<PAGE>
AMERICAN GENERAL
SERIES PORTFOLIO
COMPANY 3
SEMI-ANNUAL REPORT
FEBRUARY 29, 2000
AMERICAN GENERAL
FINANCIAL GROUP
<PAGE>
AMERICAN GENERAL SERIES PORTFOLIO COMPANY 3 - SEMI-ANNUAL REPORT FEBRUARY 29,
2000
TABLE OF CONTENTS
<TABLE>
<S> <C>
Chairman's Letter........................................................... 1
International Growth Fund................................................... 4
Large Cap Growth Fund....................................................... 7
Mid Cap Growth Fund......................................................... 12
Small Cap Growth Fund....................................................... 15
International Value Fund.................................................... 20
Large Cap Value Fund........................................................ 24
Mid Cap Value Fund.......................................................... 28
Small Cap Value Fund........................................................ 31
Socially Responsible Fund................................................... 43
Balanced Fund............................................................... 49
High Yield Bond Fund........................................................ 54
Strategic Bond Fund......................................................... 58
Domestic Bond Fund.......................................................... 62
Core Bond Fund.............................................................. 65
Money Market Fund........................................................... 68
Growth Lifestyle Fund....................................................... 71
Moderate Growth Lifestyle Fund.............................................. 73
Conservative Growth Lifestyle Fund.......................................... 75
Notes to Financial Statements............................................... 77
Financial Highlights........................................................ 81
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
AGSPC3 CHAIRMAN'S LETTER 1
Dear Valued Investor:
February 29, 2000 brings us halfway into the new fiscal year for the American
General Series Portfolio Company 3 ("AGSPC 3"). The 18 funds that make up
AGSPC 3 were chosen to provide the broad range of investment options necessary
to build a diversified portfolio. The funds you choose can work together in
order to build an investment strategy appropriate for your risk tolerance and
financial time-horizons. As an investor in AGSPC 3, you are able to tap into
the expertise of an elite group of investment managers. Our commitment to
providing consistent performance relative to benchmarks is reflected in the
returns for these funds, which can be found in the chart following this
letter.
MARKET CONDITIONS
Growth, growth and continued growth has been the theme for the past six
months. The U.S. economy continues to grow, with growth accelerating in the
second half of 1999. Growth stocks continue to do very well--with the Russell
1000 Growth Index returning a sizzling 22.48%, adjusted for distributions, for
the six months ending February 29, 2000. And finally, the Federal Reserve,
concerned about too much growth, has raised short-term interest rates five
times since the summer of 1999. This is a clear attempt to slow the U.S.
economy to a level they believe is more consistent with the Federal Reserve's
dual goal of price stability (low inflation) and sustainable economic growth.
The equity markets continue to be the recipient of strong cash flows coming
into the market. Much of this new capital is targeted for the high growth
technology sectors--the "new economy" stocks--sustaining or raising already
high valuations. "Old economy" stocks and companies that failed to meet the
financial targets reacted poorly. The value side of the market as represented
by the Russell 1000 Value Index had a tough six months returning a negative
8.88%, adjusted for distributions.
The impact of higher interest rates on the economy is yet to be seen. This is
not surprising. It usually takes one to two years for the Federal Reserve
policy to impact economic growth. In the meantime, expect the Federal Reserve
to continue raising interest rates by 25 basis points every time they meet
until they witness a slowing in U.S. consumer demand or the markets tell them
to expect a slowdown by posting a significant correction.
Inflation has crept up a bit lately and can be traced to a firming of wages,
global economic expansion and higher oil prices. The inflation pressures due
to wages and global expansion will continue. However, by the time you read
this, we should be seeing relief on oil prices. OPEC, anticipating higher
demand from increased economic growth, increased oil production in 1997 in an
attempt to provide stable oil prices. When economic growth slowed after the
Asian crisis, the oil glut that was created brought prices down to $10 a
barrel. In a very logical move, oil production was reduced to be more in line
with demand. OPEC just went too far and current production is about two
million barrels per day below demand.
Last year's international performance continues to build. A trend of strong
international performance appears to have begun. The big developments in the
international markets are at very early stages triggered by the creation of a
single European market and the economic expansion in Asia. Finally, there are
more corporate managements around the world focusing on profits and what
shareholders really want, as their U.S. counterparts have been doing for many
years. This is good for investors.
The benchmark which reflects the overall performance of the international
market is the Salomon Brothers Primary Market ("SBPM") Index. The SBPM Index
returned 8.12%, adjusted for distributions, for the six months ended February
29, 2000. Looking forward we can expect the markets to remain volatile as
investors try to sort out the impacts of new technology, rising interest
rates, tight labor markets and global growth.
INVESTMENT OBJECTIVES RECAP
As you are aware, the investment firms who managed the AGSPC 3 funds were
carefully chosen and are regularly monitored in an effort to provide a broad
array of investment options for your individual portfolio asset allocation
strategies. Listed below are the investment options available through AGSPC 3.
We begin with those that generally offer higher performance results in
exchange for higher inherent investment risks. We end with those that
generally have lower performance results, but also lower inherent investment
risks.
AGSPC 3 GROWTH FUNDS
International Growth Fund, sub-advised by an investment team at Jacobs Asset
Management, seeks to provide long-term capital appreciation by investing in
equity securities of non-U.S. companies, the majority of which are expected to
be in developed markets. The Fund may invest across the capitalization
spectrum, although it intends to emphasize smaller capitalization stocks.
International Value Fund, sub-advised by an investment team at Capital
Guardian Trust Company, seeks to provide growth of capital and future income
through investments primarily in securities of non-U.S. issuers and securities
whose principal markets are outside of the United States.
Small Cap Value Fund splits the investment management responsibility between
two investment management teams. An investment team at American General
Corporation's wholly-owned subsidiary--VALIC ("VALIC") provides a passive
index style management for a portion of the portfolio, while an investment
team at Fiduciary Management Associates, Inc. provides active management for a
portion. Within this structure, the Fund seeks maximum long-term return,
consistent with reasonable risk to principal, by investing primarily in equity
securities of small capitalization companies in terms of revenues and/or
market capitalization.
Small Cap Growth Fund, sub-advised by an investment team at J.P. Morgan
Investment Management Inc., seeks to provide long-term growth from a portfolio
of equity securities of small capitalization growth companies.
Mid Cap Growth Fund, sub-advised by an investment team at Brown Capital
Management, Inc., seeks capital appreciation principally through investments
in medium capitalization equity securities, such as common and preferred
stocks and securities convertible into common stocks. Current income is a
secondary objective.
Mid Cap Value Fund, sub-advised by an investment team at Neuberger Berman
Management Inc., seeks capital growth through investment in equity securities
of medium capitalization companies using a value-oriented investment approach.
Large Cap Growth Fund, sub-advised by an investment team at Goldman Sachs
Asset Management, seeks long-term growth of capital through a broadly
diversified portfolio of equity securities of large cap U.S. issuers that are
expected to have better prospects for earnings growth than the growth rate of
the general domestic economy. Dividend income is a secondary objective.
Large Cap Value Fund, sub-advised by an investment team at State Street Global
Advisors, seeks to provide total returns that exceed over time the Russell
1000 Value Index through investment in equity securities.
Socially Responsible Fund, managed by VALIC, seeks to obtain growth of capital
through investment, primarily in equity securities, in companies which meet
the social criteria established for the Fund.
- -------------------------------------------------------------------------------
<PAGE>
2 AGSPC3 CHAIRMAN'S LETTER - CONTINUED
AGSPC 3 LIFESTYLE FUNDS
Growth Lifestyle Fund, managed by VALIC, seeks growth through investments in a
combination of the AGSPC 3 funds. This Fund is suitable for investors seeking
the potential for capital growth that a fund investing predominantly in equity
securities may offer.
Moderate Growth Lifestyle Fund, managed by VALIC, seeks growth and current
income through investments in a combination of the AGSPC 3 funds. This Fund is
suitable for investors who wish to invest in equity securities, but who are
not willing to assume the substantial market risks of the Growth Lifestyle
Fund.
Conservative Growth Lifestyle Fund, managed by VALIC, seeks current income and
low to moderate growth of capital through investments in a combination of the
AGSPC 3 funds. This Fund is suitable for investors who wish to invest in
equity securities, but who are not willing to assume the market risks of
either the Growth Lifestyle Fund or the Moderate Growth Lifestyle Fund.
AGSPC 3 BALANCED FUND
Balanced Fund, sub-advised by an investment team at Capital Guardian Trust
Company, seeks a balance between conservation of principal and long-term
capital growth and income through investment in fixed-income and equity
securities.
AGSPC 3 INCOME FUNDS
High Yield Bond Fund, sub-advised by an investment team at American General
Corporation's wholly-owned subsidiary--American General Investment Management,
L.P., ("AGIM") seeks the highest possible total return and income consistent
with conservation of capital through investment in a diversified portfolio of
high yielding, high risk fixed-income securities.
Strategic Bond Fund, sub-advised by AGIM, seeks the highest possible total
return and income consistent with conservation of capital through investment
in a diversified portfolio of income producing securities.
Core Bond Fund, sub-advised by AGIM, seeks the highest possible total return
consistent with conservation of capital through investments in medium to high
quality fixed-income securities.
Domestic Bond Fund, sub-advised by an investment team at Capital Guardian
Trust Company, seeks the highest possible total return consistent with
conservation of capital through investments primarily in investment grade
fixed-income securities and other income producing securities.
AGSPC 3 STABILITY FUND
Money Market Fund managed by VALIC, seeks liquidity, protection of capital and
current income through investments in short-term money market instruments.
As market volatility persists, long-term opportunities exist in diversifying
investment portfolios. Momentum, confidence and liquidity can carry markets
typically well beyond what analysts determine to be "fair value" by
traditional value measures. History, however, also reminds investors that over
time, the value of an asset must bear some relationship to future cash flows
generated by that asset. While the timing of these changes is always
uncertain, diversification is a strategy well suited to exactly this type of
uncertainty. With this in mind, we pledge to continually monitor the
investment expertise represented in the AGSPC 3 options. In this way we hope
to supply you, the investor, with appropriate choices for every portfolio
asset allocation strategy.
Thank you for your continued confidence in our ability to help invest your
assets wisely.
Sincerely,
/s/ Alice T. Kane
Alice T. Kane, Chairman and President
American General Series Portfolio Company 3
[Graph Appears Here]
- -------------------------------------------------------------------------------
<PAGE>
AGSPC3 CHAIRMAN'S LETTER CONTINUED 3
FUND RETURNS AND TRACKING DIFFERENCES
For the Six Months Ended February 29, 2000
<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.... 44.18% 0.57% 44.75% 8.12% 36.63
Large Cap Growth
Fund / Russell 1000
Growth Index............ 19.96 0.43 20.39 22.48 (2.09)
Mid Cap Growth
Fund / Russell MidCap
Growth Index............ 15.39 0.39 15.78 67.32 (51.54)
Small Cap Growth
Fund / Russell 2000
Growth Index............ 101.33 0.58 101.91 66.04 35.87
International Value
Fund / Salomon Brothers
Primary Market Index.... 31.98 0.52 32.50 8.12 24.38
Large Cap Value
Fund / Russell 1000
Value Index............. (8.36) 0.40 (7.96) (8.88) 0.92
Mid Cap Value
Fund / Russell MidCap
Value Index............. 7.34 0.52 7.86 (11.25) 19.11
Small Cap Value
Fund / Russell 2000
Value Index............. 4.04 0.49 4.53 2.82 1.71
Socially Responsible
Fund / S&P 500 Index.... 4.33 0.28 4.61 4.11 0.50
Balanced Fund / Balanced
Blend(b)................ 4.72 0.41 5.13 3.30 1.83
High Yield Bond
Fund / Salomon Brothers
High Yield Market
Index................... 2.74 0.50 3.24 0.35 2.89
Strategic Bond
Fund / Lehman Brothers
Aggregate Index......... 3.44 0.44 3.88 1.92 1.96
Domestic Bond
Fund / Lehman Brothers
Aggregate Index......... 1.20 0.39 1.59 1.92 (0.33)
Core Bond Fund / Lehman
Brothers Aggregate
Index................... 1.54 0.40 1.94 1.92 0.02
Money Market Fund / 30
Day Certificate of
Deposit Primary Offering
Rate by New York City
Banks (NYC 30 Day CD
Rate)................... 2.60 0.28 2.88 2.24 0.64
Growth Lifestyle
Fund(c)................. 23.05 0.05 23.10 12.03 11.07
Moderate Growth
Lifestyle Fund(d)....... 14.96 0.05 15.01 8.63 6.38
Conservative Growth
Lifestyle Fund(e)....... 10.93 0.05 10.98 6.39 4.59
</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.
(c) Benchmark for Growth Lifestyle consists of 15% EAFE, 15% Salomon Smith
Barney Primary Market Index, 13% S&P 500, 12% Russell 1000 Value, 10%
Russell 2000 Growth, 10% Russell 2000 Value, 10% Lehman Aggregate, 8%
Russell MidCap Value, and 7% Russell MidCap Growth.
(d) Benchmark for Moderate Growth Lifestyle consists of 7% EAFE, 8% Salomon
Smith Barney Primary Market Index, 15% S&P 500, 15% Russell 1000 Value, 7%
Russell 2000 Growth, 8% Russell 2000 Value, 25% Lehman Aggregate, 8%
Russell MidCap Value, and 7% Russell MidCap Growth.
(e) Benchmark for Conservative Growth Lifestyle consists of 5% EAFE, 5%
Salomon Smith Barney Primary Market Index, 15% S&P 500, 15% Russell 1000
Value, 5% Russell 2000 Growth, 5% Russell 2000 Value, 40% Lehman
Aggregate, 5% Russell MidCap Value, and 5% Russell MidCap Growth.
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) (unaudited)
February 28, August 31, February 29, 3/01/99 to 9/01/99 to
Fund 1999 1999 2000 8/31/99 2/29/00
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
International Growth
Fund.................... $10.22 $11.22 $15.53 $ -- $ 0.64
Large Cap Growth Fund... 12.63 13.96 16.23 -- 0.50
Mid Cap Growth Fund..... 12.56 12.45 12.85 -- 1.45
Small Cap Growth Fund... 12.98 14.86 27.70 -- 1.57
International Value
Fund.................... 11.91 14.72 18.34 -- 1.03
Large Cap Value Fund.... 12.14 12.85 9.95 0.07 1.97
Mid Cap Value Fund...... 12.37 13.82 11.27 0.02 3.44
Small Cap Value Fund.... 10.17 10.48 10.46 0.07 0.42
Socially Responsible
Fund.................... 12.26 12.88 12.94 0.07 0.51
Balanced Fund........... 11.86 12.32 12.18 0.14 0.71
High Yield Bond Fund.... 10.32 9.69 9.49 0.48 0.46
Strategic Bond Fund..... 10.25 9.86 9.77 0.37 0.43
Domestic Bond Fund...... 9.90 9.43 9.27 0.27 0.27
Core Bond Fund.......... 9.99 9.58 9.43 0.28 0.30
Money Market Fund....... 1.00 1.00 1.00 0.05 0.03
Growth Lifestyle Fund... 11.66 12.77 14.15 0.03 1.52
Moderate Growth
Lifestyle Fund.......... 11.50 12.24 12.63 0.07 1.41
Conservative Growth
Lifestyle Fund.......... 11.24 11.73 10.69 0.11 2.29
</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>
4 February 29, 2000 (Unaudited)
INTERNATIONAL GROWTH FUND
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 96.52%
APPAREL & PRODUCTS - 1.27%
621 Christian Dior........................................ $ 127,674
-----------
AUTO - CARS - 1.25%
3,130 Renault, S.A. ........................................ 125,371
-----------
BANKS - OTHER - 3.93%
2,100 Bank Austria AG....................................... 91,835
3,000 Commerzbank AG........................................ 107,393
2,000 ING Groep NV.......................................... 101,626
14,784 United Overseas Bank.................................. 93,488
-----------
394,342
-----------
BEVERAGES & TOBACCO - 0.69%
15,500 Fomento Economico Mexicano,
SA de C.V. ........................................... 68,996
-----------
BROADCASTING - 1.30%
1,700 * Grupo Televisa, S.A................................... 130,581
-----------
CHEMICAL - MISCELLANEOUS - 1.28%
3,302 Akzo Nobel............................................ 127,819
-----------
CONGLOMERATES - 4.57%
2,623 Lagardere S.C.A. ..................................... 247,939
54,000 LI & Fung............................................. 210,233
-----------
458,172
-----------
CONSUMER FINANCE - 0.95%
900 Acom Co. ............................................. 95,526
-----------
DRUGS - 2.17%
3,100 Astrazeneca, Plc. .................................... 99,935
2,300 Aventis............................................... 117,938
-----------
217,873
-----------
ELECTRIC PRODUCTS -
MISCELLANEOUS - 1.36%
10,000 Hitachi, Ltd. ........................................ 136,453
-----------
ELECTRICAL EQUIPMENT - 1.18%
400 Sony Corp. ........................................... 118,338
-----------
ELECTRONIC EQUIPMENT - 4.44%
1,196 Koninklijke Philips Electronic........................ 222,458
1,700 * Samsung Electronics(/1/).............................. 222,496
-----------
444,954
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCE COMPANIES - 3.73%
43,000 Grupo Financiero Banamex Accival,
S.A. de CV (Banacci).................................. $ 183,374
1,100 Orix Corp. ........................................... 190,251
-----------
373,625
-----------
FINANCIAL SERVICES - 4.48%
16,500 Amvescap, Plc. ....................................... 187,680
60,400 Bank of East Asia, Ltd. .............................. 142,021
8,200 Investor AB, Class B.................................. 119,722
-----------
449,423
-----------
FOODS - 2.23%
3,000 * Companhia de Brasileira - ADR......................... 101,250
11,000 Sumitomo Corp. ....................................... 121,961
-----------
223,211
-----------
HOUSEHOLD PRODUCTS - 1.35%
22,100 Unilever, Plc. ....................................... 135,370
-----------
INFORMATION PROCESSING - 2.69%
9,500 QXL.com, Plc. ........................................ 269,583
-----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 1.13%
7,500 Misys, Plc. .......................................... 112,778
-----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 1.60%
1,900 Getronics NV.......................................... 159,928
-----------
INFORMATION PROCESSING -
NETWORKING - 1.74%
5,000 * Newbridge Networks Corp. ............................. 174,375
-----------
INSURANCE - MULTILINE - 0.80%
1,981 Scor.................................................. 79,731
-----------
MACHINERY - CONSTRUCTION & CONTRACTS - 1.46%
6,290 Alstom................................................ 145,993
-----------
MERCHANDISING - 1.54%
38,000 Marubeni Corp. ....................................... 154,622
-----------
METALS - ALUMINUM - 1.38%
2,354 Pechiney, S.A., Class A............................... 138,016
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
METALS - STEEL - 5.93%
7,300 Aceralia Corp Siderurgica S.A. ....................... $ 85,812
2,200 Boehler-Udeholm AG.................................... 82,352
10,300 * Ispat International NV - ADR.......................... 129,394
5,000 * Pohang Iron & Steel, Ltd. - ADR....................... 125,625
11,700 Usinor SA............................................. 171,494
-----------
594,677
-----------
MISCELLANEOUS - 2.19%
126,000 First Pacific Co., Ltd. .............................. 67,591
8,500 Viag AG............................................... 151,728
-----------
219,319
-----------
OIL - SERVICE - PRODUCTS - 0.97%
3,800 * Petroleo Brasileiro S.A. - ADR........................ 97,375
-----------
PAPER/FOREST PRODUCTS - 1.40%
15,800 Metsa Serla, Class B.................................. 139,871
-----------
PHOTOGRAPHY - 1.75%
4,000 Fuji Photo Film Co. .................................. 175,868
-----------
PUBLISHING - NEWS - 2.68%
21,500 News Corp, Ltd. ...................................... 269,084
-----------
REAL ESTATE - 0.71%
106,000 Wheelock & Company, Ltd. ............................. 71,504
-----------
REAL ESTATE INVESTMENT TRUSTS - 1.86%
14,000 Cheung Kong........................................... 186,180
-----------
TELECOMMUNICATIONS - 28.96%
9,100 British Telecommunications, Plc. ..................... 158,890
30,000 China Telecom (Hong Kong)............................. 275,608
18 DDI Corp. ............................................ 167,129
2,700 * Ericsson LMTEL Co. - ADR, Class B..................... 259,200
7,800 Global TeleSystems Group, Inc. ....................... 195,000
2,000 * Korea Telecom Corp. - ADR............................. 87,000
1,080 KPN NV (Koninklijke).................................. 137,979
1,000 Mobilcom AG........................................... 135,208
12 NTT Corp. ............................................ 166,037
3,900 Philippine Long Distance Telephone Co. ............... 84,700
6,400 * SK Telecom Co., Ltd. - ADR............................ 287,600
500 Swisscom AG........................................... 163,030
4,548 Telefonica, S.A. ..................................... 131,346
8,500 * Telenorte Leste Partic - ADR.......................... 216,750
1,200 United Pan-Europe Communications NV................... 237,599
35,379 Vodafone Group, Plc. ................................. 198,276
-----------
2,901,352
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 5
INTERNATIONAL GROWTH FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
UTILITIES - ELECTRIC - 1.55%
21,400 HongKong Electric Holdings.......................... $ 65,304
6,400 * Korea Electric Power Corp. - ADR.................... 90,400
-----------
155,704
-----------
TOTAL COMMON STOCK
(Cost $7,075,236)................................... 9,673,688
-----------
<CAPTION>
PAR
VALUE
---------
<C> <S> <C>
CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT - 3.63%
BANKS - OTHER - 3.63%
$364,000 State Street Bank Repurchase Agreement, 5.65%, dated
02/29/00, to be repurchased at $364,057 on 03/01/00,
collateralized by U.S Treasury Note, 6.63%,
04/30/02, with a par value of $365,000 (Cost
$364,000)........................................... 364,000
-----------
TOTAL CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT
(Cost $364,000)..................................... 364,000
-----------
TOTAL INVESTMENTS
(Cost $7,439,236) - 100.15%......................... $10,037,688
-----------
*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 February 29,
2000, the aggregate value of these securities was $222,496, representing
2.22% of net assets.
<TABLE>
<CAPTION>
<S> <C>
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $7,439,236).......................... $10,037,688
Receivable for:
Fund shares sold................................................. 5,991
Dividends and interest........................................... 2,731
Other assets...................................................... 13,363
-----------
TOTAL ASSETS...................................................... 10,059,773
-----------
LIABILITIES:
Payable for fund shares redeemed.................................. 4,124
Payable to affiliates:
Advisory fees.................................................... 2,512
Administrative fees.............................................. 3,678
Accounting services.............................................. 441
Other............................................................ 10,356
Accrued expenses and other liabilities............................ 16,483
-----------
TOTAL LIABILITIES................................................. 37,594
-----------
NET ASSETS........................................................ $10,022,179
-----------
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized,
645,318 shares outstanding........................................ $ 6,453
Additional paid in capital........................................ 6,731,099
Undistributed net realized gain on securities..................... 751,102
Accumulated net investment loss................................... (64,927)
Unrealized appreciation of securities............................. 2,598,452
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $10,022,179
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
6 INTERNATIONAL GROWTH FUND (Unaudited) - CONTINUED
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 2000
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes of $1,091)........ $ 22,904
Interest...................................................... 3,532
----------
Total investment income...................................... 26,436
----------
EXPENSES:
Advisory fees................................................. 37,688
Custodian fees................................................ 11,170
Administrative service fee.................................... 10,469
Report to shareholders........................................ 5,714
Audit fees and tax services................................... 4,934
Legal fees.................................................... 2,625
Trustees' fees and expenses................................... 1,471
Accounting services........................................... 1,256
Registration and filing fees.................................. 764
Pricing services.............................................. 567
Miscellaneous................................................. 914
----------
Total expenses............................................... 77,572
Expense reimbursement (see Note 3)........................... (29,428)
----------
Net expenses................................................. 48,144
----------
NET INVESTMENT LOSS........................................... (21,708)
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FOREIGN
CURRENCIES:
Net realized gain (loss) on:
Investments........................................ $ 911,862
Foreign currency transactions...................... (64,477) 847,385
---------
Net unrealized appreciation during the period:
Investments........................................ 2,170,190
Foreign currency translation....................... 50 2,170,240
--------- ----------
Net realized and unrealized gain on securities and
foreign currencies during the period....................... 3,017,625
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.............. $2,995,917
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
February 29, 2000 August 31, 1999
----------------------------------
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ (21,708) $ 80,860
Net realized gain on securities and foreign
currency transactions....................... 847,385 167,651
Net unrealized appreciation of securities and
translation of foreign currencies during the
period...................................... 2,170,240 428,212
----------------------------------
Increase in net assets resulting from
operations................................. 2,995,917 676,723
----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................ (124,079) -
Net realized gain on securities.............. (263,934) -
----------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (388,013) -
----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold.................... 1,095,627 6,525,710
Proceeds from shares issued for distributions
reinvested.................................. 388,013 -
----------------------------------
1,483,640 6,525,710
Cost of shares repurchased................... (884,596) (392,069)
----------------------------------
Increase in net assets resulting
from share transactions.................... 599,044 6,133,641
----------------------------------
TOTAL INCREASE IN NET ASSETS................. 3,206,948 6,810,364
NET ASSETS:
Beginning of year............................ 6,815,231 4,867
----------------------------------
End of period (including undistributed net
investment income of ($64,927) and
$80,860).................................... $10,022,179 $6,815,231
----------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold.................................. 74,064 642,435
Shares issued for distributions reinvested... 25,167 -
Shares repurchased........................... (61,563) (35,272)
----------------------------------
Increase in shares outstanding.............. 37,668 607,163
Shares outstanding:
Beginning of year........................... 607,650 487
----------------------------------
End of period............................... 645,318 607,650
----------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 7
LARGE CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 97.95%
ADVERTISING - 0.37%
300 * Doubleclick, Inc. ................................ $ 26,644
600 Interpublic Group Corp. .......................... 24,113
400 Omnicom Group, Inc. .............................. 37,675
100 * TMP Worldwide, Inc. .............................. 13,594
-----------
102,026
-----------
AEROSPACE/DEFENSE - 0.31%
300 General Dynamics Corp. ........................... 12,975
1,400 United Technologies Corp. ........................ 71,313
-----------
84,288
-----------
APPAREL & PRODUCTS - 0.10%
800 * Land's End, Inc. ................................. 26,550
-----------
APPLIANCES/FURNISHINGS - 0.06%
300 Whirlpool Corp. .................................. 16,294
-----------
AUTO - CARS - 1.43%
2,000 * General Motors Corp., Class H..................... 241,000
4,200 Hertz Corp., Class A.............................. 150,413
-----------
391,413
-----------
BANKS - NEW YORK CITY - 0.41%
2,150 Citigroup, Inc. .................................. 111,128
-----------
BANKS - REGIONAL - 0.10%
1,500 Firstar Corp. .................................... 26,719
-----------
BEVERAGE -
BREWERS/DISTRIBUTORS - 0.35%
200 Anheuser-Busch Companies, Inc. ................... 12,825
1,400 Seagram Co., Ltd. ................................ 82,250
-----------
95,075
-----------
BEVERAGE - SOFT DRINKS - 1.65%
500 Coca Cola Enterprises, Inc. ...................... 11,688
5,000 Coca-Cola Co. .................................... 242,188
6,200 PepsiCo, Inc. .................................... 199,950
-----------
453,826
-----------
BROADCASTING - 0.77%
1,000 * Comcast Corp., Class A............................ 42,500
1,000 * Media One Group, Inc. ............................ 78,500
1,600 * Viacom, Inc., Class B............................. 89,200
-----------
210,200
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BUILDING MATERIALS - 0.24%
1,400 Lowe's Companies, Inc. ............................... $ 66,675
-----------
CHEMICAL - MAJOR - 0.59%
1,500 Dow Chemical Co. ..................................... 162,750
-----------
CONGLOMERATES - 0.47%
3,400 Tyco International, Ltd. ............................. 128,988
-----------
CONSUMER FINANCE - 0.05%
600 MBNA Corp. ........................................... 13,650
-----------
CONTAINERS - METAL/GLASS - 0.34%
500 Corning, Inc. ........................................ 94,000
-----------
DRUGS - 9.45%
3,200 Allergan, Inc. ....................................... 161,000
6,900 * Amgen, Inc. .......................................... 470,494
600 Bausch & Lomb, Inc. .................................. 31,650
1,800 * Biogen, Inc. ......................................... 194,288
5,600 Bristol Myers Squibb Co. ............................. 318,150
1,300 * Chiron Corp. ......................................... 65,000
400 Eli Lilly and Co. .................................... 23,775
200 * Immunex Corp. ........................................ 39,488
8,800 Merck & Co., Inc. .................................... 541,750
100 * Millennium Pharmaceuticals, Inc. ..................... 26,013
12,200 Pfizer, Inc. ......................................... 391,925
2,200 Pharmacia & Upjohn, Inc. ............................. 104,775
2,000 Schering-Plough Corp. ................................ 69,750
1,800 Warner-Lambert Co. ................................... 154,013
-----------
2,592,071
-----------
ELECTRONIC EQUIPMENT - 5.68%
1,100 * Cabletron Systems, Inc. .............................. 53,900
10,600 General Electric Co. ................................. 1,401,188
1,200 Molex, Inc. .......................................... 67,050
400 * Teradyne, Inc. ....................................... 34,800
-----------
1,556,938
-----------
ELECTRONIC INSTRUMENTS - 0.13%
800 * Vishay Intertechnology, Inc. ......................... 34,400
-----------
ENTERTAINMENT - 1.65%
1,900 Carnival Corp., Class A............................... 54,744
1,000 * Fox Entertainment Group, Inc. ........................ 26,313
4,300 Time Warner, Inc. .................................... 367,650
115 Walt Disney Co. ...................................... 3,853
-----------
452,560
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES - 0.01%
100 * Ameritrade Holding Corp., Class A..................... $ 1,869
-----------
FOODS - 1.91%
1,500 BestFoods............................................. 62,906
7,600 ConAgra, Inc. ........................................ 124,450
1,100 Dean Foods Co. ....................................... 29,838
4,200 Hormel Foods Corp. ................................... 70,088
7,500 IBP, Inc. ............................................ 93,750
800 McCormick & Co., Inc. ................................ 21,900
9,900 Nabisco Group Holdings Corp. ......................... 85,388
1,200 Nabisco Holdings Corp., Class A....................... 35,100
-----------
523,420
-----------
FOOTWEAR - 0.19%
1,800 NIKE, Inc., Class B................................... 51,188
-----------
HEALTHCARE - 0.65%
700 Cardinal Health, Inc. ................................ 28,875
2,400 * United HealthCare Corp. .............................. 122,700
400 * Wellpoint Health Networks, Inc. ...................... 27,000
-----------
178,575
-----------
HOSPITAL SUPPLIES - 2.80%
3,700 Abbott Laboratories................................... 121,175
1,700 Baxter International, Inc. ........................... 92,650
5,800 Johnson & Johnson..................................... 416,150
2,100 Medtronic, Inc. ...................................... 101,719
400 Stryker Corp. ........................................ 23,400
1,700 * Summit Technology, Inc. .............................. 12,750
-----------
767,844
-----------
HOUSEHOLD PRODUCTS - 2.06%
400 Colgate-Palmolive Co. ................................ 20,875
5,800 Procter & Gamble Co. ................................. 510,400
714 Unilever NV........................................... 32,487
-----------
563,762
-----------
INFORMATION PROCESSING - 2.08%
200 * Comverse Technology, Inc. ............................ 39,375
200 * Infospace.com, Inc. .................................. 43,400
1,800 * JDS Uniphase Corp. ................................... 474,750
200 * Lycos, Inc. .......................................... 11,925
-----------
569,450
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
8 February 29, 2000 (Unaudited)
LARGE CAP GROWTH FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 8.71%
400 * Broadcom Corp. ....................................... $ 78,950
400 * Citrix Systems, Inc. ................................. 42,175
300 * Inktomi Corp. ........................................ 41,138
14,200 * Microsoft Corp. ...................................... 1,269,125
7,400 * Oracle Corp. ......................................... 549,450
1,950 * Veritas Software Corp. ............................... 385,856
100 * Vignette Corp. ....................................... 23,050
-----------
2,389,744
-----------
INFORMATION PROCESSING -
COMPUTER HARDWARE - 4.71%
600 * Adaptec, Inc. ........................................ 24,600
1,300 * Apple Computer, Inc. ................................. 149,013
2,500 * Dell Computer Corp. .................................. 102,031
200 * E-Tek Dynamics, Inc. ................................. 54,650
400 * Gateway, Inc. ........................................ 27,500
2,400 * Lexmark International Group, Inc. .................... 286,200
6,800 * Sun Microsystems, Inc. ............................... 647,700
-----------
1,291,694
-----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 3.20%
8,600 * America Online, Inc. ................................. 507,400
1,500 Automatic Data Processing, Inc. ...................... 65,343
100 * Checkfree Holdings Corp. ............................. 8,794
700 * CMGI, Inc. ........................................... 90,694
200 * C-Net, Inc. .......................................... 13,375
700 Electronic Data Systems Corp. ........................ 45,325
1,400 First Data Corp. ..................................... 63,000
200 * Sterling Commerce, Inc. .............................. 8,763
300 * VeriSign, Inc. ....................................... 75,900
-----------
878,594
-----------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 0.22%
600 * Intuit, Inc. ......................................... 31,500
100 * Macromedia, Inc. ..................................... 8,643
200 * Networks Associates, Inc. ............................ 6,088
200 * Realnetworks, Inc. ................................... 14,063
-----------
60,294
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
DATA SERVICES - 8.86%
1,500 Adobe Systems, Inc. .................................. $ 153,000
500 * At Home Corp. ........................................ 17,155
800 * Bea Systems, Inc. .................................... 101,250
600 * Computer Sciences Corp. .............................. 47,288
3,800 * EMC Corp. ............................................ 452,200
3,800 Hewlett Packard Co. .................................. 511,100
3,700 International Business Machines....................... 377,400
200 * Network Appliance, Inc. .............................. 37,750
100 * Network Solutions, Inc. .............................. 32,244
2,400 * Novell, Inc. ......................................... 79,350
200 * PsiNet, Inc. ......................................... 9,275
3,700 * Seagate Technology, Inc. ............................. 184,538
600 * Siebel Systems, Inc. ................................. 83,213
3,300 * Solectron Corp. ...................................... 216,150
800 * Yahoo!, Inc. ......................................... 127,750
-----------
2,429,663
-----------
INFORMATION PROCESSING - NETWORKING - 6.96%
12,400 * Cisco Systems, Inc. .................................. 1,639,124
600 * Exodus Communications, Inc. .......................... 85,425
800 * PMC-Sierra, Inc. ..................................... 154,450
200 * USWeb Corp. .......................................... 7,775
300 * Verio, Inc. .......................................... 22,519
-----------
1,909,293
-----------
INSURANCE - LIFE - 0.17%
1,300 Hartford Life, Inc., Class A.......................... 45,987
-----------
INSURANCE - MISCELLANEOUS - 0.17%
1,300 PMI Group, Inc. ...................................... 47,205
-----------
INSURANCE - MULTILINE - 0.83%
1,625 American International Group, Inc. ................... 143,710
1,100 Marsh & McLennan Companies, Inc. ..................... 85,113
-----------
228,823
-----------
LEISURE TIME - 0.19%
300 Harley-Davidson, Inc. ................................ 20,438
800 Royal Caribbean Cruises, Ltd. ........................ 28,300
100 Sabre Holdings Corp. ................................. 4,012
-----------
52,750
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
LODGING - 0.29%
2,000 Marriott International, Inc. ......................... $ 55,124
1,200 MGM Grand, Inc. ...................................... 23,850
-----------
78,974
-----------
MACHINERY - CONSTRUCTION & CONTRACTS - 0.33%
1,000 * Calpine Corp. ........................................ 91,500
-----------
MACHINERY -
INDUSTRIAL/SPECIALTY - 0.08%
600 Parker Hannifin Corp. ................................ 21,750
-----------
MEDICAL TECHNOLOGY - 0.15%
400 PE Corp - PE Biosystems Group......................... 42,200
-----------
MERCHANDISE - DRUG - 0.43%
3,400 CVS Corp. ............................................ 119,000
-----------
MERCHANDISE - SPECIALTY - 3.80%
500 * Amazon.com, Inc. ..................................... 34,437
600 * Best Buy Co., Inc. ................................... 32,625
1,700 * BJ's Wholesale Club, Inc. ............................ 52,700
3,200 Circuit City Stores, Inc. ............................ 129,200
1,300 * Costco Wholesale Corp. ............................... 64,513
400 Fortune Brands, Inc. ................................. 8,750
8,550 Home Depot, Inc. ..................................... 494,297
300 * Kohl's Corp. ......................................... 22,744
1,300 Limited, Inc. ........................................ 44,200
1,200 Tandy Corp. .......................................... 45,675
1,400 Tiffany & Co. ........................................ 89,863
600 * Zale Corp. ........................................... 22,575
-----------
1,041,579
-----------
MERCHANDISING - DEPARTMENT - 0.59%
1,200 * Federated Department Stores, Inc. .................... 44,024
2,000 Target Corp. ......................................... 118,000
-----------
162,024
-----------
MERCHANDISING - FOOD - 0.28%
2,400 * Kroger Co. ........................................... 35,700
1,100 * Safeway, Inc. ........................................ 42,418
-----------
78,118
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 9
LARGE CAP GROWTH FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISING - MASS - 1.44%
100 * Priceline.com, Inc. .................................. $ 5,593
900 Sears Roebuck and Co. ................................ 24,806
7,500 Wal-Mart Stores, Inc. ................................ 365,156
-----------
395,555
-----------
MISCELLANEOUS - 0.21%
700 Avx Corp. ............................................ 44,450
100 * Ebay, Inc. ........................................... 14,337
-----------
58,787
-----------
OIL - INTEGRATED DOMESTIC - 0.09%
1,100 USX-Marathon Group.................................... 23,787
-----------
OIL/GAS PRODUCERS - 0.23%
1,609 Transocean Sedco Forex, Inc. ......................... 63,454
-----------
PAPER/FOREST PRODUCTS - 0.64%
1,200 Avery Dennison Corp. ................................. 72,824
2,100 Georgia-Pacific Corp. ................................ 72,844
600 Kimberly-Clark Corp. ................................. 31,013
-----------
176,681
-----------
PHOTOGRAPHY - 0.50%
2,400 Eastman Kodak Co. .................................... 137,550
-----------
POLLUTION CONTROL - 0.18%
4,500 * Republic Services, Inc., Class A...................... 48,938
-----------
PUBLISHING - NEWS - 0.09%
600 New York Times Co., Class A........................... 25,350
-----------
PUBLISHING/PRINTING - 0.08%
800 * Valassis Communications, Inc. ........................ 22,150
-----------
RESTAURANTS - 0.14%
500 McDonald's Corp. ..................................... 15,780
900 * Tricon Global Restaurants, Inc. ...................... 23,963
-----------
39,743
-----------
SECURITIES RELATED - 2.08%
2,100 A.G. Edwards, Inc. ................................... 66,543
420 Bear Stearns Co., Inc. ............................... 16,485
2,400 Charles Schwab Corp. ................................. 100,350
500 * E*Trade Group, Inc. .................................. 12,313
2,100 Lehman Brothers Holdings, Inc. ....................... 152,250
1,900 Merrill Lynch & Co., Inc. ............................ 194,750
400 Morgan Stanley Dean Witter & Co. ..................... 28,175
-----------
570,866
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT - 0.85%
1,100 * Applied Materials, Inc. ............................. $ 201,230
400 * KLA-Tencor Corp. .................................... 31,175
-----------
232,405
-----------
SEMICONDUCTORS - 8.66%
800 * Altera Corp. ........................................ 63,800
800 * Analog Devices, Inc. ................................ 125,600
500 * Applied Micro Circuits Corp. ........................ 137,530
1,000 * Conexant Systems, Inc. .............................. 98,250
10,400 Intel Corp. ......................................... 1,175,200
800 * LSI Logic Corp. ..................................... 51,250
1,600 Motorola, Inc. ...................................... 272,800
200 * SDL, Inc. ........................................... 82,000
1,500 Texas Instruments, Inc. ............................. 249,750
1,500 * Xilinx, Inc. ........................................ 119,625
-----------
2,375,805
-----------
TELECOMMUNICATIONS - 7.98%
800 * ADC Communications, Inc. ............................ 35,900
300 * Allegiance Telecom, Inc. ............................ 29,662
1,100 ALLTEL Corp. ........................................ 63,800
3,600 AT&T Corp. .......................................... 177,975
1,700 AT&T Corp. - Liberty Media Group..................... 88,825
700 CenturyTel, Inc. .................................... 23,537
500 * CIENA Corp. ......................................... 79,906
300 * Covad Communications Group, Inc. .................... 27,075
1,100 * Level 3 Communications, Inc. ........................ 125,263
8,000 Lucent Technologies, Inc. ........................... 476,000
5,850 * MCI Worldcom, Inc. .................................. 261,056
300 * NEXTLINK Communications, Inc. ....................... 33,056
700 Nortel Networks Corp. ............................... 78,050
2,800 * QUALCOMM, Inc. ...................................... 398,825
1,100 * Qwest Communications International, Inc. ............ 51,013
100 * RCN Corp. ........................................... 5,988
300 * RF Micro Devices, Inc. .............................. 41,494
100 * Rhythms Netconnections, Inc. ........................ 3,569
400 * Sanmina Corp. ....................................... 46,825
1,100 Scientific-Atlanta, Inc. ............................ 112,956
600 * Tellabs, Inc. ....................................... 28,800
-----------
2,189,575
-----------
TOBACCO - 0.33%
3,700 Philip Morris Companies, Inc. ....................... 74,230
800 UST, Inc. ........................................... 15,450
-----------
89,680
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
UTILITIES - COMMUNICATION - 0.53%
300 SBC Communications, Inc. ............................. $ 11,400
2,200 Sprint Corp. FON Group................................ 134,200
-----------
145,600
-----------
UTILITIES - GAS, PIPELINE - 0.10%
400 Enron Corp. .......................................... 27,600
-----------
TOTAL COMMON STOCK
(Cost $21,417,163).................................... 26,868,377
-----------
<CAPTION>
PAR
VALUE
---------
<C> <S> <C>
CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT - 2.22%
$610,000 BANKS - OTHER - 2.22%
State Street Bank Repurchase Agreement, 5.65%, dated
02/29/00, to be repurchased at $610,096 on 03/01/00,
collateralized by U.S. Treasury Note, 6.63%, 04/30/02,
with a par value of $610,000 (Cost $610,000).......... 610,000
-----------
TOTAL CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT
(Cost $610,000)....................................... 610,000
-----------
UNITED STATES GOVERNMENT -
SHORT-TERM - 0.33%
U. S. TREASURY BILLS - 0.33%
United States Treasury Bills:
25,000 5.32% due 03/30/00.................................... 24,892
10,000 5.25% due 03/30/00.................................... 9,957
25,000 5.14% due 03/30/00.................................... 24,896
10,000 5.13% due 03/09/00.................................... 9,989
10,000 5.13% due 03/16/00.................................... 9,979
10,000 5.00% due 03/09/00.................................... 9,989
-----------
89,702
-----------
TOTAL UNITED STATES GOVERNMENT -
SHORT-TERM
(Cost $89,702)........................................ 89,702
-----------
TOTAL INVESTMENTS
(Cost $22,116,865) - 100.50%.......................... $27,568,079
-----------
*Non-income producing
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
10 February 29, 2000 (Unaudited)
LARGE CAP GROWTH FUND - CONTINUED
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
<S> <C>
- -----------------------------------------------------------
FUTURES CONTRACTS PURCHASED(/1/)
(Delivery month/Value at 02/29/00)
10(/2/) E-mini S&P Futures
(March/$1,372)............... $ (8,113)
-----------
</TABLE>
(/1/) U.S. Treasury Bills with a market value of approximately $90,000 were
maintained in a segregated account with a portion placed as collateral
for futures contracts.
