corporation.
The Series placed a portion of its portfolio transactions with brokerage
firms which are affiliates. The commissions paid to these affiliated firms
were $31,388 for the period.
Note 4 -- Investment Activity
The information in the following table is presented on the basis of cost for
federal income tax purposes at August 31, 1999.
<TABLE>
<CAPTION>
Identified
Cost of Gross Gross Net Unrealized
Investments Unrealized Unrealized Appreciation
Owned Appreciation Depreciation (Depreciation)
----------------------------------------------------
<S> <C> <C> <C> <C>
International Growth
Fund..................... $ 6,438,742 $ 767,851 $386,050 $ 381,801
Large Cap Growth Fund.... 17,249,589 2,640,805 485,421 2,155,384
Mid Cap Growth Fund...... 7,105,132 1,095,121 770,113 325,008
Small Cap Growth Fund.... 9,148,374 2,347,651 705,083 1,642,568
International Value
Fund..................... 6,177,858 2,154,794 104,808 2,049,986
Large Cap Value Fund..... 7,420,662 756,371 326,274 430,097
Mid Cap Value Fund....... 9,533,227 426,283 859,819 (433,536)
Small Cap Value Fund..... 6,526,643 464,584 423,833 40,751
Socially Responsible
Fund..................... 9,236,954 1,525,602 427,760 1,097,842
Balanced Fund............ 7,805,887 1,098,407 374,785 723,622
High Yield Bond Fund..... 5,507,647 43,340 178,973 (135,633)
Strategic Bond Fund...... 5,298,898 83,116 142,457 (59,341)
Domestic Bond Fund....... 8,677,944 -- 461,392 (461,392)
Core Bond Fund........... 5,548,649 7,542 192,824 (185,282)
Money Market............. 9,833,918 -- -- --
Growth Lifestyle......... 7,235,108 1,295,085 43,674 1,251,411
Moderate Growth
Lifestyle................ 9,430,357 1,073,342 147,434 925,908
Conservative Growth
Lifestyle................ 7,443,341 179,669 188,442 (8,773)
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
70 NOTES TO FINANCIAL STATEMENTS CONTINUED
During the year ended August 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>
International Growth Fund............................. $10,683,334 $ 4,669,458
Large Cap Growth Fund................................. 25,324,466 8,708,857
Mid Cap Growth Fund................................... 8,392,621 2,490,072
Small Cap Growth Fund................................. 17,442,587 9,713,000
International Value Fund.............................. 9,344,836 3,797,841
Large Cap Value Fund.................................. 12,729,302 6,328,388
Mid Cap Value Fund.................................... 21,137,380 14,301,549
Small Cap Value Fund.................................. 10,942,716 5,525,535
Socially Responsible Fund............................. 10,645,721 2,147,025
Balanced Fund......................................... 12,103,292 5,197,762
High Yield Bond Fund.................................. 9,062,019 3,667,207
Strategic Bond Fund................................... 12,369,334 7,244,918
Domestic Bond Fund.................................... 17,563,363 9,536,773
Core Bond Fund........................................ 29,053,902 23,821,587
Growth Lifestyle Fund................................. 7,700,337 625,240
Moderate Growth Lifestyle Fund........................ 10,194,430 982,372
Conservative Growth Lifestyle Fund.................... 12,481,641 5,957,915
</TABLE>
Note 5 -- 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 VALIC's and the Series' 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 August 31, 1999, VALIC has substantially completed all
steps with respect to our critical systems.
VALIC's plan also includes an evaluation of the status of our 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 develops 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 August, 1999, VALIC has incurred and expensed $29.3 million (pretax)
related to Year 2000 readiness, including $2.6 million incurred during 1999.
VALIC currently anticipates that it will incur future costs of $5.2 million for
additional internal staff, third party vendors, and other expenses to maintain
readiness and complete third party contingency plans.
- --------------------------------------------------------------------------------
<PAGE>
FINANCIAL HIGHLIGHTS 71
Per share data is for a share of beneficial interest outstanding throughout the
period. Total return includes reinvestment of distributions on the reinvestment
date.
