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[LOGO]
SEMI-ANNUAL REPORT
DECEMBER 31, 1999
(UNAUDITED)
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TABLE OF CONTENTS
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PAGE
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PORTFOLIOS OF INVESTMENTS
SA Fixed Income Fund...................................... 4
SA International HBtM Fund................................ 6
SA International Small Company Fund....................... 10
SA U.S. HBtM Fund......................................... 11
SA U.S. Market Fund....................................... 14
SA U.S. Small Company Fund................................ 19
STATEMENTS OF ASSETS AND LIABILITIES........................ 24
STATEMENTS OF OPERATIONS.................................... 26
STATEMENTS OF CHANGES IN NET ASSETS......................... 28
FINANCIAL HIGHLIGHTS........................................ 30
NOTES TO FINANCIAL STATEMENTS............................... 36
</TABLE>
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SA Fixed Income Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
<S> <C> <C>
- --------------------------------------------------------------------
BONDS AND NOTES -- 56.5%
GOVERNMENT AGENCY -- 6.6%
Federal Home Loan Bank, 5.625%,
3/19/01............................. USD 300,000 297,196
Federal Home Loan Bank, 5.875%,
8/15/01............................. USD 250,000 247,768
Federal Home Loan Bank, 5.875%,
9/17/01............................. USD 250,000 247,566
Federal National Mortgage Association,
5.970%, 8/02/01..................... USD 200,000 198,396
Federal National Mortgage Association,
6.500%, 7/10/02..................... USD 350,000 228,846
-----------
1,219,772
-----------
BANKS -- 10.8%
African Development Bank MTN, 8.625%,
5/01/01............................. USD 250,000 255,668
Asian Development Bank, 8.500%,
5/02/01............................. USD 200,000 204,740
Bank Austria AG, 4.750%, 3/17/03...... EUR 200,000 199,522
Credit Local De France SA, 6.000%,
9/24/01............................. EUR 300,000 310,509
Deutsche Genossen-HypotheKenbank,
3.500%, 10/26/01.................... EUR 300,000 297,672
European Investment Bank, 4.625%,
2/26/03............................. JPY 25,000,000 276,111
Intermediate American Development
Bank, 8.500%, 5/01/01............... USD 200,000 204,376
Westfaelische Hypothekenbank, 3.250%,
8/15/01............................. EUR 250,000 247,883
-----------
1,996,481
-----------
FINANCE -- AUTO LOANS -- 1.6%
Toyota Motor Credit Corp., 5.500%,
9/17/01............................. USD 300,000 293,664
-----------
FINANCIAL SERVICES -- 1.4%
MBIA, Inc., 9.000%, 2/15/01........... USD 250,000 255,974
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FOREIGN GOVERNMENT/AGENCY -- 27.1%
Canada Mortgage & Housing Corp.,
7.250%, 9/01/01..................... CAD 350,000 248,056
Government of Canada, 9.750%,
6/01/01............................. CAD 550,000 400,850
Government of France, 4.500%,
7/12/02............................. EUR 200,000 201,421
Government of France, 4.500%,
7/12/03............................. EUR 300,000 299,914
Government of The Netherlands, 6.500%,
4/15/03............................. EUR 500,000 529,486
Japan Finance Corp., 8.700%,
7/30/01............................. USD 500,000 513,502
KFW International Finance, 6.250%,
10/15/03............................ EUR 200,000 210,548
Kingdom of Denmark, 8.000%, 5/15/03... DKK 3,000,000 440,932
<CAPTION>
FACE
AMOUNT VALUE+
<S> <C> <C>
- --------------------------------------------------------------------
Kingdom of Sweden, 5.000%, 1/15/04.... SEK 4,000,000 463,671
New South Wales Treasury Corp.,
5.500%, 10/01/02.................... AUD 300,000 191,733
Queensland Treasury-Global, 8.000%,
8/14/01............................. AUD 500,000 337,018
Republic of Austria, 4.300%, 7/15/03.. EUR 250,000 247,541
Treuhandanstalt, 6.625%, 7/09/03...... EUR 400,000 427,217
United Kingdom Treasury, 7.000%,
11/06/01............................ GBP 150,000 244,475
United Kingdom Treasury, 10.000%,
2/26/01............................. GBP 150,000 252,084
-----------
5,008,448
-----------
FOREIGN -- MUNICIPAL COUNTY -- 1.3%
Dept. Des Hauts-De-Seine, 7.000%,
7/21/03............................. EUR 1,500,000 246,847
-----------
INSURANCE -- 1.3%
American International Group, Inc.