(/2/) Per 50.
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $22,116,865).......................... $27,568,079
Receivable for:
Fund shares sold.................................................. 31,939
Dividends and interest............................................ 9,919
Other assets....................................................... 14,508
-----------
TOTAL ASSETS....................................................... 27,624,445
-----------
LIABILITIES:
Payable for fund shares redeemed................................... 109,268
Payable to affiliates:
Advisory fees..................................................... 4,468
Administrative fees............................................... 10,957
Accounting services............................................... 1,312
Other............................................................. 31,149
Accrued expenses and other liabilities............................. 36,202
-----------
TOTAL LIABILITIES.................................................. 193,356
-----------
NET ASSETS......................................................... $27,431,089
-----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share,
unlimited shares authorized,
1,690,197 shares outstanding..................................... $ 16,902
Additional paid in capital....................................... 21,247,212
Undistributed net realized gain on securities.................... 735,421
Accumulated net investment loss.................................. (11,547)
Unrealized appreciation (depreciation) of:
Investments.......................................... $5,451,214
Futures contracts.................................... (8,113) 5,443,101
---------- -----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................ $27,431,089
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
LARGE CAP GROWTH FUND (Unaudited) - CONTINUED 11
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 2000
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Dividends......................................................... $ 66,947
Interest.......................................................... 20,731
----------
Total investment income.......................................... 87,678
----------
EXPENSES:
Advisory fees..................................................... 63,407
Custodian fees.................................................... 32,682
Administrative service fee........................................ 28,821
Report to shareholders............................................ 16,528
Audit fees and tax services....................................... 14,157
Legal fees........................................................ 7,409
Trustees' fees and expenses....................................... 4,102
Accounting services............................................... 3,459
Pricing services.................................................. 1,630
Registration and filing fees...................................... 1,044
Miscellaneous..................................................... 1,705
----------
Total expenses................................................... 174,944
Expense reimbursement (see Note 3)............................... (75,738)
----------
Net expenses..................................................... 99,206
----------
NET INVESTMENT LOSS............................................... (11,528)
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain on:
Investments........................................... $ 912,641
Futures contracts..................................... 2,302 914,943
----------
Net unrealized appreciation (depreciation) during the period:
Investments........................................... 3,303,148
Futures contracts..................................... (5,768) 3,297,380
---------- ----------
Net realized and unrealized gain on securities during the
period.......................................................... 4,212,323
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................. $4,200,795
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
February 29, 2000 August 31, 1999
---------------------------------
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income (loss)................ $ (11,528) $ 14,919
Net realized gain on securities............. 914,943 591,864
Net unrealized appreciation of securities
during the period........................... 3,297,380 2,145,721
---------------------------------
Increase in net assets resulting from
operations................................. 4,200,795 2,752,504
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... (2,764) (12,174)
Net realized gain on securities............. (771,386) -
---------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (774,150) (12,174)
---------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 4,974,720 18,067,450
Proceeds from shares issued for
distributions reinvested.................... 774,150 12,174
---------------------------------
5,748,870 18,079,624
Cost of shares repurchased.................. (1,053,554) (1,514,626)
---------------------------------
Increase in net assets resulting
from share transactions.................... 4,695,316 16,564,998
---------------------------------
TOTAL INCREASE IN NET ASSETS................ 8,121,961 19,305,328
NET ASSETS:
Beginning of year........................... 19,309,128 3,800
---------------------------------
End of period (including undistributed net
investment income of ($11,547) and $2,745).. $27,431,089 $19,309,128
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 326,682 1,493,550
Shares issued for distributions reinvested.. 49,085 971
Shares repurchased.......................... (68,918) (111,553)
---------------------------------
Increase in shares outstanding............. 306,849 1,382,968
Shares outstanding:
Beginning of year.......................... 1,383,348 380
---------------------------------
End of period.............................. 1,690,197 1,383,348
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
12 February 29, 2000 (Unaudited)
MID CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 96.39%
ADVERTISING - 1.93%
2,100 * Catalina Marketing Corp. ............................. $ 178,763
-----------
APPAREL & PRODUCTS - 1.12%
2,600 Cintas Corp. ......................................... 103,838
-----------
AUTO - ORIGINAL EQUIPMENT - 1.36%
3,100 Danaher Corp. ........................................ 126,519
-----------
BUILDING MATERIALS - 2.95%
6,200 Fastenal Co. ......................................... 273,963
-----------
CONGLOMERATES - 0.90%
5,800 Dial Corp. ........................................... 83,375
-----------
CONSUMER FINANCE - 2.01%
8,800 Equifax, Inc. ........................................ 186,450
-----------
DRUGS - 3.52%
4,800 * ALZA Corp. ........................................... 176,100
10,600 * Covance, Inc. ........................................ 151,050
-----------
327,150
-----------
FINANCIAL SERVICES - 2.52%
7,100 T Rowe Price Associates, Inc. ........................ 233,856
-----------
GOVERNMENT SPONSORED - 1.65%
4,900 SLM Holding Corp. .................................... 153,431
-----------
HEALTHCARE - 7.86%
5,700 Cardinal Health, Inc. ................................ 235,125
7,300 * HCR Manor Care, Inc. ................................. 63,419
17,000 * Health Management Associates, Inc. ................... 182,750
5,700 Omnicare, Inc. ....................................... 52,369
6,600 * Quintiles Transnational Corp. ........................ 195,937
-----------
729,600
-----------
HOUSEHOLD PRODUCTS - 1.22%
4,900 Newell Rubbermaid, Inc. .............................. 113,313
-----------
HUMAN RESOURCES - 3.30%
5,000 * Interim Services, Inc. ............................... 124,688
4,300 * Robert Half International, Inc. ...................... 181,675
-----------
306,363
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING - 7.14%
7,300 * Acxiom Corp. ......................................... $ 210,788
2,700 * Advent Software, Inc. ................................ 244,855
4,500 * Fritz Companies, Inc. ................................ 37,688
5,600 * Parametric Technology Corp. .......................... 169,750
-----------
663,081
-----------
INFORMATION PROCESSING -
COMPUTER HARDWARE - 1.87%
2,500 * Jabil Circuit, Inc. .................................. 173,594
-----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 5.74%
7,050 Paychex, Inc. ........................................ 352,941
4,100 * Sterling Commerce, Inc. .............................. 179,631
-----------
532,572
-----------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 2.72%
8,300 * Networks Associates, Inc. ............................ 252,631
-----------
INFORMATION PROCESSING -
DATA SERVICES - 13.46%
2,900 * BISYS Group, Inc. .................................... 149,531
8,100 * Compuware Corp. ...................................... 179,213
1,600 * EMC Corp. ............................................ 190,400
5,100 * Fiserv, Inc. ......................................... 138,975
6,100 * Keane, Inc. .......................................... 146,400
2,200 * Solectron Corp. ...................................... 144,100
5,000 * Sterling Software, Inc. .............................. 179,375
2,700 * Transaction Systems Architects, Inc. ................. 121,838
-----------
1,249,832
-----------
INSURANCE - MULTILINE - 1.50%
3,800 AFLAC, Inc. .......................................... 138,937
-----------
LEISURE TIME - 2.42%
3,300 Harley-Davidson, Inc. ................................ 224,812
-----------
MEDICAL TECHNOLOGY - 3.21%
1,600 * Guidant Corp. ........................................ 107,800
1,800 PE Corp. - PE Biosystems Group........................ 189,900
-----------
297,700
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISE - SPECIALTY - 5.31%
9,137 Dollar General Corp. ................................. $ 191,306
900 * Kohl's Corp. ......................................... 68,231
3,400 * Staples, Inc. ........................................ 91,800
8,900 TJX Companies, Inc. .................................. 141,844
-----------
493,181
-----------
MERCHANDISING - MASS - 2.30%
5,500 * Dollar Tree Stores, Inc. ............................. 213,469
-----------
OIL - SERVICES - 1.82%
2,700 * Smith International, Inc. ............................ 169,256
-----------
SECURITIES RELATED - 4.17%
6,000 Franklin Resources, Inc. ............................. 163,125
5,700 Legg Mason, Inc. ..................................... 223,725
-----------
386,850
-----------
SEMICONDUCTORS - 2.92%
3,400 * Altera Corp. ......................................... 271,150
-----------
TELECOMMUNICATIONS - 9.08%
8,200 * ADC Communications, Inc. ............................. 367,974
2,400 * Amdocs, Ltd. ......................................... 178,050
3,600 CenturyTel, Inc. ..................................... 121,050
1,500 * Sanmina Corp. ........................................ 175,593
-----------
842,667
-----------
TEXTILE - PRODUCTS - 0.49%
2,700 G & K Services, Inc., Class A......................... 45,900
-----------
UTILITIES - ELECTRIC - 1.90%
2,100 * AES Corp. ............................................ 176,006
-----------
TOTAL COMMON STOCK
(Cost $8,122,031)..................................... 8,948,259
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 13
MID CAP GROWTH FUND - CONTINUED
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT - 1.96%
BANKS - OTHER - 1.96%
$182,000 State Street Bank Repurchase Agreement, 5.65%, dated
02/29/00, to be repurchased at $182,029 on 03/01/00,
collateralized by U.S Treasury Note, 6.63%, 04/30/02,
with a par value of $185,000 (Cost $182,000)........... $ 182,000
-----------
TOTAL CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT
(Cost $182,000)........................................ 182,000
-----------
TOTAL INVESTMENTS
(Cost $8,304,031) - 98.35%............................. $ 9,130,259
-----------
*Non-income producing
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $8,304,031).......................... $ 9,130,259
Receivable for:
Investments sold................................................. 161,216
Fund shares sold................................................. 12,418
Dividends and interest........................................... 4,011
Other assets...................................................... 2,269
-----------
TOTAL ASSETS...................................................... 9,310,173
-----------
LIABILITIES:
Payable for fund shares redeemed.................................. 5,142
Payable to affiliates:
Advisory fees.................................................... 996
Administrative fees.............................................. 2,190
Accounting services.............................................. 262
Other............................................................ 6,325
Accrued expenses and other liabilities............................ 11,352
-----------
TOTAL LIABILITIES................................................. 26,267
-----------
NET ASSETS........................................................ $ 9,283,906
-----------
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized,
722,598 shares outstanding........................................ $ 7,226
Additional paid in capital........................................ 7,811,403
Undistributed net realized gain on securities..................... 648,492
Accumulated net investment loss................................... (9,443)
Unrealized appreciation of securities............................. 826,228
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $ 9,283,906
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
14 MID CAP GROWTH FUND (Unaudited) - CONTINUED
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 2000
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends........................................................... $ 14,186
Interest............................................................ 8,945
----------
Total investment income............................................ 23,131
----------
EXPENSES:
Advisory fees....................................................... 26,743
Custodian fees...................................................... 11,141
Administrative service fee.......................................... 10,286
Report to shareholders.............................................. 6,217
Audit fees and tax services......................................... 4,741
Legal fees.......................................................... 2,807
Trustees' fees and expenses......................................... 1,469
Accounting services................................................. 1,234
Pricing services.................................................... 571
Registration and filing fees........................................ 497
Miscellaneous....................................................... 1,010
----------
Total expenses..................................................... 66,716
Expense reimbursement (see Note 3)................................. (34,142)
----------
Net expenses....................................................... 32,574
----------
NET INVESTMENT LOSS................................................. (9,443)
----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities..................................... 713,063
Net unrealized appreciation of securities during the period......... 501,220
----------
Net realized and unrealized gain on securities during the period... 1,214,283
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................... $1,204,840
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
February 29, 2000 August 31, 1999
---------------------------------
(audited)
<S> <C> <C>
OPERATIONS:
Net investment loss......................... $ (9,443) $ (16,217)
Net realized gain on securities............. 713,063 867,584
Net unrealized appreciation of securities
during the period........................... 501,220 325,008
---------------------------------
Increase in net assets resulting from
operations................................. 1,204,840 1,176,375
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... - -
Net realized gain on securities............. (915,938) -
---------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (915,938) -
---------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 894,439 6,675,852
Proceeds from shares issued for
distributions reinvested.................... 915,938 -
---------------------------------
1,810,377 6,675,852
Cost of shares repurchased.................. (209,834) (463,166)
---------------------------------
Increase in net assets resulting
from share transactions.................... 1,600,543 6,212,686
---------------------------------
TOTAL INCREASE IN NET ASSETS................ 1,889,445 7,389,061
NET ASSETS:
Beginning of year........................... 7,394,461 5,400
---------------------------------
End of period (including accumulated net
investment loss of $9,443 and $0)........... $9,283,906 $7,394,461
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 71,030 627,713
Shares issued for distributions reinvested.. 73,806 -
Shares repurchased.......................... (16,033) (34,458)
---------------------------------
Increase in shares outstanding............. 128,803 593,255
Shares outstanding:
Beginning of year.......................... 593,795 540
---------------------------------
End of period.............................. 722,598 593,795
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 15
SMALL CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 98.44%
ADVERTISING - 1.16%
2,500 * Catalina Marketing Corp. ............................. $ 212,813
3,600 * Ticket Master Online-CitySearch, Inc. ................ 125,606
-----------
338,419
-----------
APPAREL & PRODUCTS - 0.32%
2,600 Talbots, Inc. ........................................ 94,088
-----------
AUTO - REPLACEMENT PARTS - 0.42%
9,100 Gentek, Inc. ......................................... 122,850
-----------
BANKS - OTHER - 0.12%
3,800 Sterling Bancshares, Inc. ............................ 36,100
-----------
BANKS - REGIONAL - 0.94%
5,000 Bank United Corp. .................................... 130,938
1,200 City National Corp. .................................. 33,075
400 * Colombia Banking System, Inc. ........................ 4,625
1,100 * Hamilton Bancorp, Inc. ............................... 18,356
2,900 National Commerce Bancorp. ........................... 49,300
2,500 Pacific Century Financial Corp. ...................... 37,969
-----------
274,263
-----------
BEVERAGE -
BREWERS/DISTRIBUTORS - 0.48%
3,800 * Robert Mondavi Corp., Class A......................... 139,175
-----------
BROADCASTING - 1.80%
2,500 * Entercom Communications Corp. ........................ 105,156
3,750 * Insight Communications Co. ........................... 78,281
900 * Jones Intercable, Inc. ............................... 52,706
4,500 * Spanish Broadcasting
Systems, Inc., Class A................................ 86,063
2,000 * Univision Communications, Inc. ....................... 203,750
-----------
525,956
-----------
CHEMICAL - MAJOR - 0.45%
7,100 Albemarle Corp. ...................................... 106,944
1,800 Solutia, Inc. ........................................ 24,863
-----------
131,807
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CHEMICAL - MISCELLANEOUS - 1.29%
5,000 * General Chemical Group, Inc. ......................... $ 11,250
3,800 Geon Co. ............................................. 79,325
8,400 Georgia Gulf Corp. ................................... 191,100
2,400 Minerals Technologies, Inc. .......................... 97,350
-----------
379,025
-----------
COMMERCIAL SERVICES - 0.43%
800 * Neoforma.com, Inc. ................................... 47,600
2,325 * Pfsweb, Inc. ......................................... 79,631
-----------
127,231
-----------
DRUGS - 8.98%
975 * Abgenix, Inc. ........................................ 314,072
1,100 * Corixa Corp. ......................................... 76,381
4,200 * Human Genome Sciences, Inc. .......................... 916,650
1,000 * IDEC Pharmaceuticals Corp. ........................... 140,875
1,050 * Ilex Oncology, Inc. .................................. 50,794
9,900 * Ligand Pharmaceuticals, Inc., Class B................. 215,325
1,400 * Millennium Pharmaceuticals, Inc. ..................... 364,175
3,500 * SangStat Medical Corp. ............................... 151,375
2,800 * Triangle Pharmaceuticals, Inc. ....................... 64,050
4,600 * Vertex Pharmaceuticals, Inc. ......................... 334,075
-----------
2,627,772
-----------
ELECTRONIC EQUIPMENT - 0.70%
3,600 * Electro Scientific Industries, Inc. .................. 204,075
-----------
ELECTRONIC INSTRUMENTS - 2.09%
7,500 * 3DO Co. .............................................. 112,500
3,200 * C-Cube Microsystems, Inc. ............................ 298,400
4,800 * LTX Corp. ............................................ 202,500
-----------
613,400
-----------
ENTERTAINMENT - 0.52%
2,900 * Aztar Corp. .......................................... 27,550
6,100 * Cinar Corp. .......................................... 125,813
-----------
153,363
-----------
FINANCE COMPANIES - 0.26%
4,500 * Financial Federal Corp. .............................. 77,063
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES - 0.79%
1,700 * BlackRock, Inc. ...................................... $ 36,869
3,000 * Gabelli Asset Management, Inc. ....................... 48,563
3,900 Heller Financial, Inc. ............................... 73,369
400 * Lendingtree, Inc. .................................... 4,700
1,300 Southwest Securities Group, Inc. ..................... 68,813
-----------
232,314
-----------
FOODS - 0.74%
1,900 * American Italian Pasta Co., Class A................... 43,344
2,300 * Keebler Foods Co. .................................... 58,363
2,100 * Symx Technologies, Inc. .............................. 115,500
-----------
217,207
-----------
FOOTWEAR - 0.47%
600 * Kenneth Cole Productions, Inc., Class A............... 30,600
4,800 * Steven Madden, Ltd. .................................. 64,800
2,700 * Vans, Inc. ........................................... 41,850
-----------
137,250
-----------
HEALTHCARE - 1.58%
900 * Accredo Health, Inc. ................................. 26,550
2,800 * Careinsite, Inc. ..................................... 190,400
1,025 * Diversa Corp. ........................................ 136,838
4,150 * Healthgate Data Corp. ................................ 43,575
2,125 Hooper Holmes, Inc. .................................. 65,344
-----------
462,707
-----------
HOSPITAL MANAGEMENT - 0.25%
3,000 * Eclipsys Corp. ....................................... 72,000
-----------
HOUSEHOLD PRODUCTS - 0.28%
4,400 * Cost Plus, Inc. ...................................... 81,675
-----------
INFORMATION PROCESSING - 1.72%
250 * Caminus Corp. ........................................ 5,906
300 * Go2Net, Inc. ......................................... 26,100
5,025 * National Information Consortium, Inc. ................ 263,184
1,000 * Safeguard Scientifics, Inc. .......................... 174,938
1,225 * Stamps.Com, Inc. ..................................... 34,683
-----------
504,811
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
16 February 29, 2000 (Unaudited)
SMALL CAP GROWTH FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 17.09%
2,900 * Accrue Software, Inc. ................................ $ 136,119
5,600 * Actuate Software Corp. ............................... 349,300
2,200 * Art Technology Group, Inc. ........................... 317,900
7,400 * Aspen Technology, Inc. ............................... 331,150
150 * Avenue A, Inc. ....................................... 10,800
2,400 * Bindview Development Corp. ........................... 81,000
400 * Broadbase Software, Inc. ............................. 60,575
1,500 * Business Objects SA - ADR............................. 172,313
300 * Cacheflow, Inc. ...................................... 36,525
1,625 * Chordiant Software, Inc. ............................. 56,875
1,300 * Clarent Corp. ........................................ 142,025
3,200 * Digital Impact, Inc. ................................. 91,200
2,100 * DSL.net, Inc. ........................................ 58,800
850 * E.pihpany, Inc. ...................................... 186,894
70 * Emerge Interactive, Inc., Class A..................... 3,719
2,900 * Exchange Applications, Inc. .......................... 315,013
675 * Firepond, Inc. ....................................... 65,770
1,000 * Informatica Corp. .................................... 171,500
4,700 * Informix Corp. ....................................... 75,200
1,000 * ISS Group, Inc. ...................................... 105,000
1,825 * Mediaplex, Inc. ...................................... 152,388
3,800 * Microstrategy, Inc. .................................. 528,438
2,775 * Mission Critical Software, Inc. ...................... 169,969
5,100 * Net Perceptions, Inc. ................................ 249,263
800 * Niku Corp. ........................................... 55,200
850 * Opentv Corp. ......................................... 157,250
225 * pcOrder.com, Inc. .................................... 5,963
900 * Purchasepro.com, Inc. ................................ 109,744
1,550 * Quest Software, Inc. ................................. 180,769
1,100 * Retek, Inc. .......................................... 66,688
3,000 * Saleslogix Corp. ..................................... 83,625
2,025 * Via Networks, Inc. ................................... 133,650
340 * Webmethods, Inc. ..................................... 104,741
1,800 * Webtrend Corp. ....................................... 171,000
1,900 * Witnes Systems, Inc. ................................. 69,825
-----------
5,006,191
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
COMPUTER HARDWARE - 3.97%
300 * Caliper Technologies Corp. ........................... $ 53,343
225 * Cobalt Networks, Inc. ................................ 21,543
1,250 * E-Tek Dynamics, Inc. ................................. 341,563
1,000 * JNI Corp. ............................................ 81,624
3,700 * Metron Technology NV.................................. 89,724
2,900 * MIPS Technologies, Inc., Class A...................... 169,650
1,000 * Radiant Systems, Inc. ................................ 51,125
2,425 * Silicon Image, Inc. .................................. 237,650
1,100 * VA Linux Systems, Inc. ............................... 116,188
-----------
1,162,410
-----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 6.05%
2,300 * Alteon Websystems, Inc. .............................. 206,424
400 * Checkfree Holdings Corp. ............................. 35,174
425 * Digital Think, Inc. .................................. 17,319
4,000 * Eloyalty Corp. ....................................... 122,250
2,400 * Espeed, Inc. ......................................... 148,650
1,600 * Fastnet Corp. ........................................ 21,793
4,100 * Gartner Group, Inc., Class A.......................... 58,680
400 * Inforte Corp. ........................................ 32,175
650 * InterWAVE Communications
International, Ltd. .................................. 41,844
1,050 * Keynote Systems, Inc. ................................ 171,938
800 * Lifeminders.com, Inc. ................................ 42,500
700 * Management Network Group, Inc. ....................... 15,400
2,675 * Media Metrix, Inc. ................................... 93,958
3,100 * Messagemedia, Inc. ................................... 43,400
3,300 * Netratings, Inc. ..................................... 118,181
5,700 * Netzero, Inc. ........................................ 133,950
1,350 * PC-Tel, Inc. ......................................... 91,800
350 * Predictive Systems, Inc. ............................. 21,263
200 * Verticalnet, Inc. .................................... 44,000
7,600 * Webvan Group, Inc. ................................... 86,450
1,800 * Wireless Facilities, Inc. ............................ 223,200
-----------
1,770,349
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 2.98%
1,300 * AppNet Systems, Inc. ................................. $ 103,213
500 * BroadVision, Inc. .................................... 126,281
7,000 * Caprock Communications Corp. ......................... 308,437
100 * Extensity, Inc. ...................................... 7,250
400 * Interleaf, Inc. ...................................... 34,400
2,600 * Liberate Technologies, Inc. .......................... 264,874
1,150 * Lightspan Partnership Inc. ........................... 12,650
225 MatrixOne, Inc. ...................................... 5,625
175 net.Genesis Corp. .................................... 9,942
-----------
872,672
-----------
INFORMATION PROCESSING -
DATA SERVICES - 2.22%
2,600 * Manugistics Group, Inc. .............................. 147,712
800 * Mercury Interactive Corp. ............................ 77,100
3,200 * Pinnacle Systems, Inc. ............................... 160,400
6,000 * Smartforce, Plc. ..................................... 264,375
-----------
649,587
-----------
INFORMATION PROCESSING - NETWORKING - 5.65%
7,000 * Concentric Network Corp. ............................. 375,375
1,375 * Intersil Holding Corp. ............................... 81,641
300 * Metasolv Software, Inc. .............................. 26,438
2,275 * Net2phone, Inc. ...................................... 131,666
400 * Packeteer, Inc. ...................................... 30,976
200 * Preview Systems, Inc. ................................ 10,600
700 * Redback Networks, Inc. ............................... 208,950
1,700 * Softnet Systems, Inc. ................................ 62,900
1,700 * Software.com, Inc. ................................... 163,625
700 * Turnstone Systems, Inc. .............................. 134,444
5,700 * Verio, Inc. .......................................... 427,856
-----------
1,654,471
-----------
INSURANCE - CASUALTY - 0.30%
2,300 RenaissanceRe Holdings, Ltd. ......................... 87,113
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 17
SMALL CAP GROWTH FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
LEISURE TIME - 0.85%
4,075 * American Classic Voyages Co. ......................... $ 96,781
2,900 * Anchor Gaming......................................... 120,713
1,500 * Premier Parks, Inc. .................................. 30,375
-----------
247,869
-----------
MACHINE TOOLS - 1.19%
3,100 * Gilead Sciences, Inc. ................................ 237,150
1,400 * PRI Automation, Inc. ................................. 111,824
-----------
348,974
-----------
MACHINERY - AGRICULTURE - 0.23%
6,100 * CNH Global NV......................................... 67,481
-----------
MACHINERY -
INDUSTRIAL/SPECIALTY - 0.65%
5,800 * GaSonics International Corp. ......................... 190,313
-----------
MEDICAL TECHNOLOGY - 4.34%
800 * Affymetrix, Inc. ..................................... 231,700
4,800 * Allscripts, Inc. ..................................... 331,200
3,000 * Avant Immunotherapeutics, Inc. ....................... 33,187
4,900 * Cyberonics, Inc. ..................................... 124,950
1,600 * Cytyc Corp. .......................................... 73,600
5,700 * Eclipse Surgical Technolgies, Inc. ................... 49,163
600 * Gene Logic, Inc. ..................................... 71,625
600 * Maxygen, Inc. ........................................ 87,975
4,550 * Vical, Inc. .......................................... 268,734
-----------
1,272,134
-----------
MERCHANDISE - SPECIALTY - 0.19%
2,700 * Rayovac Corp. ........................................ 56,025
-----------
MERCHANDISING - DEPARTMENT - 0.05%
2,100 * Pets.com.............................................. 14,700
-----------
MISCELLANEOUS - 2.00%
500 * Chemdex Corp. ........................................ 112,438
3,800 * Polycom, Inc. ........................................ 441,987
1,000 * Sage, Inc. ........................................... 32,000
-----------
586,425
-----------
OIL - SERVICE - PRODUCTS - 0.26%
1,400 * Cooper Cameron Corp. ................................. 77,350
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
OIL - SERVICES - 0.71%
3,500 * Devon Energy Corp. ................................... $ 130,375
3,400 * Global Marine, Inc. .................................. 76,287
-----------
206,662
-----------
OIL/GAS PRODUCERS - 0.21%
3,850 * Spinnaker Exploration Co. ............................ 61,119
-----------
PUBLISHING/PRINTING - 0.37%
2,100 * Scholastic Corp. ..................................... 108,806
-----------
REAL ESTATE INVESTMENT TRUSTS - 0.34%
5,800 Allied Capital Corp. ................................. 100,775
-----------
SEMICONDUCTOR EQUIPMENT - 4.77%
10,100 * ATMI, Inc. ........................................... 476,594
1,900 * Brooks Automation, Inc. .............................. 137,275
2,900 * LAM Research Corp. ................................... 452,763
1,650 * Microchip Technology, Inc. ........................... 103,022
4,400 * MKS Instruments, Inc. ................................ 200,200
650 * Therma-Wave, Inc. .................................... 26,163
-----------
1,396,017
-----------
SEMICONDUCTORS - 5.55%
1,900 * Applied Micro Circuits Corp. ......................... 522,619
8,000 * Cypress Semiconductor Corp. .......................... 365,000
4,200 * Exar Corp. ........................................... 291,638
5,770 * Fairchild Semiconductor Corp. ........................ 217,818
6,200 * Integrated Device Technology, Inc. ................... 228,625
-----------
1,625,700
-----------
TELECOMMUNICATIONS - 11.41%
8,000 * Advanced Fibre Communications, Inc. .................. 545,000
250 * Aether Systems, Inc. ................................. 64,593
838 * Alamosa PCS Holdings, Inc. ........................... 30,378
7,200 * Allegiance Telecom, Inc. ............................. 711,900
7,150 * American Mobile Satellite Corp. ...................... 207,350
275 * Avanex Corp. ......................................... 57,303
925 * Choice One Communications, Inc. ...................... 55,500
1,800 * Copper Mountain Networks, Inc. ....................... 156,488
3,600 * Covad Communications Group, Inc. ..................... 324,900
1,400 * Deltathree.com, Inc., Class A......................... 58,625
1,300 * Diamond Technology Partners, Inc. .................... 88,888
2,450 * Dobson Communications Corp. .......................... 46,550
4,200 * Dycom Industries, Inc. ............................... 210,000
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
TELECOMMUNICATIONS - Continued
1,250 * Flag Telecom Holdings, Ltd. ........................ $ 35,781
975 * Illuinet Holdings, Inc. ............................ 72,150
400 * Ixnet, Inc. ........................................ 21,300
1,700 * L-3 Communications Holdings, Inc. .................. 72,356
6,700 * Splitrock Services, Inc. ........................... 313,225
975 * Sycamore Networks, Inc. ............................ 144,300
800 * Telecop Pcs, Inc. .................................. 36,750
1,250 * Williams Communications Group, Inc. ................ 55,625
400 * WinStar Communications, Inc. ....................... 30,950
-----------
3,339,912
-----------
TEXTILE - PRODUCTS - 0.77%
12,100 Wellman, Inc. ...................................... 225,363
-----------
UTILITIES - GAS, DISTRIBUTION - 0.50%
6,000 * National-Oilwell, Inc. ............................. 145,500
-----------
TOTAL COMMON STOCK
(Cost $17,213,335).................................. 28,826,469
-----------
PAR
VALUE
--------
CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT - 2.20%
BANKS - OTHER - 2.20%
$645,000 State Street Bank Repurchase Agreement, 5.65%, dated
02/29/00, to be repurchased at $645,101 on 03/01/00,
collateralized by U.S. Treasury Note, 6.63%,
04/30/02, with a par value of $645,000
(Cost $645,000)..................................... 645,000
-----------
TOTAL CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT
(Cost $645,000)..................................... 645,000
-----------
TOTAL INVESTMENTS
(Cost $17,858,335) - 100.64%........................ $29,471,469
-----------
*Non-income producing
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
18 February 29, 2000 (Unaudited)
SMALL CAP GROWTH FUND - CONTINUED
<TABLE>
<CAPTION>
<S> <C>
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $17,858,335)......................... $29,471,469
Receivable for:
Investments sold................................................. 623,374
Fund shares sold................................................. 148,684
Dividends and interest........................................... 3,527
Other assets...................................................... 41,534
-----------
TOTAL ASSETS...................................................... 30,288,588
-----------
LIABILITIES:
Payable for:
Investments purchased............................................ 538,672
Fund shares redeemed............................................. 396,693
Payable to affiliates:
Advisory fees.................................................... 7,952
Administrative fees.............................................. 9,620
Accounting services.............................................. 1,155
Other............................................................ 24,010
Accrued expenses and other liabilities............................ 25,923
-----------
TOTAL LIABILITIES................................................. 1,004,025
-----------
NET ASSETS........................................................ $29,284,563
-----------
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized,
1,057,041 shares outstanding...................................... $ 10,570
Additional paid in capital........................................ 15,171,167
Undistributed net realized gain on securities..................... 2,550,135
Accumulated net investment loss................................... (60,443)
Unrealized appreciation of securities............................. 11,613,134
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $29,284,563
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
SMALL CAP GROWTH FUND (Unaudited) - CONTINUED 19
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 2000
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends..................................................... $ 19,502
Interest...................................................... 15,672
-----------
Total investment income...................................... 35,174
-----------
EXPENSES:
Advisory fees................................................. 70,030
Administrative service fee.................................... 20,597
Custodian fees................................................ 20,370
Audit fees and tax services................................... 10,043
Report to shareholders........................................ 9,218
Legal fees.................................................... 4,664
Trustees' fees and expenses................................... 2,702
Accounting services........................................... 2,472
Pricing services.............................................. 1,002
Registration and filing fees.................................. 482
Miscellaneous................................................. 1,236
-----------
Total expenses............................................... 142,816
Expense reimbursement (see Note 3).......................... (47,199)
-----------
Net expenses................................................. 95,617
-----------
NET INVESTMENT LOSS........................................... (60,443)
-----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities............................... 2,800,349
Net unrealized appreciation of securities during the period... 9,954,628
-----------
Net realized and unrealized gain on securities during the
period....................................................... 12,754,977
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.............. $12,694,534
-----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
February 29, 2000 August 31, 1999
---------------------------------
(audited)
<S> <C> <C>
OPERATIONS:
Net investment loss......................... $ (60,443) $ (37,277)
Net realized gain on securities............. 2,800,349 1,104,850
Net unrealized appreciation of securities
during the period........................... 9,954,628 1,658,506
---------------------------------
Increase in net assets resulting from
operations................................. 12,694,534 2,726,079
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... - -
Net realized gain on securities............. (1,294,227) (23,560)
---------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (1,294,227) (23,560)
---------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 7,287,261 8,757,239
Proceeds from shares issued for
distributions reinvested.................... 1,294,227 23,560
---------------------------------
8,581,488 8,780,799
Cost of shares repurchased.................. (1,540,570) (645,180)
---------------------------------
Increase in net assets resulting
from share transactions.................... 7,040,918 8,135,619
---------------------------------
TOTAL INCREASE IN NET ASSETS................ 18,441,225 10,838,138
NET ASSETS:
Beginning of year........................... 10,843,338 5,200
---------------------------------
End of period (including accumulated net
investment loss of $60,443 and $0).......... $29,284,563 $10,843,338
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 336,839 772,300
Shares issued for distributions reinvested.. 64,007 1,746
Shares repurchased.......................... (73,339) (45,032)
---------------------------------
Increase in shares outstanding............. 327,507 729,014
Shares outstanding:
Beginning of year.......................... 729,534 520
---------------------------------
End of period.............................. 1,057,041 729,534
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
20 February 29, 2000 (Unaudited)
INTERNATIONAL VALUE FUND
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 96.31%
AEROSPACE/DEFENSE - 0.95%
4,400 Bombardier, Inc., Class B............................. $ 89,137
4,800 British Aerospace, Plc. .............................. 23,699
-----------
112,836
-----------
AIRLINES - 0.16%
1,000 KLM-Konin Luchtvaart Mij NV........................... 18,721
-----------
APPAREL & PRODUCTS - 0.26%
700 Societe BIC, S.A. .................................... 30,713
-----------
AUTO - CARS - 2.76%
400 Daimlerchrysler AG.................................... 27,245
400 Fiat SpA.............................................. 12,229
2,670 Fiat SpA Private...................................... 45,465
2,528 * Hyundai Motor Co.(/1/)................................ 13,466
7,000 Mitsubishi Motors Corp. .............................. 22,238
13,000 Nissan Motor Co. ..................................... 49,110
450 Peugeot, S.A. ........................................ 93,214
4,000 Suzuki Motor Corp. ................................... 64,703
-----------
327,670
-----------
BANKS - OTHER - 5.46%
3,200 ABN Amro Holding NV................................... 87,365
2,000 Allied Irish Banks, Plc. ............................. 16,486
8,507 Aust & NZ Banking Group, Ltd. ........................ 52,304
1,500 Banco Bilboa Vizcaya.................................. 21,913
2,500 Bank of Nova Scotia................................... 48,493
522 Deutsche Bank AG...................................... 44,140
4,150 Foreningssparbanken AB................................ 52,544
12,200 Lloyds TSB Group, Plc. ............................... 112,960
3,000 Royal Bank of Scotland................................ 39,641
9,000 Sakura Bank, Ltd. .................................... 51,368
1,000 * Shinhan Bank.......................................... 19,097
172 UBS AG................................................ 41,804
9,373 Westpac Banking Corp. ................................ 59,872
-----------
647,987
-----------
BEVERAGE -
BREWERS/DISTRIBUTORS - 1.01%
700 Heineken Holding NV, Class A.......................... 22,959
900 Heineken NV........................................... 45,671
4,127 South African Breweries, Ltd. ........................ 31,909
2,600 South African Breweries, Plc. ........................ 19,866
-----------
120,405
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BEVERAGE - SOFT DRINKS - 0.44%
1,000 CIA Cervejaria Brahma, SP - ADR....................... $ 12,875
7,134 Coca-Cola Amatil, Ltd. ............................... 14,153
13,000 Coca-Cola Beverages, Plc. ............................ 24,730
-----------
51,758
-----------
BROADCASTING - 2.00%
600 Canal Plus............................................ 170,087
1,002 News Corp, Ltd. ...................................... 14,607
900 News Corp., Ltd. - ADR................................ 52,481
-----------
237,175
-----------
BUILDING MATERIALS - 1.90%
804 * Cemex, S.A. - ADR..................................... 17,186
350 Compagnie De Saint - Gobain........................... 48,930
3,528 CRH, Plc. ............................................ 61,440
45 Holderbank Financiere Glarus AG,
Class B............................................... 49,359
2,000 Thyssen Krupp AG...................................... 48,472
-----------
225,387
-----------
CHEMICAL - MAJOR - 0.90%
2,800 BOC Group, Plc. ...................................... 56,581
7,000 Mitsui Chemicals, Inc. ............................... 50,530
-----------
107,111
-----------
CHEMICAL - MISCELLANEOUS - 0.16%
6,000 Toray Industries, Inc. ............................... 19,116
-----------
CONGLOMERATES - 4.57%
9,109 Broken Hill Proprietary Co. .......................... 90,033
5,000 Hutchison Whampoa..................................... 78,378
100 LVMH.................................................. 37,297
511 Preussag AG........................................... 23,830
1,400 Siemens AG............................................ 251,258
51,000 Singapore Technology Engineering, Ltd. ............... 62,430
-----------
543,226
-----------
COSMETICS/TOILETRIES - 0.22%
1,000 Kao Corp. ............................................ 26,535
-----------
DRUGS - 4.58%
2,100 Astrazeneca, Plc. .................................... 67,698
200 Astrazeneca, Plc. - ADR............................... 6,625
2,724 Astrazeneca, Plc. (SEK)............................... 90,261
3,000 Chugai Pharmaceutical Co., Ltd. ...................... 45,879
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
DRUGS - Continued
1,821 DSM NV................................................ $ 60,025
65 Novartis AG........................................... 82,750
4 Roche Holdings AG..................................... 43,107
3,000 Sankyo Co. ........................................... 62,127
2,000 Shionogi & Co., Ltd. ................................. 28,583
1,000 Takeda Chemical Industries............................ 56,438
-----------
543,493
-----------
ELECTRIC PRODUCTS -
MISCELLANEOUS - 3.71%
2,400 ASM Lithography Holdings, NV.......................... 307,085
5,000 Hitachi, Ltd. ........................................ 68,226
8,000 Toshiba Corp. ........................................ 65,322
-----------
440,633
-----------
ELECTRICAL EQUIPMENT - 8.75%
700 Hirose Electric Co., Ltd. ............................ 93,733
19,000 Johnson Electric Holdings, Ltd. ...................... 125,116
1,000 Murata Manufacturing Co., Ltd. ....................... 190,433
7,000 NEC Corp. ............................................ 156,433
1,600 Sony Corp. ........................................... 473,351
-----------
1,039,066
-----------
ELECTRONIC EQUIPMENT - 1.49%
1,300 Hon Hai Precision Industry Co. ....................... 38,480
700 Mabuchi Motor Co., Ltd. .............................. 86,405
400 * Samsung Electronics(/1/).............................. 52,352
-----------
177,237
-----------
ELECTRONIC INSTRUMENTS - 2.22%
900 Advantest Corp. ...................................... 163,196
300 Keyence Corp. ........................................ 100,496
-----------
263,692
-----------
ENTERTAINMENT - 1.13%
500 Nintendo Co., Ltd. ................................... 109,189
10,000 Rank Group, Plc. ..................................... 24,943
-----------
134,132
-----------
FINANCE COMPANIES - 0.47%
510 3I Group.............................................. 9,069
3,600 Lend Lease Corp., Ltd. ............................... 47,318
-----------
56,387
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 21
INTERNATIONAL VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES - 1.45%
232 Aiful Corp. .......................................... $ 48,805
3,200 Clarica Life Insurance Co. ........................... 65,709
9,900 Credito Italiano...................................... 36,685
100 Shohkoh Fund & Co., Ltd. ............................. 20,664
-----------
171,863
-----------
FOODS - 1.69%
8,600 Cadbury Schweppes, Plc. .............................. 50,913
300 Groupe Danone......................................... 60,604
26 Nestle, S.A. ......................................... 43,836
4,900 Tate & Lyle, Plc. .................................... 19,707
9,234 Tesco, Plc. .......................................... 25,110
-----------
200,170
-----------
HOSPITAL SUPPLIES - 0.72%
2,200 Sanofi-synthelabo SA.................................. 85,119
-----------
HOUSEHOLD PRODUCTS - 0.18%
3,500 Unilever, Plc. ....................................... 21,439
-----------
INFORMATION PROCESSING -
COMPUTER HARDWARE - 1.89%
7,161 * Asustek Computer, Inc. ............................... 128,540
1,000 TDK Corp. ............................................ 95,672
-----------
224,212
-----------
INSURANCE - CASUALTY - 0.32%
9,000 Mitsui Marine & Fire.................................. 37,686
-----------
INSURANCE - MISCELLANEOUS - 0.37%
27 Schweizerische Rueckversicherungs..................... 43,403
-----------
INSURANCE - MULTILINE - 1.70%
1,650 AEGON, N.V. .......................................... 114,292
1,900 Assicurazioni Generali................................ 51,931
6,527 Royal & Sun Alliance Insurance Group.................. 35,421
-----------
201,644
-----------
LODGING - 0.15%
500 Accor, S.A. .......................................... 18,286
-----------
MACHINE TOOLS - 1.12%
3,000 THK Co., Ltd. ........................................ 132,447
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 1.34%
17,800 Invensys, Plc. ....................................... $ 81,774
14,000 Mitsubishi Heavy Industries, Ltd. .................... 38,360
7,400 TI Group, Plc. ....................................... 39,136
-----------
159,270
-----------
MEDICAL TECHNOLOGY - 0.36%
1,400 Degussa Ag............................................ 42,396
-----------
MERCHANDISING - DEPARTMENT - 0.18%
6,000 Mycal Corp. .......................................... 21,738
-----------
MERCHANDISING - MASS - 0.34%
9,761 Coles Myer, Ltd. ..................................... 40,887
-----------
METALS - ALUMINUM - 0.54%
1,100 Pechiney, S.A., Class A............................... 64,494
-----------
METALS - MISCELLANEOUS - 0.50%
3,400 INCO, Ltd. ........................................... 59,390
-----------
METALS - STEEL - 0.36%
1,700 * Pohang Iron & Steel Co., Ltd. - ADR................... 42,713
-----------
MISCELLANEOUS - 2.26%
200 Bouygues SA........................................... 167,378
1,727 Dixons Group, Plc. ................................... 37,032
1,200 Metallgesellschaft AG................................. 22,698
22 Societe Generale de Surveillance Holding, S.A. ....... 40,746
-----------
267,854
-----------
OIL - INTEGRATED
INTERNATIONAL - 1.10%
10,000 Eni, SpA.............................................. 46,730
1,000 Norsk Hydro ASA....................................... 37,253
6,800 Shell Transport & Trading Co. ........................ 46,805
-----------
130,788
-----------
OIL/GAS PRODUCERS - 0.40%
4,200 Enterprise Oil, Plc. ................................. 21,383
200 Total Fina, S.A. ..................................... 26,606
-----------
47,989
-----------
PAPER/FOREST PRODUCTS - 0.77%
3,300 UPM-Kymmene Oyj....................................... 91,951
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PHOTOGRAPHY - 1.42%
5,000 Nikon Corp. .......................................... $ 168,859
-----------
PUBLISHING - NEWS - 2.25%
5,400 Reuters Group, Plc. .................................. 120,543
3,000 Singapore Press Holdings, Ltd. ....................... 57,435
2,500 Thomson Corp. ........................................ 89,750
-----------
267,728
-----------
REAL ESTATE - 0.13%
2,000 Sekisui House, Ltd. .................................. 14,929
-----------
REAL ESTATE INVESTMENT TRUSTS - 0.15%
2,000 Sun Hung Kai Properties............................... 18,053
-----------
SEMICONDUCTOR EQUIPMENT - 2.57%
2,000 Tokyo Electron, Ltd. ................................. 304,947
-----------
SEMICONDUCTORS - 4.43%
1,000 Fujitsu, Ltd. ........................................ 33,226
1,400 STMicroelectronics, NV................................ 279,027
3,567 * Taiwan Semiconductor - ADR............................ 213,351
-----------
525,604
-----------
TELECOMMUNICATIONS - 11.74%
9,000 Cable & Wireless Optus, Ltd. ......................... 35,710
2,100 Cable & Wireless, Plc. ............................... 43,463
4,700 Colt TelecomGroup..................................... 269,045
900 Eircom, Plc. ......................................... 3,962
1,100 Ericsson LM, Class B.................................. 105,270
200 * Ericsson LMTEL Co. - ADR, Class B..................... 19,200
2,000 Nokia Oyj............................................. 400,545
10 NTT Mobile Communications............................. 403,259
100 PT Multimeda Servicos................................. 12,781
200 Telecel-Comunicacoes Pessoai.......................... 4,663
400 * Telecomunicacoes De sp - ADR.......................... 13,675
2,000 Telefonica S.A. ...................................... 57,760
1,000 Teleglobe............................................. 25,392
-----------
1,394,725
-----------
TOBACCO - 0.58%
30 CIE Financ Richemont - UTS, Class A................... 69,228
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
22 February 29, 2000 (Unaudited)
INTERNATIONAL VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
UTILITIES - COMMUNICATION - 11.66%
2,000 Deutsche Telekom AG................................... $ 168,152
5 NTT Corp. ............................................ 69,182
256 Swisscom AG........................................... 83,472
1,800 Telecom Italia, SpA................................... 31,713
11,900 Telecom Italia, SpA - Risp............................ 94,409
4,804 Telefonica, S.A. ..................................... 138,739
3,200 Telefonos de Mexico - ADR............................. 210,400
9,000 TIM, SpA - Risp....................................... 46,846
96,761 Vodafone Group, Plc. ................................. 542,285
-----------
1,385,198
-----------
WATER SERVICES - 0.50%
500 Vivendi (Ex-Gen Des Eaux)............................. 59,018
-----------
TOTAL COMMON STOCK
(Cost $7,090,660)..................................... 11,437,308
-----------
<CAPTION>
PAR
VALUE
---------
<C> <S> <C>
CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT - 4.11%
BANKS - OTHER - 4.11%
$488,000 State Street Bank Repurchase Agreement, 5.65%, dated
02/29/00, to be repurchased at $488,077 on 03/01/00,
collateralized by U.S. Treasury Note, 6.63%, 04/30/02,
with a par value of $490,000 (Cost $488,000).......... 488,000
-----------
TOTAL CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT
(Cost $488,000)....................................... 488,000
-----------
TOTAL INVESTMENTS
(Cost $7,578,660) - 100.42%........................... $11,925,308
-----------
*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 February 29,
2000, the aggregate value of these securities was $65,818, representing
0.55% of net assets.