<TABLE>
<CAPTION>
Mid
For the fiscal year Large Cap Cap Small Cap Large Cap Small Cap Socially
ended August 31, International Growth Growth Growth International Value Mid Cap Value Responsible
1999: Growth Fund Fund Fund Fund Value Fund Fund Value 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 $10.00 $10.00 $ 10.00
----------------------------------------------------------------------------------------------------
Income from
investment
operations:
Net investment
income (loss)...... 0.13 0.01 (0.03) (0.05) 0.09 0.13 0.08 0.13 0.14
Net realized and
unrealized gain
(loss) on
securities......... 1.09 3.96 2.48 4.96 4.65 2.85 4.11 0.61 3.45
----------------------------------------------------------------------------------------------------
Total income from
investment
operations......... 1.22 3.97 2.45 4.91 4.74 2.98 4.19 0.74 3.59
----------------------------------------------------------------------------------------------------
Distributions:
Distributions from
net investment
income............. - (0.01) - - (0.02) (0.13) (0.08) (0.13) (0.14)
Distributions from
net realized gain
on securities...... - - - (0.05) - - (0.29) (0.13) (0.57)
----------------------------------------------------------------------------------------------------
Total
distributions...... - (0.01) - (0.05) (0.02) (0.13) (0.37) (0.26) (0.71)
----------------------------------------------------------------------------------------------------
Net asset value at
end of period....... $11.22 $ 13.96 $12.45 $ 14.86 $14.72 $12.85 $13.82 $10.48 $ 12.88
----------------------------------------------------------------------------------------------------
TOTAL RETURN........ 12.20% 39.77% 24.50% 48.82% 47.41% 29.87% 42.38% 7.34% 36.27%
----------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL
DATA
Ratio of expenses to
average net assets.. 1.13% 0.81% 0.77% 1.11% 1.01% 0.80% 1.03% 0.96% 0.55%
Ratio of expenses to
average net assets
before expense
reductions.......... 1.90% 1.44% 1.64% 1.78% 1.97% 1.51% 1.73% 1.75% 1.23%
Ratio of net
investment income
(loss) to average
net assets.......... 1.40% 0.13% (0.24)% (0.45)% 0.67% 1.10% 0.73% 1.28% 1.10%
Portfolio turnover
rate................ 87.36% 76.36% 37.73% 126.02% 59.72% 92.78% 196.95% 102.22% 29.16%
Number of shares
outstanding at end
of period (000's)... 608 1,383 594 730 554 611 654 612 800
Net Assets at the
end of period
(000's)............. $6,815 $19,309 $7,394 $10,843 $8,148 $7,856 $9,039 $6,414 $10,304
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
72 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.
<TABLE>
<CAPTION>
For the fiscal Moderate Conservative
year ended Balanced High Yield Strategic Domestic Core Bond Money Market Growth Growth Growth
August 31, 1999: Fund Bond Fund Bond Fund Bond Fund Fund Fund Lifestyle 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 from
investment
operations:
Net investment
income......... 0.25 0.87 0.69 0.52 0.50 0.05 0.08 0.17 0.25
Net realized
and unrealized
gain (loss) on
securities..... 2.39 (0.31) (0.16) (0.44) (0.39) - 2.74 2.18 1.65
-----------------------------------------------------------------------------------------------------------
Total income
from investment
operations..... 2.64 0.56 0.53 0.08 0.11 0.05 2.82 2.35 1.90
-----------------------------------------------------------------------------------------------------------
Distributions:
Distributions
from net
investment
income......... (0.25) (0.87) (0.65) (0.52) (0.50) (0.05) (0.05) (0.11) (0.17)
Distributions
from net
realized gain
on securities.. (0.07) - (0.02) (0.13) (0.03) - - - -
-----------------------------------------------------------------------------------------------------------
Total
distributions.. (0.32) (0.87) (0.67) (0.65) (0.53) (0.05) (0.05) (0.11) (0.17)
-----------------------------------------------------------------------------------------------------------
Net asset value
at end of
period.......... $12.32 $ 9.69 $ 9.86 $ 9.43 $ 9.58 $ 1.00 $ 12.77 $ 12.24 $11.73
-----------------------------------------------------------------------------------------------------------
TOTAL RETURN.... 26.49% 5.50% 5.33% 0.59% 1.12% 4.66% 28.28% 23.52% 19.00%
-----------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL
DATA
Ratio of
expenses to
average net
assets.......... 0.80% 0.98% 0.88% 0.77% 0.80% 0.54% 0.10% 0.10% 0.10%
Ratio of
expenses to
average net
assets before
expense
reductions...... 1.78% 1.74% 1.64% 1.59% 1.54% 1.23% 0.10% 0.10% 0.10%
Ratio of net
investment
income (loss) to
average net
assets.......... 2.15% 8.51% 6.76% 5.41% 5.06% 4.43% 0.76% 1.60% 2.29%
Portfolio
turnover rate... 77.88% 73.58% 142.97% 156.07% 489.09% N/A 9.15% 12.66% 93.63%
Number of shares
outstanding at
end of period... 693 557 537 875 535 9,784 664 845 633
Net Assets at
the end of
period (000's).. $8,537 $5,397 $ 5,296 $ 8,252 $ 5,119 $9,784 $ 8,480 $10,349 $7,429
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
REPORT OF INDEPENDENT AUDITORS 73
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
AMERICAN GENERAL SERIES PORTFOLIO COMPANY 3
We have audited the accompanying statements of net assets of 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, and Money Market Fund,
and the statements of assets and liabilities (including the investment
portfolios) of Growth Lifestyle Fund, Moderate Growth Lifestyle Fund, and
Conservative Growth Lifestyle Fund (such Funds comprising the American General
Series Portfolio Company 3) as of August 31, 1999. We have also audited for
each of the Funds the related statement of operations for the year ended
August 31, 1999, the statement of changes in net assets for the year ended
August 31, 1999 and for the period from August 26, 1998 (inception) to August
31, 1998, and the financial highlights for the year ended August 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
August 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 3 at August 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 August 31, 1999, in conformity with generally
accepted accounting principles.