MTN, 6.340%, 8/16/01................ USD 250,000 248,247
-----------
OIL & GAS -- 2.7%
Elf Aquitaine SA, 8.000%, 10/15/01.... USD 500,000 510,309
-----------
RETAIL -- 1.1%
Wal-Mart Stores, Inc., 6.150%,
8/10/01............................. USD 200,000 198,314
-----------
UTILITIES -- 2.6%
Electricite de France, 3.750%,
10/28/03............................ EUR 500,000 485,750
-----------
TOTAL BONDS AND NOTES
(Identified Cost $10,666,323)....... 10,463,806
-----------
SHORT-TERM INVESTMENTS -- 41.7%
AIR FREIGHT -- 1.6%
Kitty Hawk, Inc., 5.900%, 1/28/00..... USD 300,000 298,672
-----------
BANKS -- 1.6%
Oesterreichische National Bank,
5.900%, 1/18/00..................... USD 300,000 299,164
-----------
CHEMICALS -- 2.7%
E.I. du Pont de Nemours & Co., 5.840%,
1/18/00............................. USD 500,000 498,621
-----------
COSMETICS & TOILETRIES -- 2.7%
Procter & Gamble Co., 5.860%,
1/25/00............................. USD 500,000 498,047
-----------
FINANCE -- AUTO LOANS -- 2.7%
PACCAR Financial Corp., 6.100%,
1/07/00............................. USD 500,000 499,492
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</TABLE>
4
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SA Fixed Income Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited) (Continued)
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<CAPTION>
FACE
AMOUNT VALUE+
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FINANCE -- LEASING COMPANIES -- 1.6%
Enterprise Funding Corp., 5.920%,
1/26/00............................. USD 300,000 298,767
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FINANCIAL SERVICES -- 23.7%
Bellsouth Capital Funding Corp.,
5.860%, 1/26/00..................... USD 300,000 298,779
Caisse Centrale Desjardins, 6.250%,
2/22/00............................. USD 500,000 495,486
Ciesco LP, 5.970%, 1/26/00............ USD 300,000 298,756
Corporate Asset Funding, 6.020%,
1/18/00............................. USD 250,000 249,289
Delaware Funding Corp., 6.000%,
1/31/00............................. USD 500,000 497,500
Dresdner U.S. Finance, Inc., 6.230%,
1/10/00............................. USD 500,000 499,221
General Electric Credit International,
6.450%, 1/24/00..................... USD 400,000 398,352
Govco, Inc., 5.920%, 1/19/00.......... USD 300,000 299,112
Saint Michael Finance Plc., 5.500%,
2/07/00............................. USD 500,000 497,174
Sheffield Receivable Corp., 5.950%,
1/27/00............................. USD 300,000 298,711
Shell Finance UK Plc, 5.930%,
1/13/00............................. USD 250,000 249,506
Windmill Financial Corp., 6.010%,
1/20/00............................. USD 300,000 299,048
-----------
4,380,934
-----------
FOOD & BEVERAGES -- 1.6%
Coca-Cola Co., 5.870%, 1/27/00........ USD 300,000 298,728
-----------
INSURANCE -- 1.6%
Metlife Funding, Inc., 5.830%,
1/31/00............................. USD 300,000 298,542
-----------
TELECOMMUNICATIONS -- 1.6%
British Telecommunications Plc,
5.930%, 1/20/00..................... USD 300,000 299,061
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<CAPTION>
SHARES VALUE+
<S> <C> <C>
- --------------------------------------------------------------------
OTHER -- 0.3%
SSgA Money Market Fund................ 5 $ 5
SSgA U.S. Government Money Market
Fund................................ 44,376 44,376
-----------
44,381
-----------
TOTAL SHORT TERM INVESTMENTS
(Identified Cost $7,714,409)........ 7,714,409
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</TABLE>
<TABLE>
<CAPTION>
<S> <C>
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TOTAL INVESTMENTS -- 98.2%
(IDENTIFIED COST $18,380,732)#.................. 18,178,215
Cash and Other Assets, Less Liabilities -- 1.8% 331,252
----------
NET ASSETS -- 100%................................ $18,509,467
==========
</TABLE>
+ See Note 1.