FORWARD CURRENCY CONTRACTS
<TABLE>
- -------------------------------------------------------------------------
<CAPTION>
Unrealized
Settlement Face Market Appreciation
Long/Short Date Value Value (Depreciation)
- -------------------------------------------------------------------------
<S> <C> <C> <C> <C>
26,389 EUR / 34,048,000 KRW 03/31/2000 $ 27,839 $ 23,303 $ (4,536)
32,023 EUR / 1,092,080 TWD 03/31/2000 33,782 29,243 (4,539)
204,304 EUR / 21,695,770 JPY 04/18/2000 207,028 206,225 (803)
16,894 EUR / 24,380 CND 04/28/2000 16,901 16,490 (411)
28,790 EUR / 17,723 GBP 04/28/2000 28,801 28,801 -
53,800 EUR / 5,695,760 JPY 05/26/2000 54,752 54,493 (259)
46,099 EUR / 71,054 AUD 07/19/2000 46,693 48,062 1,369
55,000 USD / 5,919,650 JPY 08/28/2000 55,000 54,336 (664)
48,638 EUR / 5,273,670 JPY 08/28/2000 48,400 46,455 (1,945)
109,750 EUR / 11,401,920 JPY 02/20/2001 108,224 106,484 (1,740)
19,829 CND / 29,500 EUR 03/07/2000 19,853 18,716 (1,137)
31,009 EUR / 48,517 CND 03/23/2000 32,448 29,048 (3,400)
--------------------------------
$679,721 $661,656 $(18,065)
--------------------------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $7,578,660)........................... $11,925,308
Receivable for:
Investments sold.................................................. 36,965
Fund shares sold.................................................. 24,286
Dividends and interest............................................ 2,612
Other assets....................................................... 1,175,356
-----------
TOTAL ASSETS....................................................... 13,164,527
-----------
LIABILITIES:
Payable for investments purchased.................................. 92,746
Payable to affiliates:
Advisory fees..................................................... 1,686
Administrative fees............................................... 2,248
Accounting services............................................... 269
Other............................................................. 6,369
Accrued expenses and other liabilities............................. 1,185,503
-----------
TOTAL LIABILITIES.................................................. 1,288,821
-----------
NET ASSETS......................................................... $11,875,706
-----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized,
647,677 shares outstanding.......................................... $ 6,477
Additional paid in capital.......................................... 7,253,554
Undistributed net realized gain on securities....................... 370,697
Accumulated net investment loss..................................... (83,613)
Unrealized appreciation/depreciation of:
Investments............................................ $ 4,346,648
Foreign currency translation........................... 8
Forward currency contracts translation................. (18,065) 4,328,591
----------- -----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................... $11,875,706
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
INTERNATIONAL VALUE FUND (Unaudited) - CONTINUED 23
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 2000
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes of $2,431)............. $ 23,726
Interest........................................................... 8,776
----------
Total investment income........................................... 32,502
----------
EXPENSES:
Advisory fees...................................................... 49,480
Custodian fees..................................................... 13,301
Administrative service fee......................................... 12,328
Report to shareholders............................................. 6,911
Audit fees and tax services........................................ 5,855
Legal fees......................................................... 3,120
Trustees' fees and expenses........................................ 1,780
Accounting services................................................ 1,479
Pricing services................................................... 675
Registration and filing fees....................................... 632
Miscellaneous...................................................... 1,128
----------
Total expenses................................................... 96,689
Expense reimbursement (see Note 3)............................... (45,304)
----------
Net expenses..................................................... 51,385
----------
NET INVESTMENT LOSS................................................ (18,883)
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FORWARD
CURRENCY CONTRACTS:
Net realized gain (loss) on:
Investments............................................ $ 560,501
Foreign currency transactions.......................... (6,790) 553,711
----------
Net unrealized appreciation (depreciation) during the period:
Investments............................................ 2,194,567
Foreign currency translation........................... 493
Forward currency contracts translation................. (7,951) 2,187,109
---------- ----------
Net realized and unrealized gain on securities and
foreign currencies during the period............................. 2,740,820
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................... $2,721,937
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
February 29, 2000 August 31, 1999
----------------------------------
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ (18,883) $ 44,133
Net realized gain on securities and foreign
currency transactions........................ 553,711 314,836
Net unrealized appreciation of securities,
foreign currencies
and forward currency contracts during the
period....................................... 2,187,109 2,141,482
----------------------------------
Increase in net assets resulting from
operations.................................. 2,721,937 2,500,451
----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................ (100,863) (8,000)
Net realized gain on securities.............. (497,850) -
----------------------------------
Decrease in net assets resulting from
distributions to shareholders............... (598,713) (8,000)
----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold.................... 1,670,910 6,221,423
Proceeds from shares issued for distributions
reinvested................................... 598,713 8,000
----------------------------------
2,269,623 6,229,423
Cost of shares repurchased................... (665,757) (578,058)
----------------------------------
Increase in net assets resulting
from share transactions..................... 1,603,866 5,651,365
----------------------------------
TOTAL INCREASE IN NET ASSETS................. 3,727,090 8,143,816
NET ASSETS:
Beginning of year............................ 8,148,616 4,800
----------------------------------
End of period (including undistributed net
investment income of ($83,613) and $36,133).. $11,875,706 $8,148,616
----------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold.................................. 98,890 593,951
Shares issued for distributions reinvested... 32,844 704
Shares repurchased........................... (37,813) (41,379)
----------------------------------
Increase in shares outstanding.............. 93,921 553,276
Shares outstanding:
Beginning of year........................... 553,756 480
----------------------------------
End of period............................... 647,677 553,756
----------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
24 February 29, 2000 (Unaudited)
LARGE CAP VALUE FUND
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 95.17%
AEROSPACE/DEFENSE - 4.01%
3,300 Boeing Co. ........................................... $ 121,688
400 Honeywell International, Inc. ........................ 19,250
1,800 Northrop Grumman Corp. ............................... 81,788
2,000 * SCI Systems, Inc. .................................... 80,500
1,000 United Technologies Corp. ............................ 50,938
-----------
354,164
-----------
AUTO - CARS - 2.12%
3,000 Ford Motor Co. ....................................... 124,870
600 General Motors Corp. ................................. 45,638
1,200 Meritor Automotive, Inc. ............................. 16,800
-----------
187,308
-----------
AUTO - ORIGINAL EQUIPMENT - 0.46%
3,000 FEDERAL-Mogul Corp. .................................. 40,875
-----------
BANKS - NEW YORK CITY - 3.89%
6,650 Citigroup, Inc. ...................................... 343,722
-----------
BANKS - OTHER - 4.37%
2,200 Bank of America Corp. ................................ 101,338
400 First Union Corp. .................................... 11,800
4,400 FleetBoston Financial Corp. .......................... 119,900
800 Hudson United Bancorp................................. 16,149
2,500 Unionbancal Corp. .................................... 80,310
1,700 Wells Fargo Co. ...................................... 56,206
-----------
385,703
-----------
BANKS - REGIONAL - 4.30%
544 BankOne Corp. ........................................ 14,042
2,500 Chase Manhattan Corp. ................................ 199,063
700 Comerica, Inc. ....................................... 25,856
1,400 Pacific Century Financial Corp. ...................... 21,263
2,500 PNC Bank Corp. ....................................... 96,719
1,000 SouthTrust Corp. ..................................... 22,938
-----------
379,881
-----------
BROADCASTING - 1.04%
800 * Media One Group, Inc. ................................ 62,800
400 U.S. WEST, Inc. ...................................... 29,050
-----------
91,850
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CHEMICAL - MAJOR - 0.97%
400 Dow Chemical Co. ..................................... $ 43,400
833 E.I. du Pont de Nemours and Co. ...................... 42,066
-----------
85,466
-----------
CHEMICAL - MISCELLANEOUS - 0.38%
700 * FMC Corp. ............................................ 33,819
-----------
CONGLOMERATES - 0.96%
1,900 Loews Corp. .......................................... 84,550
-----------
CONTAINERS - PAPER - 0.52%
900 Temple-Inland, Inc. .................................. 46,013
-----------
DRUGS - 1.54%
1,000 Bristol Myers Squibb Co. ............................. 56,813
900 Merck & Co., Inc. .................................... 55,406
500 Pharmacia & Upjohn, Inc. ............................. 23,813
-----------
136,032
-----------
ENTERTAINMENT - 1.78%
4,700 Walt Disney Co. ...................................... 157,450
-----------
FOODS - 0.65%
4,600 IBP, Inc. ............................................ 57,500
-----------
GOVERNMENT SPONSORED - 1.45%
400 Federal Home Loan Mortgage Corp. ..................... 16,700
2,100 Federal National Mortgage Association................. 111,300
-----------
128,000
-----------
HEALTHCARE - 2.80%
1,600 * PacifiCare Health Systems, Inc., Class A.............. 72,700
1,600 * Trigon Healthcare, Inc. .............................. 51,100
700 * United HealthCare Corp. .............................. 35,788
1,300 * Wellpoint Health Networks, Inc. ...................... 87,750
-----------
247,338
-----------
HEAVY DUTY TRUCKS/PARTS - 0.45%
1,200 Cummins Engine Co., Inc. ............................. 39,975
-----------
HOUSEHOLD PRODUCTS - 0.20%
200 Minnesota Mining & Manufacturing Co. ................. 17,625
-----------
HUMAN RESOURCES - 0.30%
800 Manpower, Inc. ....................................... 26,150
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
COMPUTER HARDWARE - 1.30%
1,000 * Apple Computer, Inc. ................................. $ 114,625
-----------
INFORMATION PROCESSING -
DATA SERVICES - 1.49%
600 Hewlett Packard Co. .................................. 80,700
500 International Business Machines....................... 51,000
-----------
131,700
-----------
INSURANCE - LIFE - 0.58%
1,700 AXA Financial, Inc. .................................. 50,894
-----------
INSURANCE - MISCELLANEOUS - 3.24%
1,900 Ambac Financial Group, Inc. .......................... 83,481
1,800 MGIC Investment Corp. ................................ 67,275
2,100 PMI Group, Inc. ...................................... 76,256
1,700 Radian Group, Inc. ................................... 58,969
-----------
285,981
-----------
INSURANCE - MULTILINE - 2.25%
1,500 American International Group, Inc. ................... 132,656
900 CIGNA Corp. .......................................... 66,431
-----------
199,087
-----------
LEISURE TIME - 1.45%
5,200 Brunswick Corp. ...................................... 91,975
900 Sabre Holdings Corp. ................................. 36,113
-----------
128,088
-----------
MACHINERY -
INDUSTRIAL/SPECIALTY - 2.07%
1,500 Dover Corp. .......................................... 57,844
1,600 Johnson Controls, Inc. ............................... 85,400
1,400 Tidewater, Inc. ...................................... 39,638
-----------
182,882
-----------
MERCHANDISE - SPECIALTY - 2.16%
700 Circuit City Stores, Inc. ............................ 28,263
1,600 * Costco Wholesale Corp. ............................... 79,400
1,300 Tiffany & Co. ........................................ 83,444
-----------
191,107
-----------
MERCHANDISING - DEPARTMENT - 1.20%
2,900 * Federated Department Stores, Inc. .................... 106,394
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 25
LARGE CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
METALS - ALUMINUM - 0.54%
700 Alcoa, Inc. .......................................... $ 47,950
-----------
METALS - STEEL - 0.50%
2,000 USX - US Steel Group, Inc. ........................... 43,750
-----------
NATURAL GAS - DIVERSIFIED - 0.35%
2,200 Questar Corp. ........................................ 30,663
-----------
OIL - INTEGRATED DOMESTIC - 0.81%
900 Amerada Hess Corp. ................................... 45,506
3,000 Pennzoil-Quaker State Co. ............................ 26,250
-----------
71,756
-----------
OIL - INTEGRATED INTERNATIONAL - 5.44%
600 Chevron Corp. ........................................ 44,813
5,720 Exxon Mobil Corp. .................................... 430,787
100 Texaco, Inc. ......................................... 4,744
-----------
480,344
-----------
OIL - SERVICE - PRODUCTS - 1.22%
1,000 * BJ Services Co. ...................................... 57,062
4,700 * Ocean Energy, Inc. ................................... 50,231
-----------
107,293
-----------
OIL - SERVICES - 0.90%
1,400 Devon Energy Corp. ................................... 52,150
900 ENSCO International, Inc. ............................ 27,225
-----------
79,375
-----------
OIL/GAS PRODUCERS - 0.79%
400 Apache Corp. ......................................... 14,600
3,600 * Pioneer Natural Resources Corp. ...................... 29,925
1,000 Valero Energy Corp. .................................. 25,500
-----------
70,025
-----------
PAPER/FOREST PRODUCTS - 1.67%
1,500 Boise Cascade Corp. .................................. 44,719
1,500 Georgia-Pacific Corp. ................................ 52,031
400 Weyerhaeuser Co. ..................................... 20,525
900 Willamette Industries, Inc. .......................... 30,544
-----------
147,819
-----------
PHOTOGRAPHY - 0.39%
600 Eastman Kodak Co. .................................... 34,388
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PUBLISHING - NEWS - 2.19%
1,000 Knight-Ridder, Inc. .................................. $ 46,875
1,300 New York Times Co., Class A........................... 54,925
1,300 Reader's Digest Association, Inc., Class A............ 44,688
1,200 Tribune Co. .......................................... 46,725
-----------
193,213
-----------
PUBLISHING/PRINTING - 0.40%
700 McGraw-Hill, Inc. .................................... 35,613
-----------
RAILROAD - 1.12%
2,700 Burlington Northern Santa Fe Corp. ................... 53,156
1,200 Union Pacific Corp. .................................. 45,600
-----------
98,756
-----------
RESTAURANTS - 1.06%
3,400 * Tricon Global Restaurants, Inc. ...................... 93,188
-----------
SAVINGS & LOAN - 0.86%
2,965 Charter One Financial, Inc. .......................... 46,699
2,300 * Golden State Bancorp, Inc. ........................... 29,613
-----------
76,312
-----------
SECURITIES RELATED - 4.25%
1,600 A.G. Edwards, Inc. ................................... 50,700
800 Lehman Brothers Holdings, Inc. ....................... 58,000
700 Merrill Lynch & Co., Inc. ............................ 71,750
2,000 Morgan Stanley Dean Witter & Co. ..................... 140,875
1,400 Paine Webber Group, Inc. ............................. 53,550
-----------
374,875
-----------
SEMICONDUCTOR EQUIPMENT - 1.07%
1,600 * Novellus Systems, Inc. ............................... 94,900
-----------
SEMICONDUCTORS - 3.49%
1,400 * LSI Logic Corp. ...................................... 89,687
800 Motorola, Inc. ....................................... 136,400
200 * SDL, Inc. ............................................ 82,000
-----------
308,087
-----------
TELECOMMUNICATIONS - 4.90%
6,048 AT&T Corp. ........................................... 298,998
900 * AT&T Corp. - Liberty Media Group...................... 47,025
1,950 * MCI Worldcom, Inc. ................................... 87,019
-----------
433,042
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TEXTILE - PRODUCTS - 0.95%
6,600 Shaw Industries, Inc. ................................. $ 83,738
-----------
TOBACCO - 0.45%
2,000 Philip Morris Companies, Inc. ......................... 40,125
-----------
TRUCKERS - 0.54%
1,500 CNF Transportation, Inc. .............................. 48,094
-----------
UTILITIES - COMMUNICATION - 8.37%
3,200 Bell Atlantic Corp. ................................... 156,600
4,500 BellSouth Corp. ....................................... 183,375
1,500 GTE Corp. ............................................. 88,500
5,763 SBC Communications, Inc. .............................. 218,994
1,500 Sprint Corp. FON Group................................. 91,500
-----------
738,969
-----------
UTILITIES - ELECTRIC - 3.94%
1,000 Ameren Corp. .......................................... 30,000
1,100 Duke Energy Corp. ..................................... 53,350
2,300 FirstEnergy Corp. ..................................... 42,980
1,300 GPU, Inc. ............................................. 32,337
2,700 PG&E Corp. ............................................ 49,500
2,200 PPL Corp. ............................................. 44,274
1,600 Public Service Enterprise Group, Inc. ................. 46,400
2,400 Reliant Energy, Inc. .................................. 49,350
-----------
348,191
-----------
UTILITIES - GAS, DISTRIBUTION - 0.56%
1,800 Tosco Corp. ........................................... 48,150
-----------
UTILITIES - GAS, PIPELINE - 0.48%
600 Enron Corp. ........................................... 41,400
-----------
TOTAL COMMON STOCK
(Cost $8,714,495)...................................... 8,404,195
-----------
TOTAL INVESTMENTS
(Cost $8,714,495) - 95.17%............................. $ 8,404,195
-----------
*Non-income producing
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
26 February 29, 2000 (Unaudited)
LARGE CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
<S> <C>
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $8,714,495).......................... $ 8,404,195
Receivable for:
Investments sold................................................. 339,957
Fund shares sold................................................. 366,422
Dividends and interest........................................... 14,906
Other assets...................................................... 92,872
-----------
TOTAL ASSETS...................................................... 9,218,352
-----------
LIABILITIES:
Payable for:
Investments purchased............................................ 349,260
Fund shares redeemed............................................. 188
Payable to affiliates:
Advisory fees.................................................... 1,185
Administrative fees.............................................. 3,598
Accounting services.............................................. 431
Other............................................................ 10,902
Accrued expenses and other liabilities............................ 22,297
-----------
TOTAL LIABILITIES................................................. 387,861
-----------
NET ASSETS........................................................ $ 8,830,491
-----------
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized,
887,849 shares outstanding........................................ $ 8,878
Additional paid in capital........................................ 9,439,663
Accumulated net realized loss on securities....................... (308,737)
Undistributed net investment income............................... 987
Unrealized depreciation of securities............................. (310,300)
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $ 8,830,491
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
LARGE CAP VALUE FUND (Unaudited) - CONTINUED 27
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 2000
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends....................................................... $ 84,722
Interest........................................................ 2,274
---------
Total investment income........................................ 86,996
---------
EXPENSES:
Advisory fees................................................... 20,567
Custodian fees.................................................. 11,385
Administrative service fee...................................... 10,283
Report to shareholders.......................................... 6,738
Audit fees and tax services..................................... 4,739
Legal fees...................................................... 2,838
Trustees' fees and expenses..................................... 1,520
Accounting services............................................. 1,234
Registration and filing fees.................................... 1,045
Pricing services................................................ 586
Miscellaneous................................................... 939
---------
Total expenses................................................. 61,874
Expense reimbursement (see Note 3)............................. (28,584)
---------
Net expenses................................................... 33,290
---------
NET INVESTMENT INCOME........................................... 53,706
---------
REALIZED AND UNREALIZED LOSS ON SECURITIES:
Net realized loss on securities................................. (61,749)
Net unrealized depreciation of securities during the
period.......................................................... (740,397)
---------
Net realized and unrealized loss on securities during the
period......................................................... (802,146)
---------
DECREASE IN NET ASSETS RESULTING FROM OPERATIONS................ $(748,440)
---------
</TABLE>
STATEMENT OF CHANGE IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
February 29, 2000 August 31, 1999
----------------------------------
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income........................ $ 53,706 $ 75,213
Net realized gain (loss) on securities....... (61,749) 1,019,748
Net unrealized appreciation (depreciation) of
securities
during the period............................ (740,397) 430,097
----------------------------------
Increase (decrease) in net assets resulting
from operations............................. (748,440) 1,525,058
----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................ (53,731) (74,349)
Net realized gain on securities.............. (1,266,736) -
----------------------------------
Decrease in net assets resulting from
distributions to shareholders............... (1,320,467) (74,349)
----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold.................... 1,903,170 7,688,588
Proceeds from shares issued for distributions
reinvested................................... 1,320,467 74,349
----------------------------------
3,223,637 7,762,937
Cost of shares repurchased................... (180,634) (1,361,118)
----------------------------------
Increase in net assets resulting
from share transactions..................... 3,043,003 6,401,819
----------------------------------
TOTAL INCREASE IN NET ASSETS................. 974,096 7,852,528
NET ASSETS:
Beginning of year............................ 7,856,395 3,867
----------------------------------
End of period (including undistributed net
investment income of $987 and $1,012)........ $8,830,491 $7,856,395
----------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold.................................. 170,441 705,711
Shares issued for distributions reinvested... 122,113 5,876
Shares repurchased........................... (16,080) (100,599)
----------------------------------
Increase in shares outstanding.............. 276,474 610,988
Shares outstanding:
Beginning of year........................... 611,375 387
----------------------------------
End of period............................... 887,849 611,375
----------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
28 February 29, 2000 (Unaudited)
MID CAP VALUE FUND
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 94.48%
AEROSPACE/DEFENSE - 2.05%
5,200 General Dynamics Corp. ............................... $ 224,900
-----------
AIRLINES - 0.86%
3,000 * Continental Airlines, Inc., Class B................... 94,875
-----------
APPLIANCES/FURNISHINGS - 1.30%
5,400 Maytag Corp. ......................................... 142,763
-----------
AUTO - CARS - 2.19%
2,000 * General Motors Corp., Class H......................... 241,000
-----------
AUTO - ORIGINAL EQUIPMENT - 1.92%
1,600 Danaher Corp. ........................................ 65,300
6,900 * Lear Corp. ........................................... 145,763
-----------
211,063
-----------
AUTO - REPLACEMENT PARTS - 1.90%
2,400 * SPX Corp. ............................................ 208,950
-----------
BANKS - NEW YORK CITY - 0.47%
1,000 Citigroup, Inc. ...................................... 51,688
-----------
BANKS - OTHER - 0.87%
3,500 FleetBoston Financial Corp. .......................... 95,375
-----------
BANKS - REGIONAL - 0.77%
3,650 Valley National Bancorp............................... 84,633
-----------
BROADCASTING - 1.32%
11,300 A.H. Belo Corp. ...................................... 145,488
-----------
CHEMICAL - MISCELLANEOUS - 2.81%
2,900 Lyondell Chemical Co. ................................ 24,831
5,200 Praxair, Inc. ........................................ 175,500
10,700 * W.R. Grace & Co. ..................................... 107,669
-----------
308,000
-----------
CONTAINERS - PAPER - 0.77%
1,700 * Sealed Air Corp. ..................................... 84,469
-----------
DRUGS - 3.33%
2,600 Bristol Myers Squibb Co. ............................. 147,712
3,800 * Genzyme Corp. ........................................ 218,263
-----------
365,975
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 1.44%
3,000 * ANTEC Corp. .......................................... $ 158,813
-----------
ELECTRONIC EQUIPMENT - 3.32%
4,900 * Cabletron Systems, Inc. .............................. 240,100
2,000 * UCAR International, Inc. ............................. 30,500
2,200 W.W. Grainger, Inc. .................................. 94,188
-----------
364,788
-----------
ELECTRONIC INSTRUMENTS - 2.81%
1,300 * Metromedia Fiber Network, Inc. ....................... 93,458
2,200 * Waters Corp. ......................................... 215,738
-----------
309,196
-----------
FINANCE COMPANIES - 1.43%
5,500 Finova Group, Inc. ................................... 157,438
-----------
FINANCIAL SERVICES - 1.09%
4,800 Countrywide Credit Industries, Inc. .................. 119,700
-----------
GOVERNMENT SPONSORED - 1.08%
3,800 SLM Holding Corp. .................................... 118,988
-----------
HEALTHCARE - 1.90%
3,100 * Wellpoint Health Networks, Inc. ...................... 209,250
-----------
HEAVY DUTY TRUCKS/PARTS - 0.68%
1,000 Eaton Corp. .......................................... 74,938
-----------
HOSPITAL SUPPLIES - 1.55%
5,500 Becton, Dickinson and Co. ............................ 170,844
-----------
INFORMATION PROCESSING - 2.26%
8,200 * Parametric Technology Corp. .......................... 248,563
-----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 3.16%
8,100 * Ceridian Corp. ....................................... 160,480
6,200 * SunGard Data Systems, Inc. ........................... 186,000
-----------
346,480
-----------
INFORMATION PROCESSING -
DATA SERVICES - 4.40%
6,500 Comdisco, Inc. ....................................... 249,843
150 * Network Solutions, Inc. .............................. 48,366
3,100 * Novell, Inc. ......................................... 102,494
1,800 * PsiNet, Inc. ......................................... 83,474
-----------
484,177
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INSURANCE - MISCELLANEOUS - 2.57%
9,400 Ace, Ltd. ............................................ $ 168,024
2,600 Ambac Financial Group, Inc. .......................... 114,238
-----------
282,262
-----------
INSURANCE - MULTILINE - 1.91%
5,200 Aon Corp. ............................................ 108,875
2,500 XL Capital, Ltd. ..................................... 101,093
-----------
209,968
-----------
LODGING - 1.49%
7,300 Starwood Hotels & Resorts
Worldwide, Inc. ...................................... 163,794
-----------
MACHINERY -
INDUSTRIAL/SPECIALTY - 0.76%
2,400 * American Standard Companies, Inc. .................... 83,700
-----------
MERCHANDISE - SPECIALTY - 1.08%
10,600 * Consolidated Stores Corp. ............................ 119,250
-----------
METALS - ALUMINUM - 1.10%
1,900 Reynolds Metals Co. .................................. 120,650
-----------
METALS - COPPER - 0.47%
1,100 Phelps Dodge Corp. ................................... 51,837
-----------
METALS - MISCELLANEOUS - 0.74%
6,000 Engelhard Corp. ...................................... 81,750
-----------
MULTIMEDIA - 1.81%
10,000 * Cadence Design Systems, Inc. ......................... 199,375
-----------
NATURAL GAS - DIVERSIFIED - 2.81%
4,900 Coastal Corp. ........................................ 206,106
3,700 Kinder Morgan, Inc. .................................. 103,138
-----------
309,244
-----------
OIL - INTEGRATED DOMESTIC - 1.46%
7,400 USX-Marathon Group.................................... 160,025
-----------
OIL - SERVICE - PRODUCTS - 3.38%
4,937 Dynegy, Inc. ......................................... 231,422
3,900 * Noble Drilling Corp. ................................. 140,400
-----------
371,822
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 29
MID CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
OIL/GAS PRODUCERS - 4.20%
4,200 Anadarko Petroleum Corp. ............................. $ 129,150
3,800 Apache Corp. ......................................... 138,700
4,900 Transocean Sedco Forex, Inc. ......................... 193,243
-----------
461,093
-----------
PAPER/FOREST PRODUCTS - 3.47%
3,400 Bowater, Inc. ........................................ 167,238
6,300 Fort James Corp. ..................................... 118,519
6,900 * Smurfit-Stone Container Corp. ........................ 94,012
-----------
379,769
-----------
PUBLISHING - NEWS - 2.72%
3,800 News Corp., Ltd. - ADR................................ 191,188
2,500 Scripps Co. .......................................... 107,813
-----------
299,001
-----------
PUBLISHING/PRINTING - 2.02%
4,000 Dun & Bradstreet Corp. ............................... 104,750
3,400 Harcourt General, Inc. ............................... 117,088
-----------
221,838
-----------
RAILROAD - 0.79%
1,100 Kansas City Southern Industries, Inc. ................ 86,625
-----------
REAL ESTATE INVESTMENT TRUSTS - 1.44%
12,500 Indymac Mortgage Holdings, Inc. ...................... 158,594
-----------
SEMICONDUCTORS - 1.78%
2,600 * National Semiconductor Corp. ......................... 195,324
-----------
TELECOMMUNICATIONS - 7.58%
5,700 * American Tower Corp., Class A......................... 280,724
2,600 * AT&T Corp. ........................................... 135,850
1,300 * EchoStar Communications
Corp., Class A........................................ 148,200
3,600 * Global Crossing, Ltd. ................................ 167,850
1,300 * WinStar Communications, Inc. ......................... 100,587
-----------
833,211
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
UTILITIES - ELECTRIC - 2.72%
700 * AES Corp. .......................................... $ 58,669
2,500 Cinergy Corp. ...................................... 53,438
2,700 * Niagara Mohawk Holdings, Inc. ...................... 31,725
4,100 Unicom Corp. ....................................... 155,030
-----------
298,862
-----------
UTILITIES - GAS, DISTRIBUTION - 0.90%
3,700 Tosco Corp. ........................................ 98,975
-----------
UTILITIES - GAS, PIPELINE - 1.60%
4,200 Williams Companies, Inc. ........................... 175,613
-----------
TOTAL COMMON STOCK
(Cost $10,129,740).................................. 10,384,936
-----------
<CAPTION>
PAR
VALUE
---------
<C> <S> <C>
CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT - 6.54%
BANKS - OTHER - 6.54%
$719,000 State Street Bank Repurchase Agreement, 5.65%, dated
02/29/00, to be repurchased at $719,113 on 03/01/00,
collateralized by U.S. Treasury Note, 6.63%,
04/30/02, with a par value of $720,000 (Cost
$719,000)........................................... 719,000
-----------
TOTAL CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT
(Cost $719,000)..................................... 719,000
-----------
TOTAL INVESTMENTS
(Cost $10,848,740) - 101.02%........................ $11,103,936
-----------
*Non-income producing
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $10,848,740).......................... $11,103,936
Receivable for:
Investments sold.................................................. 243,361
Fund shares sold.................................................. 24,725
Dividends and interest............................................ 9,577
Other assets....................................................... 1,619
-----------
TOTAL ASSETS....................................................... 11,383,218
-----------
LIABILITIES:
Payable for:
Investments purchased............................................. 331,071
Fund shares redeemed.............................................. 16,529
Payable to affiliates:
Advisory fees..................................................... 2,402
Administrative fees............................................... 4,585
Accounting services............................................... 550
Other............................................................. 13,415
Accrued expenses and other liabilities............................. 23,080
-----------
TOTAL LIABILITIES.................................................. 391,632
-----------
NET ASSETS......................................................... $10,991,586
-----------
- -------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized,
975,576 shares outstanding......................................... $ 9,756
Additional paid in capital......................................... 10,667,159
Undistributed net realized gain on securities...................... 58,246
Undistributed net investment income................................ 1,229
Unrealized appreciation of securities.............................. 255,196
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $10,991,586
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
30 MID CAP VALUE FUND (Unaudited) - CONTINUED
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 2000
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends............................................................. $ 56,627
Interest.............................................................. 14,910
--------
Total investment income.............................................. 71,537
--------
EXPENSES:
Advisory fees......................................................... 36,563
Custodian fees........................................................ 13,596
Administrative service fee............................................ 12,188
Report to shareholders................................................ 7,795
Audit fees and tax services........................................... 5,697
Legal fees............................................................ 3,314
Trustees' fees and expenses........................................... 1,766
Accounting services................................................... 1,463
Pricing services...................................................... 687
Registration and filing fees.......................................... 526
Miscellaneous......................................................... 869
--------
Total expenses....................................................... 84,464
Expense reimbursement (see Note 3)................................... (33,428)
--------
Net expenses......................................................... 51,036
--------
NET INVESTMENT INCOME................................................. 20,501
--------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities....................................... 71,872
Net unrealized appreciation of securities during the period........... 687,562
--------
Net realized and unrealized gain on securities during the period..... 759,434
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................... $779,935
--------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
February 29, 2000 August 31, 1999
---------------------------------
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income....................... $ 20,501 $ 53,719
Net realized gain on securities............. 71,872 2,554,226
Net unrealized appreciation (depreciation)
of securities
during the period........................... 687,562 (432,366)
---------------------------------
Increase in net assets resulting from
operations................................. 779,935 2,175,579
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ...................... (21,780) (51,583)
Net realized gain on securities ............ (2,428,048) (139,804)
---------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (2,449,828) (191,387)
---------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 1,779,334 7,528,054
Proceeds from shares issued for
distributions reinvested.................... 2,449,828 191,387
---------------------------------
4,229,162 7,719,441
Cost of shares repurchased.................. (606,673) (669,910)
---------------------------------
Increase in net assets resulting
from share transactions.................... 3,622,489 7,049,531
---------------------------------
TOTAL INCREASE IN NET ASSETS................ 1,952,596 9,033,723
NET ASSETS:
Beginning of year........................... 9,038,990 5,267
---------------------------------
End of period (including undistributed net
investment income of $1,229 and $2,508)..... $10,991,586 $9,038,990
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 141,857 684,711
Shares issued for distributions reinvested.. 225,924 15,395
Shares repurchased.......................... (46,197) (46,641)
---------------------------------
Increase in shares outstanding ............ 321,584 653,465
Shares outstanding:
Beginning of year.......................... 653,992 527
---------------------------------
End of period.............................. 975,576 653,992
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited)SMALL CAP VALUE FUND 31
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 83.96%
ADVERTISING - 0.05%
100 True North Communications, Inc. ...................... $ 3,700
2 * Zap.com Corp. ........................................ 18
-----------
3,718
-----------
AEROSPACE/DEFENSE - 0.46%
100 * Aviall, Inc. ......................................... 819
24 B.F. Goodrich Co. .................................... 575
200 * Fairchild Corp., Class A.............................. 1,225
300 Gencorp, Inc. ........................................ 2,344
100 * Kellstrom Industries, Inc. ........................... 694
100 * Orbital Sciences Corp. ............................... 1,750
200 Perkinelmer, Inc. .................................... 12,924
100 Primex Technologies, Inc. ............................ 2,100
200 * Remec, Inc. .......................................... 7,375
100 * Sequa Corp., Class A.................................. 3,705
-----------
33,511
-----------
AIRLINES - 0.26%
100 * Airtran Holdings, Inc. ............................... 409
200 * Alaska Air Group, Inc. ............................... 5,300
300 * American West Holdings Corp., Class B................. 4,013
100 Circle International Group, Inc. ..................... 2,444
100 * Frontier Airlines, Inc. .............................. 1,113
300 * Mesa Airlines, Inc. .................................. 1,781
100 * Midwest Express Holdings, Inc. ....................... 2,580
500 * Transport World Airlines, Inc. ....................... 1,219
-----------
18,859
-----------
APPAREL & PRODUCTS - 0.36%
200 Brown Shoe Co., Inc. ................................. 2,100
100 Cato Corp., Class A................................... 1,000
100 * Donna Karan International, Inc. ...................... 719
100 * Dress Barn, Inc. ..................................... 1,450
100 * Footstar, Inc. ....................................... 2,469
100 * Goodys Family Clothing, Inc. ......................... 700
200 * Gymboree Corp. ....................................... 938
100 * Jo-ann Stores, Inc. .................................. 900
200 Kellwood Co. ......................................... 3,374
200 * Nautica Enterprises, Inc. ............................ 2,113
100 Oxford Industries, Inc. .............................. 1,662
200 Phillips-Van Heusen Corp. ............................ 1,388
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
APPAREL & PRODUCTS - Continued
100 Talbots, Inc. ........................................ $ 3,618
100 UniFirst Corp. ....................................... 1,006
100 * United Retail Group, Inc. ............................ 1,256
100 * Value City Department Stores, Inc. ................... 1,319
-----------
26,012
-----------
APPLIANCES/FURNISHINGS - 0.48%
100 Bassett Furniture Industries.......................... 1,350
100 * Furniture Brands International, Inc. ................. 1,606
300 * Griffon Corp. ........................................ 2,513
100 Haverty Furniture Companies, Inc. .................... 1,081
500 Heilig-Meyers Co. .................................... 1,625
400 Hussmann International, Inc. ......................... 5,774
300 Kimball International, Inc., Class B.................. 4,556
300 La-Z-Boy Chair Co. ................................... 4,988
400 * Metromedia International Group, Inc. ................. 2,750
100 National Presto Industries, Inc. ..................... 3,163
700 * Sunbeam Corp. ........................................ 2,887
200 * Windmere Corp. ....................................... 3,000
-----------
35,293
-----------
AUTO - CARS - 0.08%
200 * Avis Rent A Car, Inc. ................................ 2,913
200 * Budget Group, Inc. ................................... 1,175
200 * United Auto Group, Inc. .............................. 1,675
-----------
5,763
-----------
AUTO - ORIGINAL EQUIPMENT - 0.42%
200 * Allen Telecom, Inc. .................................. 2,750
200 Arvin Industries, Inc. ............................... 3,675
200 Donaldson Co., Inc. .................................. 4,550
400 Mark IV Industries, Inc. ............................. 8,000
200 * Miller Industries, Inc. .............................. 738
100 Modine Manufacturing Co. ............................. 2,280
200 Superior Industries International, Inc. .............. 4,775
300 * Tower Automotive, Inc. ............................... 3,563
-----------
30,331
-----------
AUTO - REPLACEMENT PARTS - 0.30%
200 * Aftermarket Technology Corp. ......................... 2,350
500 * Collins & Aikman Corp. ............................... 2,531
100 * Discount Auto Parts, Inc. ............................ 1,088
100 * Dura Automotive Systems, Inc. ........................ 1,305
100 Gentek, Inc. ......................................... 1,350
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
AUTO - REPLACEMENT PARTS - Continued
100 Kaydon Corp. ......................................... $ 2,300
110 Myers Industries, Inc. ............................... 1,561
400 Pep Boys-Manny, Moe & Jack............................ 2,475
200 Simpson Industries, Inc. ............................. 2,013
200 Smith A.O. Corp. ..................................... 3,450
100 Standard Motor Products, Inc. ........................ 1,356
-----------
21,779
-----------
BANKS - OTHER - 0.16%
100 Alabama National Bancorp.............................. 1,825
150 First Merchants Corp. ................................ 3,759
97 Hudson United Bancorp................................. 1,958
110 Premier National Bancorp, Inc. ....................... 1,279
400 Republic Security Financial Co. ...................... 2,950
-----------
11,771
-----------
BANKS - REGIONAL - 5.89%
200 AMCORE Financial, Inc. ............................... 4,188
200 Anchor BanCorp Wisconsin, Inc. ....................... 2,688
100 Area Bancshares Corp. ................................ 2,013
500 BancorpSouth, Inc. ................................... 8,031
400 BancWest Corp. ....................................... 6,075
60 Bank Atlantic Bancorp, Class A........................ 251
300 Bank Atlantic Bancorp, Class B........................ 1,781
200 Bank United Corp. .................................... 5,238
200 Banknorth Group, Inc. ................................ 3,788
87 BBT Corp. ............................................ 2,045
103 * BOK Financial Corp. .................................. 1,597
100 Bsb Bancorp, Inc. .................................... 1,794
105 BT Financial Corp. ................................... 1,838
200 Carolina First Corp. ................................. 3,175
100 Cathay Bancorp, Inc. ................................. 4,300
100 Century South Banks, Inc. ............................ 2,450
131 Chemical Financial Corp. ............................. 3,472
200 Citizens Banking Corp. ............................... 3,363
100 City Holding Co. ..................................... 1,250
105 Commerce Bancorp, Inc. ............................... 3,531
100 Commonwealth Bancorp, Inc. ........................... 1,569
100 Community First Bankshares............................ 1,400
110 Community Trust Bancorp............................... 2,076
100 Corus Bankshares, Inc. ............................... 2,463
100 CPB, Inc. ............................................ 2,250
2,750 Cullen/Frost Bankers, Inc. ........................... 59,123
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
32 February 29, 2000 (Unaudited)
SMALL CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKS - REGIONAL - Continued
100 East West Bancorp..................................... $ 1,256
103 F&M National Corp. ................................... 2,330
100 FCNB Corp. ........................................... 1,688
400 First American Financial Corp., Class A............... 4,650
100 First Busey Corp. .................................... 1,894
100 First Charter Corp. .................................. 1,363
400 First Commonwealth Financial Corp. ................... 4,000
100 First Federal Capital Corp. .......................... 1,075
110 First Financial Bankshares............................ 2,860
100 First Financial Corp. ................................ 3,425
300 First Midwest Bancorp, Inc. .......................... 7,480
100 * First Republic Bank................................... 1,525
200 First United Bancshares, Inc. ........................ 2,400
105 FNB Corp. ............................................ 2,283
85 GBC Bancorp........................................... 2,295
110 Grand Premier Financial, Inc. ........................ 1,210
1,600 Greater Bay Bancorp................................... 62,800
100 Harbor Florida Bancshares, Inc. ...................... 1,050
105 Harleysville National Corp. .......................... 3,038
100 Harris Financial, Inc. ............................... 625
3,456 * Imperial Bancorp...................................... 88,990
600 Independence Community Bank........................... 6,638
100 Independent Bank Corp. ............................... 1,050
100 International Bancshares Corp. ....................... 3,869
100 InterWest Bancorp, Inc. .............................. 1,750
100 Mid-State Bancshares.................................. 2,719
103 Midamerica Bancorp.................................... 2,459
100 National Bancorp of Alaska, Inc. ..................... 2,950
105 National City Bancshares, Inc. ....................... 2,612
105 National Penn Bancshares, Inc. ....................... 2,284
110 NBT Bancorp, Inc. .................................... 1,430
100 Niagara Bancorp, Inc. ................................ 900
200 North Fork Bancorporation, Inc. ...................... 3,274
300 * Ocwen Financial Corp. ................................ 1,780
100 Omega Financial Corp. ................................ 2,438
300 One Valley Bancorp, Inc. ............................. 8,980
100 Peoples Holding Co. .................................. 2,625
100 PFF Bancorp, Inc. .................................... 1,513
200 Riggs National Corp. ................................. 1,994
100 Second Bancorp, Inc. ................................. 1,900
200 * Silicon Valley Bancshares............................. 15,850
100 Simmons First National Corp. ......................... 2,255
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKS - REGIONAL - Continued
300 Susquehanna Bancshares, Inc. ......................... $ 4,388
100 Texas Regional Bancshares, Inc., Class A.............. 2,444
100 U.S. Bancorp, Inc. ................................... 981
110 UMB Financial Corp. .................................. 3,699