ERNST & YOUNG LLP
Houston, Texas
October 11, 1999
- --------------------------------------------------------------------------------
<PAGE>
74 AMERICAN GENERAL SERIES PORTFOLIO COMPANY 3
<TABLE>
<CAPTION>
<S> <C> <C>
BOARD OF TRUSTEES Gregory R. Kingston,
Kent E. Barrett Assistant Treasurer
Judith L. Craven Jaime M. Sepulveda,
Timothy J. Ebner Jacobs Asset Management Assistant Treasurer
Gustavo E. Gonzales, Jr. 200 East Broward Boulevard Kathyrn A. Pearce,
Norman Hackerman Suite 1920 Controller
Alice T. Kane Fort Lauderdale, Florida 33301 Donna L. Hathaway,
John W. Lancaster Assistant Controller
Ben H. Love Neuberger Berman Management Inc. Heriberto R. Valdez,
John E. Maupin, Jr. 605 Third Avenue, Second Floor Assistant Controller
F. Robert Paulsen New York, New York 10158-0180
R. Miller Upton
Thomas L. West, Jr. State Street Global Advisors
2 International Place
DISTRIBUTOR Boston, Massachusetts 02110
American General Distributors, Inc.
2929 Allen Parkway INDEPENDENT AUDITORS
Houston, Texas 77019 Ernst & Young LLP
1221 McKinney Street
CUSTODIAN Houston, Texas 77010
State Street Bank and Trust Company
225 Franklin Street TRANSFER AND SHAREHOLDER
Boston, Massachusetts 02110 SERVICE AGENT
The Variable Annuity LIfe
INVESTMENT ADVISER Insurance Company (VALIC)
The Variable Annuity Life 2929 Allen Parkway
Insurance Company (VALIC) Houston, Texas 77019
2929 Allen Parkway
Texas 77019 OFFICERS
Thomas L. West, Jr.,
INVESTMENT SUB-ADVISERS Chairman
American General Alice T. Kane,
Investment Management, L.P. President
2929 Allen Parkway Kent E. Barrett,
Houston, Texas 77019 Executive Vice President
John E. Arant,
Brown Capital Management Executive Vice President
809 Cathedral Street Peter V. Tuters,
Baltimore, Maryland 21201 Senior Investment Officer
Pauletta P. Cohn,
Capital Guardian Trust Company Vice President
333 South Hope Street Teresa S. Moro,
Los Angeles, California 90071 Vice President and Investment Officer
Maruti D. More,
Fiduciary Management Vice President-Investments
Associates, Inc. William Trimbur, Jr.,
55 West Monroe Street, Suite 2550 Vice President and Investment Officer
Chicago, Illinois 60603 Cynthia A. Toles,
Vice President and Secretary
Goldman Sachs Asset Management Nori L. Gabert,
One New York Plaza Vice President and Assistant Secretary
New York, New York 10004 Cynthia A. Gibbons,
Assistant Vice President
J. P. Morgan Investment Management Inc. Gregory R. Seward,
522 Fifth Avenue Treasurer
New York, New York 10036
</TABLE>
This report is for the information of the shareholders and variable contract
owners participating in the American General Series Portfolio Company 3. 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 this material or products issued
by VALIC or American General Life Insurance Company, please contact your
account representative.
"Standard & Poor's(R)", and "S&P 500(R)" are trademarks of Standard & Poor's
Corporation. 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.
<PAGE>
AMERICAN GENERAL SERIES PORTFOLIO COMPANY 3 _____________________
P.O. Box 3206 Presorted Standard
Houston, Texas 77253-3206 U.S. Postage
PAID
Permit No. 6748
Houston, Texas
_____________________
VALIC
AN AMERICAN
GENERAL COMPANY
VA 11666 VER 09/99 Recycled Paper [LOGO]