# At December 31, 1999, the aggregate cost of investment securities for
income tax purposes was $18,380,732. Net unrealized depreciation aggregated
$202,517, of which $42,556 related to appreciated investment securities and
$245,073 related to depreciated investment securities.
Key to abbreviations:
AUD -- Australian Dollar
CAD -- Canadian Dollar
DKK -- Danish Krone
EUR -- European Monetary Unit
GBP -- British Pound
JPY -- Japanese Yen
SEK -- Swedish Krona
USD -- U.S. Dollar
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
5
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SA International HBtM Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited)
<TABLE>
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- --------------------------------------------------------------
COMMON STOCKS -- 94.0%
AUSTRALIA -- 2.5%
Amcor Ltd............................. 6,891 $ 32,274
Boral Ltd............................. 46,605 72,207
Colonial Ltd.......................... 10,600 47,390
CSR Ltd............................... 12,754 30,980
M.I.M. Holdings Ltd................... 70,703 72,874
North Ltd............................. 7,076 16,677
Pacific Dunlop Ltd.................... 12,644 17,897
Pasminco Ltd.......................... 15,518 17,013
Pioneer International Ltd............. 11,374 34,274
Santos Ltd............................ 3,210 8,746
Smorgon Steel Group Ltd............... 22,900 30,819
St. George Bank Ltd................... 4,987 37,585
-----------
418,736
-----------
AUSTRIA -- 0.2%
Bank Austria AG....................... 301 16,980
Voest-Alpine Stahl AG................. 528 20,584
-----------
37,564
-----------
BELGIUM -- 0.9%
Solvay SA............................. 600 49,561
Union Miniere SA...................... 2,600 101,098
-----------
150,659
-----------
DENMARK -- 0.7%
Danisco A/S........................... 390 15,201
Den Danske Bank Group................. 270 29,598
Jyske Bank A/S........................ 2,720 54,850
Kapital Holding....................... 392 18,834
-----------
118,483
-----------
FINLAND -- 3.1%
Huhtamaki Van Leer Oyj Series 1....... 1,500 50,771
Kemira Oyj............................ 6,100 37,176
Kesko Oyj............................. 6,300 79,963
Metra Oyj Class B..................... 800 14,909
Metsa-Serla Oyj Series B.............. 8,800 102,387
Metso Oyj*............................ 8,705 113,120
Outokumpu Oyj......................... 7,900 111,811
Sanitec Oyj*.......................... 74 969
-----------
511,106
-----------
FRANCE -- 9.4%
Assurances Generales De France........ 3,100 168,006
Banque Nationale de Paris............. 400 36,909
Bull SA*.............................. 4,700 37,829
Christian Dior SA..................... 200 49,562
Ciments Francais...................... 1,000 67,946
Compagnie de Saint-Gobain............. 1,400 263,301
Compagnie Generele des Etablissements
Michelin Class B.................... 2,300 90,359
Eiffage SA............................ 200 14,143
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- --------------------------------------------------------------
Eridania Beghin-Say SA................ 700 $ 75,309
Euro Disney SCA*...................... 25,454 23,077
Faurecia.............................. 400 21,759
Groupe GTM............................ 200 19,442
Imerys................................ 100 14,909
Labinal SA............................ 100 10,960
Pernod-Ricard SA...................... 700 40,052
PSA Peugeot Citroen................... 1,600 363,290
Remy Cointreau SA*.................... 1,200 26,981
Rue Imperiale de Lyon................. 20 36,970
Societe des Immeubles de France....... 1,100 20,090
Union des Assurances Federales........ 200 23,491
Usinor SA............................. 8,100 152,175
-----------
1,556,560
-----------
GERMANY -- 9.2%