116 United National Bancorp............................... 1,914
300 Webster Financial Corp. .............................. 6,338
121 West Coast Bancorp.................................... 1,263
100 Westcorp.............................................. 1,281
200 Whitney Holding Corp. ................................ 6,525
-----------
430,089
-----------
BEVERAGE -
BREWERS/DISTRIBUTORS - 0.12%
100 * Canandaigua Brands, Inc., Class A..................... 4,900
100 * Robert Mondavi Corp., Class A......................... 3,663
-----------
8,563
-----------
BROADCASTING - 0.05%
100 * On Command Corp. ..................................... 1,700
200 * Sinclair Broadcast Group, Inc. ....................... 1,900
-----------
3,600
-----------
BUILDING MATERIALS - 0.97%
100 * Comfort Systems USA, Inc. ............................ 787
100 * Dal-Tile International, Inc. ......................... 700
200 Fedders Corp. ........................................ 1,050
100 * Genlyte Group, Inc. .................................. 2,000
300 Interface, Inc., Class A.............................. 1,350
100 * NCI Building Systems, Inc. ........................... 1,513
100 * Nortek, Inc. ......................................... 2,188
2,050 Texas Industries, Inc. ............................... 61,500
-----------
71,088
-----------
CHEMICAL - MAJOR - 0.56%
160 Albemarle Corp. ...................................... 2,410
1,000 Borg-Warner Automotive, Inc. ......................... 32,000
100 Chemed Corp. ......................................... 2,943
100 * Hexcel Corp. ......................................... 488
200 Polymer Group, Inc. .................................. 2,988
-----------
40,829
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CHEMICAL - MISCELLANEOUS - 2.47%
200 A. Schulman, Inc. .................................... $ 2,650
300 * Agribiotech, Inc. .................................... 63
400 * Airgas, Inc. ......................................... 2,775
100 Arch Chemicals, Inc. ................................. 1,906
200 Cambrex Corp. ........................................ 8,024
200 ChemFirst, Inc. ...................................... 3,900
569 CK Witco Corp. ....................................... 6,046
2,350 * Cytec Industries, Inc. ............................... 56,987
100 Dexter Corp. ......................................... 4,613
500 Ethyl Corp. .......................................... 1,594
100 Ferro Corp. .......................................... 1,888
100 * Fisher Scientific International, Inc. ................ 4,350
200 Geon Co. ............................................. 4,175
100 Georgia Gulf Corp. ................................... 2,275
100 H.B. Fuller Co. ...................................... 6,137
400 M.A. Hanna Co. ....................................... 4,575
200 Minerals Technologies, Inc. .......................... 8,113
100 NL Industries, Inc. .................................. 1,444
100 * Octel Corp. .......................................... 938
2,950 Olin Corp. ........................................... 45,724
200 OM Group, Inc. ....................................... 7,450
300 Omnova Solutions...................................... 1,969
300 * W.R. Grace & Co....................................... 3,019
-----------
180,615
-----------
COAL - 0.09%
100 Arch Coal, Inc. ...................................... 888
100 Consol Energy, Inc. .................................. 1,163
100 NACCO Industries, Inc., Class A....................... 4,343
-----------
6,394
-----------
COMMERCIAL SERVICES - 0.03%
100 * Integrated Electrical Services, Inc. ................. 588
200 * IT Group, Inc. ....................................... 1,525
-----------
2,113
-----------
CONGLOMERATES - 0.13%
300 Alexander & Baldwin, Inc. ............................ 6,140
300 * Ogden Corp. .......................................... 3,413
-----------
9,553
-----------
CONSUMER FINANCE - 1.27%
300 * Arcadia Financial, Ltd. .............................. 1,444
1,907 Chittenden Corp. ..................................... 48,509
1,500 Metris Companies, Inc. ............................... 38,813
200 WesBanco, Inc. ....................................... 4,200
-----------
92,966
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 33
SMALL CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONTAINERS - METAL/GLASS - 0.24%
100 * Alltrista Corp. ...................................... $ 2,337
200 AptarGroup, Inc. ..................................... 4,788
200 CLARCOR, Inc. ........................................ 3,887
100 * CSS Industries, Inc. ................................. 1,906
100 Greif Brothers Corp., Class A......................... 3,150
100 * Silgan Holdings, Inc. ................................ 1,263
-----------
17,331
-----------
CONTAINERS - PAPER - 0.14%
200 Chesapeake Corp. ..................................... 4,437
200 * Gaylord Container Corp., Class A...................... 1,075
200 * Ivex Packaging Corp. ................................. 1,513
100 Rock-Tenn Co., Class A................................ 1,125
100 * Shorewood Packaging Corp. ............................ 2,075
-----------
10,225
-----------
COSMETICS/TOILETRIES - 0.02%
100 * Playtex Products, Inc. ............................... 1,369
-----------
DRUGS - 0.69%
100 Bindley Western Industries............................ 1,719
100 Carter-Wallace, Inc. ................................. 1,806
200 * Dura Pharmaceuticals, Inc. ........................... 2,775
200 * Guilford Pharmaceuticals, Inc. ....................... 6,625
100 Herbalife International, Inc., Class A................ 1,500
100 * Neurogen Corp. ....................................... 4,225
100 * P-Com, Inc. .......................................... 1,825
100 * Regeneron Pharmaceuticals, Inc. ...................... 5,650
104 * Shire Pharmaceuticals Group, Plc. - ADR............... 4,992
500 * Sicor, Inc. .......................................... 4,969
200 * Vertex Pharmaceuticals, Inc. ......................... 14,525
-----------
50,611
-----------
ELECTRIC PRODUCTS -
MISCELLANEOUS - 0.12%
300 Cmp Group, Inc........................................ 8,475
-----------
ELECTRICAL EQUIPMENT - 1.71%
100 * AMKOR Technologies, Inc. ............................. 5,194
1,100 * ANTEC Corp. .......................................... 58,231
300 Avista Corp. ......................................... 9,019
2,800 * General Semiconductor, Inc. .......................... 46,724
400 * Intergraph Corp. ..................................... 2,400
150 * Intertan, Inc. ....................................... 1,341
100 * Stoneridge, Inc. ..................................... 1,063
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - Continued
100 * WESCO International, Inc. ............................ $ 844
-----------
124,816
-----------
ELECTRONIC EQUIPMENT - 2.20%
200 Belden, Inc. ......................................... 4,525
200 * Cable Design Technologies Corp. ...................... 4,625
100 * Electro Rent Corp. ................................... 1,088
100 * EMCOR Group, Inc. .................................... 2,250
100 * Esterline Technologies Corp. ......................... 1,113
100 General Cable Corp. .................................. 1,000
5 * Juno Lighting, Inc. .................................. 50
300 * Kemet Corp. .......................................... 18,431
3,100 * Kent Electronics Corp. ............................... 105,011
200 * Pinnacle Holdings, Inc. .............................. 11,700
100 Thomas Industries, Inc. .............................. 1,875
100 * Triumph Group, Inc. .................................. 2,925
400 * UCAR International, Inc. ............................. 6,100
-----------
160,693
-----------
ELECTRONIC INSTRUMENTS - 2.21%
200 * Ampex Corp., Class A.................................. 775
100 Analogic Corp. ....................................... 4,850
200 BMC Industries, Inc. ................................. 1,100
200 * Checkpoint Systems, Inc. ............................. 1,700
100 * Commscope, Inc. ...................................... 3,894
100 Gerber Scientific, Inc. .............................. 1,675
100 * Hadco Corp. .......................................... 5,538
100 Harman International Industries, Inc. ................ 6,194
300 * Imation Corp. ........................................ 9,280
100 * ITI Technologies, Inc. ............................... 2,906
200 * MagnaTek, Inc. ....................................... 1,725
100 Methode Electronics, Inc., Class A.................... 5,813
118 * Metromedia Fiber Network, Inc. ....................... 8,447
100 Park Electrochemical Corp. ........................... 2,275
2,250 * Performance Food Group Co. ........................... 53,436
200 Pioneer-Standard Electronics, Inc. ................... 3,675
396 Pittston Brink's Group................................ 7,079
300 * Read-Rite Corp. ...................................... 1,134
100 * Rogers Corp. ......................................... 5,869
500 * Sensormatic Electronics Corp. ........................ 9,500
300 Tektronix, Inc. ...................................... 17,400
200 * Thermedics, Inc. ..................................... 1,775
100 * ThermoQuest Corp. .................................... 1,650
100 * Varian, Inc. ......................................... 3,988
-----------
161,678
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ENTERTAINMENT - 0.30%
300 * Ascent Entertainment Group............................ $ 4,556
300 * Aztar Corp. .......................................... 2,850
100 * Carmike Cinemas, Inc., Class A........................ 781
300 * Florida Panthers Holdings, Inc. ...................... 2,700
200 Gaylord Entertainment Co. ............................ 5,512
200 * GTECH Holdings Corp. ................................. 4,000
100 * Loews Cineplex Entertainment Corp. ................... 413
100 * Trans World Entertainment Corp. ...................... 1,063
-----------
21,875
-----------
FERTILIZERS - 0.03%
200 Mississippi Chemical Corp. ........................... 1,500
300 * Terra Industries, Inc. ............................... 694
-----------
2,194
-----------
FINANCE COMPANIES - 0.76%
300 * Amresco, Inc. ........................................ 413
200 Charter Municipal Mortgage
Acceptance Co. ....................................... 2,387
100 * Contifinancial Corp. ................................. 7
200 * Credit Acceptance Corp. .............................. 1,100
100 Doral Financial Corp. ................................ 981
100 Freedom Securities Corp. ............................. 1,388
200 * Imperial Credit Industries, Inc. ..................... 1,150
400 Phoenix Investment Partners, Ltd. .................... 2,875
200 Resource Bancshares
Mortgage Group, Inc. ................................. 737
100 * Triad Guaranty, Inc. ................................. 2,100
300 U.S. Trust Corp. ..................................... 41,550
200 * UniCapital Corp. ..................................... 500
-----------
55,188
-----------
FINANCIAL SERVICES - 0.99%
100 Advanta Corp. ........................................ 1,863
100 Advest Group, Inc. ................................... 1,663
1,500 Federated Investors, Inc. ............................ 34,968
200 Jefferies Group, Inc. ................................ 4,675
400 Leucadia National Corp. .............................. 8,550
100 * National Processing, Inc. ............................ 881
100 * New Century Financial Corp. .......................... 900
200 Resource America, Inc. ............................... 1,413
850 Richmond Count Financial Corp. ....................... 14,183
200 United Asset Management Corp. ........................ 2,988
-----------
72,084
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
34 February 29, 2000 (Unaudited)
SMALL CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FOODS - 0.91%
100 * Agribrands International, Inc. ....................... $ 3,656
100 * Aurora Foods, Inc. ................................... 281
300 Chiquita Brands International, Inc. .................. 1,331
300 Corn Products International........................... 7,069
100 * Del Monte............................................. 1,250
300 Earthgrains Co. ...................................... 4,500
100 * Grand Union Co. ...................................... 500
300 * Imperial Sugar Co. ................................... 806
100 * International Home Foods, Inc. ....................... 1,694
100 International Multifoods Corp. ....................... 1,094
100 Interpool, Inc. ...................................... 663
100 * J & J Snack Foods Corp. .............................. 1,843
200 J.M. Smucker Co., Class A............................. 3,425
100 Lance, Inc. .......................................... 1,025
100 Michael Foods, Inc. .................................. 2,188
500 * NBTY, Inc. ........................................... 7,031
270 * Ralcorp Holdings, Inc. ............................... 4,033
300 * Suiza Foods Corp. .................................... 11,736
300 Trinity Industries, Inc. ............................. 6,638
300 Universal Foods Corp. ................................ 5,419
200 * Vlasic Foods International, Inc. ..................... 563
-----------
66,745
-----------
FOOTWEAR - 0.11%
100 * Just For Feet, Inc. .................................. 8
100 Justin Industries, Inc. .............................. 1,806
300 * Reebok International, Ltd. ........................... 2,400
100 Stride Rite Corp. .................................... 550
300 Wolverine World Wide, Inc. ........................... 3,450
-----------
8,214
-----------
FREIGHT - 0.30%
400 Airborne Freight Corp. ............................... 7,400
100 AMCOL International Corp. ............................ 1,575
100 Cascade Natural Gas Corp. ............................ 1,443
200 J.B. Hunt Transport Services, Inc. ................... 2,300
200 Overseas Shipholding Group............................ 4,163
100 * SEACOR SMIT, Inc. .................................... 4,850
-----------
21,731
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HARDWARE & TOOLS - 0.05%
100 Barnes Group, Inc. ................................... $ 1,419
100 Lawson Products, Inc. ................................ 2,250
-----------
3,669
-----------
HEALTHCARE - 1.56%
100 * Alterra Healthcare Corp. ............................. 600
100 * AmeriPath, Inc. ...................................... 988
400 * Apria Healthcare Group, Inc. ......................... 5,700
103 Block Drug Co., Inc., Class A......................... 3,386
100 * First Health Group Corp. ............................. 2,413
400 * Integrated Health Services, Inc. ..................... 52
3,600 Invacare Corp. ....................................... 87,748
500 * Laboratory Corp. of America........................... 2,000
20 * LTC Healthcare, Inc. ................................. 26
300 * Matria Healthcare, Inc. .............................. 1,838
100 * NCS HealthCare, Inc., Class A......................... 228
500 * PhyCor, Inc. ......................................... 578
600 * Quorum Health Group, Inc. ............................ 5,343
200 * Sierra Health Services, Inc. ......................... 1,225
300 * Sun Healthcare Group, Inc. ........................... 20
200 * Sunrise Medical, Inc. ................................ 863
194 * US Oncology, Inc. .................................... 800
-----------
113,808
-----------
HEAVY DUTY TRUCKS/PARTS - 0.71%
100 Bandag, Inc. ......................................... 2,350
100 Detroit Diesel Corp. ................................. 1,675
1,000 * Terex Corp. .......................................... 11,874
100 Titan International, Inc. ............................ 738
2,500 Wabash National Corp. ................................ 35,000
-----------
51,637
-----------
HOME BUILDERS - 0.36%
300 D R Horton, Inc. ..................................... 3,374
100 * Del Webb Corp. ....................................... 1,500
300 Kaufman & Broad Home Corp. ........................... 5,738
200 M.D.C. Holdings, Inc. ................................ 3,037
200 Pulte Corp. .......................................... 3,363
100 Ryland Group, Inc. ................................... 1,775
100 Standard Pacific Corp. ............................... 1,063
200 * Toll Brothers, Inc. .................................. 3,325
100 * U.S. Home Corp. ...................................... 3,425
-----------
26,600
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HOSPITAL MANAGEMENT - 0.19%
700 * Beverly Enterprises, Inc. ............................ $ 1,838
400 * Coventry Health Care, Inc. ........................... 3,275
100 * DVI, Inc. ............................................ 1,475
100 * Lifepoint Hospitals, Inc. ............................ 1,506
300 * Magellan Health Services, Inc. ....................... 1,763
100 * Triad Hospitals, Inc. ................................ 1,600
400 * Ventas, Inc. ......................................... 1,350
100 * Veterinary Centers of America, Inc. .................. 1,106
-----------
13,913
-----------
HOSPITAL SUPPLIES - 1.69%
100 * Acuson Corp. ......................................... 1,338
100 Arrow International, Inc. ............................ 3,950
4,550 * Bio-Technology General Corp. ......................... 87,443
200 * Coherent, Inc. ....................................... 21,200
100 Datascope Corp. ...................................... 3,988
100 Diagnostic Products Corp. ............................ 2,300
200 Owens & Minor, Inc. .................................. 2,200
100 * PSS World Medical, Inc. .............................. 644
-----------
123,063
-----------
HOUSEHOLD PRODUCTS - 0.38%
100 Bush Industries, Inc. ................................ 1,319
1,100 Church & Dwight Co., Inc. ............................ 18,768
100 Libbey, Inc. ......................................... 2,688
100 Mikasa, Inc. ......................................... 913
100 * Select Comfort Corp. ................................. 550
200 Tupperware Corp. ..................................... 3,437
-----------
27,675
-----------
HUMAN RESOURCES - 1.36%
290 * Interim Services, Inc. ............................... 7,232
100 Kelly Services, Inc., Class A......................... 2,406
2,100 * Korn/Ferry International.............................. 78,750
600 * Olsten Corp. ......................................... 7,163
200 * Personnel Group of America, Inc. ..................... 1,525
200 * Staffmark, Inc. ...................................... 2,250
-----------
99,326
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 35
SMALL CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING - 1.16%
100 * Ashton Technology Group, Inc. ........................ $ 1,019
300 * CHS Electronics, Inc. ................................ 263
200 * Fritz Companies, Inc. ................................ 1,675
100 * Learn2.com, Inc. ..................................... 609
200 * Pegasystems, Inc. .................................... 4,700
1,300 * Quanta Services, Inc. ................................ 52,649
100 * Rare Medium Group, Inc. .............................. 6,000
600 * Sybase, Inc. ......................................... 15,037
300 * Systemax, Inc. ....................................... 2,963
-----------
84,915
-----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 0.06%
100 * Aspen Technology, Inc. ............................... 4,475
-----------
INFORMATION PROCESSING -
COMPUTER HARDWARE - 0.17%
100 * Hutchinson Technology, Inc. .......................... 1,806
500 * Komag, Inc. .......................................... 1,109
300 * MEMC Electronic Materials, Inc. ...................... 5,231
700 * Merisel, Inc. ........................................ 1,554
100 * OEA, Inc. ............................................ 681
400 * Western Digital Corp. ................................ 1,800
-----------
12,181
-----------
INFORMATION PROCESSING - DATA SERVICES - 2.93%
200 * Anixter International, Inc. .......................... 3,738
100 * Applied Graphics Technology, Inc. .................... 425
100 * Auspex Systems, Inc. ................................. 1,294
100 * Avant! Corp. ......................................... 1,481
42 * Computer Sciences Corp. .............................. 3,310
1,400 * CSG Systems International, Inc. ...................... 71,923
125 * EMC Corp. ............................................ 14,875
100 * GT Interactive Software Corp. ........................ 406
200 * In Focus Systems, Inc. ............................... 6,700
200 * Information Resources, Inc. .......................... 1,563
100 Innovex, Inc. ........................................ 944
100 * JDA Software Group, Inc. ............................. 2,025
100 * Manugistics Group, Inc. .............................. 5,681
300 * Mentor Graphics Corp. ................................ 5,138
200 MTS Systems Corp...................................... 1,538
1,000 National Computer Systems, Inc. ...................... 39,749
400 * Paxar Corp. .......................................... 3,975
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING - DATA SERVICES - Continued
100 * Phoenix Technologies, Ltd. ........................... $ 2,856
200 * Primark Corp. ........................................ 4,413
601 * Radisys Corp. ........................................ 29,423
300 * S3, Inc. ............................................. 4,780
100 * Volt Information Sciences, Inc. ...................... 2,650
100 * Wave Systems Corp. ................................... 4,563
-----------
213,450
-----------
INFORMATION PROCESSING - NETWORKING - 0.11%
100 * Hypercom Corp. ....................................... 1,731
300 * Picturetel Corp. ..................................... 2,269
200 * Ziff-Davis, Inc. ..................................... 3,800
-----------
7,800
-----------
INSURANCE - CASUALTY - 0.45%
100 * Acceptance Insurance Co., Inc. ....................... 413
100 Baldwin & Lyons, Inc., Class B........................ 1,813
200 Commerce Group, Inc. ................................. 5,973
300 Frontier Insurance Group, Inc. ....................... 563
300 HCC Insurance Holdings, Inc. ......................... 3,825
100 * Philadelphia Consolidated Holding Corp. .............. 1,469
100 * PICO Holdings, Inc. .................................. 1,325
100 PMA Capital Corp. .................................... 1,850
500 Reliance Group Holdings, Inc. ........................ 2,219
100 * Risk Capital Holdings, Inc. .......................... 1,525
100 RLI Corp. ............................................ 2,980
200 Selective Insurance Group, Inc. ...................... 3,088
100 State Auto Financial Corp. ........................... 788
100 Stewart Information Services Corp. ................... 1,369
100 * Superior National Insurance Group, Inc. .............. 356
100 Trenwick Group, Inc. ................................. 1,319
100 United Fire & Casualty Co. ........................... 2,000
-----------
32,875
-----------
INSURANCE - LIFE - 1.25%
100 Kansas City Life Insurance Co. ....................... 3,200
400 Mony Group, Inc. ..................................... 11,450
100 * Penn Treaty American Corp. ........................... 1,325
200 Presidential Life Corp. .............................. 3,125
2,750 StanCorp Financial Group, Inc. ....................... 67,719
300 * UICI.................................................. 2,625
100 W. R. Berkley Corp. .................................. 1,606
-----------
91,050
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INSURANCE - MISCELLANEOUS - 1.18%
130 Ace, Ltd. ............................................ $ 2,324
850 Arthur J. Gallagher & Co. ............................ 43,455
100 Chicago Title Corp. .................................. 4,650
200 Fidelity National Financial, Inc. .................... 2,513
100 Foremost Corp. of America............................. 2,906
100 Harleysville Group, Inc. ............................. 1,306
100 Liberty Corp. ........................................ 3,363
200 * Mid Atlantic Medical Services, Inc. .................. 1,638
200 MMI Companies, Inc. .................................. 1,888
500 Ohio Casualty Corp. .................................. 6,188
300 Radian Group, Inc. ................................... 10,405
100 SCPIE Holdings, Inc. ................................. 3,156
100 Zenith National Insurance Corp. ...................... 2,113
-----------
85,905
-----------
INSURANCE - MULTILINE - 1.10%
300 Alfa Corp. ........................................... 4,913
134 Allstate Corp......................................... 2,613
100 American Annuity Group, Inc........................... 1,563
100 AmerUs Life Holdings, Inc............................. 2,030
100 Argonaut Group, Inc................................... 1,900
100 CNA Surety Corp....................................... 1,138
106 * Delphi Financial Group, Inc., Class A ................ 2,796
100 FBL Financial Group, Inc., Class A.................... 1,613
3,450 Horace Mann Educators Corp. .......................... 53,474
100 LandAmerica Financial Group, Inc. .................... 1,800
220 * Medical Assurance, Inc. .............................. 4,318
110 * Professionals Group, Inc. ............................ 2,200
-----------
80,358
-----------
LEISURE TIME - 1.36%
600 * AMF Bowling, Inc. .................................... 1,950
2,400 * Bally Total Fitness Holding Corp. .................... 64,500
300 * Boyd Gaming Corp. .................................... 1,556
400 Callaway Golf Co...................................... 4,800
200 * Dollar Thrifty Automotive Group, Inc. ................ 2,625
100 * Family Golf Centers, Inc. ............................ 125
200 * Handleman Co. ........................................ 2,075
200 * Pinnacle Entertainment, Inc. ......................... 3,450
200 * Players International, Inc. .......................... 1,644
5,800 * Sunterra Corp. ....................................... 15,225
100 * Vail Resorts, Inc. ................................... 1,600
-----------
99,550
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
36 February 29, 2000 (Unaudited)
SMALL CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
LODGING - 0.26%
100 Deltic Timber Corp.................................... $ 2,225
300 * Extended Stay America, Inc. .......................... 1,950
200 * Lodgian, Inc. ........................................ 800
200 Marcus Corp........................................... 2,088
400 Meristar Hospitality Corp. ........................... 6,375
400 * Prime Hospitality Corp. .............................. 3,400
1,000 * Wyndham International, Inc. .......................... 2,375
-----------
19,213
-----------
MACHINE TOOLS - 0.09%
100 L.S. Starrett Co. .................................... 2,300
300 Milacron, Inc. ....................................... 4,163
-----------
6,463
-----------
MACHINERY - AGRICULTURE - 0.12%
500 AGCO Corp. ........................................... 5,500
100 Toro Co. ............................................. 3,313
-----------
8,813
-----------
MACHINERY - CONSTRUCTION & CONTRACTS - 0.34%
100 * CDI Corp. ............................................ 1,825
100 Columbus McKinnon Corp. .............................. 1,500
300 Foster Wheeler Corp. ................................. 1,688
100 Granite Construction, Inc. ........................... 2,493
300 * Harnischfeger Industries, Inc. ....................... 225
100 * Jacobs Engineering Group, Inc. ....................... 2,806
200 Kaman Corp., Class A ................................. 1,988
400 Lennar Corp. ......................................... 6,600
300 * Morrison Knudsen Corp. ............................... 2,062
100 * National Equipment Services, Inc. .................... 600
200 * Nationsrent, Inc. .................................... 1,113
100 Sauer, Inc. .......................................... 800
100 * Stone & Webster, Inc. ................................ 1,275
-----------
24,975
-----------
MACHINERY -
INDUSTRIAL/SPECIALTY - 1.83%
200 AAR Corp. ............................................ 4,750
104 * Albany International Corp., Class A................... 1,508
200 Applied Industrial Technologies, Inc. ................ 3,625
200 Baldor Electric Co. .................................. 3,238
103 * Blount International, Inc. ........................... 1,422
100 Burlington Coat Factory Warehouse Corp. .............. 1,143
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MACHINERY -
INDUSTRIAL/SPECIALTY - Continued
200 Exide Corp. .......................................... $ 2,025
300 Flowserve Corp. ...................................... 3,450
100 * Gardner Denver, Inc. ................................. 1,900
200 Hughes Supply, Inc. .................................. 3,575
200 IDEX Corp. ........................................... 4,950
100 * Ionics, Inc. ......................................... 2,850
100 JLG Industries, Inc. ................................. 900
200 * Kulicke & Soffa Industries, Inc. ..................... 15,900
200 Lilly Industries, Inc., Class A....................... 2,838
200 Lincoln Electric Holdings, Inc. ...................... 3,900
100 Nordson Corp. ........................................ 3,875
200 Regal-Beloit Corp. ................................... 3,563
100 Robbins & Myers, Inc. ................................ 1,888
71 * Speedfam-IPEC, Inc. .................................. 2,046
100 * SPS Technologies, Inc. ............................... 3,268
200 Stewart & Stevenson Services, Inc. ................... 1,963
1,400 * Stillwater Mining Co. ................................ 51,974
400 Timken Co. ........................................... 5,725
100 Watts Industries, Inc., Class A....................... 1,450
-----------
133,726
-----------
MEDICAL TECHNOLOGY - 2.63%
100 * Bio-Rad Laboratories, Inc., Class A .................. 3,288
400 * Celera Genomics ...................................... 97,600
100 * Haemonetics Corp. .................................... 2,381
100 * Protein Design Labs, Inc. ............................ 25,019
200 * Quest Diagnostics, Inc. .............................. 6,863
200 * Serologicals Corp. ................................... 2,250
1,300 * Varian Medical Systems, Inc. ......................... 51,918
89 West Pharmaceutical Services, Inc..................... 2,620
-----------
191,939
-----------
MERCHANDISE - DRUG - 0.05%
500 * Perrigo Co. .......................................... 3,672
-----------
MERCHANDISE - SPECIALTY - 1.84%
100 * Ames Department Stores, Inc. ......................... 1,413
200 Arctic Cat, Inc. ..................................... 2,025
100 * Avid Technology, Inc. ................................ 1,756
100 * Barnesandnoble.com, Inc. ............................. 800
200 * Bombay Co., Inc. ..................................... 725
200 * Boyds Collection, Ltd. ............................... 1,275
100 * Bush Boake Allen, Inc. ............................... 2,800
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISE - SPECIALTY - Continued
100 Caseys General Stores, Inc. .......................... $ 837
200 Cash America International, Inc. ..................... 2,250
100 * Central Garden & Pet Co. ............................. 963
800 * Charming Shoppes, Inc. ............................... 4,800
400 * Compucom Systems, Inc. ............................... 1,800
600 * CompUSA, Inc. ........................................ 6,000
100 * Daisytek International Corp. ......................... 2,294
100 * Department 56, Inc. .................................. 1,413
100 * Earthshell Corp. ..................................... 606
100 * Finish Line, Inc. .................................... 600
100 * Franklin Covey Co. ................................... 819
100 Hancock Holding Co. .................................. 3,725
300 * Homebase, Inc. ....................................... 769
300 * Inacom Corp. ......................................... 1,013
100 * International Specialty Products, Inc. ............... 663
100 Jostens, Inc. ........................................ 2,406
2,350 * Michaels Stores, Inc. ................................ 63,743
700 * OfficeMax, Inc. ...................................... 4,943
200 * Petco Animal Supplies, Inc. .......................... 2,150
100 Russ Berrie and Co., Inc. ............................ 1,838
200 * Seitel, Inc. ......................................... 1,638
100 * Sitel Corp. .......................................... 862
200 * Sola International, Inc. ............................. 1,000
100 South Jersey Industries, Inc. ........................ 2,924
100 * Spiegel, Inc., Class A ............................... 719
200 Sturm, Ruger & Co., Inc. ............................. 1,950
200 * Twinlab Corp. ........................................ 1,238
300 * United Stationers, Inc. .............................. 8,061
300 * US Office Products, Co. .............................. 825
100 * West Marine, Inc. .................................... 863
-----------
134,506
-----------
MERCHANDISING - DEPARTMENT - 0.55%
3,150 * Borders Group, Inc. .................................. 38,784
100 Pier 1 Imports, Inc. ................................. 876
100 * Stein Mart, Inc. ..................................... 431
-----------
40,091
-----------
MERCHANDISING - FOOD - 0.77%
300 Fleming Companies, Inc. .............................. 4,631
1,900 Great Atlantic & Pacific Tea Co., Inc. ............... 44,531
100 Ingles Markets, Inc., Class A......................... 1,094
200 Ruddick Corp. ........................................ 2,688
100 Sanderson Farms, Inc. ................................ 694
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 37
SMALL CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISING - FOOD - Continued
100 * Smart & Final, Inc. .................................. $ 575
100 * Smithfield Foods, Inc. ............................... 1,550
2 Supervalu, Inc. ...................................... 34
100 Zapata Corp. ......................................... 500
-----------
56,297
-----------
MERCHANDISING - MASS - 0.05%
200 * ShopKo Stores, Inc. .................................. 3,325
-----------
METALS - ALUMINUM - 0.03%
100 ACX Technologies, Inc. ............................... 319
100 IMCO Recycling, Inc. ................................. 994
200 * Kaiser Aluminum Corp. ................................ 1,137
-----------
2,450
-----------
METALS - COPPER - 0.11%
84 Phelps Dodge Corp. ................................... 3,958
200 Southern Peru Copper Corp. ........................... 3,050
100 * Wolverine Tube, Inc. ................................. 1,294
-----------
8,302
-----------
METALS - MISCELLANEOUS - 0.87%
100 Brush Wellman, Inc. .................................. 1,675
100 Castle A. M. & Co. ................................... 1,275
50 * CIRCOR International, Inc. ........................... 663
100 Commercial Metals Co. ................................ 2,763
200 Kennametal, Inc. ..................................... 4,650
200 Precision Castparts Corp. ............................ 5,163
100 * RTI International Metals, Inc. ....................... 706
3,000 * Steel Dynamics, Inc. ................................. 46,124
100 * Titanium Metals Corp. ................................ 456
-----------
63,475
-----------
METALS - STEEL - 1.36%
229 AK Steel Holding Corp. ............................... 1,904
1,000 * Bethlehem Steel Corp. ................................ 5,688
100 Carpenter Technology Corp. ........................... 2,225
100 Cleveland-Cliffs, Inc. ............................... 2,494
100 Commercial Intertech Corp. ........................... 1,800
2,650 Gibraltar Steel Corp. ................................ 44,719
300 Harsco Corp. ......................................... 7,444
200 Intermet Corp. ....................................... 2,250
800 LTV Corp. ............................................ 2,650
200 * Metals USA, Inc. ..................................... 1,550
300 * Mueller Industries, Inc. ............................. 8,586
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
METALS - STEEL - Continued
100 National Steel Corp., Class B......................... $ 700
200 Oregon Steel Mills, Inc. ............................. 825
100 Quanex Corp. ......................................... 2,130
150 Reliance Steel & Aluminium Co. ....................... 2,905
100 Rouge Industries, Inc., Class A ...................... 769
100 Ryerson Tull, Inc. ................................... 1,325
100 Valmont Industries, Inc. ............................. 1,513
600 Worthington Industries, Inc. ......................... 7,950
-----------
99,427
-----------
MISCELLANEOUS - 0.28%
600 * 7-eleven, Inc. ....................................... 1,556
200 * ABC-Naco, Inc. ....................................... 2,513
100 * AMERCO, Inc. ......................................... 1,713
200 * Brightpoint, Inc. .................................... 2,575
25 * Coorstek, Inc. ....................................... 488
700 USEC, Inc. ........................................... 2,494
200 * Veritas DGC, Inc. .................................... 4,000
266 Westinghouse Air Brake Co. ........................... 2,526
100 Woodward Governor Co. ................................ 2,300
-----------
20,165
-----------
MOBILE HOMES - 0.11%
100 * Champion Enterprises, Inc. ........................... 631
100 Coachmen Industries, Inc. ............................ 1,200
200 Fleetwood Enterprises, Inc. .......................... 3,088
25 * Monaco Coach Corp. ................................... 450
300 Oakwood Homes Corp. .................................. 769
100 Skyline Corp. ........................................ 2,150
-----------
8,288
-----------
MULTIMEDIA - 0.02%
100 Gray Communications Systems, Inc. .................... 1,606
-----------
NATURAL GAS - DIVERSIFIED - 0.58%
200 Atmos Energy Corp. ................................... 3,425
200 Eastern Enterprises .................................. 11,575
100 Laclede Gas Co. ...................................... 2,000
100 New Jersey Resources Corp. ........................... 3,713
110 * Southern Union Co. ................................... 1,691
200 Southwest Gas Corp. .................................. 3,700
300 UGI Corp. ............................................ 5,625
100 Western Gas Resources, Inc. .......................... 1,375
300 WICOR, Inc. .......................................... 9,019
-----------
42,123
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
OIL - INTEGRATED DOMESTIC - 0.13%
100 * Belco Oil and Gas Corp. .............................. $ 713
100 Cross Timbers Oil Co. ................................ 863
600 Pennzoil-Quaker State Co. ............................ 5,250
300 * Tesoro Petroleum Corp. ............................... 2,774
-----------
9,600
-----------
OIL - SERVICE - PRODUCTS - 1.86%
200 * Global Industries, Inc. .............................. 2,050
100 * IRI International Corp. .............................. 488
1,950 * Lone Star Technologies, Inc. ......................... 73,125
100 * Maverick Tube Corp. .................................. 2,250
500 * Parker Drilling Co. .................................. 2,000
400 * Pride International, Inc. ............................ 5,925
100 RPC, Inc. ............................................ 763
5,600 * Santa Fe Snyder Corp. ................................ 42,000
100 SEMCO Energy, Inc. ................................... 1,200
100 * TransMontaigne, Inc. ................................. 650
500 * Varco International, Inc. ............................ 5,531
-----------
135,982
-----------
OIL - SERVICES - 1.53%
34 Devon Energy Corp. ................................... 1,267
57 * Friede Goldman Halter, Inc. .......................... 299
600 * Key Energy Services, Inc. ............................ 5,963
3,400 * Marine Drilling Companies, Inc. ...................... 77,562
200 Mascotech, Inc. ...................................... 2,800
100 * McMoRan Exploration Co. .............................. 2,000
205 * Nabors Industries, Inc. .............................. 7,354
100 * Oceaneering International, Inc. ...................... 1,900
200 * Offshore Logistics, Inc. ............................. 1,987
200 * Tuboscope, Inc. ...................................... 3,338
100 * U S Liquids, Inc. .................................... 625
300 * Unova, Inc. .......................................... 3,469
100 * UTI Energy Corp. ..................................... 3,206
-----------
111,770
-----------
OIL/GAS PRODUCERS - 3.03%
1,650 * Atwood Oceanics, Inc. ................................ 87,656
200 Cabot Oil & Gas Corp., Class A........................ 3,163
400 * Chesapeake Energy Corp. .............................. 1,175
300 * EEX Corp. ............................................ 731
300 Equitable Resources, Inc. ............................ 11,325
1,200 * Grey Wolf, Inc. ...................................... 4,200
1,100 * Harken Energy Corp. .................................. 963
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
38 February 29, 2000 (Unaudited)
SMALL CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
OIL/GAS PRODUCERS - Continued
400 Helmerich & Payne, Inc. .............................. $ 10,650
100 * Houston Exploration Co. .............................. 1,519
100 * HS Resources, Inc. ................................... 1,650
400 * Input/Output, Inc. ................................... 2,425
200 * Louis Dreyfus Natural Gas Corp. ...................... 4,125
200 Mitchell Energy &
Development Corp., Class A ........................... 4,325
1,800 * Newfield Exploration Co. ............................. 55,800
100 * Nuevo Energy Co. ..................................... 1,775
300 * Patterson Energy, Inc. ............................... 6,844
800 * Pioneer Natural Resources Corp. ...................... 6,650
100 St. Mary Land & Exploration Co. ...................... 2,781
100 * Swift Energy Co. ..................................... 1,181
100 * Tom Brown, Inc. ...................................... 1,325
400 Valero Energy Corp. .................................. 10,200
-----------
220,463
-----------
PAPER/FOREST PRODUCTS - 0.50%
100 * Boise Cascade Office Products Corp. .................. 1,487
100 * Buckeye Technologies, Inc. ........................... 1,594
200 Caraustar Industries, Inc. ........................... 3,324
400 Longview Fibre Co. ................................... 5,450
200 P.H. Glatfelter Co. .................................. 2,450
200 Potlatch Corp. ....................................... 7,600
200 Rayonier, Inc. ....................................... 7,950
100 Schweitzer-Mauduit, Inc. ............................. 1,362
100 Standard Register Co. ................................ 1,363
100 Universal Forest Products, Inc. ...................... 1,188
200 Wausau-Mosinee Paper Corp. ........................... 2,613
-----------
36,381
-----------
PHOTOGRAPHY - 0.13%
300 Polaroid Corp. ....................................... 7,519
100 * Ultratech Stepper, Inc. .............................. 1,750
-----------
9,269
-----------
POLLUTION CONTROL - 0.08%
100 * Cuno, Inc. ........................................... 2,437
300 Calgon Carbon Corp. .................................. 2,156
100 * URS Corp. ............................................ 1,363
-----------
5,956
-----------
PUBLISHING - NEWS - 1.07%
1,400 Media General, Inc., Class A.......................... 72,363
200 * Network Equipment Technologies, Inc. ................. 2,100
100 Pulitzer, Inc. ....................................... 3,881
-----------
78,344
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PUBLISHING/PRINTING - 1.18%
200 Banta Corp. .......................................... $ 3,650
300 Bowne & Co., Inc. .................................... 3,581
200 John H. Harland Co. .................................. 3,088
100 * Journal Register Co. ................................. 1,375
1,650 McClatchy Co., Class A ............................... 57,027
380 Quebecor Printing, Inc. .............................. 7,434
100 * Scholastic Corp. ..................................... 5,181
100 * Scientific Games Holdings Corp. ...................... 1,663
300 Wallace Computer Services, Inc. ...................... 3,131
-----------
86,130
-----------
RAILROAD - 0.16%
200 Florida East Coast Industries, Inc. .................. 8,150
300 * Wisconsin Central Transportation Corp. ............... 3,713
-----------
11,863
-----------
REAL ESTATE - 0.89%
100 * Castle & Cooke, Inc. ................................. 1,343
100 * CB Richard Ellis Services, Inc. ...................... 1,038
100 * Insignia Financial Group, Inc. ....................... 1,187
200 LNR Property Corp. ................................... 3,900
337 Republic Bancorp, Inc. ............................... 2,697
200 SL Green Realty Corp. ................................ 4,650
-----------
14,815
-----------
REAL ESTATE INVESTMENT TRUSTS - 5.42%
100 Alexandria Real Estate Equities, Inc. ................ 3,056
400 Allied Capital Corp. ................................. 6,950
100 American Industrial Properties........................ 1,075
100 Amli Residential Properties Trust..................... 2,044
100 Associated Estates Realty Corp. ...................... 888
200 Bedford Property Investors, Inc. ..................... 3,350
100 Boykin Lodging Co. ................................... 1,188
200 Bradley Real Estate, Inc. ............................ 3,488
2,950 Brandywine Realty Trust............................... 47,200
400 BRE Properties, Inc., Class A......................... 9,450
300 Burnham Pacific Properties, Inc. ..................... 2,981
300 Cabot Industrial Trust................................ 5,550
300 Camden Property Trust................................. 8,044
200 Capital Automotive REIT............................... 2,500
500 Capstead Mortgage Corp. .............................. 2,094
2,650 CBL & Associates Properties, Inc. .................... 59,294
200 CenterPoint Properties Corp. ......................... 7,263
200 Center Trust, Inc. ................................... 1,525
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - Continued
100 Chateau Communities, Inc. ............................ $ 2,475
100 Chelsea GCA Realty, Inc. ............................. 2,650
200 Colonial Properties Trust............................. 4,988
200 Commercial Net Lease Realty........................... 2,038
300 Cornerstone Realty Income Trust....................... 3,000
100 * Crestline Capital Corp. .............................. 1,813
200 Crown American Realty Trust........................... 1,163
500 Developers Diversified Realty......................... 5,750
38 Duke-Weeks Realty Corp. .............................. 698
100 EastGroup Properties, Inc. ........................... 1,969
100 Entertainment Properties Trust........................ 1,387
300 Equity Inns, Inc. .................................... 1,950
100 Essex Property Trust, Inc. ........................... 3,525
200 Federal Realty Investment Trust....................... 3,850
300 First Industrial Realty Trust ........................ 7,800
100 First Washington Realty Trust ........................ 1,969
200 Gables Residential Trust ............................. 4,400
200 Glenborough Realty Trust, Inc. ....................... 2,988
200 Glimcher Realty Trust ................................ 2,475
100 Golf Trust of America, Inc. .......................... 1,838
100 Great Lakes REIT, Inc. ............................... 1,513
256 Health Care Property Investors, Inc. ................. 6,368
200 Health Care REIT, Inc. ............................... 3,113
270 Healthcare Realty Trust, Inc. ........................ 4,388
1,850 Home Properties of NY, Inc. .......................... 49,487
400 Hospitality Properties Trust.......................... 7,750
200 Imperial Credit Commercial Mortgage................... 2,288
600 Indymac Mortgage Holdings, Inc. ...................... 7,613
300 Innkeepers USA Trust.................................. 2,363
300 IRT Property Co. ..................................... 2,363
300 JDN Realty Corp. ..................................... 3,225
100 JP Realty, Inc. ...................................... 1,806
200 Kilroy Realty Corp. .................................. 4,275
200 Koger Equity, Inc. ................................... 3,538
200 Konover Property Trust, Inc. ......................... 1,125
100 LaSalle Hotel Properties.............................. 1,250
100 Lexington Corporate Properties Trust.................. 1,038
200 LTC Properties, Inc. ................................. 1,175
200 Macerich Co. ......................................... 4,025
100 Manufactured Home Communities, Inc. .................. 2,288
100 MGI Properties, Inc. ................................. 519
100 Mid-America Apartment
Communities, Inc. .................................... 2,288
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 39
SMALL CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - Continued
200 National Health Investors, Inc. ...................... $ 2,663
300 Nationwide Health Properties, Inc. ................... 3,431
100 Omega Healthcare Investors, Inc. ..................... 600
100 Pacific Gulf Properties, Inc. ........................ 2,019
100 Pan Pacific Retail Properties, Inc. .................. 1,794
100 Parkway Properties, Inc. ............................. 2,963
100 Pennsylvania Real Estate Investment Trust............. 1,656
300 Prentiss Properties Trust............................. 6,169
100 Prime Group Realty Trust.............................. 1,381
300 Prime Retail, Inc. ................................... 694
200 PS Business Parks, Inc. .............................. 4,375
200 Realty Income Corp. .................................. 4,163
300 Reckson Associates Realty Corp. ...................... 5,550
100 Redwood Trust, Inc. .................................. 1,206
300 Regency Realty Corp. ................................. 5,681
200 RFS Hotel Investors, Inc. ............................ 2,125
100 Saul Centers, Inc. ................................... 1,431
300 * Security Capital Group, Inc. ......................... 3,881
200 Shurgard Storage Centers, Inc., Class A............... 4,725
100 Sovran Self Storage, Inc. ............................ 1,894
230 Starwood Financial, Inc. ............................. 3,881
200 Storage USA, Inc. .................................... 6,288
200 Summit Properties, Inc. .............................. 3,800
100 Sun Communities, Inc. ................................ 2,950
300 Taubman Centers, Inc. ................................ 3,113
200 Thornburg Mortgage Asset Corp. ....................... 1,613
100 U.S. Restaurant Properties, Inc. ..................... 1,319
800 United Dominion Realty Trust ......................... 8,000
100 Urban Shopping Centers, Inc. ......................... 2,775
200 Weingarten Realty Investors .......................... 7,500
200 * Wellsford Real Properties, Inc. ...................... 1,525
100 Western Properties Trust ............................. 1,063
200 Westfield America, Inc. .............................. 2,825
-----------
445,517
-----------
RESTAURANTS - 1.24%
300 * Advantica Restaurant Corp. ........................... 516
2,400 Applebees International, Inc. ........................ 67,573
100 Avado Brands, Inc. ................................... 434
300 Bob Evans Farms, Inc. ................................ 4,069
400 * Buffets, Inc. ........................................ 3,475
400 CBRL Group, Inc. ..................................... 3,700
100 CKE Restaurants, Inc. ................................ 638
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
RESTAURANTS - Continued
200 * Landry's Seafood Restaurants, Inc. ................... $ 1,413
300 * Lone Star Steakhouse & Saloon......................... 2,663
200 Luby's, Inc. ......................................... 2,088
100 * O'Charley's, Inc. .................................... 1,125
300 * Ryan's Family Steak Houses, Inc. ..................... 2,868
-----------
90,562
-----------
SAVINGS & LOAN - 0.94%
100 Alliance Bancorp...................................... 1,831
100 Andover Bancorp....................................... 2,675
154 Bay View Capital Corp. ............................... 1,348
100 Brookline Bancorp, Inc. .............................. 944
600 Capitol Federal Financial............................. 5,738
200 CFS Bancorp, Inc. .................................... 1,763
297 Charter One Financial, Inc. .......................... 4,677
100 Dime Community Bancshares ............................ 1,481
100 Downey Financial Corp. ............................... 1,969
105 F&M Bancorp/Frederick ................................ 1,890
200 * First Federal Financial Corp. ........................ 2,550
100 First Financial Holdings, Inc. ....................... 1,525
100 First Indiana Corp. .................................. 2,025
300 First Sentinel Bancorp, Inc. ......................... 2,475
100 First Washington Bancorp, Inc. ....................... 1,400
100 Hudson River Bankcorp. ............................... 1,038
100 JSB Financial, Inc. .................................. 4,830
200 * Local Financial Corp. ................................ 1,600
200 MAF Bancorp, Inc. .................................... 3,400
100 Northwest Bancorp, Inc. .............................. 688
100 OceanFirst Financial Corp. ........................... 1,594
210 Provident Bankshares Corp. ........................... 3,386
100 Queens County Bancorp, Inc. .......................... 1,900
200 Seacoast Financial Services Co. ...................... 1,975
100 St. Francis Capital Corp. ............................ 1,456
300 Staten Island Bancorp, Inc. .......................... 4,987
200 United Community Financial Co. ....................... 1,400
400 Washington Federal, Inc. ............................. 6,125
-----------
68,670
-----------
SECURITIES RELATED - 1.42%
100 Dain Rauscher Corp. .................................. 5,638
200 Enhance Financial Services Group, Inc. ............... 2,350
1,400 Investors Financial Services Corp. ................... 56,699
850 Legg Mason, Inc. ..................................... 33,362
100 Liberty Financial Companies, Inc. .................... 1,931
100 Morgan Keegan, Inc. .................................. 1,425
100 Raymond James Financial, Inc. ........................ 1,975
-----------
103,380
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT - 1.12%
100 * Brooks Automation, Inc. .............................. $ 7,225
100 * LAM Research Corp. ................................... 15,612
100 * Varian Semiconductor Equipment Associates, Inc........ 5,813
650 * Veeco Instruments, Inc. .............................. 53,381
-----------
82,031
-----------
SEMICONDUCTORS - 2.73%
1,900 * Actel Corp. .......................................... 61,869
200 * Alliance Semiconductor Corp. ......................... 4,994
33 Avnet, Inc. .......................................... 2,207
500 * Cirrus Logic, Inc. ................................... 10,406
200 Cohu, Inc. ........................................... 11,275
400 * Cypress Semiconductor Corp. .......................... 18,250
100 * Electroglas, Inc. .................................... 3,875
200 * ESS Technology, Inc. ................................. 3,113
150 * Exar Corp. ........................................... 10,414
100 * FSI International, Inc. .............................. 1,956
600 * Integrated Device Technology, Inc. ................... 22,124
300 * International Rectifier Corp. ........................ 12,563
200 * MRV Communications, Inc. ............................. 31,363
200 * Silicon Valley Group, Inc. ........................... 5,063
-----------
199,472
-----------
TELECOMMUNICATIONS - 2.17%
500 * Andrew Corp. ......................................... 12,375
100 * Anicom, Inc. ......................................... 819
100 * Aspect Communications, Inc. .......................... 6,444
2,700 * AVT Corp. ............................................ 71,380
100 CT Communications, Inc. .............................. 5,550
300 * General Communication, Inc. .......................... 1,988
500 * Glenayre Technologies, Inc. .......................... 9,938
1,150 * L-3 Communications Holdings, Inc. .................... 48,945
100 * Paging Network, Inc. ................................. 291
100 * PTEK Holdings, Inc. .................................. 1,056
-----------
158,786
-----------
TEXTILE - PRODUCTS - 0.25%
400 * Burlington Industries, Inc. .......................... 1,125
100 * Dan River, Inc., Class A ............................. 550
100 Guilford Mills, Inc. ................................. 925
100 * Lydall, Inc. ......................................... 706
100 Pillowtex Corp. ...................................... 438
200 Russell Corp. ........................................ 2,763
100 Springs Industries, Inc., Class A..................... 3,544
500 * Unifi, Inc. .......................................... 4,780
200 Wellman, Inc. ........................................ 3,725
-----------
18,556
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
40 February 29, 2000 (Unaudited)
SMALL CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TOBACCO - 0.09%
105 Brooke Group, Ltd. ................................... $ 1,391
300 DIMON, Inc. .......................................... 731
100 * General Cigar Holdings, Inc. ......................... 1,481
200 Universal Corp. ...................................... 3,275
-----------
6,878
-----------
TRUCKERS - 0.91%
100 * American Freightways Corp. ........................... 1,088
200 Arnold Industries, Inc. .............................. 2,363
200 * Consolidated Freightways Corp. ....................... 1,325
100 * Heartland Express, Inc. .............................. 1,428
100 * Hub Group, Inc., Class A ............................. 1,788
100 * M.S. Carriers, Inc. .................................. 2,213
100 Roadway Express, Inc. ................................ 2,063
400 Rollins Truck Leasing Corp. .......................... 3,349
200 USFreightways Corp. .................................. 6,650
2,750 Werner Enterprises, Inc. ............................. 36,778
100 * Xtra Corp. ........................................... 3,981
200 * Yellow Corp. ......................................... 3,200
-----------
66,226
-----------
TRUCKING & LEASING - 0.01%
100 * US Xpress Enterprises, Inc., Class A ................. 700
-----------
UTILITIES - COMMUNICATION - 0.02%
100 PXRE Group, Ltd. ..................................... 1,406
-----------
UTILITIES - ELECTRIC - 2.17%
100 Black Hills Corp. .................................... 2,200
200 Cleco Corp. .......................................... 6,400
200 Eastern Utilities Associates ......................... 6,212
500 * El Paso Electric Co. ................................. 4,781
100 Empire District Electric Co. ......................... 2,081
182 Energy East Corp. .................................... 3,821
200 Hawaiian Electric Industries, Inc. ................... 5,763
300 Idacorp, Inc. ........................................ 9,563
233 Indiana Energy, Inc. ................................. 3,800
100 Madison Gas & Electric Co. ........................... 1,738
2,400 Northwestern Corp. ................................... 54,300
67 NSTAR ................................................ 2,743
100 Otter Tail Power Co. ................................. 3,700
300 Public Service Co. of New Mexico ..................... 4,613
300 RGS Energy Group, Inc. ............................... 5,906
242 Scana Corp. .......................................... 5,763
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES - ELECTRIC - Continued
588 Sierra Pacific Resources ............................. $ 8,012
200 SIG Corp, Inc. ....................................... 4,325
100 TNP Enterprises, Inc. ................................ 4,319
300 UniSource Energy Corp. ............................... 4,050
100 United Illuminating Co. .............................. 4,062
400 Washington Gas Light Co. ............................. 9,550
-----------
157,702
-----------
UTILITIES - GAS, DISTRIBUTION - 0.55%
400 AGL Resources, Inc. .................................. 6,825
100 Connecticut Natural Gas Corp. ........................ 3,700
200 Energen Corp. ........................................ 3,250
400 * National-Oilwell, Inc. ............................... 9,700
200 Northwest Natural Gas Co. ............................ 3,900
100 NUI Corp. ............................................ 2,375
200 Piedmont Natural Gas Co., Inc. ....................... 4,950
200 Southwestern Energy Co. .............................. 1,400
100 Yankee Energy Systems, Inc. .......................... 4,400
-----------
40,500
-----------
UTILITIES - GAS, PIPELINE - 0.06%
200 ONEOK, Inc. .......................................... 4,538
-----------
UTILITIES - MISCELLANEOUS - 1.13%
100 CH Energy Group, Inc. ................................ 2,856
151 * Encompass Services Corp. ............................. 1,087
3,700 MDU Resources Group, Inc. ............................ 70,531
400 Walter Industries, Inc. .............................. 3,400
200 WPS Resources Corp. .................................. 4,713
-----------
82,587
-----------
WATER SERVICES - 0.33%
100 American States Water Co. ............................ 2,694
100 California Water Service Group........................ 2,688
100 E'Town Corp. ......................................... 6,444
300 Philadelphia Suburban Corp. .......................... 5,550
200 United Water Resources, Inc. ......................... 6,963
-----------
24,339
-----------
TOTAL COMMON STOCK
(Cost $5,968,957)..................................... 6,129,605
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
PREFERRED STOCK - 0.01%
APPLIANCES/FURNISHINGS - 0.00%
100 * O'Sullivan Industry Holdings........................ $ 56
-----------
TELECOMMUNICATIONS - 0.01%
22 Superior Trust I.................................... 675
-----------
TOTAL PREFERRED STOCK
(Cost $727)......................................... 731
-----------
<CAPTION>
PAR
VALUE
---------
<C> <S> <C>
CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT - 13.42%
BANKS - OTHER - 13.42%
State Street Bank Repurchase Agreement, 5.65%, dated
02/29/00, to be repurchased at $980,154 on 03/01/00,
collateralized by U.S. Treasury Note, 7.25%,
08/15/04, with a par value of $985,000
$980,000 (Cost $980,000)..................................... 980,000
-----------
TOTAL CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT
(Cost $980,000)..................................... 980,000
-----------
UNITED STATES GOVERNMENT -
SHORT-TERM - 0.48%
U. S. TREASURY BILLS - 0.48%
United States Treasury Bills:
25,000 5.61% due 04/20/00 ................................. 24,805
10,000 5.14% due 03/09/00 ................................. 9,989
-----------
34,794
-----------
TOTAL UNITED STATES GOVERNMENT -
SHORT-TERM
(Cost $34,794)...................................... 34,794
-----------
TOTAL INVESTMENTS
(Cost $6,984,478) - 97.87%.......................... $ 7,145,130
-----------
*Non-income producing
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 41
SMALL CAP VALUE FUND - CONTINUED
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
<S> <C>
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED(/1/)
(Delivery month/Value at 02/29/00)
2(/2/) Russell)2000 Futures
(March/$579.75)............................................. $ 94,400
-----------
</TABLE>
- ----------
(/1/) U.S. Treasury Bills with a market value of approximately $35,000 were
maintained in a segregated account with a portion placed as collateral
for futures contracts.
(/2/) Per 500.
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $6,984,478)............................ $7,145,130
Receivable for:
Investments sold................................................... 134,380
Fund shares sold................................................... 30,813
Dividends and interest............................................. 6,601
Other assets........................................................ 22,472
----------
TOTAL ASSETS........................................................ 7,339,396
----------
LIABILITIES:
Payable for:
Investment purchased............................................... 10,525
Fund shares redeemed............................................... 1,745
Payable to affiliates:
Advisory fees...................................................... 1,216
Administrative fees................................................ 2,387
Accounting services................................................ 289
Other.............................................................. 7,273
Accrued expenses and other liabilities.............................. 15,068
----------
TOTAL LIABILITIES................................................... 38,503
----------
NET ASSETS.......................................................... $7,300,893
----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized,
697,768 shares outstanding.......................................... $ 6,978
Additional paid in capital.......................................... 7,029,865
Undistributed net realized gain on securities....................... 7,885
Undistributed net investment income................................. 1,113
Unrealized appreciation of:
Investments.............................................. $ 160,652
Futures contracts........................................ 94,400 255,052
--------- ----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................... $7,300,893
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
42 SMALL CAP VALUE FUND (Unaudited) - CONTINUED
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 2000
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends........................................................... $ 57,820
Interest............................................................ 19,451
--------
Total investment income............................................ 77,271
--------
EXPENSES:
Advisory fees....................................................... 24,603
Custodian fees...................................................... 9,091
Administrative service fee.......................................... 8,201
Report to shareholders.............................................. 5,425
Audit fees and tax services......................................... 3,738
Legal fees.......................................................... 2,230
Trustees' fees and expenses......................................... 1,212
Accounting services................................................. 984
Registration and filing fees........................................ 713
Pricing services.................................................... 473
Miscellaneous....................................................... 918
--------
Total expenses..................................................... 57,588
Expense reimbursement (see Note 3)................................. (25,406)
--------
Net expenses....................................................... 32,182
--------
NET INVESTMENT INCOME............................................... 45,089
--------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities:
Investments............................................... $ 27,504
Futures contracts......................................... 4,836 32,340
--------
Net unrealized appreciation during the period:
Investments............................................... 102,801
Futures contracts......................................... 111,500 214,301
-------- --------
Net realized and unrealized gain on securities during the
period............................................................ 246,641
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................... $291,730
--------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
February 29, 2000 August 31, 1999
---------------------------------
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income....................... $ 45,089 $ 75,368
Net realized gain on securities............. 32,340 267,470
Net unrealized appreciation of securities
during the period........................... 214,301 40,751
---------------------------------
Increase in net assets resulting from
operations................................. 291,730 383,589
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... (45,981) (73,535)
Net realized gain on securities............. (224,838) (67,087)
---------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (270,819) (140,622)
---------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 770,420 6,409,530
Proceeds from shares issued for
distributions reinvested.................... 270,819 140,622
---------------------------------
1,041,239 6,550,152
Cost of shares repurchased.................. (175,373) (384,136)
---------------------------------
Increase in net assets resulting
from share transactions.................... 865,866 6,166,016
---------------------------------
TOTAL INCREASE IN NET ASSETS................ 886,777 6,408,983
NET ASSETS:
Beginning of year........................... 6,414,116 5,133
---------------------------------
End of period (including undistributed net
investment income of $1,113 and $2,005)..... $7,300,893 $6,414,116
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 75,539 634,189
Shares issued for distributions reinvested.. 27,285 12,732
Shares repurchased.......................... (17,008) (35,482)
---------------------------------
Increase in shares outstanding............. 85,816 611,439
Shares outstanding:
Beginning of year.......................... 611,952 513
---------------------------------
End of period.............................. 697,768 611,952
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 43
SOCIALLY RESPONSIBLE FUND
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 92.02%
ADVERTISING - 0.60%
50 * Catalina Marketing Corp. ............................. $ 4,256
100 * Doubleclick, Inc. .................................... 8,881
300 Interpublic Group Corp. .............................. 12,056
200 Omnicom Group, Inc. .................................. 18,838
200 * TMP Worldwide, Inc. .................................. 27,188
-----------
71,219
-----------
AEROSPACE/DEFENSE - 0.11%
700 * Howmet International, Inc. ........................... 12,819
-----------
AIRLINES - 0.06%
100 * AMR Corp. ............................................ 5,288
100 Southwest Airlines Co. ............................... 1,844
-----------
7,132
-----------
AUTO - CARS - 0.22%
450 Delphi Automotive Systems Corp. ...................... 7,509
100 * General Motors Corp., Class H......................... 12,050
100 Harley-Davidson, Inc. ................................ 6,813
-----------
26,372
-----------
AUTO - REPLACEMENT PARTS - 0.08%
50 Genuine Parts Co. .................................... 1,128
350 Goodyear Tire & Rubber Co. ........................... 7,941
-----------
9,069
-----------
BANKS - NEW YORK CITY - 1.93%
850 Bank of New York Co., Inc. ........................... 28,316
3,900 Citigroup, Inc. ...................................... 201,581
-----------
229,897
-----------
BANKS - OTHER - 2.09%
2,172 Bank of America Corp. ................................ 100,048
1,050 First Union Corp. .................................... 30,975
1,286 FleetBoston Financial Corp. .......................... 35,044
300 Mellon Financial Corp. ............................... 9,038
200 Providian Financial Corp. ............................ 12,963
1,900 Wells Fargo Co. ...................................... 62,819
-----------
250,887
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKS - REGIONAL - 1.98%
300 AmSouth Bancorporation................................ $ 4,350
1,050 BankOne Corp. ........................................ 27,103
1,050 Chase Manhattan Corp. ................................ 83,606
350 Fifth Third Bancorp................................... 18,222
950 Firstar Corp. ........................................ 16,922
100 Huntington Bancshares, Inc. .......................... 2,088
100 Northern Trust Corp. ................................. 5,650
500 PNC Bank Corp. ....................................... 19,344
50 SouthTrust Corp. ..................................... 1,147
150 State Street Corp. ................................... 10,930
550 SunTrust Banks, Inc. ................................. 27,947
150 U.S. Bancorp, Inc. ................................... 2,747
300 Wachovia Corp. ....................................... 17,155
-----------
237,211
-----------
BEVERAGE - SOFT DRINKS - 1.78%
350 Coca Cola Enterprises, Inc. .......................... 8,181
2,750 Coca-Cola Co. ........................................ 133,203
2,200 PepsiCo, Inc. ........................................ 70,950
-----------
212,334
-----------
BROADCASTING - 1.95%
750 * CBS Corp. ............................................ 44,671
200 * Clear Channel Communications.......................... 13,325
700 * Comcast Corp., Class A................................ 29,750
125 * Infinity Broadcasting Corp. .......................... 3,992
700 * Media One Group, Inc. ................................ 54,950
550 U S WEST, Inc. ....................................... 39,944
850 * Viacom, Inc., Class B................................. 47,387
-----------
234,019
-----------
BUILDING MATERIALS - 0.37%
400 Lowe's Companies, Inc. ............................... 19,050
550 Masco Corp. .......................................... 9,831
300 Sherwin-Williams Co. ................................. 5,738
250 Vulcan Materials Co. ................................. 10,000
-----------
44,619
-----------
CHEMICAL - MAJOR - 0.45%
600 PPG Industries, Inc. ................................. 29,625
600 Rohm and Haas Co. .................................... 24,225
-----------
53,850
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CHEMICAL - MISCELLANEOUS - 0.34%
50 A. Schulman, Inc. .................................... $ 663
450 Ecolab, Inc. ......................................... 12,713
50 Ferro Corp. .......................................... 944
50 Great Lakes Chemical Corp. ........................... 1,453
250 Lubrizol Corp. ....................................... 6,202
100 Lyondell Chemical Co. ................................ 856
100 Olin Corp. ........................................... 1,550
400 Praxair, Inc. ........................................ 13,500
50 Valspar Corp. ........................................ 1,641
150 * W.R. Grace & Co. ..................................... 1,509
-----------
41,031
-----------
CONGLOMERATES - 0.83%
200 ITT Industries, Inc. ................................. 4,850
400 Textron, Inc. ........................................ 24,400
1,850 Tyco International, Ltd. ............................. 70,184
-----------
99,434
-----------
CONSUMER FINANCE - 0.30%
200 Capital One Financial Corp. .......................... 7,363
1,225 MBNA Corp. ........................................... 27,869
-----------
35,232
-----------
CONTAINERS - METAL/GLASS - 0.80%
100 Ball Corp. ........................................... 2,694
450 Corning, Inc. ........................................ 84,600
300 Crown Cork & Seal Co., Inc. .......................... 4,200
300 * Owens-Illinois, Inc. ................................. 4,144
-----------
95,638
-----------
CONTAINERS - PAPER - 0.06%
100 Bemis Co., Inc. ...................................... 2,975
50 * Sealed Air Corp. ..................................... 2,483
100 Sonoco Products Co. .................................. 1,844
-----------
7,302
-----------
COSMETICS/TOILETRIES - 0.40%
200 Avon Products, Inc. .................................. 5,412
1,200 Gillette Co. ......................................... 42,300
-----------
47,712
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
44 February 29, 2000 (Unaudited)
SOCIALLY RESPONSIBLE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
DRUGS - 5.07%
100 Allergan, Inc. ....................................... $ 5,031
1,650 American Home Products Corp. ......................... 71,775
1,150 * Amgen, Inc. .......................................... 78,415
50 Bausch & Lomb, Inc. .................................. 2,638
2,550 Bristol Myers Squibb Co. ............................. 144,872
1,300 Eli Lilly and Co. .................................... 77,268
2,700 Merck & Co., Inc. .................................... 166,219
1,700 Schering-Plough Corp. ................................ 59,288
-----------
605,506
-----------
ELECTRONIC EQUIPMENT - 0.61%
150 * Cabletron Systems, Inc. .............................. 7,350
850 Emerson Electric Co. ................................. 38,727
250 Molex, Inc. .......................................... 13,969
150 * Teradyne, Inc. ....................................... 13,050
-----------
73,096
-----------
ELECTRONIC INSTRUMENTS - 0.18%
350 * Imation Corp. ........................................ 10,828
450 * Sensormatic Electronics Corp. ........................ 8,550
50 * Vishay Intertechnology, Inc. ......................... 2,150
-----------
21,528
-----------
ENTERTAINMENT - 1.94%
800 Carnival Corp., Class A............................... 23,050
50 Hasbro, Inc. ......................................... 787
450 Mattel, Inc. ......................................... 4,331
100 Metro-Goldwyn-Mayer, Inc. ............................ 2,388
1,500 Time Warner, Inc. .................................... 128,250
2,150 Walt Disney Co. ...................................... 72,025
-----------
230,831
-----------
FINANCIAL SERVICES - 0.85%
650 American Express Co. ................................. 87,221
200 * Convergys Corp. ...................................... 7,700
150 H & R Block, Inc. .................................... 6,581
-----------
101,502
-----------
FINANCE COMPANIES - 0.39%
700 Associates First Capital Corp. ....................... 13,913
100 Goldman Sachs Group, Inc. ............................ 9,250
750 Household International, Inc. ........................ 23,953
-----------
47,116
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FOODS - 1.27%
450 Best Foods............................................ $ 18,872
650 Campbell Soup Co. .................................... 18,444
1,200 ConAgra, Inc. ........................................ 19,650
350 General Mills, Inc. .................................. 11,528
450 H J Heinz Co. ........................................ 14,372
150 Hershey Foods Corp. .................................. 6,591
600 Kellogg Co. .......................................... 15,188
200 Quaker Oats Co. ...................................... 10,787
350 Ralston Purina Co. ................................... 9,909
1,100 Sara Lee Corp. ....................................... 16,500
150 Wm. Wrigley Jr. Co. .................................. 10,144
-----------
151,985
-----------
FOOTWEAR - 0.08%
350 NIKE, Inc., Class B................................... 9,953
-----------
FREIGHT - 0.06%
200 * FDX Corp. ............................................ 6,988
-----------
GOLD MINING - 0.24%
850 Barrick Gold Corp. ................................... 13,865
1,250 Homestake Mining Co. ................................. 8,125
750 * Placer Dome, Inc. .................................... 6,563
-----------
28,553
-----------
GOVERNMENT SPONSORED - 1.10%
1,050 Federal Home Loan Mortgage Corp. ..................... 43,838
1,550 Federal National Mortgage Association................. 82,150
150 SLM Holding Corp. .................................... 4,696
-----------
130,684
-----------
HARDWARE & TOOLS - 0.04%
200 Stanley Works......................................... 4,600
-----------
HEALTHCARE - 0.27%
200 Cardinal Health, Inc. ................................ 8,250
700 IMS Health, Inc. ..................................... 14,087
111 McKesson HBOC, Inc. .................................. 2,151
150 * United HealthCare Corp. .............................. 7,669
-----------
32,157
-----------
HOSPITAL MANAGEMENT - 0.13%
650 Columbia/HCA Healthcare Corp. ........................ 12,552
200 * Tenet Healthcare Corp. ............................... 3,500
-----------
16,052
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HOSPITAL SUPPLIES - 2.46%
1,950 Abbott Laboratories................................... $ 63,863
400 Baxter International, Inc. ........................... 21,800
150 Becton, Dickinson and Co. ............................ 4,659
300 * Boston Scientific Corp. .............................. 5,475
1,850 Johnson & Johnson..................................... 132,737
1,350 Medtronic, Inc. ...................................... 65,391
-----------
293,925
-----------
HOUSEHOLD PRODUCTS - 2.08%
250 Clorox Co. ........................................... 10,109
750 Colgate-Palmolive Co. ................................ 39,140
328 Newell Rubbermaid, Inc. .............................. 7,585
1,700 Procter & Gamble Co. ................................. 149,600
914 Unilever NV........................................... 41,587
-----------
248,021
-----------
INFORMATION PROCESSING - 0.18%
100 * Infospace.com, Inc. .................................. 21,700
-----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 5.28%
100 * BMC Software, Inc. ................................... 4,600
4,850 * Microsoft Corp. ...................................... 433,468
2,450 * Oracle Corp. ......................................... 181,913
450 * Peoplesoft, Inc. ..................................... 9,309
-----------
629,290
-----------
INFORMATION PROCESSING -
COMPUTER HARDWARE - 2.85%
100 * Adaptec, Inc. ........................................ 4,100
250 * Apple Computer, Inc. ................................. 28,656
1,700 Compaq Computer Corp. ................................ 42,287
1,800 * Dell Computer Corp. .................................. 73,463
300 * Gateway, Inc. ........................................ 20,625
150 * Lexmark International Group, Inc. .................... 17,888
1,600 * Sun Microsystems, Inc. ............................... 152,400
-----------
339,419
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 45
SOCIALLY RESPONSIBLE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
COMPUTER SERVICES - 2.69%
2,050 * America Online, Inc. ................................. $ 120,950
750 Automatic Data Processing, Inc. ...................... 32,672
200 * CMGI, Inc. ........................................... 25,913
100 * C-Net, Inc. .......................................... 6,688
150 * Critical Path, Inc. .................................. 12,919
483 * Earthlink, Inc. ...................................... 12,015
650 Electronic Data Systems Corp. ........................ 42,088
1,000 First Data Corp. ..................................... 45,000
300 Paychex, Inc. ........................................ 15,019
100 * Scient Corp. ......................................... 7,075
-----------
320,339
-----------
INFORMATION PROCESSING -
DATA SERVICES - 5.60%
50 Adobe Systems, Inc. .................................. 5,100
50 * At Home Corp. ........................................ 1,716
150 Autodesk, Inc. ....................................... 6,703
550 * Cendant Corp. ........................................ 9,797
600 Computer Associates International..................... 38,587
250 * Compuware Corp. ...................................... 5,531
150 * CSG Systems International, Inc. ...................... 7,706
850 * EMC Corp. ............................................ 101,150
50 Galileo International, Inc. .......................... 850
1,050 Hewlett Packard Co. .................................. 141,225
1,750 International Business Machines....................... 178,500
200 * Network Appliance, Inc. .............................. 37,750
50 * Novell, Inc. ......................................... 1,653
500 Pitney Bowes, Inc. ................................... 24,750
100 * PsiNet, Inc. ......................................... 4,638
450 * Seagate Technology, Inc. ............................. 22,444
250 * Solectron Corp. ...................................... 16,375
250 * Unisys Corp. ......................................... 7,484
350 Xerox Corp. .......................................... 7,591
300 * Yahoo!, Inc. ......................................... 47,905
-----------
667,455
-----------
INFORMATION PROCESSING - NETWORKING - 3.67%
250 * 3Com Corp. ........................................... 24,500
3,100 * Cisco Systems, Inc. .................................. 409,780
50 * Verio, Inc. .......................................... 3,753
-----------
438,033
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INSURANCE - CASUALTY - 0.12%
200 Chubb Corp. .......................................... $ 9,838
50 Progressive Corp. .................................... 2,975
50 St. Paul Companies, Inc. ............................. 1,119
-----------
13,932
-----------
INSURANCE - LIFE - 0.13%
150 Aetna, Inc. .......................................... 6,169
100 AXA Financial, Inc. .................................. 2,994
50 Conseco, Inc. ........................................ 731
200 Lincoln National Corp. ............................... 5,563
-----------
15,457
-----------
INSURANCE - MULTILINE - 2.08%
143 * Aegon NV - ADR........................................ 9,956
300 AFLAC, Inc. .......................................... 10,968
400 Allstate Corp. ....................................... 7,800
1,813 American International Group, Inc. ................... 160,337
275 Aon Corp. ............................................ 5,758
250 CIGNA Corp. .......................................... 18,453
50 Cincinnati Financial Corp. ........................... 1,494
150 Hartford Financial Services Group, Inc. .............. 4,687
350 Marsh & McLennan Companies, Inc. ..................... 27,081
100 UnumProvident Corp. .................................. 1,338
-----------
247,872
-----------
LODGING - 0.01%
50 Marriott International, Inc. ......................... 1,378
-----------
MACHINERY - AGRICULTURE - 0.12%
400 Deere & Co. .......................................... 14,300
-----------
MACHINERY - CONSTRUCTION & CONTRACTS - 0.17%
550 Caterpillar, Inc. .................................... 19,284
50 Fluor Corp. .......................................... 1,422
-----------
20,706
-----------
MACHINERY -
INDUSTRIAL/SPECIALTY - 1.05%
50 Cooper Industries, Inc. .............................. 1,513
1,350 Dover Corp. .......................................... 52,058
450 Illinois Tool Works, Inc. ............................ 23,258
150 Ingersoll-Rand Co. ................................... 5,747
300 Pall Corp. ........................................... 5,925
200 Parker Hannifin Corp. ................................ 7,250
950 Tidewater, Inc. ...................................... 26,897
150 Timken Co. ........................................... 2,147
-----------
124,795
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MEDICAL TECHNOLOGY - 0.32%
250 * Guidant Corp. ........................................ $ 16,844
200 PE Corp - PE Biosystems Group......................... 21,100
-----------
37,944
-----------
MERCHANDISE - DRUG - 0.30%
300 CVS Corp. ............................................ 10,500
1,000 Walgreen Co. ......................................... 25,813
-----------
36,313
-----------
MERCHANDISE - SPECIALTY - 2.11%
200 * Best Buy Co., Inc. ................................... 10,875
150 * Circuit City Stores, Inc. ............................ 6,056
400 Costco Wholesale Corp. ............................... 19,850
862 Gap, Inc. ............................................ 41,645
2,475 Home Depot, Inc. ..................................... 143,085
50 * Kohl's Corp. ......................................... 3,791
100 Limited, Inc. ........................................ 3,400
150 * Office Depot, Inc. ................................... 1,828
350 * Staples, Inc. ........................................ 9,450
200 Tandy Corp. .......................................... 7,613
150 TJX Companies, Inc. .................................. 2,391
150 * Toys "R" Us, Inc. .................................... 1,855
-----------
251,839
-----------
MERCHANDISING - DEPARTMENT - 0.24%
50 * Federated Department Stores, Inc. .................... 1,834
450 Target Corp. ......................................... 26,550
-----------
28,384
-----------
MERCHANDISING - FOOD - 0.39%
276 Albertsons, Inc. ..................................... 6,762
750 * Kroger Co. ........................................... 11,156
400 * Safeway, Inc. ........................................ 15,425
400 SYSCO Corp. .......................................... 13,125
-----------
46,468
-----------
MERCHANDISING - MASS - 2.03%
100 J.C. Penney Co., Inc. ................................ 1,575
50 * Priceline.com, Inc. .................................. 2,797
400 Sears Roebuck and Co. ................................ 11,025
4,650 Wal-Mart Stores, Inc. ................................ 226,396
-----------
241,793
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
46 February 29, 2000 (Unaudited)
SOCIALLY RESPONSIBLE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
METALS - ALUMINUM - 0.24%
850 Alcan Aluminium, Ltd. ................................ $ 28,050
-----------
METALS - COPPER - 0.06%
300 Newmont Mining Corp. ................................. 6,638
-----------
METALS - MISCELLANEOUS - 0.08%
100 Engelhard Corp. ...................................... 1,363
200 * Freeport-McMoRan Copper & Gold, Inc., Class B......... 2,750
300 * Inco, Ltd. ........................................... 5,250
-----------
9,363
-----------
METALS - STEEL - 0.09%
50 AK Steel Holding Corp. ............................... 416
100 * Bethlehem Steel Corp. ................................ 569
100 Carpenter Technology Corp. ........................... 2,225
50 Cleveland-Cliffs, Inc. ............................... 1,247
50 Harsco Corp. ......................................... 1,241
100 USX-US Steel Group, Inc. ............................. 2,188
250 Worthington Industries, Inc. ......................... 3,313
-----------
11,199
-----------
MISCELLANEOUS - 0.09%
50 Avx Corp. ............................................ 3,175
50 * Ebay, Inc. ........................................... 7,169
50 Valhi, Inc. .......................................... 556
-----------
10,900
-----------
NATURAL GAS - DIVERSIFIED - 0.53%
100 Eastern Enterprises................................... 5,788
950 El Paso Energy Corp. ................................. 35,208
800 Kinder Morgan, Inc. .................................. 22,300
-----------
63,296
-----------
OIL - INTEGRATED DOMESTIC - 0.13%
500 Ashland Oil, Inc. .................................... 15,563
-----------
OIL - SERVICE - PRODUCTS - 0.25%
200 * Cooper Cameron Corp. ................................. 11,050
450 * Noble Drilling Corp. ................................. 16,200
200 * Varco International, Inc. ............................ 2,213
-----------
29,463
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
OIL - SERVICES - 0.96%
700 Baker Hughes, Inc. ................................... $ 18,113
350 ENSCO International, Inc. ............................ 10,588
950 Halliburton Co. ...................................... 36,277
200 * Nabors Industries, Inc. .............................. 7,175
500 * Rowan Companies, Inc. ................................ 12,563
400 Schlumberger, Ltd. ................................... 29,550
-----------
114,266
-----------
OIL/GAS PRODUCERS - 0.58%
200 Diamond Offshore Drilling, Inc. ...................... 6,350
1,600 Helmerich & Payne, Inc. .............................. 42,600
525 Transocean Sedco Forex, Inc. ......................... 20,705
-----------
69,655
-----------
PAPER/FOREST PRODUCTS - 0.68%
300 Avery Dennison Corp. ................................. 18,206
300 Fort James Corp. ..................................... 5,644
50 Georgia-Pacific Corp. (Timber Group).................. 1,103
900 Kimberly-Clark Corp. ................................. 46,518
100 Rayonier, Inc. ....................................... 3,975
150 Willamette Industries, Inc. .......................... 5,091
-----------
80,537
-----------
POLLUTION CONTROL - 0.02%
150 Waste Management, Inc. ............................... 2,250
-----------
PUBLISHING - NEWS - 0.42%
150 Dow Jones & Co., Inc. ................................ 9,356
400 Gannett Co., Inc. .................................... 26,075
200 New York Times Co., Class A........................... 8,450
150 Tribune Co. .......................................... 5,841
-----------
49,722
-----------
PUBLISHING/PRINTING - 0.46%
1,500 Dun & Bradstreet Corp. ............................... 39,281
300 McGraw-Hill, Inc. .................................... 15,263
-----------
54,544
-----------
RAILROAD - 0.56%
1,100 Burlington Northern Santa Fe Corp. ................... 21,656
450 CSX Corp. ............................................ 9,984
100 Kansas City Southern Industries, Inc. ................ 7,875
300 Norfolk Southern Corp. ............................... 4,069
600 Union Pacific Corp. .................................. 22,800
-----------
66,384
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - 0.05%
100 Equity Residential Properties Trust................... $ 3,994
100 Public Storage, Inc. ................................. 2,206
-----------
6,200
-----------
RESTAURANTS - 0.49%
1,800 McDonald's Corp. ..................................... 56,813
50 * Tricon Global Restaurants, Inc. ...................... 1,331
-----------
58,144
-----------
SAVINGS & LOAN - 0.09%
500 Washington Mutual, Inc. .............................. 11,063
-----------
SECURITIES RELATED - 2.44%
750 Charles Schwab Corp. ................................. 31,359
150 Franklin Resources, Inc. ............................. 4,078
250 J. P. Morgan & Co., Inc. ............................. 27,750
100 Lehman Brothers Holdings, Inc. ....................... 7,250
450 Merrill Lynch & Co., Inc. ............................ 46,125
1,400 Morgan Stanley Dean Witter & Co. ..................... 98,612
550 Standard & Poor's Depositary Receipts................. 75,436
-----------
290,610
-----------
SEMICONDUCTOR EQUIPMENT - 0.82%
450 * Applied Materials, Inc. .............................. 82,322
200 * KLA-Tencor Corp. ..................................... 15,588
-----------
97,910
-----------
SEMICONDUCTORS - 7.16%
200 * Advanced Micro Devices, Inc. ......................... 7,825
200 * Analog Devices, Inc. ................................. 31,400
250 * Cirrus Logic, Inc. ................................... 5,203
2,900 Intel Corp. .......................................... 327,700
200 * LSI Logic Corp. ...................................... 12,813
500 * Micron Technology, Inc. .............................. 49,031
993 Motorola, Inc. ....................................... 169,307
250 * National Semiconductor Corp. ......................... 18,781
350 Rockwell International Corp. ......................... 15,838
1,250 Texas Instruments, Inc. .............................. 208,125
100 * Xilinx, Inc. ......................................... 7,975
-----------
853,998
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 47
SOCIALLY RESPONSIBLE FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS - 6.93%
100 * ADC Communications, Inc. ............................. $ 4,488
250 ALLTEL Corp. ......................................... 14,500
3,350 AT&T Corp. ........................................... 165,616
655 * Global Crossing, Ltd. ................................ 30,539
100 * Level 3 Communications, Inc. ......................... 11,388
2,930 Lucent Technologies, Inc. ............................ 174,335
2,625 * MCI Worldcom, Inc. ................................... 117,141
300 * Nextel Communications, Inc., Class A.................. 40,894
1,300 Nortel Networks Corp. ................................ 144,950
600 * QUALCOMM, Inc. ....................................... 85,463
200 Scientific-Atlanta, Inc. ............................. 20,538
350 * Tellabs, Inc. ........................................ 16,800
-----------
826,652
-----------
TEXTILE - PRODUCTS - 0.55%
2,650 V. F. Corp. .......................................... 65,422
-----------
UTILITIES - COMMUNICATION - 3.75%
1,500 Bell Atlantic Corp. .................................. 73,406
2,250 BellSouth Corp. ...................................... 91,688
1,100 GTE Corp. ............................................ 64,900
3,576 SBC Communications, Inc. ............................. 135,888
1,000 Sprint Corp. FON Group................................ 61,000
400 * Sprint Corp. PCS Group................................ 20,700
-----------
447,582
-----------
UTILITIES - ELECTRIC - 2.07%
850 Alliant Energy Corp. ................................. 23,906
1,400 Central & South West Corp. ........................... 23,538
2,050 Constellation Energy Group, Inc. ..................... 60,988
700 DPL, Inc. ............................................ 15,050
250 Idacorp, Inc. ........................................ 7,969
1,900 Indiana Energy, Inc. ................................. 30,994
750 New Century Energies, Inc. ........................... 20,297
500 Northern States Power Co. ............................ 8,781
900 OGE Energy Corp. ..................................... 15,469
750 Potomac Electric Power Co. ........................... 15,234
600 Puget Sound Energy, Inc. ............................. 12,188
406 Scottish Power, Plc. - ADR............................ 12,205
50 Sierra Pacific Resources.............................. 681
-----------
247,300
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
UTILITIES - GAS, DISTRIBUTION - 1.20%
4,500 AGL Resources, Inc. .................................. $ 76,781
400 MCN Energy Group, Inc. ............................... 9,625
1,350 National Fuel Gas Co. ................................ 55,266
50 NICOR, Inc. .......................................... 1,519
-----------
143,191
-----------
UTILITIES - GAS, PIPELINE - 0.86%
1,950 ONEOK, Inc. .......................................... 44,241
2,000 Peoples Energy Corp. ................................. 57,875
-----------
102,116
-----------
TOTAL COMMON STOCK
(Cost $9,553,530)..................................... 10,977,709
-----------
<CAPTION>
PAR
VALUE
---------
<C> <S> <C>
CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT - 7.36%
BANKS - OTHER - 7.36%
$878,000 State Street Bank Repurchase Agreement, 5.65%, dated
02/29/00, to be repurchased at $878,138 on 03/01/00,
collateralized by U.S. Treasury Note, 7.25%, 08/15/04,
with a par value of $875,000 (Cost $878,000).......... 878,000
-----------
TOTAL CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT
(Cost $878,000)....................................... 878,000
-----------
UNITED STATES GOVERNMENT -
SHORT-TERM - 0.63%
U. S. TREASURY BILLS - 0.63%
United States Treasury Bills:
25,000 5.61% due 04/20/00.................................... 24,805
25,000 5.20% due 03/30/00.................................... 24,895
25,000 5.15% due 03/02/00.................................... 24,996
-----------
74,696
-----------
TOTAL UNITED STATES GOVERNMENT -
SHORT-TERM
(Cost $74,696)........................................ 74,696
-----------
TOTAL INVESTMENTS
(Cost $10,506,226) - 100.01%.......................... $11,930,405
-----------
*Non-income producing
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
<S> <C>
- -------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED(/1/)
(Delivery month/Value at 02/29/00)
3(/2/) S&P 500 Futures
(March/$1,372).......................................... $ (24,062)
-------------
(/1/) U.S. Treasury Bills with a market value of approximately $75,000 were
maintained in a segregated account with a portion placed as collateral
for futures contracts.