Bankgesellschaft Berlin AG*........... 12,900 214,414
BASF AG............................... 3,050 156,693
Bayer AG.............................. 2,000 94,691
BHW Holding AG........................ 1,300 23,637
Commerzbank AG........................ 3,550 130,349
Deutsche Bank AG...................... 1,700 143,593
Deutsche Lufthansa AG................. 650 15,125
Dresdner Bank AG...................... 1,400 76,156
Dyckerhoff AG......................... 700 21,154
HypoVereinsbank....................... 1,800 122,937
Linde AG.............................. 6,000 328,195
MAN AG................................ 800 30,059
Merck KGaA............................ 3,200 99,284
Thyssen Krupp AG...................... 2,400 73,134
-----------
1,529,421
-----------
HONG KONG -- 2.4%
Amoy Properties Ltd................... 33,000 27,806
Hang Lung Development Co., Ltd........ 15,000 16,981
Hongkong and Shanghai Hotels Ltd...... 27,000 17,888
Hysan Development Co., Ltd............ 24,000 30,411
Kerry Properties Ltd.................. 24,000 33,653
New World Development Co., Ltd........ 34,000 76,542
Sino Land Co., Ltd.................... 40,000 23,155
Swire Pacific Ltd..................... 4,500 26,571
Wharf (Holdings) Ltd.................. 37,000 85,914
Wheelock and Co., Ltd................. 48,000 50,325
-----------
389,246
-----------
IRELAND -- 0.5%
Independent News & Media Plc.......... 2,381 15,614
Jefferson Smurfit Group Plc........... 21,258 64,243
-----------
79,857
-----------
ITALY -- 3.6%
Banca di Roma......................... 92,500 118,898
Banca Popolare di Milano.............. 3,000 23,360
Banca Toscana......................... 5,000 18,535
CIR-Compagnie Industriali Riunite
SpA................................. 7,500 19,794
</TABLE>
6
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SA International HBtM Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited) (Continued)
<TABLE>
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<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ITALY (CONTINUED)
Compart SpA*.......................... 25,000 $ 29,918
Fiat SpA.............................. 6,000 171,350
Ifil (Finanziiaria di partecipazioni)
SpA................................. 3,000 29,586
Italcementi SpA....................... 2,500 30,221
Magneti Marelli SpA................... 5,000 19,089
Montedison SpA........................ 35,000 57,293
Riunione Adriatica di Sicurta SpA..... 3,000 30,100
Societa Assicuratrice Insustriale
SpA................................. 2,000 22,383
Toro Assicurazioni.................... 1,500 18,465
-----------
588,992
-----------
JAPAN -- 25.4%
Amada Co., Ltd........................ 2,000 10,943
Ashikaga Bank Ltd..................... 8,000 15,973
Bandai Co., Ltd....................... 1,000 31,810
Bank of Yokohama Ltd.................. 4,000 18,440
Casio Computer Co., Ltd............... 3,000 24,958
Chiba Bank Ltd........................ 4,000 22,159
Chugoku Bank Ltd...................... 2,000 20,260
Citizen Watch Co...................... 2,000 12,724
Dai-Tokyo Fire and Marine Insurance
Co., Ltd............................ 4,000 16,326
Daido Steel Co., Ltd.................. 35,000 51,385
Daio Paper Corp....................... 10,000 69,003
Daishi Bank Ltd....................... 4,000 15,856
Daito Trust Construction Co., Ltd..... 900 10,042
Daiwa Bank Ltd........................ 10,000 29,363
Daiwa House Industry Co., Ltd......... 6,000 44,631
Dowa Fire & Marine Insurance Co.,
Ltd................................. 3,000 8,104
Fuji Photo Film....................... 3,000 109,523
Hiroshima Bank Ltd.................... 7,000 27,063
Hitachi Cable Ltd..................... 5,000 25,692
Hitachi Ltd........................... 22,000 353,137
Hitachi Metals Ltd.................... 4,000 20,162
Hokkoku Bank Ltd...................... 4,000 16,091