(/2/) Per 250.
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $10,506,226)....................... $ 11,930,405
Receivable for:
Fund shares sold............................................... 13,427
Dividends and interest......................................... 10,064
Other assets.................................................... 20,094
-------------
TOTAL ASSETS.................................................... 11,973,990
-------------
LIABILITIES:
Payable to affiliates:
Advisory fees.................................................. 794
Administrative fees............................................ 4,717
Accounting services............................................ 567
Other.......................................................... 13,761
Accrued expenses and other liabilities.......................... 25,442
-------------
TOTAL LIABILITIES............................................... 45,281
-------------
NET ASSETS...................................................... $ 11,928,709
-------------
</TABLE>
- -------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized,
922,044 shares outstanding.......................................... $ 9,220
Additional paid in capital.......................................... 10,423,820
Undistributed net realized gain on securities....................... 94,631
Undistributed net investment income................................. 921
Unrealized appreciation (depreciation) of:
Investments............................................ $ 1,424,179
Futures contracts...................................... (24,062) 1,400,117
----------- -----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................... $11,928,709
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- -------------------------------------------------------------------------------
<PAGE>
48 SOCIALLY RESPONSIBLE FUND (Unaudited) - CONTINUED
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 2000
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends....................................................... $ 66,189
Interest........................................................ 11,896
--------
Total investment income........................................ 78,085
--------
EXPENSES:
Custodian fees.................................................. 15,994
Advisory fees................................................... 14,016
Administrative service fee...................................... 14,016
Report to shareholders.......................................... 8,727
Audit fees and tax services..................................... 6,628
Legal fees...................................................... 3,810
Trustees' fees and expenses..................................... 2,055
Accounting services............................................. 1,682
Pricing services................................................ 815
Registration and filing fees.................................... 135
Miscellaneous................................................... 1,130
--------
Total expenses................................................. 69,008
Expense reimbursement (see Note 3)............................. (37,587)
--------
Net expenses................................................... 31,421
--------
NET INVESTMENT INCOME........................................... 46,664
--------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain on securities:
Investments........................................... $ 85,859
Future contracts...................................... 11,402 97,261
--------
Net unrealized appreciation (depreciation) of securities during
the period:
Investments........................................... 329,038
Futures contracts..................................... (26,762) 302,276
-------- --------
Net realized and unrealized gain on securities during the
period....................................................... 399,537
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................ $446,201
--------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
February 29, 2000 August 31, 1999
---------------------------------
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income....................... $ 46,664 $ 86,901
Net realized gain on securities............. 97,261 675,026
Net unrealized appreciation of securities
during the period.......................... 302,276 1,097,841
---------------------------------
Increase in net assets resulting from
operations................................ 446,201 1,859,768
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ...................... (47,079) (85,565)
Net realized gain on securities............. (391,923) (285,733)
---------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (439,002) (371,298)
---------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 1,358,178 8,600,154
Proceeds from shares issued for
distributions reinvested................... 439,002 371,298
---------------------------------
1,797,180 8,971,452
Cost of shares repurchased.................. (179,609) (162,650)
---------------------------------
Increase in net assets resulting
from share transactions................... 1,617,571 8,808,802
---------------------------------
TOTAL INCREASE IN NET ASSETS................ 1,624,770 10,297,272
NET ASSETS:
Beginning of year........................... 10,303,939 6,667
---------------------------------
End of period (including undistributed net
investment income of $921 and $1,336)...... $11,928,709 $10,303,939
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 102,605 781,747
Shares issued for distributions reinvested.. 32,673 30,223
Shares repurchased.......................... (13,521) (12,350)
---------------------------------
Increase in shares outstanding............. 121,757 799,620
Shares outstanding:
Beginning of year.......................... 800,287 667
---------------------------------
End of period.............................. 922,044 800,287
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) BALANCED FUND 49
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 64.81%
AEROSPACE/DEFENSE - 1.52%
2,500 Lockheed Martin Corp. ................................ $ 43,594
1,200 Raytheon Co., Class B................................. 22,200
1,900 United Technologies Corp. ............................ 96,781
-----------
162,575
-----------
AIRLINES - 0.21%
700 * Continental Airlines, Inc., Class B................... 22,138
-----------
APPAREL & PRODUCTS - 0.26%
2,400 * Tommy Hilfiger Corp. ................................. 27,900
-----------
AUTO - CARS - 0.39%
4,900 * Autonation, Inc. ..................................... 37,056
300 Delphi Automotive Systems Corp. ...................... 5,006
-----------
42,062
-----------
AUTO - ORIGINAL EQUIPMENT - 0.29%
2,300 Federal-Mogul Corp. .................................. 31,338
-----------
BANKS - NEW YORK CITY - 0.57%
1,175 Citigroup, Inc. ...................................... 60,733
-----------
BANKS - OTHER - 1.39%
2,378 Bank of America Corp. ................................ 109,537
1,200 Wells Fargo Co. ...................................... 39,675
-----------
149,212
-----------
BANKS - REGIONAL - 0.75%
3,100 BankOne Corp. ........................................ 80,019
-----------
BEVERAGE - SOFT DRINKS - 0.42%
1,400 PepsiCo, Inc. ........................................ 45,150
-----------
BROADCASTING - 2.82%
900 * Adelphia Communications Corp.,
Class A............................................... 49,444
1,600 * Cablevision Systems Corp., Class A.................... 102,700
1,000 * Charter Communications, Inc., Class A................. 17,563
2,400 * Viacom, Inc., Class B................................. 133,800
-----------
303,507
-----------
BUILDING MATERIALS - 0.71%
1,600 Lowe's Companies, Inc. ............................... 76,200
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CHEMICAL - MISCELLANEOUS - 0.85%
2,500 Ecolab, Inc. ......................................... $ 70,625
1,500 IMC Global, Inc. ..................................... 20,250
-----------
90,875
-----------
CONGLOMERATES - 1.20%
800 Textron, Inc. ........................................ 48,800
2,100 Tyco International, Ltd. ............................. 79,669
-----------
128,469
-----------
COSMETICS/TOILETRIES - 0.63%
2,500 Avon Products, Inc. .................................. 67,656
-----------
DRUGS - 3.21%
4,360 Astrazeneca, Plc. - ADR............................... 144,425
1,100 * Forest Laboratories, Inc. ............................ 75,144
3,900 Pfizer, Inc. ......................................... 125,288
-----------
344,857
-----------
ELECTRICAL EQUIPMENT - 1.72%
800 Emerson Electric Co. ................................. 36,450
200 General Electric Co. ................................. 26,438
1,400 * Teradyne, Inc. ....................................... 121,800
-----------
184,688
-----------
ELECTRONIC EQUIPMENT - 1.17%
400 Sony Corp. - ADR...................................... 125,350
-----------
ENTERTAINMENT - 3.14%
2,600 Carnival Corp., Class A............................... 74,913
2,800 * Fox Entertainment Group, Inc. ........................ 73,675
2,700 Hasbro, Inc. ......................................... 42,525
1,700 Time Warner, Inc. .................................... 145,350
-----------
336,463
-----------
FINANCE COMPANIES - 1.17%
2,800 Associates First Capital Corp. ....................... 55,650
2,200 Household International, Inc. ........................ 70,263
-----------
125,913
-----------
FOODS - 2.10%
1,900 Campbell Soup Co. .................................... 53,913
1,900 General Mills, Inc. .................................. 62,581
4,300 Kellogg Co. .......................................... 108,844
-----------
225,338
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FOOTWEAR - 0.08%
300 NIKE, Inc., Class B................................... $ 8,531
-----------
FUNERAL SERVICES - 0.14%
4,000 Service Corp. International........................... 14,750
-----------
GOVERNMENT SPONSORED - 0.79%
2,700 SLM Holding Corp. .................................... 84,544
-----------
HARDWARE & TOOLS - 0.15%
500 Black & Decker Corp. ................................. 16,469
-----------
HEALTHCARE - 1.20%
500 * PacifiCare Health Systems, Inc., Class A.............. 22,719
2,700 * Quintiles Transnational Corp. ........................ 80,156
500 * United HealthCare Corp. .............................. 25,563
-----------
128,438
-----------
HOSPITAL SUPPLIES - 1.16%
1,500 Becton, Dickinson and Co. ............................ 46,594
1,600 Medtronic, Inc. ...................................... 77,500
-----------
124,094
-----------
HOUSEHOLD PRODUCTS - 0.72%
1,900 Clorox Co. ........................................... 76,831
-----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 0.66%
3,400 * Peoplesoft, Inc. ..................................... 70,338
-----------
INFORMATION PROCESSING -
COMPUTER HARDWARE - 1.30%
2,800 Compaq Computer Corp. ................................ 69,650
1,700 * Dell Computer Corp. .................................. 69,381
-----------
139,031
-----------
INFORMATION PROCESSING -
DATA SERVICES - 2.59%
1,100 Autodesk, Inc. ....................................... 49,155
1,500 Galileo International, Inc. .......................... 25,500
900 Hewlett Packard Co. .................................. 121,050
600 International Business Machines....................... 61,200
600 * Policy Management Systems Corp. ...................... 5,325
1,200 * Storage Technology Corp. ............................. 15,300
-----------
277,530
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
50 February 29, 2000 (Unaudited)
BALANCED FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING - NETWORKING - 0.73%
300 * Cisco Systems, Inc. .................................. $ 39,655
200 * PMC-Sierra, Inc. ..................................... 38,613
-----------
78,268
-----------
INSURANCE - LIFE - 0.25%
200 Jefferson-Pilot Corp. ................................ 10,412
600 Lincoln National Corp. ............................... 16,688
-----------
27,100
-----------
INSURANCE - MISCELLANEOUS - 1.18%
2 * Berkshire Hathaway, Inc., Class A..................... 88,000
1,050 PMI Group, Inc. ...................................... 38,127
-----------
126,127
-----------
INSURANCE - MULTILINE - 1.40%
1,000 Allstate Corp. ....................................... 19,499
1,400 Cincinnati Financial Corp. ........................... 41,825
1,300 Hartford Financial Services Group, Inc. .............. 40,625
1,200 XL Capital, Ltd. ..................................... 48,525
-----------
150,474
-----------
LEISURE TIME - 0.18%
1,200 * Mirage Resorts, Inc. ................................. 19,050
-----------
MACHINERY -
INDUSTRIAL/SPECIALTY - 1.13%
1,800 Dover Corp. .......................................... 69,412
1,000 Illinois Tool Works, Inc. ............................ 51,688
-----------
121,100
-----------
MEDICAL TECHNOLOGY - 3.06%
2,700 * Guidant Corp. ........................................ 181,912
1,400 PE Corp - PE Biosystems Group......................... 147,700
-----------
329,612
-----------
MERCHANDISE - SPECIALTY - 0.75%
1,100 American Greetings Corp., Class A..................... 18,974
1,000 Blockbuster, Inc. .................................... 13,688
500 Circuit City Stores, Inc. ............................ 20,188
900 * Williams-Sonoma, Inc. ................................ 27,844
-----------
80,694
-----------
MERCHANDISING - FOOD - 0.41%
1,800 Albertsons, Inc. ..................................... 44,100
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISING - MASS - 0.23%
500 Wal-Mart Stores, Inc. ................................ $ 24,344
-----------
METALS - MISCELLANEOUS - 0.56%
300 Alcoa, Inc. .......................................... 20,550
800 * Sealed Air Corp. ..................................... 39,750
-----------
60,300
-----------
MISCELLANEOUS - 0.68%
700 * Agilent Technologies, Inc. ........................... 72,581
-----------
MULTIMEDIA - 0.61%
3,300 * Cadence Design Systems, Inc. ......................... 65,794
-----------
OIL - SERVICES - 0.87%
2,400 Baker Hughes, Inc. ................................... 62,100
800 Transocean Sedco Forex, Inc. ......................... 31,550
-----------
93,650
-----------
OIL/GAS PRODUCERS - 2.22%
300 Chevron Corp. ........................................ 22,405
1,728 Exxon Mobil Corp. .................................... 130,140
1,600 Shell Transport & Trading
Company - ADR......................................... 66,500
400 Texaco, Inc. ......................................... 18,975
-----------
238,020
-----------
PAPER/FOREST PRODUCTS - 0.56%
1,800 Fort James Corp. ..................................... 33,862
500 Kimberly-Clark Corp. ................................. 25,844
-----------
59,706
-----------
RAILROAD - 0.39%
800 Canadian National Railway Co. ........................ 18,849
600 Union Pacific Corp. .................................. 22,800
-----------
41,649
-----------
REAL ESTATE INVESTMENT TRUSTS - 0.38%
3,200 Indymac Mortgage Holdings, Inc. ...................... 40,600
-----------
RESTAURANTS - 0.26%
800 * Starbucks Corp. ...................................... 28,100
-----------
SAVINGS & LOAN - 0.35%
1,708 Washington Mutual, Inc. .............................. 37,790
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT - 3.31%
500 * Applied Materials, Inc. .............................. $ 91,468
2,400 * KLA-Tencor Corp. ..................................... 187,050
500 * LAM Research Corp. ................................... 78,063
-----------
356,581
-----------
SEMICONDUCTORS - 3.78%
900 * Advanced Micro Devices, Inc. ......................... 35,212
400 * Altera Corp. ......................................... 31,900
300 * Applied Micro Circuits Corp. ......................... 82,519
100 Burr-Brown Corp. ..................................... 5,870
800 Intel Corp. .......................................... 90,400
1,400 * Maxim Integrated Products, Inc. ...................... 93,538
400 Texas Instruments, Inc. .............................. 66,600
-----------
406,039
-----------
TELECOMMUNICATIONS - 3.47%
1,150 AT&T Corp. ........................................... 56,852
3,000 * AT&T Corp. - Liberty Media Group...................... 156,750
1,342 * MCI Worldcom, Inc. ................................... 59,887
500 * Nokia Corp. - ADR, Class A............................ 99,156
-----------
372,645
-----------
TEXTILE - PRODUCTS - 0.18%
800 V. F. Corp. .......................................... 19,750
-----------
TOBACCO - 0.28%
1,500 Philip Morris Companies, Inc. ........................ 30,094
-----------
UTILITIES - COMMUNICATION - 1.25%
2,200 Sprint Corp. FON Group................................ 134,200
-----------
UTILITIES - ELECTRIC - 2.02%
1,600 * AES Corp. ............................................ 134,099
1,100 American Electric Power, Inc. ........................ 30,938
1,000 Cinergy Corp. ........................................ 21,375
1,600 Northeast Utilities................................... 30,100
-----------
216,512
-----------
UTILITIES - GAS, PIPELINE - 1.01%
2,600 Williams Companies, Inc. ............................. 108,713
-----------
TOTAL COMMON STOCK
(Cost $6,087,884)..................................... 6,954,592
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 51
BALANCED FUND - CONTINUED
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -----------------------------------------------------------------------------
CORPORATE BONDS - LONG-TERM - 10.61%
AIRLINES - 0.90%
$100,000 Delta Air Lines, Inc.,
7.70% due 12/05/05.............................. $ 96,300
-----------
BROADCASTING - 0.75%
100,000(/1/) Fox/Liberty Networks, LLC,
zero coupon due 08/15/07........................ 80,250
-----------
ELECTRICAL EQUIPMENT - 0.89%
100,000 Philips Electronics N.V.,
7.20% due 06/01/26.............................. 95,217
-----------
FINANCE COMPANIES - 1.62%
80,000 Discover Card Master Trust I,
5.60% due 05/15/06.............................. 75,624
100,000 Green Tree Financial Corp., Class A7,
7.14% due 01/15/29.............................. 98,000
-----------
173,624
-----------
FINANCIAL SERVICES - 2.51%
100,000 Charter Communications Holding,
8.25% due 04/01/07.............................. 91,750
100,000 Ford Motor Credit Co.,
5.80% due 01/12/09.............................. 86,936
100,000 Household Finance Corp.,
6.40% due 06/17/08.............................. 90,526
-----------
269,212
-----------
FOODS - 0.88%
100,000 Nabisco, Inc.,
7.55% due 06/15/15.............................. 93,979
-----------
METALS - ALUMINUM - 0.80%
100,000 Scotia Pacific Co., LLC, Series B,
7.11% due 01/20/14.............................. 86,128
-----------
POLLUTION CONTROL - 0.87%
100,000 WMX Technologies, Inc.,
7.10% due 08/01/26.............................. 93,786
-----------
TELECOMMUNICATIONS - 0.50%
50,000(/1/) Omnipoint Corp.,
11.50% due 09/15/09............................. 54,000
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
UTILITIES - COMMUNICATION - 0.89%
$100,000 GTE Corp.,
7.90% due 02/01/27................................ $ 95,730
-----------
TOTAL CORPORATE BONDS -
LONG-TERM
(Cost $1,222,816)................................. 1,138,226
-----------
UNITED STATES GOVERNMENT -
LONG-TERM - 21.14%
FEDERAL AGENCIES - 6.98%
100,000 Federal Home Loan Bank,
5.13% due 09/15/03................................ 94,047
Government National Mortgage Association:
202,975 7.00% due 09/15/28................................ 194,539
240,434 7.00% due 11/25/28................................ 230,442
246,654 6.50% due 06/15/29................................ 229,773
-----------
748,801
-----------
GOVERNMENT SPONSORED - 4.34%
400,000 Federal National Mortgage Association,
6.00% due 05/15/08................................ 370,124
100,000(/1/) Government Lease Trust, Class A2,
6.18% due 05/18/05................................ 95,847
-----------
465,971
-----------
UNITED STATES NOTES - 9.82%
United States Treasury Notes:
650,000 6.88% due 05/15/06................................ 655,889
300,000 6.38% due 08/15/02................................ 298,686
100,000 6.25% due 02/15/03................................ 99,031
-----------
1,053,606
-----------
TOTAL UNITED STATES GOVERNMENT -
LONG-TERM
(Cost $2,333,297)................................. 2,268,378
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT - 6.76%
BANKS - OTHER - 6.76%
$725,000 State Street Bank Repurchase Agreement, 5.65%, dated
02/29/00, to be repurchased at $725,114 on 03/01/00,
collateralized by U.S. Treasury Notes, 7.25%, 08/15/04,
with a par value of $725,000 (Cost $725,000)........... $ 725,000
-----------
TOTAL CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT
(Cost $725,000)........................................ 725,000
-----------
TOTAL INVESTMENTS
(Cost $10,368,997) - 103.32%........................... $11,086,196
-----------
*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 February 29,
2000, the aggregate value of these securities was $230,097 representing
2.14% of net assets.
- --------------------------------------------------------------------------------
<PAGE>
52 February 29, 2000 (Unaudited)
BALANCED FUND - CONTINUED
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $10,368,997).......................... $11,086,196
Receivable for:
Investment sold................................................... 17,933
Fund shares sold.................................................. 75,131
Dividends and interest............................................ 50,918
Other assets....................................................... 1,864
-----------
TOTAL ASSETS....................................................... 11,232,042
-----------
LIABILITIES:
Payable for investments purchased.................................. 491,688
Payable to affiliates:
Advisory fees..................................................... 842
Administrative fees............................................... 1,509
Accounting services............................................... 181
Other............................................................. 4,356
Accrued expenses and other liabilities............................. 3,484
-----------
TOTAL LIABILITIES.................................................. 502,060
-----------
NET ASSETS......................................................... $10,729,982
-----------
- -------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized,
880,728 shares outstanding......................................... $ 8,807
Additional paid in capital......................................... 9,657,108
Undistributed realized gain on securities.......................... 345,065
Undistributed net investment income................................ 1,803
Unrealized appreciation of securities.............................. 717,199
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $10,729,982
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
BALANCED FUND (Unaudited) - CONTINUED 53
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 2000
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends............................................................ $ 33,716
Interest............................................................. 118,580
--------
Total investment income............................................. 152,296
--------
EXPENSES:
Advisory fees........................................................ 37,512
Custodian fees....................................................... 12,950
Administration service fee........................................... 11,723
Report to shareholders............................................... 7,254
Audit fees and tax services.......................................... 5,498
Legal fees........................................................... 3,158
Trustees' fees and expenses.......................................... 1,725
Accounting services.................................................. 1,407
Pricing services..................................................... 667
Registration and filing fees......................................... 68
Miscellaneous........................................................ 1,078
--------
Total expenses...................................................... 83,040
Expense reimbursement (see Note 3).................................. (44,522)
--------
Net expenses........................................................ 38,518
--------
NET INVESTMENT INCOME................................................ 113,778
--------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities...................................... 345,172
Net unrealized depreciation of securities during the period.......... (6,423)
--------
Net realized and unrealized gain on securities during the period..... 338,749
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................... $452,527
--------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
February 29, 2000 August 31, 1999
---------------------------------
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income....................... $ 113,778 $ 150,185
Net realized gain on securities............. 345,172 466,887
Net unrealized appreciation (depreciation)
of
securities during the period................ (6,423) 723,622
---------------------------------
Increase in net assets resulting from
operations................................. 452,527 1,340,694
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ...................... (113,561) (148,979)
Net realized gain on securities............. (432,943) (34,051)
---------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (546,504) (183,030)
---------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 1,912,473 7,231,067
Proceeds from shares issued for
distributions reinvested.................... 546,504 183,030
---------------------------------
2,458,977 7,414,097
Cost of shares repurchased.................. (172,353) (41,093)
---------------------------------
Increase in net assets resulting
from share transactions.................... 2,286,624 7,373,004
---------------------------------
TOTAL INCREASE IN NET ASSETS................ 2,192,647 8,530,668
NET ASSETS:
Beginning of year........................... 8,537,335 6,667
---------------------------------
End of period (including undistributed net
investment income of $1,803 and $1,586)..... $10,729,982 $8,537,335
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 156,335 680,625
Shares issued for distributions reinvested.. 45,202 15,285
Shares repurchased.......................... (14,043) (3,343)
---------------------------------
Increase in shares outstanding............. 187,494 692,567
Shares outstanding:
Beginning of year.......................... 693,234 667
---------------------------------
End of period.............................. 880,728 693,234
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
54 February 29, 2000 (Unaudited)
HIGH YIELD BOND FUND
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORPORATE BONDS - 92.32%
ADVERTISING - 0.83%
$ 50,000 Interep National Radio Sales, Series B,
10.00% due 07/01/08............................... $ 46,250
-----------
APPAREL & PRODUCTS - 3.34%
87,000 Anvil Knitwear, Inc., Series B,
10.88% due 03/15/07............................... 72,428
100,000 Bell Sports, Inc.,
11.00% due 08/15/08............................... 98,500
50,000(/1/) Galey & Lord, Inc.,
9.13% due 03/01/08................................ 15,250
-----------
186,178
-----------
AUTO - REPLACEMENT PARTS - 3.62%
200,000 Hayes Wheels International, Inc.,
11.00% due 07/15/06............................... 202,000
-----------
BROADCASTING - 4.72%
25,000 Coaxial Communication, Inc.,
10.00% due 08/15/06............................... 23,906
50,000 Cumulus Media, Inc.,
10.38% due 07/01/08............................... 51,000
75,000 Echostar DBS Corp.,
9.38% due 02/01/09................................ 73,313
100,000 Golden Sky DBS, Inc.,
zero coupon due 03/01/07.......................... 66,250
50,000 Spanish Broadcasting Systems, Inc.,
9.63% due 11/01/09................................ 49,125
-----------
263,594
-----------
BUILDING MATERIALS - 0.40%
50,000(/1/) Uniforet, Inc.,
11.13% due 10/15/06............................... 22,500
-----------
CHEMICAL - MAJOR - 2.90%
25,000 Koppers Industries, Inc.,
9.88% due 12/01/07................................ 23,250
100,000 Polymer Group, Inc.,
9.00% due 07/01/07................................ 94,000
50,000 Royster-Clark, Inc.,
10.25% due 04/01/09............................... 44,500
-----------
161,750
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CHEMICAL - MISCELLANEOUS - 2.39%
$100,000 Lyondell Chemical Co.,
9.63% due 05/01/07................................ $ 95,375
40,000 Lyondell Chemical Co., Series B,
9.88% due 05/01/07................................ 38,200
-----------
133,575
-----------
CONSUMER FINANCE - 1.78%
100,000 AmeriCredit Corp.,
9.25% due 02/01/04................................ 99,250
-----------
CONTAINERS - PAPER - 0.80%
50,000 Packaged Ice, Inc., Series B,
9.75% due 02/01/05................................ 44,500
-----------
DRUGS - 1.77%
50,000 ICN Pharmaceuticals, Inc.,
8.75% due 11/15/08................................ 46,750
50,000 King Pharmaceuticals, Inc.,
10.75% due 02/15/09............................... 52,000
-----------
98,750
-----------
ELECTRONIC INSTRUMENTS - 1.71%
100,000(/1/) Flextronics International, Ltd.,
8.75% due 10/15/07................................ 95,500
-----------
ENTERTAINMENT - 6.03%
100,000 Aztar Corp.,
8.88% due 05/15/07................................ 92,250
200,000(/1/) Cinemark USA, Inc.,
9.63% due 08/01/08................................ 168,250
50,000(/1/) Hollywood Casino Shreveport,
13.00% due 08/01/06............................... 53,750
50,000 MTS, Inc.,
9.38% due 05/01/05................................ 22,125
-----------
336,375
-----------
FINANCE COMPANIES - 1.98%
32,000 ITT Corp.,
6.25% due 11/15/00................................ 31,445
100,000 Meditrust Companies,
7.51% due 09/26/03................................ 79,233
-----------
110,678
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
FINANCIAL SERVICES - 4.58%
$ 50,000(/1/) Charter Communications Holding,
10.25% due 01/15/10............................... $ 49,500
200,000 Ono Finance Co., Plc.,
13.00% due 05/01/09............................... 206,000
-----------
255,500
-----------
FOODS - 0.88%
50,000 Agrilink Foods, Inc.,
11.88% due 11/01/08............................... 49,000
-----------
HEALTHCARE - 2.13%
50,000 Unilab Finance Corp.,
12.75% due 10/01/09............................... 50,750
100,000 Universal Hospital Services,
10.25% due 03/01/08............................... 68,000
-----------
118,750
-----------
HOME BUILDERS - 0.79%
50,000 Beazer Homes USA, Inc.,
8.88% due 04/01/08................................ 44,000
-----------
HOSPITAL MANAGEMENT - 0.92%
50,000 Lifepoint Hospitals Holdings, Series B,
10.75% due 05/15/09............................... 51,250
-----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 1.32%
75,000(/1/) Northpoint Communication, Inc.,
12.88% due 02/15/10............................... 73,875
-----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 0.45%
25,000(/1/) Globix Corp.,
12.50% due 02/01/10............................... 24,875
-----------
INFORMATION PROCESSING - NETWORKING - 1.08%
125,000(/1/) Condor Systems, Inc.,
11.88% due 05/01/09............................... 60,000
-----------
LEISURE TIME - 0.87%
50,000 Hollywood Park, Inc., Series B,
9.25% due 02/15/07................................ 48,375
-----------
LODGING - 1.46%
85,000 Prime Hospitality Corp.,
9.75% due 04/01/07................................ 81,600
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 55
HIGH YIELD BOND FUND - CONTINUED
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
MACHINERY - CONSTRUCTION & CONTRACTS - 0.86%
$ 50,000 National Equipment Services, Inc., Series D,
10.00% due 11/30/04............................... $ 48,250
-----------
MACHINERY -
INDUSTRIAL/SPECIALTY - 0.93%
100,000 General Binding Corp.,
9.38% due 06/01/08................................ 52,000
-----------
MERCHANDISE - DRUG - 0.89%
50,000 Express Scripts Co., Inc.,
9.63% due 06/15/09................................ 49,750
-----------
MERCHANDISE - SPECIALTY - 1.60%
100,000 Finlay Enterprises, Inc.,
8.38% due 05/01/08................................ 89,000
-----------
MERCHANDISING - FOOD - 1.68%
50,000 Disco S.A.,
9.88% due 05/15/08................................ 43,750
50,000 Fleming Companies, Inc.,
10.63% due 12/15/01............................... 49,813
-----------
93,563
-----------
METALS - STEEL - 4.15%
100,000 Metals USA, Inc.,
8.63% due 02/15/08................................ 93,000
100,000 Renco Steel Holdings, Series B,
10.88% due 02/01/05............................... 89,000
50,000(/1/) WCI Steel, Inc.,
10.00% due 12/01/04............................... 49,500
-----------
231,500
-----------
MISCELLANEOUS - 1.88%
200,000(/1/) United Pan-Europe Communications NV,
zero coupon due 02/01/05.......................... 105,000
-----------
NATURAL GAS - DIVERSIFIED - 1.84%
100,000 Leviathan Gas Pipeline Partner Co., Series B,
10.38% due 06/01/09............................... 102,500
-----------
OIL - SERVICE - PRODUCTS - 1.31%
50,000 Parker Drilling Co.,
9.75% due 11/15/06................................ 48,125
25,000 Triton Energy, Ltd.,
9.25% due 04/15/05................................ 24,781
-----------
72,906
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
OIL/GAS PRODUCERS - 1.73%
$100,000 HS Resources, Inc.,
9.25% due 11/15/06...................................... $ 96,500
-----------
PAPER/FOREST PRODUCTS - 1.77%
100,000 Bear Island LLC, Series B,
10.00% due 12/01/07..................................... 98,875
-----------
POLLUTION CONTROL - 1.25%
75,000 Marsulex, Inc.,
9.63% due 07/01/08...................................... 69,750
-----------
PUBLISHING/PRINTING - 0.87%
25,000 Transwestern Publishing Co.,
9.63% due 11/15/07...................................... 24,000
25,000 TV Guide, Inc.,
8.13% due 03/01/09...................................... 24,688
-----------
48,688
-----------
RESTAURANTS - 2.61%
50,000 Apple South, Inc.,
9.75% due 06/01/06...................................... 45,250
50,000 Perkins Family Restaurants, L.P.,
10.13% due 12/15/07..................................... 50,250
50,000 Southern Foods,
9.88% due 09/01/07...................................... 50,250
-----------
145,750
-----------
SAVINGS & LOAN - 0.97%
60,000 Western Financial Bank,
8.88% due 08/01/07...................................... 54,000
-----------
SCHOOLS - 1.68%
100,000 KinderCare Learning Centers, Inc.,
9.50% due 02/15/09...................................... 93,749
-----------
TELECOMMUNICATIONS - 16.05%
30,000 Amphenol Corp.,
9.88% due 05/15/07...................................... 30,750
25,000 Cadmus Communications Corp.,
9.75% due 06/01/09...................................... 24,250
170,000 Energis, Plc.,
9.75% due 06/15/09...................................... 172,550
50,000 Esat Telecom Group, Plc.,
zero coupon due 02/01/07................................ 45,000
100,000 Global Crossing, Ltd.,
9.63% due 05/15/08...................................... 97,500
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
TELECOMMUNICATIONS - Continued
$200,000(/1/) GT Group Telecom,
zero coupon due 02/01/10.......................... $ 120,000
50,000 Intermedia Communications, Inc.,
8.50% due 01/15/08................................ 45,625
100,000(/1/) Level 3 Communications, Inc.,
zero coupon due 03/15/10.......................... 53,250
105,000 Microcell Telecommunications, Inc.,
zero coupon due 06/01/09.......................... 68,512
100,000 NEXTLINK Communications, Inc.,
10.75% due 06/01/09............................... 100,500
150,000 Orbcomm Global, Series B,
14.00% due 08/15/04............................... 138,375
-----------
896,312
-----------
TOBACCO - 1.33%
100,000 Standard Commercial Corp.,
8.88% due 08/01/05................................ 74,000
-----------
UTILITIES - ELECTRIC - 2.17%
125,000 Caithness Coso Fund Corp.,
9.05% due 12/15/09................................ 121,250
-----------
TOTAL CORPORATE BONDS
(Cost $5,408,700)................................. 5,151,468
-----------
CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT - 5.99%
334,000 BANKS - OTHER - 5.99%
State Street Bank Repurchase Agreement, 5.65%,
dated 02/29/00, to be repurchased at $334,052 on
03/01/00, collateralized by U.S. Treasury Note,
7.25%, 08/15/04, with a par value of $335,000
(Cost $334,000)................................... 334,000
-----------
TOTAL CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT
(Cost $334,000)................................... 334,000
-----------
TOTAL INVESTMENTS
(Cost $5,742,700) - 98.31%........................ $ 5,485,468
-----------
</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 February 29,
2000, the aggregate value of these securities was $891,250, representing
15.97% of net assets.