Hokuriku Bank Ltd.*................... 8,000 18,949
Hyakujushi Bank Ltd................... 3,000 18,792
Inax Corp............................. 3,000 16,796
Ishikawajima-Harima Heavy Industries
Co., Ltd............................ 15,000 17,324
Itochu Corp.*......................... 4,000 19,928
Izumiya Co., Ltd...................... 9,000 86,327
Joyo Bank Ltd......................... 10,000 46,002
Juroku Bank Ltd....................... 4,000 16,874
Kajima Corp........................... 6,000 17,911
Kinden Corp........................... 3,000 23,050
Kiyo Bank Ltd......................... 23,000 63,032
Kobe Steel Ltd.*...................... 20,000 13,703
Kokuyo Co., Ltd....................... 1,000 13,311
Komatsu Ltd........................... 11,000 50,602
Konica Corp........................... 5,000 18,596
Makita Corp........................... 2,000 18,009
Marubeni Corp......................... 10,000 41,989
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- --------------------------------------------------------------
Matsushita Electric Industrial Co.,
Ltd................................. 15,000 $ 415,484
Mitsubishi Gas Chemical Co., Inc...... 4,000 7,791
Mitsubishi Heavy Industries Ltd....... 47,000 156,866
Mitsubishi Material Corp.*............ 13,000 31,810
Mycal Corp............................ 4,000 17,422
Nanto Bank Ltd........................ 3,000 22,022
New Japan Securities Co., Ltd.*....... 42,000 104,825
Nippon Mitsubishi Oil Corp............ 121,000 532,935
Nippon Shinpan Co., Ltd............... 30,000 69,883
Nishi-Nippon Bank Ltd................. 5,000 20,065
Nisshin Steel Co., Ltd................ 98,000 108,388
Nisshinbo Industries, Inc............. 23,000 104,003
Nissho Iwai Corp.*.................... 13,000 10,561
NKK Corp.*............................ 271,000 183,018
Noritz Corp........................... 1,000 10,571
NTN Corp.............................. 3,000 8,868
Obayashi Corp......................... 8,000 37,819
Pioneer Corp.......................... 1,000 26,427
Sanyo Electric Co., Ltd............... 22,000 89,361
Seino Transportation Co., Ltd......... 15,000 79,573
Sekisui Chemical Co., Ltd............. 7,000 31,036
Sekisui House Ltd..................... 10,000 88,578
Shimizu Corp.......................... 3,000 9,925
Showa Shell Sekiyu K.K................ 4,000 17,657
Sumitomo Metal Industries Ltd.*....... 43,000 32,407
Sumitomo Metal Mining Co.............. 8,000 17,853
Sumitomo Realty & Development Co.,
Ltd................................. 5,000 16,639
Taiheiyo Cement Corp.................. 93,000 177,498
Taisei Corp........................... 6,000 11,393
Takashimaya Co., Ltd.................. 3,000 20,671
Tanabe Seiyaku Co., Ltd............... 3,000 20,290
Teikoku Oil Co., Ltd.................. 2,000 6,068
Toto Ltd.............................. 2,000 12,097
Toyo Seikan Kaisha Ltd................ 2,000 28,971
Toyo Trust & Banking Co., Ltd......... 3,000 12,332
Toyota Tsusho Corp.................... 4,000 11,980
Victor Company of Japan Ltd........... 3,000 20,143
Wacoal Corp........................... 1,000 8,799
Yamaguchi Bank Ltd.................... 2,000 18,185
Yamaha Corp........................... 2,000 12,998
Yasuda Trust & Banking Co., Ltd.*..... 46,000 71,587
Yokogawa Electric Corp................ 3,000 21,171
Zexel Corp............................ 27,000 51,532
-----------
4,212,342
-----------
NETHERLANDS -- 4.9%
ABN AMRO Holding NV................... 2,600 64,954
DSM NV................................ 1,000 40,093
ING Groep NV.......................... 4,100 247,560
Koninklijke (Royal) Philips
Electronics NV...................... 3,400 462,373
-----------
814,980
-----------
NEW ZEALAND -- 0.1%
Carter Holt Harvey Ltd................ 15,200 19,855
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</TABLE>