- --------------------------------------------------------------------------------
<PAGE>
56 February 29, 2000 (Unaudited)
HIGH YIELD BOND FUND - CONTINUED
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $5,742,700)........................... $5,485,468
Receivable for dividends and interest.............................. 121,080
Other assets....................................................... 1,114
----------
TOTAL ASSETS....................................................... 5,607,662
----------
LIABILITIES:
Payable to affiliates:
Advisory fees..................................................... 1,006
Administrative fees............................................... 2,216
Accounting services............................................... 266
Other............................................................. 6,506
Accrued expenses and other liabilities............................. 17,747
----------
TOTAL LIABILITIES.................................................. 27,741
----------
NET ASSETS......................................................... $5,579,921
----------
- -------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized,
588,061 shares outstanding......................................... $ 5,881
Additional paid in capital......................................... 5,868,149
Accumulated net realized loss on securities........................ (42,663)
Undistributed net investment income................................ 5,786
Unrealized depreciation of securities.............................. (257,232)
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $5,579,921
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
HIGH YIELD BOND FUND (Unaudited) - CONTINUED 57
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 2000
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Interest............................................................. $ 291,990
---------
Total investment income............................................. 291,990
---------
EXPENSES:
Advisory fees........................................................ 19,039
Custodian fees....................................................... 7,199
Administrative service fee........................................... 6,800
Report to shareholders............................................... 4,382
Audit fees and tax services.......................................... 3,041
Legal fees........................................................... 1,834
Trustees' fees and expenses.......................................... 1,024
Accounting services.................................................. 816
Pricing services..................................................... 390
Registration and filing fees......................................... 160
Miscellaneous........................................................ 1,375
---------
Total expenses...................................................... 46,060
Expense reimbursement (see Note 3).................................. (18,589)
---------
Net expenses........................................................ 27,471
---------
NET INVESTMENT INCOME................................................ 264,519
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain on securities..................................... 5,648
Net unrealized depreciation of securities during the period......... (121,599)
---------
Net realized and unrealized loss on securities during the period... (115,951)
---------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................... $ 148,568
---------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the Fiscal
Six Months Ended Year Ended
February 29, 2000 August 31, 1999
---------------------------------
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income....................... $ 264,519 $ 454,722
Net realized gain (loss) on securities...... 5,648 (48,311)
Net unrealized depreciation of securities
during the period........................... (121,599) (135,633)
---------------------------------
Increase in net assets resulting from
operations................................. 148,568 270,778
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... (262,080) (453,039)
Net realized gain on securities............. - -
---------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (262,080) (453,039)
---------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 51,567 5,137,206
Proceeds from shares issued for
distributions reinvested.................... 262,080 453,039
---------------------------------
313,647 5,590,245
Cost of shares repurchased.................. (17,241) (17,624)
---------------------------------
Increase in net assets resulting
from share transactions.................... 296,406 5,572,621
---------------------------------
TOTAL INCREASE IN NET ASSETS................ 182,894 5,390,360
NET ASSETS:
Beginning of year........................... 5,397,027 6,667
---------------------------------
End of period (including undistributed net
investment income of $5,786 and $3,347)..... $5,579,921 $5,397,027
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 5,341 513,223
Shares issued for distributions reinvested.. 27,437 44,931
Shares repurchased.......................... (1,796) (1,742)
---------------------------------
Increase in shares outstanding............. 30,982 556,412
Shares outstanding:
Beginning of year.......................... 557,079 667
---------------------------------
End of period.............................. 588,061 557,079
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
58 February 29, 2000 (Unaudited)
STRATEGIC BOND FUND
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORPORATE BONDS - 46.90%
AIRLINES - 0.39%
$ 25,000 Aircraft Service International Group,
11.00% due 08/15/05............................... $ 21,750
-----------
APPAREL & PRODUCTS - 0.66%
44,000 Anvil Knitwear, Inc.,
10.88% due 03/15/07............................... 36,630
-----------
BROADCASTING - 3.18%
25,000 Coaxial Communication, Inc.,
10.00% due 08/15/06............................... 23,906
100,000 Cumulus Media, Inc.,
10.38% due 07/01/08............................... 102,000
50,000 Spanish Broadcasting Systems, Inc.,
9.63% due 11/01/09................................ 49,125
-----------
175,031
-----------
CHEMICAL - MAJOR - 2.12%
50,000 Koppers Industries, Inc.,
9.88% due 12/01/07................................ 46,500
75,000 Polymer Group, Inc.,
9.00% due 07/01/07................................ 70,500
-----------
117,000
-----------
CHEMICAL - MISCELLANEOUS - 1.73%
100,000 Lyondell Chemical Co.,
9.63% due 05/01/07................................ 95,375
-----------
CONSUMER FINANCE - 0.90%
50,000 AmeriCredit Corp.,
9.25% due 02/01/04................................ 49,625
-----------
DRUGS - 1.70%
100,000 ICN Pharmaceuticals, Inc.,
8.75% due 11/15/08................................ 93,500
-----------
ELECTRONIC INSTRUMENTS - 0.87%
50,000(/1/) Flextronics International, Ltd.,
8.75% due 10/15/07................................ 47,750
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
ENTERTAINMENT - 2.22%
$50,000 Aztar Corp.,
8.88% due 05/15/07................................. $ 46,125
50,000(/1/) Hollywood Casino Shreveport,
13.00% due 08/01/06................................ 53,750
50,000 MTS, Inc.,
9.38% due 05/01/05................................. 22,125
-----------
122,000
-----------
FINANCIAL SERVICES - 1.88%
100,000 Ono Finance, Plc.,
13.00% due 05/01/09................................ 103,000
-----------
FOODS - 0.89%
50,000 Agrilink Foods, Inc.,
11.88% due 11/01/08................................ 49,000
-----------
HEALTHCARE - 0.83%
30,000 Universal Hospital Services,
10.25% due 03/01/08................................ 20,400
-----------
HOME BUILDERS - 0.43%
Beazer Homes USA, Inc.:
25,000 9.00% due 03/01/04................................ 23,813
25,000 8.88% due 04/01/08................................ 22,000
-----------
45,813
-----------
HOSPITAL MANAGEMENT - 1.40%
75,000 Lifepoint Hospitals Holdings, Series B,
10.75% due 05/15/09................................ 76,875
-----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 0.90%
50,000(/1/) Northpoint Communication Group, Inc.,
12.88% due 02/15/10................................ 49,250
-----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 0.45%
25,000(/1/) Globix Corp.,
12.50% due 02/01/10................................ 24,875
-----------
INFORMATION PROCESSING - NETWORKING - 0.22%
25,000(/1/) Condor Systems, Inc.,
11.88% due 05/01/09................................ 12,000
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
LODGING - 0.87%
$ 50,000 Prime Hospitality Corp.,
9.75% due 04/01/07................................ $ 48,000
-----------
MACHINERY CONSTRUCTION &
CONTRACTS - 0.86%
50,000 Calpine Corp.,
7.75% due 04/15/09................................ 47,125
-----------
MERCHANDISE - SPECIALTY - 0.81%
50,000 Finlay Enterprises, Inc.,
8.38% due 05/01/08................................ 44,500
-----------
MERCHANDISING - DEPARTMENT - 1.30%
75,000 True Temper Sports, Inc.,
10.88% due 12/01/08............................... 71,250
-----------
MERCHANDISING - FOOD - 0.80%
50,000 Disco S.A.,
9.88% due 05/15/08................................ 43,750
-----------
METALS - STEEL - 2.15%
100,000 Metals USA, Inc.,
8.63% due 02/15/08................................ 93,000
25,000(/1/) WCI Steel, Inc.,
10.00% due 12/01/04............................... 24,750
-----------
117,750
-----------
NATURAL GAS - DIVERSIFIED - 0.93%
50,000 Leviathan Gas Pipeline Partner,
10.38% due 06/01/09............................... 51,250
-----------
OIL/GAS PRODUCERS - 1.29%
25,000 Grey Wolf, Inc.,
8.88% due 07/01/07................................ 22,375
50,000 HS Resources, Inc.,
9.25% due 11/15/06................................ 48,250
-----------
70,625
-----------
PAPER/FOREST PRODUCTS - 1.17%
65,000 Bear Island LLC,
10.00% due 12/01/07............................... 64,269
-----------
PUBLISHING/PRINTING - 0.44%
25,000 Transwestern Publishing Co.,
9.63% due 11/15/07................................ 24,000
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 59
STRATEGIC BOND FUND - CONTINUED
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
RESTAURANTS - 2.20%
$ 50,000 Apple South, Inc.,
9.75% due 06/01/06................................ $ 45,250
25,000 Perkins Family Restaurants,
10.13% due 12/15/07............................... 25,125
50,000 Southern Foods,
9.88% due 09/01/07................................ 50,250
-----------
120,625
-----------
SAVINGS & LOAN - 0.49%
30,000 Western Financial Bank,
8.88% due 08/01/07................................ 27,000
-----------
TELECOMMUNICATIONS - 8.42%
30,000 Amphenol Corp.,
9.88% due 05/15/07................................ 30,750
50,000 Global Crossing, Ltd.,
9.63% due 05/15/08................................ 48,750
50,000(/1/) GT Group Telecom,
13.25% due 02/01/10............................... 30,000
Intermedia Communications, Inc.:
75,000 9.50% due 03/01/09............................... 71,812
50,000 8.50% due 01/15/08............................... 45,625
50,000(/1/) Level 3 Communications, Inc.,
12.88% due 03/15/10............................... 26,625
100,000 National Communications Corp.,
11.50% due 10/01/08............................... 105,500
165,000(/1/) Voicestream Wire,
zero coupon due 11/15/09.......................... 103,125
-----------
462,187
-----------
UTILITIES - COMMUNICATION - 3.44%
200,000 Southwestern Bell Telephone,
6.55% due 10/07/08................................ 188,816
-----------
UTILITIES - MISCELLANEOUS - 0.96%
60,000 ESI Tractebel Acquisition Corp.,
7.99% due 12/30/11................................ 52,959
-----------
TOTAL CORPORATE BONDS
(Cost $2,636,957)................................. 2,573,980
-----------
CORPORATE BONDS - FOREIGN - 3.56%
TELECOMMUNICATIONS - 3.56%
200,000 Cable & Wireless Communication, Plc.,
6.38% due 03/06/03................................ 195,188
-----------
TOTAL CORPORATE BONDS - FOREIGN
(Cost $200,813)................................... 195,188
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UNITED STATES GOVERNMENT -
LONG-TERM - 21.38%
GOVERNMENT SPONSORED - 21.38%
Federal Home Loan Mortgage Corp.:
$ 198,870 7.00% due 06/01/29................................... $ 190,728
144,137 6.50% due 07/01/29................................... 134,768
Federal National Mortgage Association:
422,307 8.00% due 08/01/29................................... 422,966
376,504 5.50% due 01/01/29................................... 331,203
106,651 5.50% due 05/01/29................................... 93,819
-----------
1,173,484
-----------
TOTAL UNITED STATES GOVERNMENT -
LONG-TERM
(Cost $1,221,786)..................................... 1,173,484
-----------
FOREIGN GOVERNMENT BONDS -
LONG-TERM - 20.46%
121,321 Brazil C Bond,
8.00% due 04/15/14................................... 87,812
150,000 Canada,
5.25% due 09/01/03................................... 100,300
128,000 Export-Import Bank of Korea,
6.38% due 02/15/06................................... 117,165
50,000,000 Hellenic Republic,
8.80% due 06/19/07................................... 163,727
176,000 Republic of Argentina,
6.81% due 03/31/05................................... 162,800
125,000 Republic of Lithuania,
8.00% due 03/29/04................................... 123,054
100,000 Republic of Poland,
5.00% due 10/27/14................................... 89,080
500,000 Republic of South Africa,
13.00% due 08/31/10.................................. 76,054
250,000 United Mexico States Series W-B,
6.25% due 12/31/19................................... 203,125
-----------
1,123,117
-----------
TOTAL FOREIGN GOVERNMENT BONDS -
LONG-TERM
(Cost $1,078,062)..................................... 1,123,117
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT - 5.99%
BANKS - OTHER - 5.99%
$329,000 State Street Bank Repurchase Agreement, 5.65%, dated
02/29/00, to be repurchased at $329,052 on 03/01/00,
collateralized by U.S. Treasury Notes, 7.25%, 08/15/04,
with a par value of $330,000 (Cost $329,000)........... $ 329,000
-----------
TOTAL CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT -
(Cost $329,000)........................................ 329,000
-----------
TOTAL INVESTMENTS
(Cost $5,466,618) - 98.29%............................. $ 5,394,769
-----------
</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 February 29,
2000, the aggregate value of these securities was $372,125, representing
6.78% of net assets.
- --------------------------------------------------------------------------------
<PAGE>
60 February 29, 2000 (Unaudited)
STRATEGIC BOND FUND - CONTINUED
<TABLE>
<CAPTION>
<S> <C>
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $5,466,618).......................... $ 5,394,769
Receivable for:
Fund shares sold................................................. 384
Dividends and interest........................................... 119,251
Other assets...................................................... 678
-----------
TOTAL ASSETS...................................................... 5,515,082
-----------
LIABILITIES:
Payable to affiliates:
Advisory fees.................................................... 817
Administrative fee............................................... 2,120
Accounting services.............................................. 254
Other............................................................ 6,211
Accrued expenses and other liabilities............................ 17,307
-----------
TOTAL LIABILITIES................................................. 26,709
-----------
NET ASSETS........................................................ $ 5,488,373
-----------
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized,
561,972 shares outstanding........................................ $ 5,620
Additional paid in capital........................................ 5,614,139
Accumulated net realized loss on securities....................... (60,676)
Undistributed net investment income............................... 1,139
Unrealized depreciation of securities............................. (71,849)
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $ 5,488,373
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
STRATEGIC BOND FUND (Unaudited) - CONTINUED 61
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 2000
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest........................................................... $235,462
--------
Total investment income........................................... 235,462
--------
EXPENSES:
Advisory fees...................................................... 16,172
Custodian fees..................................................... 7,147
Administrative service fee......................................... 6,738
Report to shareholders............................................. 4,292
Audit fees and tax services........................................ 3,015
Legal fees......................................................... 1,828
Trustees' fees and expenses........................................ 1,019
Accounting services................................................ 809
Pricing services................................................... 388
Registration and filing fees....................................... 123
Miscellaneous...................................................... 830
--------
Total expenses.................................................... 42,361
Expense reimbursement (see Note 3)................................ (18,369)
--------
Net expenses...................................................... 23,992
--------
NET INVESTMENT INCOME.............................................. 211,470
--------
REALIZED AND UNREALIZED LOSS ON SECURITIES:
Net realized gain (loss) on:
Investments.............................................. $(21,675)
Foreign currency transactions............................ 632 (21,043)
--------
Net unrealized depreciation during the period:
Investments.............................................. (8,100)
Foreign currency translation............................. (4,408) (12,508)
-------- --------
Net realized and unrealized loss on securities during the period.. (33,551)
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .................. $177,919
--------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ending Year Ended
February 29, 2000 August 31, 1999
----------------------------------
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income........................ $ 211,470 $ 356,601
Net realized loss on securities and foreign
currency transactions... (21,043) (28,569)
Net unrealized depreciation of securities and
translation of foreign currencies during the
period....................................... (12,508) (59,341)
----------------------------------
Increase in net assets resulting from
operations.................................. 177,919 268,691
----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................ (233,262) (335,000)
Net realized gain on securities.............. - (11,064)
----------------------------------
Decrease in net assets resulting from
distributions to shareholders............... (233,262) (346,064)
----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold.................... 19,951 5,021,496
Proceeds from shares issued for distributions
reinvested................................... 233,262 346,064
----------------------------------
253,213 5,367,560
Cost of shares repurchased................... (5,727) (624)
----------------------------------
Increase in net assets resulting
from share transactions..................... 247,486 5,366,936
----------------------------------
TOTAL INCREASE IN NET ASSETS................. 192,143 5,289,563
----------------------------------
NET ASSETS:
Beginning of year............................ 5,296,230 6,667
----------------------------------
End of period (including undistributed net
investment income of $1,139 and $22,931)..... $5,488,373 $5,296,230
----------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold.................................. 2,012 502,059
Shares issued for distributions reinvested... 23,644 34,237
Shares repurchased........................... (585) (62)
----------------------------------
Increase in shares outstanding.............. 25,071 536,234
Shares outstanding:
Beginning of year........................... 536,901 667
----------------------------------
End of period............................... 561,972 536,901
----------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
62 February 29, 2000 (Unaudited)
DOMESTIC BOND FUND
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORPORATE BONDS - 27.05%
AIRLINES - 5.15%
$239,522 Airplanes Pass-Thru Trust,
8.15% due 03/15/11............................... $ 220,456
149,980 Continental Airlines,
7.08% due 11/01/04............................... 145,794
150,000 Delta Air Lines, Inc.,
7.70% due 12/05/05............................... 144,450
-----------
510,700
-----------
BROADCASTING - 1.21%
150,000(/1/) Fox/Liberty Networks, LLC,
zero coupon due 08/15/07......................... 120,375
-----------
DRUGS - 1.25%
150,000 McKesson Corp.,
6.40% due 03/01/08............................... 124,227
-----------
ELECTRICAL EQUIPMENT - 1.44%
150,000 Philips Electronics NV,
7.20% due 06/01/26............................... 142,826
-----------
FINANCE COMPANIES - 2.20%
100,000 Discover Card Master Trust I,
5.60% due 05/15/06............................... 94,530
129,693 DLJ Commercial Mortgage Corp.,
6.14% due 10/15/06............................... 123,889
-----------
218,419
-----------
FINANCIAL SERVICES - 5.65%
150,000 Charter Communications Holding,
8.25% due 04/01/07............................... 137,624
150,000 Green Tree Financial Corp., Class A7,
7.14% due 01/15/29............................... 147,000
150,000 Household Finance Corp.,
6.40% due 06/17/08............................... 135,789
150,000 Sears Credit Account Master Trust, Class A2,
5.25% due 10/16/08............................... 139,500
-----------
559,913
-----------
FOODS - 1.42%
150,000 Nabisco, Inc.,
7.55% due 06/15/15............................... 140,969
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
LODGING - 1.52%
$250,000 Crown Castle International Holding,
zero coupon due 05/15/11......................... $ 151,250
-----------
METALS - ALUMINUM - 1.30%
150,000 Scotia Pacific Co., LLC, Series B,
7.11% due 01/20/14............................... 129,192
-----------
POLLUTION CONTROL - 1.42%
150,000 WMX Technologies, Inc.,
7.10% due 08/01/26............................... 140,679
-----------
TELECOMMUNICATIONS - 1.63%
150,000(/1/) Omnipoint Corp.,
11.50% due 09/15/09.............................. 162,000
-----------
UTILITIES - COMMUNICATION - 1.45%
150,000 GTE Corp.,
7.90% due 02/01/27............................... 143,595
-----------
UTILITIES - GAS, PIPELINE - 1.41%
150,000 Williams Companies, Inc.,
6.50% due 08/01/06............................... 139,901
-----------
TOTAL CORPORATE BONDS
(Cost $2,863,035)................................. 2,684,046
-----------
UNITED STATES GOVERNMENT -
LONG-TERM - 67.79%
FEDERAL AGENCIES - 14.31%
400,000 Federal Home Loan Bank,
5.13% due 09/15/03............................... 376,188
Government National Mortgage Association:
608,925 7.00% due 09/15/28............................... 583,618
493,308 6.50% due 06/15/29............................... 459,545
-----------
1,419,351
-----------
GOVERNMENT SPONSORED - 17.44%
Federal National Mortgage Association:
955,460 6.50% due 04/01/29............................... 893,059
750,000 6.00% due 05/15/08............................... 693,983
150,000(/1/) Government Lease Trust, Class A2,
6.18% due 05/18/05............................... 143,770
-----------
1,730,812
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
U. S. TREASURY NOTES - 36.04%
United States Treasury Notes:
$3,050,000 6.88% due 05/15/06.................................. $ 3,077,633
500,000 6.38% due 08/15/02.................................. 497,810
-----------
3,575,443
-----------
TOTAL UNITED STATES GOVERNMENT -
LONG-TERM
(Cost $6,955,530).................................... 6,725,606
-----------
CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT - 2.20%
BANKS - OTHER - 2.20%
218,000 State Street Bank Repurchase Agreement, 5.65%, dated
02/29/00, to be repurchased at $218,034 on 03/01/00,
collateralized by U.S. Treasury Note, 6.63%,
04/30/02, with a par value of $220,000 (Cost
$218,000)............................................ 218,000
-----------
TOTAL CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT
(Cost $218,000)...................................... 218,000
-----------
TOTAL INVESTMENTS
(Cost $10,036,565) - 97.04%.......................... $ 9,627,652
-----------
</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 February 29,
2000, the aggregate value of these securities was $426,145 representing
4.30% of net assets.
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 63
DOMESTIC BOND FUND - CONTINUED
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $10,036,565).......................... $ 9,627,652
Receivable for:
Fund shares sold.................................................. 181,317
Dividends and interest............................................ 136,397
Other assets....................................................... 1,825
-----------
TOTAL ASSETS....................................................... 9,947,191
-----------
LIABILITIES:
Payable for fund shares redeemed................................... 158
Payable to affiliates:
Advisory fees..................................................... 1,055
Administrative fees............................................... 2,570
Accounting services............................................... 309
Other............................................................. 8,070
Accrued expenses and other liabilities............................. 13,547
-----------
TOTAL LIABILITIES.................................................. 25,709
-----------
NET ASSETS......................................................... $ 9,921,482
-----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized,
1,070,691 shares outstanding...................................... $ 10,707
Additional paid in capital........................................ 10,535,944
Accumulated net realized loss on securities....................... (220,675)
Undistributed net investment income............................... 4,419
Unrealized depreciation of securities............................. (408,913)
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $ 9,921,482
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
64 DOMESTIC BOND FUND (Unaudited) - CONTINUED
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 2000
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Interest............................................................. $ 298,242
---------
Total investment income............................................. 298,242
---------
EXPENSES:
Advisory fees........................................................ 26,601
Custodian fees....................................................... 12,476
Administrative service fee........................................... 11,084
Report to shareholders............................................... 7,044
Audit fees and tax services.......................................... 5,206
Legal fees........................................................... 2,908
Registration and filing fees......................................... 2,418
Trustees' fees and expenses.......................................... 1,651
Accounting services.................................................. 1,330
Pricing services..................................................... 639
Miscellaneous........................................................ 1,038
---------
Total expenses...................................................... 72,395
Expense reimbursement (see Note 3).................................. (37,777)
---------
Net expenses........................................................ 34,618
---------
NET INVESTMENT INCOME................................................ 263,624
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized loss on investments..................................... (174,186)
Net unrealized appreciation of investments during the period......... 4,426
---------
Net realized and unrealized loss on securities during the period.... (169,760)
---------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................... $ 93,864
---------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
February 29, 2000 August 31, 1999
----------------------------------
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income........................ $ 263,624 $ 354,252
Net realized gain (loss) on securities....... (174,186) 17,325
Net unrealized appreciation (depreciation) of
securities during the period................ 4,426 (413,339)
----------------------------------
Increase (decrease) in net assets resulting
from operations............................ 93,864 (41,762)
----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................ (262,466) (352,037)
Net realized gain on securities.............. (179) (63,635)
----------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (262,645) (415,672)
----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold.................... 1,575,815 10,859,615
Proceeds from shares issued for distributions
reinvested.................................. 262,645 415,672
----------------------------------
1,838,460 11,275,287
Cost of shares repurchased................... - (2,567,717)
----------------------------------
Increase in net assets resulting
from share transactions.................... 1,838,460 8,707,570
----------------------------------
TOTAL INCREASE IN NET ASSETS................. 1,669,679 8,250,136
NET ASSETS:
Beginning of year............................ 8,251,803 1,667
----------------------------------
End of period (including undistributed net
investment income of $4,419 and $3,261)..... $9,921,482 $8,251,803
----------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold.................................. 167,768 1,097,349
Shares issued for distributions reinvested... 28,083 42,275
Shares repurchased........................... - (264,951)
----------------------------------
Increase in shares outstanding.............. 195,851 874,673
Shares outstanding:
Beginning of year........................... 874,840 167
----------------------------------
End of period............................... 1,070,691 874,840
----------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) CORE BOND FUND 65
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORPORATE BONDS - 48.66%
AUTO - CARS - 2.86%
$ 95,000 Daimler Chrysler NA Holding,
7.40% due 01/20/05............................... $ 94,552
55,000 General Motors Acceptance Corp.,
7.75% due 01/19/10............................... 54,501
-----------
149,053
-----------
BANKS - OTHER - 2.64%
85,000 Bank of America Corp.,
7.80% due 02/15/10............................... 84,025
55,000 First Union Corp.,
6.95% due 11/01/04............................... 53,506
-----------
137,531
-----------
BANKS - REGIONAL - 1.05%
55,000 First Union National Bank,
7.88% due 02/15/10............................... 54,549
-----------
CHEMICAL - MAJOR - 1.01%
55,000 Dow Chemical Co.,
7.38% due 11/01/29............................... 52,683
-----------
CONGLOMERATES - 1.89%
100,000(/1/) Tyco International Group SA,
6.88% due 09/05/02............................... 98,275
-----------
CONSUMER FINANCE - 1.64%
95,000 Associates Corp. of North America,
6.95% due 11/01/18............................... 85,534
-----------
CONTAINERS - METAL/GLASS - 1.15%
65,000 Owens Corning,
7.70% due 05/01/08............................... 59,937
-----------
FINANCE COMPANIES - 8.56%
20,000 Capital One Bank,
6.40% due 05/08/03............................... 19,096
Goldman Sachs Group, Inc.:
95,000 7.80% due 01/28/10............................... 93,749
55,000 7.50% due 01/28/05............................... 54,604
200,000 KFW International Finance,
7.13% due 02/15/05............................... 199,320
80,000 Newcourt Credit Group, Inc.,
7.13% due 12/17/03............................... 78,663
-----------
445,432
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES - 6.10%
$ 30,000 Beneficial Corp.,
6.47% due 11/17/08..................................... $ 27,298
75,000 Countrywide Home,
6.25% due 04/15/09..................................... 66,309
95,000 General Electric Capital Corp.,
7.25% due 02/01/05..................................... 94,226
45,000 Household Finance Corp.,
7.88% due 03/01/07..................................... 44,933
85,000 Potomac Capital Investment Corp.,
7.55% due 11/19/01..................................... 84,914
-----------
317,680
-----------
FOODS - 1.06%
55,000 IBP, Inc.,
7.95% due 02/01/10..................................... 55,115
-----------
MACHINERY - AGRICULTURE - 1.02%
55,000 Deere & Co.,
6.55% due 07/15/04..................................... 52,960
-----------
MERCHANDISE - DRUG - 1.01%
Rite Aid Corp.:
10,000 7.13% due 01/15/07..................................... 6,200
75,000 6.50% due 12/15/05..................................... 46,500
-----------
52,700
-----------
SECURITIES RELATED - 3.60%
95,000 Lehman Brothers Holdings, Inc.,
7.75% due 01/15/05..................................... 94,108
100,000 Morgan Stanley Dean Witter,
5.63% due 01/20/04..................................... 93,563
-----------
187,671
-----------
TELECOMMUNICATIONS - 6.20%
85,000 AT&T Corp.,
6.50% due 03/15/29..................................... 72,383
120,000 Bell Atlantic Pennsylvania, Inc.,
6.00% due 12/01/28..................................... 97,255
Bellsouth Capital Funding Corp.:
60,000 7.88% due 02/15/30..................................... 62,714
60,000 7.75% due 02/15/10..................................... 60,762
30,000 Northwestern Bell Telephone,
7.75% due 05/01/30..................................... 29,520
-----------
322,634
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES - ELECTRIC - 5.97%
$ 50,000 Appalachian Power Co.,
8.00% due 06/01/25..................................... $ 51,522
60,000 Arizona Public Service,
5.88% due 02/15/04..................................... 56,462
45,000 Cinergy Corp.,
6.13% due 04/15/04..................................... 42,125
45,000 Edison International, Inc.,
6.88% due 09/15/04..................................... 43,884
National Rural Utilities:
45,000 7.38% due 02/10/03..................................... 45,240
25,000 5.70% due 01/15/10..................................... 21,996
55,000 Pennsylvania Electric Co.,
6.63% due 04/01/19..................................... 49,704
-----------
310,933
-----------
UTILITIES - GAS, PIPELINE - 2.90%
55,000 Enron Corp.,
6.75% due 09/01/04..................................... 52,983
55,000 Peco Energy Transition Trust,
6.13% due 03/01/09..................................... 50,136
50,000 Williams Companies, Inc.,
7.63% due 07/15/19..................................... 47,841
-----------
150,960
-----------
TOTAL CORPORATE BONDS
(Cost $2,617,689)....................................... 2,533,647
-----------
CORPORATE BONDS - FOREIGN - 7.79%
BANKS - OTHER - 5.17%
70,000 Asian Development Bank,
6.50% due 10/21/02..................................... 68,928
200,000 Inter-American Development Bank,
7.38% due 01/15/10..................................... 200,062
-----------
268,990
-----------
INSURANCE - MULTILINE - 1.71%
Fairfax Financial Holdings, Ltd.:
45,000 8.25% due 10/01/15..................................... 39,747
55,000 7.38% due 03/15/06..................................... 49,169
-----------
88,916
-----------
TELECOMMUNICATIONS - 0.91%
60,000 MetroNet Communications Corp.,
9.95% due 06/15/08..................................... 47,554
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
66 February 29, 2000 (Unaudited)
CORE BOND FUND - CONTINUED
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TOTAL CORPORATE BONDS - FOREIGN
(Cost $416,719)......................................... $ 405,460
-----------
UNITED STATES GOVERNMENT -
LONG-TERM - 36.34%
FEDERAL AGENCIES - 4.29%
Federal Home Loan Bank:
$ 60,000 7.22% due 02/25/03..................................... 59,719
55,000 5.81% due 03/23/09..................................... 49,517
75,000 5.32% due 12/23/08..................................... 65,262
50,000 Government National Mortgage Association,
7.50% due 03/01/30..................................... 49,086
-----------
223,584
-----------
GOVERNMENT SPONSORED - 23.82%
85,000 Federal Farm Credit Bank,
6.75% due 07/07/09..................................... 81,706
Federal Home Loan Mortgage Corp.:
25,000 8.00% due 03/01/30..................................... 25,070
60,000 6.88% due 01/15/05..................................... 59,372
220,000 6.63% due 09/15/09..................................... 210,786
Federal National Mortgage Association:
50,000 7.50% due 03/01/15..................................... 50,176
55,000 7.13% due 02/15/05..................................... 55,026
100,000 7.00% due 03/01/30..................................... 95,828
75,000 6.65% due 11/07/07..................................... 71,765
205,000 6.63% due 09/15/09..................................... 196,462
50,000 6.50% due 03/01/15..................................... 48,063
250,000 6.50% due 03/01/30..................................... 233,478
65,000 6.37% due 01/30/08..................................... 61,212
55,000 6.28% due 02/12/08..................................... 51,528
-----------
1,240,472
-----------
U.S. TREASURY NOTES - 8.23%
United States Treasury Notes:
30,000 6.50% due 10/15/06..................................... 29,700
80,000 6.25% due 08/31/02..................................... 79,400
120,000 6.00% due 08/15/04..................................... 117,150
55,000 5.88% due 11/15/05..................................... 52,929
170,000 4.75% due 11/15/08..................................... 149,388
-----------
428,567
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
TOTAL UNITED STATES GOVERNMENT -
LONG-TERM
(Cost $1,915,298)...................................... $ 1,892,623
-----------
FOREIGN GOVERNMENT BONDS -
LONG-TERM - 1.72%
GOVERNMENT BOND - CANADA - 1.72%
$ 90,000 Canada Mortgage & Housing,
7.20% due 02/01/05.................................... 89,805
-----------
TOTAL FOREIGN GOVERNMENT BONDS -
LONG-TERM
(Cost $89,991)......................................... 89,805
-----------
CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT - 17.55%
BANKS - OTHER - 17.55%
914,000 State Street Bank Repurchase Agreement, 5.65%, dated
02/29/00, to be repurchased at $914,143 on 03/01/00,
collateralized by U.S. Treasury Notes, 7.25%, 08/15/04,
with a par value of $915,000 (Cost $914,000)........... 914,000
-----------
TOTAL CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT
(Cost $914,000)........................................ 914,000
-----------
TOTAL INVESTMENTS
(Cost $5,953,697) - 112.06%............................ $ 5,835,535
-----------
</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 February 29,
2000, the aggregate value of these securities was $98,275 representing
1.89% of net assets.
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $5,953,697)........................... $5,835,535
Receivable for:
Investments sold.................................................. 105,269
Dividends and interest............................................ 70,241
Other assets....................................................... 1,132
----------
TOTAL ASSETS....................................................... 6,012,177
----------
LIABILITIES:
Payable for investments purchased.................................. 778,645
Payable to affiliates:
Advisory fees..................................................... 717
Administrative fees............................................... 2,244
Accounting services............................................... 269
Other............................................................. 6,090
Accrued expenses and other liabilities............................. 16,917
----------
TOTAL LIABILITIES.................................................. 804,882
----------
NET ASSETS......................................................... $5,207,295
----------
- -------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized,
552,062 shares outstanding......................................... $ 5,521
Additional paid in capital......................................... 5,501,735
Accumulated net realized loss on securities........................ (184,361)
Undistributed net investment income................................ 2,562
Unrealized depreciation of securities.............................. (118,162)
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $5,207,295
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
CORE BOND FUND (Unaudited) - CONTINUED 67
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 2000
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest............................................................. $ 181,297
---------
Total investment income............................................. 181,297
---------
EXPENSES:
Advisory fees........................................................ 12,849
Custodian fees....................................................... 6,836
Administrative service fee........................................... 6,424
Report to shareholders............................................... 4,163
Audit fees and tax services.......................................... 2,862
Legal fees........................................................... 1,756
Trustees' fees and expenses.......................................... 973
Accounting services.................................................. 771
Pricing services..................................................... 372
Registration and filing fees......................................... 99
Miscellaneous........................................................ 819
---------
Total expenses...................................................... 37,924
Expense reimbursement (see Note 3).................................. (17,368)
---------
Net expenses........................................................ 20,556
---------
NET INVESTMENT INCOME................................................ 160,741
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized loss on securities...................................... (143,674)
Net unrealized appreciation of securities during the period.......... 65,874
---------
Net realized and unrealized loss on securities during the period.... (77,800)
---------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................... $ 82,941
---------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
February 29, 2000 August 31, 1999
<S> <C> <C>
----------------------------------
<CAPTION>
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income........................ $ 160,741 $ 260,813
Net realized loss on securities.............. (143,674) (24,396)
Net unrealized appreciation (depreciation) of
securities
during the period............................ 65,874 (184,036)
----------------------------------
Increase in net assets resulting from
operations.................................. 82,941 52,381
----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................ (160,231) (259,674)
Net realized gain on securities.............. - (16,291)
----------------------------------
Decrease in net assets resulting from
distributions to shareholders............... (160,231) (275,965)
----------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold.................... 14,538 5,060,442
Proceeds from shares issued for distributions
reinvested................................... 160,231 275,965
----------------------------------
174,769 5,336,407
Cost of shares repurchased................... (8,756) (918)
----------------------------------
Increase in net assets resulting
from share transactions..................... 166,013 5,335,489
----------------------------------
TOTAL INCREASE IN NET ASSETS ................ 88,723 5,111,905
NET ASSETS:
Beginning of year............................ 5,118,572 6,667
----------------------------------
End of period (including undistributed net
investment income of $2,562 and $2,052)...... $5,207,295 $5,118,572
----------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold.................................. 1,527 506,020
Shares issued for distributions reinvested... 16,886 27,974
Shares repurchased........................... (919) (93)
----------------------------------
Increase in shares outstanding.............. 17,494 533,901
Shares outstanding:
Beginning of year........................... 534,568 667
----------------------------------
End of period............................... 552,062 534,568
----------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
68 February 29, 2000 (Unaudited)
MONEY MARKET FUND
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMERCIAL PAPER - 87.36%
BANKS - NEW YORK CITY - 3.98%
$440,000 CitiCorp.,
5.72% due 03/01/00..................................... $ 440,000
-----------
BANKS - REGIONAL - 4.05%
450,000 BancOne Corp.,
5.73% due 03/24/00..................................... 448,340
-----------
BEVERAGE - SOFT DRINKS - 1.78%
199,000 Coca Cola Co.,
5.86% due 05/15/00..................................... 196,566
-----------
CHEMICAL - MAJOR - 7.90%
440,000 DuPont (E.I.) de Nemours & Co.,
5.82% due 04/13/00..................................... 436,939
439,000 PPG Industries, Inc.,
5.76% due 03/29/00..................................... 437,028
-----------
873,967
-----------
CONGLOMERATES - 3.94%
440,000 Fortune Brands,
5.82% due 04/27/00..................................... 435,938
-----------
CONSUMER FINANCE - 2.21%
245,000 Sears Roebuck Acceptance Corp.,
5.85% due 03/06/00..................................... 244,800
-----------
FINANCE COMPANIES - 16.64%
300,000 Bell Atlantic Financial Services, Inc.,
5.80% due 04/05/00..................................... 298,305
223,000 Caterpillar Financial Services Corp.,
5.97% due 07/18/00..................................... 217,849
350,000 Ciesco L.P.,
5.85% due 04/26/00..................................... 346,814
250,000 Ford Motor Credit Co.,
5.63% due 04/10/00..................................... 248,422
253,000 General Electric Capital Corp.,
5.77% due 03/08/00..................................... 252,715
136,000 General Electric Capital Services, Inc.,
5.90% due 04/20/00..................................... 134,881
344,000 General Motors Acceptance Corp.,
5.84% due 04/05/00..................................... 342,045
-----------
1,841,031
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES - 3.61%
$400,000 Household Finance Corp.,
5.40% due 03/13/00..................................... $ 399,267
-----------
FOODS - 9.75%
360,000 Albertson's, Inc.,
5.87% due 07/14/00..................................... 359,810
425,000 Archer Daniels Midland Co.,
5.90% due 04/17/00..................................... 421,680
298,000 Kellogg Co.,
5.75% due 03/07/00..................................... 296,867
-----------
1,078,357
-----------
HEALTHCARE - 4.07%
450,000 Baxter International, Inc.,
5.83% due 03/02/00..................................... 449,927
-----------
HOUSEHOLD PRODUCTS - 3.60%
400,000 Colgate-Palmolive Co.,
5.74% due 03/22/00..................................... 398,659
-----------
MACHINERY -
INDUSTRIAL/SPECIALTY - 3.62%
400,000 Dover Corp.,
6.13% due 02/28/01..................................... 400,000
-----------
PHOTOGRAPHY - 3.49%
390,000 Eastman Kodak Co.,
5.82% due 04/25/00..................................... 386,524
-----------
SECURITIES RELATED - 3.63%
407,000 Morgan Stanley Dean Witter & Co.,
5.93% due 05/26/00..................................... 401,227
-----------
TELECOMMUNICATIONS - 1.26%
140,000 Bell Atlantic Network Funding,
5.80% due 03/13/00..................................... 139,728
-----------
UTILITIES - COMMUNICATION - 8.31%
477,000 BellSouth Telecommunications, Inc.,
5.72% due 03/03/00..................................... 475,572
445,000 GTE Corp.,
5.83% due 03/15/00..................................... 443,987
-----------
919,559
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES - ELECTRIC - 5.52%
$313,000 Conectiv, Inc.,
5.97% due 03/28/00..................................... $ 311,596
300,000 Pacific Gas & Electric Co.,
5.78% due 03/20/00..................................... 299,084
-----------
610,680
-----------
TOTAL COMMERCIAL PAPER
(Cost $9,664,570)....................................... 9,664,570
-----------
UNITED STATES GOVERNMENT - 11.06%
FEDERAL AGENCIES - 0.90%
100,000 Federal Home Loan Bank,
5.60% due 03/15/00..................................... 99,780
-----------
GOVERNMENT SPONSORED - 10.16%
626,000 Federal Home Loan Mortgage Corp.,
5.60% due 03/07/00..................................... 625,509
500,000 Federal National Mortgage Association,
5.75% due 03/15/00..................................... 498,871
-----------
1,124,380
-----------
TOTAL UNITED STATES GOVERNMENT
(Cost $1,224,160)....................................... 1,224,160
-----------
FOREIGN GOVERNMENT - 1.92%
214,000 Province of British Columbia,
5.80% due 04/11/00..................................... 212,580
-----------
TOTAL FOREIGN GOVERNMENT
(Cost $212,580)......................................... 212,580
-----------
TOTAL INVESTMENTS
(Cost $11,101,310) - 100.34%............................ $11,101,310
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 69
MONEY MARKET FUND - CONTINUED
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $11,101,310).......................... $11,101,310
Receivable for:
Fund shares sold.................................................. 493
Dividends and interest............................................ 1,082
Other assets....................................................... 1,997
-----------
TOTAL ASSETS....................................................... 11,104,882
-----------
LIABILITIES:
Payable to affiliates:
Advisory fees..................................................... 753
Administrative fees............................................... 4,498
Accounting services............................................... 538
Other............................................................. 12,857
Accrued expenses and other liabilities............................. 22,846
-----------
TOTAL LIABILITIES.................................................. 41,492
-----------
NET ASSETS......................................................... $11,063,390
-----------
- -------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized,
11,063,390 shares outstanding...................................... $ 110,634
Additional paid in capital......................................... 10,952,756
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $11,063,390
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
70 MONEY MARKET FUND (Unaudited) - CONTINUED
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 2000
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest.............................................................. $301,838
--------
Total investment income.............................................. 301,838
--------
EXPENSES:
Custodian fees........................................................ 13,940
Advisory fees......................................................... 13,118
Administrative service fee............................................ 13,118
Report to shareholders................................................ 8,428
Audit fees and tax services........................................... 6,245
Legal fees............................................................ 3,355
Trustees' fees and expenses........................................... 1,973
Accounting services................................................... 1,574
Pricing services...................................................... 744
Registration and filing fees.......................................... 115
Miscellaneous......................................................... 1,074
--------
Total expenses....................................................... 63,684
Expense reimbursement (see Note 3)................................... (34,298)
--------
Net expense.......................................................... 29,386
--------
NET INVESTMENT INCOME................................................. 272,452
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................... $272,452
--------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
February 29, 2000 August 31, 1999
---------------------------------
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income....................... $ 272,452 $ 316,040
---------------------------------
Increase in net assets resulting from
operations................................. 272,452 316,040
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... (272,452) (316,041)
---------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (272,452) (316,041)
---------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 3,330,435 10,673,613
Proceeds from shares issued for
distributions reinvested.................... 272,452 316,041
---------------------------------
3,602,887 10,989,654
Cost of shares repurchased.................. (2,323,964) (1,211,854)
---------------------------------
Increase in net assets resulting
from share transactions.................... 1,278,923 9,777,800
---------------------------------
TOTAL INCREASE IN NET ASSETS................ 1,278,923 9,777,800
NET ASSETS:
Beginning of year........................... 9,784,467 6,667
---------------------------------
End of period............................... $11,063,390 $ 9,784,467
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 3,330,435 10,673,613
Shares issued for distributions reinvested.. 272,452 316,041
Shares repurchased.......................... (2,323,964) (1,211,854)
---------------------------------
Increase in shares outstanding............. 1,278,923 9,777,800
Shares outstanding:
Beginning of year.......................... 9,784,467 6,667
---------------------------------
End of period.............................. 11,063,390 9,784,467
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 71
GROWTH LIFESTYLE FUND
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
INVESTMENT COMPANIES -
AFFILIATED - 100.02%
BOND FUNDS - 9.92%
120,001 AGSPC 3 Domestic Bond Fund............................. $ 1,112,410
-----------
INTERNATIONAL FUNDS - 29.61%
106,734 AGSPC 3 International Growth Fund...................... 1,657,572
90,683 AGSPC 3 International Value Fund....................... 1,663,125
-----------
3,320,697
-----------
LARGE CAP FUNDS - 25.04%
89,776 AGSPC 3 Large Cap Growth Fund.......................... 1,457,063
135,780 AGSPC 3 Large Cap Value Fund........................... 1,351,012
-----------
2,808,075
-----------
MID CAP FUNDS - 15.05%
61,243 AGSPC 3 Mid Cap Growth Fund............................ 787,585
79,997 AGSPC 3 Mid Cap Value Fund............................. 900,770
-----------
1,688,355
-----------
SMALL CAP FUNDS - 20.40%
41,515 AGSPC 3 Small Cap Growth Fund.......................... 1,149,962
108,741 AGSPC 3 Small Cap Value Fund........................... 1,137,427
-----------
2,287,389
-----------
TOTAL INVESTMENT COMPANIES -
AFFILIATED
(Cost $9,209,623)...................................... 11,216,926
-----------
TOTAL INVESTMENTS
(Cost $9,209,623) - 100.02%............................ $11,216,926
-----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $9,209,623).......................... $11,216,926
Receivable for:
Investments sold................................................. 193,242
Dividends and interest........................................... 16,778
Other assets...................................................... 5,772
-----------
TOTAL ASSETS...................................................... 11,432,718
-----------
LIABILITIES:
Payable for:
Investments purchased............................................ 215,542
Fund shares redeemed............................................. 1,569
Payable to affiliates - advisory fees............................. 854
-----------
TOTAL LIABILITIES................................................. 217,965
-----------
NET ASSETS........................................................ $11,214,753
-----------
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized,
792,538 shares outstanding........................................ $ 7,925
Additional paid in capital........................................ 8,801,915
Undistributed net realized gain on securities..................... 1,046,794
Accumulated net investment loss................................... (649,184)
Unrealized appreciation of securities............................. 2,007,303
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $11,214,753
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
72 GROWTH LIFESTYLE FUND (Unaudited) - CONTINUED
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 2000
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends...................................................... $ 80,066
----------
Total investment income....................................... 80,066
----------
EXPENSES:
Advisory fees.................................................. 4,806
----------
Total expenses................................................ 4,806
----------
NET INVESTMENT INCOME.......................................... 75,260
----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities................................ 472,100
Capital gain distributions..................................... 711,550
Net unrealized appreciation of securities during the period.... 755,892
----------
Net realized and unrealized gain on securities during the
period........................................................ 1,939,542
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............... $2,014,802
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
February 29, 2000 August 31, 1999
---------------------------------
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income....................... $ 75,260 $ 51,675
Net realized gain on securities............. 472,100 160,055
Capital gain distributions.................. 711,550 26,657
Net unrealized appreciation of securities
during the period........................... 755,892 1,251,411
---------------------------------
Increase in net assets resulting from
operations................................. 2,014,802 1,489,798
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ...................... (743,904) (32,215)
Net realized gain on securities............. (323,568) -
---------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (1,067,472) (32,215)
---------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 853,204 7,135,612
Proceeds from shares issued for
distributions reinvested.................... 1,067,472 32,215
---------------------------------
1,920,676 7,167,827
Cost of shares repurchased.................. (133,428) (151,902)
---------------------------------
Increase in net assets resulting
from share transactions.................... 1,787,248 7,015,925
---------------------------------
TOTAL INCREASE IN NET ASSETS................ 2,734,578 8,473,508
NET ASSETS:
Beginning of year........................... 8,480,175 6,667
---------------------------------
End of period (including undistributed net
investment income of ($649,184) and
$19,460).................................... $11,214,753 $8,480,175
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 62,255 672,676
Shares issued for distributions reinvested.. 75,924 2,639
Shares repurchased.......................... (9,819) (11,804)
---------------------------------
Increase in shares outstanding............. 128,360 663,511
Shares outstanding:
Beginning of year.......................... 664,178 667
---------------------------------
End of period.............................. 792,538 664,178
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 73
MODERATE GROWTH LIFESTYLE FUND
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
INVESTMENT COMPANIES-
AFFILIATED - 100.02%
BOND FUNDS - 24.81%
344,360 AGSPC 3 Domestic Bond Fund............................. $ 3,192,220
-----------
INTERNATIONAL FUNDS - 14.81%
57,172 AGSPC 3 International Growth Fund...................... 887,880
55,512 AGSPC 3 International Value Fund....................... 1,018,089
-----------
1,905,969
-----------
LARGE CAP FUNDS - 30.05%
118,885 AGSPC 3 Large Cap Growth Fund.......................... 1,929,496
194,789 AGSPC 3 Large Cap Value Fund........................... 1,938,155
-----------
3,867,651
-----------
MID CAP FUNDS - 15.06%
70,285 AGSPC 3 Mid Cap Growth Fund............................ 903,860
91,808 AGSPC 3 Mid Cap Value Fund............................. 1,033,755
-----------
1,937,615
-----------
SMALL CAP FUNDS - 15.29%
33,343 AGSPC 3 Small Cap Growth Fund.......................... 923,608
99,829 AGSPC 3 Small Cap Value Fund........................... 1,044,213
-----------
1,967,821
-----------
TOTAL INVESTMENT COMPANIES -
AFFILIATED
(Cost $11,765,099)..................................... 12,871,276
-----------
TOTAL INVESTMENTS
(Cost $11,765,099) - 100.02%........................... $12,871,276
-----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $11,765,099)......................... $12,871,276
Receivable for:
Investments sold................................................. 200,879
Fund shares sold................................................. 56,567
Dividends and interest........................................... 36,362
Other assets...................................................... 8,797
-----------
TOTAL ASSETS...................................................... 13,173,881
-----------
LIABILITIES:
Payable for investments purchased................................. 304,228
Payable to affiliates - advisory fees............................. 995
-----------
TOTAL LIABILITIES................................................. 305,223
-----------
NET ASSETS........................................................ $12,868,658
-----------
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized,
1,019,146 shares outstanding...................................... $ 10,191
Additional paid in capital........................................ 11,323,900
Undistributed net realized gain on securities..................... 1,171,229
Accumulated net investment loss................................... (742,839)
Unrealized appreciation of securities............................. 1,106,177
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $12,868,658
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
74 MODERATE GROWTH LIFESTYLE FUND (Unaudited) - CONTINUED
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 2000
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends...................................................... $ 125,669
----------
Total investment income....................................... 125,669
----------
EXPENSES:
Advisory fees.................................................. 5,716
----------
Total expenses................................................ 5,716
----------
NET INVESTMENT INCOME.......................................... 119,953
----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities................................ 497,904
Capital gain distributions..................................... 810,493
Net unrealized appreciation of investments during the period... 180,269
----------
Net realized and unrealized gain on securities during the
period......................................................... 1,488,666
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............... $1,608,619
----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
February 29, 2000 August 31, 1999
---------------------------------
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income....................... $ 119,953 $ 124,085
Net realized gain on securities............. 497,904 218,301
Capital gain distributions.................. 810,493 34,120
Net unrealized appreciation of securities
during the period........................... 180,269 925,908
---------------------------------
Increase in net assets resulting from
operations................................. 1,608,619 1,302,414
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... (910,341) (76,536)
Net realized gain on securities............. (389,589) -
---------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (1,299,930) (76,536)
---------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 1,176,640 9,333,933
Proceeds from shares issued for
distributions reinvested.................... 1,299,930 76,536
---------------------------------
2,476,570 9,410,469
Cost of shares repurchased.................. (265,211) (294,404)
---------------------------------
Increase in net assets resulting
from share transactions.................... 2,211,359 9,116,065
---------------------------------
TOTAL INCREASE IN NET ASSETS................ 2,520,048 10,341,943
NET ASSETS:
Beginning of year........................... 10,348,610 6,667
---------------------------------
End of period (including undistributed net
investment income of ($742,839) and
$47,549).................................... $12,868,658 $10,348,610
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 93,059 862,163
Shares issued for distributions reinvested.. 102,059 6,384
Shares repurchased.......................... (21,249) (23,937)
---------------------------------
Increase in shares outstanding............. 173,869 844,610
Shares outstanding:
Beginning of year.......................... 845,277 667
---------------------------------
End of period.............................. 1,019,146 845,277
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
February 29, 2000 (Unaudited) 75
CONSERVATIVE GROWTH LIFESTYLE FUND
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
INVESTMENT COMPANIES -
AFFILIATED - 100.02%
BOND FUNDS - 39.76%
407,862 AGSPC 3 Domestic Bond Fund............................. $ 3,780,882
-----------
INTERNATIONAL FUNDS - 9.89%
30,227 AGSPC 3 International Growth Fund...................... 469,427
25,681 AGSPC 3 International Value Fund....................... 470,990
-----------
940,417
-----------
LARGE CAP FUNDS - 30.10%
88,001 AGSPC 3 Large Cap Growth Fund.......................... 1,428,261
144,190 AGSPC 3 Large Cap Value Fund........................... 1,434,694
-----------
2,862,955
-----------
MID CAP FUNDS - 10.05%
37,162 AGSPC 3 Mid Cap Growth Fund............................ 477,905
42,475 AGSPC 3 Mid Cap Value Fund............................. 478,263
-----------
956,168
-----------
SMALL CAP FUNDS - 10.22%
17,632 AGSPC 3 Small Cap Growth Fund.......................... 488,395
46,188 AGSPC 3 Small Cap Value Fund........................... 483,125
-----------
971,520
-----------
TOTAL INVESTMENT COMPANIES -
AFFILIATED
(Cost $9,325,152)...................................... 9,511,942
-----------
TOTAL INVESTMENTS
(Cost $9,325,152) - 100.02%............................ $ 9,511,942
-----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $9,325,152)........................... $9,511,942
Receivable for:
Investments sold.................................................. 134,814
Fund shares sold.................................................. 25,986
Dividends and interest............................................ 38,754
Other assets....................................................... 4,752
----------
TOTAL ASSETS....................................................... 9,716,248
----------
LIABILITIES:
Payable for investments purchased.................................. 205,583
Payable to affiliates - advisory fees.............................. 733
----------
TOTAL LIABILITIES.................................................. 206,316
----------
NET ASSETS......................................................... $9,509,932
----------
- -------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Shares of beneficial interest, $.01 par value per share, unlimited
shares authorized,
889,516 shares outstanding......................................... $ 8,895
Additional paid in capital......................................... 9,255,863
Undistributed net realized gain on securities...................... 469,618
Accumulated net investment loss.................................... (411,234)
Unrealized appreciation of investments............................. 186,790
----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $9,509,932
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
76 CONSERVATIVE GROWTH LIFESTYLE FUND (Unaudited) - CONTINUED
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 2000
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends.............................................................. $119,352
--------
Total investment income............................................... 119,352
--------
EXPENSES:
Advisory fees.......................................................... 4,074
--------
Total expenses........................................................ 4,074
--------
NET INVESTMENT INCOME.................................................. 115,278
--------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities........................................ 202,786
Capital gain distributions............................................. 451,478
Net unrealized appreciation of investments during the period........... 79,913
--------
Net realized and unrealized gain on securities during the period...... 734,177
--------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....................... $849,455
--------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
February 29, 2000 August 31, 1999
---------------------------------
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income....................... $ 115,278 $ 145,778
Net realized gain on securities............. 202,786 804,016
Capital gain distributions.................. 451,478 36,971
Net unrealized appreciation of securities
during the period........................... 79,913 106,877
---------------------------------
Increase in net assets resulting from
operations................................. 849,455 1,093,642
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... (575,819) (96,471)
Net realized gain on securities............. (1,025,633) -
---------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (1,601,452) (96,471)
---------------------------------
SHARE TRANSACTIONS:
Proceeds from shares sold................... 1,314,743 11,680,520
Proceeds from shares issued for
distributions reinvested.................... 1,601,452 96,471
---------------------------------
2,916,195 11,776,991
Cost of shares repurchased.................. (82,892) (5,352,203)
---------------------------------
Increase in net assets resulting
from share transactions.................... 2,833,303 6,424,788
---------------------------------
TOTAL INCREASE IN NET ASSETS................ 2,081,306 7,421,959
NET ASSETS:
Beginning of year........................... 7,428,626 6,667
---------------------------------
End of period (including undistributed net
investment income of ($411,234) and
$49,307).................................... $9,509,932 $ 7,428,626
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares sold................................. 118,143 1,071,050
Shares issued for distributions reinvested.. 145,160 8,337
Shares repurchased.......................... (7,093) (446,748)
---------------------------------
Increase in shares outstanding............. 256,210 632,639
Shares outstanding:
Beginning of year.......................... 633,306 667
---------------------------------
End of period.............................. 889,516 633,306
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Unaudited) 77
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 Balanced Fund
Large Cap Growth Fund High Yield Bond Fund
Mid Cap Growth Fund Strategic Bond Fund
Small Cap Growth Fund Domestic Bond Fund
International Value Fund Core Bond Fund
Large Cap Value Fund Money Market Fund
Mid Cap Value Fund Growth Lifestyle Fund*
Small Cap Value Fund Moderate Growth Lifestyle Fund*
Socially Responsible Fund Conservative Growth Lifestyle Fund*
* The lifestyle funds represent "funds of funds" which invest in the underlying
AGSPC 3 funds. The Growth Lifestyle Fund may invest in eleven underlying funds
while both the Moderate and Conservative Growth Lifestyle Funds may invest in
ten underlying 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 AGSPC 3 funds.
B. Options, Futures, and Forward Currency Contracts
Call and Put Options. When a Fund writes a call or a put option, an amount
equal to the premium received is recorded as a liability. The liability is
"marked to market" daily to reflect the current market value of the option
written. When a written option expires, the Fund realizes a gain in the amount
of the premium originally received. If the Fund enters into a closing purchase
transaction, the Fund realizes a gain or loss in the amount of the original
premium less the cost of the closing transaction. If a written call option is
exercised, the Fund realizes a gain or loss from the sale of the underlying
security, and the proceeds from such sale are increased by the premium
originally received. If a written put option is exercised, the amount of the
premium originally received reduces the cost of the security which the Fund
purchases upon exercise of the option.
Purchased options are recorded as investments. If a purchased option expires,
the Fund realizes a loss in the amount of the cost of the option. If the Fund
enters into a closing transaction, it realizes a gain or loss, to the extent
that the proceeds from the sale are greater or less than the cost of the
option. If the Fund exercises a put option, it realizes a gain or loss from the
sale of the underlying security by adjusting the proceeds from such sale by the
amount of the premium originally paid. If the Fund exercises a call option, the
cost of the security purchased upon exercise is increased by the premium
originally paid.
Futures Contracts. The initial margin deposit made upon entering into a
futures contract is held by the custodian bank, in a segregated account, in the
name of the broker (the Fund's agent in acquiring the futures position). During
the period the futures contract is open, changes in the value of the contract
are recognized as unrealized gains or losses by "marked to market" on a daily
basis to reflect the market value of the contract at the end of each day's
trading. Variation margin payments are received or made daily, as unrealized
gains or losses are incurred. When the contract is closed, the Fund realizes a
gain or loss in the amount of the cost of or proceeds from the closing
transaction less the Fund's basis in the contract.
Forward Currency Contracts. Certain Funds may engage in forward currency
contracts, which are agreements between two parties to buy and sell currencies
at a set price on a future date. The U.S. dollar value of forward currency
contracts is determined using current forward currency exchange rates supplied
by a quotation service. The market value of the contract will fluctuate with
changes in currency exchange rates. During the period the forward currency
contract is open, the contract is "marked to market" daily and the change in
market value is recorded as an unrealized gain or loss. When the contract is
closed, the Fund records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed. The Fund could be exposed to risk if the value of the
currency changes unfavorably, if the counterparties to the contracts are unable
to meet the terms of their contracts, or if the Fund is unable to enter into a
closing position.
C. Repurchase Agreements
A Fund may acquire securities subject to repurchase agreements. Under a
typical repurchase agreement, a fund would acquire a debt security for a
relatively short period (usually for one day and not more than one week)
subject to an obligation of the seller to repurchase and of the fund to resell
the debt security at an agreed-upon higher price, thereby establishing a fixed
investment return during the fund's holding period. Under each repurchase
agreement, the Fund receives, as collateral, securities whose market value is
at least equal to the repurchase price.
D. Foreign Currency Translation
The accounting records of each Fund are maintained in U.S. dollars. Investment
securities and other assets and liabilities denominated in foreign currencies
("local currencies") are translated into U.S. dollars at prevailing exchange
rates at period end. Purchases and sales of securities, income receipts and
expense payments are translated into U.S. dollars at the prevailing exchange
rate on the respective dates of the transactions.
Net realized gains or losses on foreign currency transactions include exchange
rate gains and losses from disposition of foreign currencies, currency gains
and losses realized between trade and settlement dates of security
transactions, and currency gains and losses realized on settlement of other
assets and liabilities settled in local currencies.
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.
- --------------------------------------------------------------------------------
<PAGE>
78 NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
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 GAAP ("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 -- Prior to September 1, 1999, was one of two sub-
advisers for the Small Cap Value Fund. Effective September 1, 1999, the
Adviser assumed management of the Fund.
Brown Capital Management, Inc. -- sub-adviser for the Mid Cap Growth Fund.
Capital Guardian Trust Company -- sub-adviser for the International Value
Fund, the Balanced Fund, and the Domestic Bond Fund.
Fiduciary Management Associates, Inc. -- sub-adviser for the actively
managed portion of the Small Cap Value Fund.
Goldman Sachs Asset Management -- sub-adviser for the Large Cap Growth
Fund.
J.P. Morgan Investment Management Inc. -- sub-adviser for the Small Cap
Growth Fund.
Jacobs Asset Management -- sub-adviser for the International Growth Fund.
Neuberger Berman Management Inc. -- sub-adviser for the Mid Cap Value Fund.
State Street Global Advisors -- sub-adviser for the Large Cap Value Fund.
Sub-advisers are compensated for such services by the Adviser.
The Adviser receives from the Series a monthly fee based on each Fund's
average daily net asset value at the following annual rates:
<TABLE>
<C> <S>
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>
79
NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
The Adviser has voluntarily agreed to waive a portion of its management fee
or to reimburse certain expenses of each Fund, other than the Lifestyle Funds.
The Adviser may withdraw this voluntary undertaking at any time. The table
below reflects total annual operating expenses by Fund, as voluntarily limited
by the Adviser, shown as a percentage of average net assets:
<TABLE>
<CAPTION>
Total Fund
Expense After
Fund Name Reimbursement
-----------------------------------------
<S> <C>
International Growth Fund 1.15%
Large Cap Growth Fund 0.86%
Mid Cap Growth Fund 0.79%
Small Cap Growth Fund 1.16%
International Value Fund 1.04%
Large Cap Value Fund 0.81%
Mid Cap Value Fund 1.05%
Small Cap Value Fund 0.98%
Socially Responsible Fund 0.56%
Balanced Fund 0.82%
High Yield Bond Fund 0.99%
Strategic Bond Fund 0.89%
Domestic Bond Fund 0.78%
Core Bond Fund 0.80%
Money Market Fund 0.56%
</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 provides 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 February 29, 2000, the Series owed to affiliates $264,863 including fees
payable from Advisory, Accounting Services, and Administrative Services, net
of required expense reimbursements.
At February 29, 2000, 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.
Note 4 -- Investment Activity
The information in the following table is presented on the basis of cost for
Federal income tax purposes at February 29, 2000.
<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..................... $ 7,485,698 $ 2,993,940 $ 441,950 $ 2,551,990
Large Cap Growth Fund.... 22,126,528 7,151,862 1,718,424 5,433,438
Mid Cap Growth Fund...... 8,304,031 1,976,435 1,150,207 826,228
Small Cap Growth Fund.... 17,874,274 12,305,011 707,816 11,597,195
International Value
Fund..................... 7,680,755 4,706,547 461,994 4,244,553
Large Cap Value Fund..... 8,714,495 586,074 896,374 (310,300)
Mid Cap Value Fund....... 10,849,910 1,681,235 1,427,209 254,026
Small Cap Value Fund..... 6,984,478 1,177,762 922,710 255,052
Socially Responsible
Fund..................... 10,506,226 2,468,210 1,068,093 1,400,117
Balanced Fund............ 10,368,997 1,632,166 914,967 717,199
High Yield Bond Fund..... 5,742,700 65,881 323,113 (257,232)
Strategic Bond Fund...... 5,466,618 97,705 169,554 (71,849)
Domestic Bond Fund....... 10,084,618 1,573 458,539 (456,966)
Core Bond Fund........... 5,954,942 18,012 137,419 (119,407)
Money Market............. 11,101,310 -- -- --
Growth Lifestyle......... 9,209,623 2,210,552 203,249 2,007,303
Moderate Growth
Lifestyle................ 11,765,099 1,593,716 487,539 1,106,177
Conservative Growth
Lifestyle................ 9,440,802 674,156 603,016 71,140
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
80 NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
During the period ended February 29, 2000, 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............................. $ 4,272,333 $ 4,275,932
Large Cap Growth Fund................................. 9,102,210 5,676,701
Mid Cap Growth Fund................................... 2,475,268 1,836,432
Small Cap Growth Fund................................. 16,467,148 10,903,299
International Value Fund.............................. 2,180,662 1,583,410
Large Cap Value Fund.................................. 5,741,176 4,385,592
Mid Cap Value Fund.................................... 6,322,651 5,654,675
Small Cap Value Fund.................................. 2,570,059 2,312,572
Socially Responsible Fund............................. 3,510,305 2,844,275
Balanced Fund......................................... 4,420,020 2,495,422
High Yield Bond Fund.................................. 3,068,440 3,036,260
Strategic Bond Fund................................... 3,463,081 3,459,521
Domestic Bond Fund.................................... 3,728,917 1,783,063
Core Bond Fund........................................ 12,857,025 12,877,281
Growth Lifestyle Fund................................. 2,695,072 1,192,658
Moderate Growth Lifestyle Fund........................ 3,330,040 1,493,154
Conservative Growth Lifestyle Fund.................... 2,663,993 869,318
</TABLE>
Note 5 -- Investment Holdings by Country
The following represent investment holdings by country held by the
International Growth Fund and International Value Fund as of February 29, 2000:
<TABLE>
<CAPTION>
International Growth International Value
Fund Fund
---------------------- ----------------------
Percent of Market Percent of Market
Country Net Assets Value Net Assets Value
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Australia............... 2.68% $ 269,084 3.43% $ 407,365
Austria................. 1.74 174,187 - -
Brazil.................. 5.46 546,721 0.22 26,550
Canada.................. 1.74 174,375 3.18 377,871
Finland................. 1.40 139,871 4.15 492,496
France.................. 11.51 1,154,156 7.26 861,746
Germany................. 3.93 394,329 5.29 628,191
Hong Kong............... 10.16 1,018,441 1.87 221,547
Ireland................. - - 0.69 81,888
Italy................... - - 3.08 366,008
Japan................... 13.23 1,326,185 26.98 3,204,326
Korea................... 8.11 813,121 1.07 127,628
Mexico.................. 3.82 382,951 1.92 227,586
Netherlands............. 11.14 1,116,803 7.87 935,145
Norway.................. - - 0.31 37,253
Philippines............. 0.85 84,700 - -
Portugal................ - - 0.15 17,444
Singapore............... 0.93 93,488 1.01 119,865
Spain................... 0.86 85,812 1.84 218,412
Sweden.................. 3.78 378,922 1.49 177,014
Switzerland............. 1.63 163,030 2.71 321,760
Taiwan.................. - - 3.20 380,371
United Kingdom.......... 11.60 1,162,512 18.59 2,206,842
United States........... 5.58 559,000 4.11 488,000
----------------------------------------------
Total value of
investments............. 100.15 10,037,688 100.42 11,925,308
Other assets less
liabilities............. (0.15) (15,509) (0.42) (49,602)
----------------------------------------------
Net assets.............. 100.00% $10,022,179 100.00% $11,875,706
----------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
FINANCIAL HIGHLIGHTS (Unaudited) 81
Per share data is for a share of beneficial interest outstanding throughout
the period. Total return includes reinvestment of distributions on the
reinvestment date. Total returns and ratios for periods of less than one year
are not annualized.
<TABLE>
<CAPTION>
International Large Cap Mid Cap Small Cap
Growth Fund Growth Fund Growth Fund Growth Fund
------------------------ ------------------------ ------------------------ ------------------------
For the For the For the For the For the For the For the For the
Six Months Fiscal Year Six Months Fiscal Year Six Months Fiscal Year Six Months Fiscal Year
Ended Ended Ended Ended Ended Ended Ended Ended
February 29, August 31, February 29, August 31, February 29, August 31, February 29, August 31,
2000 1999 2000 1999 2000 1999 2000 1999
------------ ----------- ------------ ----------- ------------ ----------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value
at beginning of
year............. $11.22 $10.00 $13.96 $10.00 $12.45 $10.00 $14.86 $10.00
----------------------------------------------------------------------------------------------------
Income (loss)
from investment
operations:
Net investment
income (loss)... (0.03) 0.13 (0.01) 0.01 (0.01) (0.03) (0.06) (0.05)
Net realized and
unrealized gain
(loss) on
securities...... 4.98 1.09 2.78 3.96 1.86 2.48 14.47 4.96
----------------------------------------------------------------------------------------------------
Total income
(loss) from
investment
operations...... 4.95 1.22 2.77 3.97 1.85 2.45 14.41 4.91
Distributions:
Distributions
from net
investment
income.......... (0.20) - - (0.01) - - - -
Distributions
from net
realized gain on
securities...... (0.44) - (0.50) - (1.45) - (1.57) (0.05)
----------------------------------------------------------------------------------------------------
Total
distributions... (0.64) - (0.50) (0.01) (1.45) - (1.57) (0.05)
----------------------------------------------------------------------------------------------------
Net asset value
at end of
period........... $15.53 $11.22 $16.23 $13.96 $12.85 $12.45 $27.70 $14.86
----------------------------------------------------------------------------------------------------
TOTAL RETURN..... 44.18 % 12.20 % 19.96 % 39.77 % 15.39 % 24.50 % 101.33 % 48.82 %
----------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL
DATA
Ratio of expenses
to average net
assets........... 0.57 % 1.13 % 0.43 % 0.81 % 0.39 % 0.77 % 0.58 % 1.11 %
Ratio of expenses
to average net
assets before
expense
reductions....... 0.92 % 1.90 % 0.75 % 1.44 % 0.81 % 1.64 % 0.86 % 1.78 %
Ratio of net
investment income
(loss) to average
net assets....... (0.26)% 1.40 % (0.05)% 0.13 % (0.11)% (0.24)% (0.36)% (0.45)%
Portfolio
turnover rate.... 52 % 87 % 25 % 76 % 23 % 38 % 65 % 126 %
Number of shares
outstanding at
end of period
(000's).......... 645 608 1,690 1,383 723 594 1,057 730
Net assets at the
end of period
(000's).......... $10,022 $6,815 $27,431 $19,309 $9,284 $7,394 $29,285 $10,843
<CAPTION>
International Large Cap
Value Fund Value Fund
------------------------ ------------------------
For the For the For the For the
Six Months Fiscal Year Six Months Fiscal Year
Ended Ended Ended Ended
February 29, August 31, February 29, August 31,
2000 1999 2000 1999
------------ ----------- ------------ -----------
<S> <C> <C> <C> <C>
PER SHARE DATA
Net asset value
at beginning of
year............. $14.72 $10.00 $12.85 $10.00
-------------------------------------------------
Income (loss)
from investment
operations:
Net investment
income (loss)... (0.02) 0.09 0.07 0.13
Net realized and
unrealized gain
(loss) on
securities...... 4.67 4.65 (1.00) 2.85
-------------------------------------------------
Total income
(loss) from
investment
operations...... 4.65 4.74 (0.93) 2.98
-------------------------------------------------
Distributions:
Distributions
from net
investment
income.......... (0.17) (0.02) (0.07) (0.13)
Distributions
from net
realized gain on
securities...... (0.86) - (1.90) -
-------------------------------------------------
Total
distributions... (1.03) (0.02) (1.97) (0.13)
-------------------------------------------------
Net asset value
at end of
period........... $18.34 $14.72 $9.95 $12.85
-------------------------------------------------
TOTAL RETURN..... 31.98 % 47.41 % (8.36)% 29.87 %
-------------------------------------------------
RATIOS/SUPPLEMENTAL
DATA
Ratio of expenses
to average net
assets........... 0.52 % 1.01 % 0.40 % 0.80 %
Ratio of expenses
to average net
assets before
expense
reductions....... 0.98 % 1.97 % 0.75 % 1.51 %
Ratio of net
investment income
(loss) to average
net assets....... (0.19)% 0.67 % 0.65 % 1.10 %
Portfolio
turnover rate.... 16 % 60 % 53 % 93 %
Number of shares
outstanding at
end of period
(000's).......... 648 554 888 611
Net assets at the
end of period
(000's).......... $11,876 $8,148 $8,830 $7,856
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
82 FINANCIAL HIGHLIGHTS (Unaudited) - 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. Total returns and ratios for periods of less than one year
are not annualized.
<TABLE>
<CAPTION>
Socially
Mid Cap Value Fund Small Cap Value Fund Responsible Fund Balanced Fund
------------------------ ------------------------ ------------------------ ------------------------
For the For the For the For the For the For the For the For the
Six Months Fiscal Year Six Months Fiscal Year Six Months Fiscal Year Six Months Fiscal Year
Ended Ended Ended Ended Ended Ended Ended Ended
February 29, August 31, February 29, August 31, February 29, August 31, February 29, August 31,
2000 1999 2000 1999 2000 1999 2000 1999
------------ ----------- ------------ ----------- ------------ ----------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value
at beginning of
year............. $13.82 $10.00 $10.48 $10.00 $12.88 $10.00 $12.32 $10.00
---------------------------------------------------------------------------------------------------
Income (loss)
from investment
operations:
Net investment
income (loss)... 0.03 0.08 0.07 0.13 0.05 0.14 0.14 0.25
Net realized and
unrealized gain
(loss) on
securities...... 0.86 4.11 0.33 0.61 0.52 3.45 0.43 2.39
---------------------------------------------------------------------------------------------------
Total income
(loss) from
investment
operations...... 0.89 4.19 0.40 0.74 0.57 3.59 0.57 2.64
---------------------------------------------------------------------------------------------------
Distributions:
Distributions
from net
investment
income.......... (0.03) (0.08) (0.07) (0.13) (0.05) (0.14) (0.14) (0.25)
Distributions
from net
realized gain on
securities...... (3.41) (0.29) (0.35) (0.13) (0.46) (0.57) (0.57) (0.07)
---------------------------------------------------------------------------------------------------
Total
distributions... (3.44) (0.37) (0.42) (0.26) (0.51) (0.71) (0.71) (0.32)
---------------------------------------------------------------------------------------------------
Net asset value
at end of
period........... $11.27 $13.82 $10.46 $10.48 $12.94 $12.88 $12.18 $12.32
---------------------------------------------------------------------------------------------------
TOTAL RETURN..... 7.34 % 42.38 % 4.04 % 7.34 % 4.33 % 36.27 % 4.72 % 26.49 %
---------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL
DATA
Ratio of expenses
to average net
assets........... 0.52 % 1.03 % 0.49 % 0.96 % 0.28 % 0.55 % 0.41 % 0.80 %
Ratio of expenses
to average net
assets before
expense
reductions....... 0.86 % 1.73 % 0.87 % 1.75 % 0.61 % 1.23 % 0.88 % 1.78 %
Ratio of net
investment income
(loss) to average
net assets....... 0.21 % 0.73 % 0.68 % 1.28 % 0.41 % 1.10 % 1.21 % 2.15 %
Portfolio
turnover rate.... 60 % 197 % 39 % 102 % 26 % 29 % 28 % 78 %
Number of shares
outstanding at
end of period
(000's).......... 976 654 698 612 922 800 881 693
Net assets at the
end of period
(000's).......... $10,992 $9,039 $7,301 $6,414 $11,929 $10,304 $10,730 $8,537
<CAPTION>
High Yield Bond Fund Strategic Bond Fund
------------------------ ------------------------
For the For the For the For the
Six Months Fiscal Year Six Months Fiscal Year
Ended Ended Ended Ended
February 29, August 31, February 29, August 31,
2000 1999 2000 1999
------------ ----------- ------------ -----------
<S> <C> <C> <C> <C>
PER SHARE DATA
Net asset value
at beginning of
year............. $9.69 $10.00 $9.86 $10.00
-------------------------------------------------
Income (loss)
from investment
operations:
Net investment
income (loss)... 0.46 0.87 0.39 0.69
Net realized and
unrealized gain
(loss) on
securities...... (0.20) (0.31) (0.05) (0.16)
-------------------------------------------------
Total income
(loss) from
investment
operations...... 0.26 0.56 0.34 0.53
-------------------------------------------------
Distributions:
Distributions
from net
investment
income.......... (0.46) (0.87) (0.43) (0.65)
Distributions
from net
realized gain on
securities...... - - - (0.02)
-------------------------------------------------
Total
distributions... (0.46) (0.87) (0.43) (0.67)
-------------------------------------------------
Net asset value
at end of
period........... $9.49 $ 9.69 $9.77 $ 9.86
-------------------------------------------------
TOTAL RETURN..... 2.74 % 5.50 % 3.44 % 5.33 %
-------------------------------------------------
RATIOS/SUPPLEMENTAL
DATA
Ratio of expenses
to average net
assets........... 0.50 % 0.98 % 0.44 % 0.88 %
Ratio of expenses
to average net
assets before
expense
reductions....... 0.84 % 1.74 % 0.78 % 1.64 %
Ratio of net
investment income
(loss) to average
net assets....... 4.84 % 8.51 % 3.91 % 6.76 %
Portfolio
turnover rate.... 60 % 74 % 69 % 143 %
Number of shares
outstanding at
end of period
(000's).......... 588 557 562 537
Net assets at the
end of period
(000's).......... $5,580 $5,397 $5,488 $5,296
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
FINANCIAL HIGHLIGHTS (Unaudited) - continued 83
Per share data is for a share of beneficial interest outstanding throughout
the period. Total return includes reinvestment of distributions on the
reinvestment date. Total returns and ratios for periods of less than one year
are not annualized.
<TABLE>
<CAPTION>
Domestic Core Money Growth
Bond Fund Bond Fund Market Fund Lifestyle Fund
------------------------ ------------------------ ------------------------ ------------------------
For the For the For the For the For the For the For the For the
Six Months Fiscal Year Six Months Fiscal Year Six Months Fiscal Year Six Months Fiscal Year
Ended Ended Ended Ended Ended Ended Ended Ended
February 29, August 31, February 29, August 31, February 29, August 31, February 29, August 31,
2000 1999 2000 1999 2000 1999 2000 1999
------------ ----------- ------------ ----------- ------------ ----------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value
at beginning of
year............. $9.43 $10.00 $9.58 $10.00 $1.00 $1.00 $12.77 $10.00
---------------------------------------------------------------------------------------------------
Income (loss)
from investment
operations:
Net investment
income (loss)... 0.27 0.52 0.30 0.50 0.03 0.05 0.20 0.08
Net realized and
unrealized gain
(loss) on
securities...... (0.16) (0.44) (0.15) (0.39) - - 2.70 2.74
---------------------------------------------------------------------------------------------------
Total income
(loss) from
investment
operations...... 0.11 0.08 0.15 0.11 0.03 0.05 2.90 2.82
---------------------------------------------------------------------------------------------------
Distributions:
Distributions
from net
investment
income.......... (0.27) (0.52) (0.30) (0.50) (0.03) (0.05) (1.05) (0.05)
Distributions
from net
realized gain on
securities...... - (0.13) - (0.03) - - (0.47) -
---------------------------------------------------------------------------------------------------
Total
distributions... (0.27) (0.65) (0.30) (0.53) (0.03) (0.05) (1.52) (0.05)
---------------------------------------------------------------------------------------------------
Net asset value
at end of
period........... $9.27 $9.43 $9.43 $ 9.58 $1.00 $1.00 $14.15 $12.77
---------------------------------------------------------------------------------------------------
TOTAL RETURN..... 1.20 % 0.59 % 1.54 % 1.12 % 2.60 % 4.66 % 23.05 % 28.28 %
---------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL
DATA
Ratio of expenses
to average net
assets........... 0.39 % 0.77 % 0.40 % 0.80 % 0.28 % 0.54 % 0.05 % 0.10 %
Ratio of expenses
to average net
assets before
expense
reductions....... 0.81 % 1.59 % 0.73 % 1.54 % 0.60 % 1.23 % 0.05 % 0.10 %
Ratio of net
investment income
(loss) to average
net assets....... 2.96 % 5.41 % 3.11 % 5.06 % 2.58 % 4.43 % 0.78 % 0.76 %
Portfolio
turnover rate.... 21 % 156 % 259 % 489 % N/A N/A 12 % 9 %
Number of shares
outstanding at
end of period
(000's).......... 1,071 875 552 535 11,063 9,784 793 664
Net assets at the
end of period
(000's).......... $9,921 $8,252 $5,207 $5,119 $11,063 $9,784 $11,215 $8,480
<CAPTION>
Moderate Growth Conservative Growth
Lifestyle Fund Lifestyle Fund
------------------------ ------------------------
For the For the For the For the
Six Months Fiscal Year Six Months Fiscal Year
Ended Ended Ended Ended
February 29, August 31, February 29, August 31,
2000 1999 2000 1999
------------ ----------- ------------ -----------
<S> <C> <C> <C> <C>
PER SHARE DATA
Net asset value
at beginning of
year............. $12.24 $10.00 $11.73 $10.00
-------------------------------------------------
Income (loss)
from investment
operations:
Net investment
income (loss)... 0.19 0.17 0.22 0.25
Net realized and
unrealized gain
(loss) on
securities...... 1.61 2.18 1.03 1.65
-------------------------------------------------
Total income
(loss) from
investment
operations...... 1.80 2.35 1.25 1.90
-------------------------------------------------
Distributions:
Distributions
from net
investment
income.......... (0.98) (0.11) (0.76) (0.17)
Distributions
from net
realized gain on
securities...... (0.43) - (1.53) -
-------------------------------------------------
Total
distributions... (1.41) (0.11) (2.29) (0.17)
-------------------------------------------------
Net asset value
at end of
period........... $12.63 $12.24 $10.69 $11.73
-------------------------------------------------
TOTAL RETURN..... 14.96 % 23.52 % 10.93 % 19.00 %
-------------------------------------------------
RATIOS/SUPPLEMENTAL
DATA
Ratio of expenses
to average net
assets........... 0.05 % 0.10 % 0.05 % 0.10 %
Ratio of expenses
to average net
assets before
expense
reductions....... 0.05 % 0.10 % 0.05 % 0.10 %
Ratio of net
investment income
(loss) to average
net assets....... 1.04 % 1.60 % 1.41 % 2.29 %
Portfolio
turnover rate.... 13 % 13 % 11 % 94 %
Number of shares
outstanding at
end of period
(000's).......... 1,019 845 890 633
Net assets at the
end of period
(000's).......... $12,869 $10,349 $9,510 $7,429
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
84 AMERICAN GENERAL SERIES PORTFOLIO COMPANY 3
BOARD OF
TRUSTEES
Kent E. Barrett
Judith L. Craven Jacobs Asset Management
Timothy J. Ebner 200 East Broward Boulevard
Gustavo E. Gonzales, Jr. Suite 1920
Norman Hackerman Fort Lauderdale, Florida 33301
Alice T. Kane
John W. Lancaster Neuberger Berman Management Inc.
Ben H. Love 605 Third Avenue,
John E. Maupin, Jr. Second Floor
F. Robert Paulsen New York, New York 10158-0180
DISTRIBUTOR State Street Global Advisors
American General Distributors, Inc. 2 International Place
2929 Allen Parkway Boston, Massachusetts 02110
Houston, Texas 77019
INDEPENDENT AUDITORS
CUSTODIAN Ernst & Young LLP
State Street Bank and Trust Company 1221 McKinney Street
225 Franklin Street Houston, Texas 77010
Boston, Massachusetts 02110
TRANSFER AND SHAREHOLDER
INVESTMENT ADVISER SERVICE AGENT
The Variable Annuity Life The Variable Annuity Life
Insurance Company (VALIC) Insurance Company (VALIC)
2929 Allen Parkway 2929 Allen Parkway
Houston, Texas 77019 Houston, Texas 77019
INVESTMENT SUB-ADVISERS OFFICERS
American General Alice T. Kane,
Investment Management, L.P. Chairman and President
2929 Allen Parkway Kent E. Barrett,
Houston, Texas 77019 Executive Vice President
Peter V. Tuters,
Brown Capital Management Senior Investment Officer
1201 N. Calvert Street Pauletta P. Cohn,
Baltimore, Maryland 21202 Vice President
Teresa S. Moro,
Capital Guardian Trust Company Vice President and Investment Officer
333 South Hope Street Leon A. Olver,
Los Angeles, California 90071 Vice President and Investment Officer
William Trimbur, Jr.,
Fiduciary Management Vice President and Investment Officer
Associates, Inc. Nori L. Gabert,
55 West Monroe Street, Suite 2550 Vice President and Assistant Secretary
Chicago, Illinois 60603 Cynthia A. Gibbons,
Assistant Vice President
Goldman Sachs Asset Management Gregory R. Seward,
32 Old Slip Treasurer
New York, New York 10005 Gregory R. Kingston,
Assistant Treasurer
J. P. Morgan Investment Jaime M. Sepulveda,
Management Inc. Assistant Treasurer
522 Fifth Avenue Kathyrn A. Pearce,
New York, New York 10036 Controller
Heriberto R. Valdez,
Assistant Controller
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 Frank
Russell Trust Company. Russell(TM) is a trademark of the Frank Russell
Company.
- -------------------------------------------------------------------------------
<PAGE>
AMERICAN GENERAL SERIES PORTFOLIO COMPANY 3
P.O. Box 3206
Houston, Texas 77253-3206
PRESORTED
STANDARD
U.S. Postage
PAID
Permit No. 8080
Houston, Texas
AMERICAN GENERAL
FINANCIAL GROUP
American General Financial Group is the marketing
name for American General Corporation
and its subsidiaries.
VA 11288 VER 02/2000