7
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SA International HBtM Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited) (Continued)
<TABLE>
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<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
NORWAY -- 0.4%
Bergesen d.y. ASA Class A............. 1,200 $ 21,879
Den Norske Bank ASA*.................. 6,500 26,706
Kvaerner ASA Series A................. 900 18,995
-----------
67,580
-----------
PORTUGAL -- 0.4%
Banco Espirito Santo SA............... 800 22,484
Cimpor-Cimento de Portugal SGPA SA.... 3,000 49,864
-----------
72,348
-----------
SINGAPORE -- 1.1%
Centrepoint Properties Ltd............ 23,000 27,619
Fraser & Neave Ltd.................... 5,000 18,463
Keppel Corporation Ltd................ 25,000 65,446
Keppel Land Ltd....................... 24,000 39,340
Singapore Land Ltd.................... 12,000 31,558
-----------
182,426
-----------
SPAIN -- 2.7%
Aceralia Corporation Siderurgica SA... 3,200 42,518
Acerinox SA........................... 1,300 51,976
Autopistas del Mare Nostrum SA........ 1,700 29,301
Autopistas, Concesionaria Espanola
SA.................................. 9,000 87,488
Azucarera Ebro Agricolas SA........... 2,000 29,173
Compania Espanole de Petroleos SA..... 8,400 82,671
Corporacion Mapfre.................... 1,900 31,466
Hidroelectrica del Cantabrico SA...... 2,800 39,432
Metrovacesa SA........................ 1,100 19,059
Vallehermoso SA....................... 4,400 31,026
-----------
444,110
-----------
SWEDEN -- 2.6%
AssiDoman AB.......................... 1,600 26,043
Gambro AB Series A.................... 3,500 31,467
Gambro AB Series B.................... 1,800 16,288
Mo Och Domsjoe AB (MoDo) Series B..... 1,800 64,943
NCC AB................................ 1,500 17,452
Scandinaviska Enskilda Banken Series
A................................... 3,100 31,331
SSAB Svenskt Stal AB Series A......... 1,600 24,821
Svenska Cellulosa AB (SCA) Series B... 1,700 50,347
Trelleborg AB Series B................ 1,500 13,486
Volvo AB Series A..................... 2,000 50,535
Volvo AB Series B..................... 4,300 111,176
-----------
437,889
-----------
SWITZERLAND -- 5.2%
Baloise Holding Ltd................... 140 110,168
Ciba Specialty Chemicals AG........... 1,600 117,063
Helvetia Patria Holding............... 310 245,306
Oerlikon-Buehrle Holding AG*.......... 100 20,097
SAirGroup............................. 310 62,397
Sika Finanz AG........................ 60 19,594
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- --------------------------------------------------------------
Sulzer AG............................. 90 58,500
Sulzer Medica AG...................... 160 $ 30,647
Valora Holdings AG.................... 770 206,004
-----------
869,776
-----------
UNITED KINGDOM -- 18.7%
Allied Domecq Plc..................... 26,300 129,996
Antofagasta Holdings Plc.............. 4,000 27,783
Arjo Wiggins Appleton Plc............. 18,100 61,105
Associated British Foods Plc.......... 17,000 92,609
Associates British Ports Holdings
Plc................................. 7,400 33,947
BAA Plc............................... 11,103 77,475
Berkeley Group Plc.................... 2,730 31,398
Blue Circle Industries Plc............ 8,000 46,779
BPB Plc............................... 5,900 35,262
Britannic Plc......................... 4,100 62,254
British Airways Plc................... 26,000 169,671
British Land Company Plc.............. 11,100 73,871
Capital Shop Centers Plc.............. 8,000 43,678
CGU Plc............................... 14,000 225,916
Chelsfield Plc........................ 5,000 25,279
Corus Group Plc....................... 75,200 195,568
David S. Smith (Holdings) Plc......... 6,000 19,190
Great Universal Stores Plc............ 10,700 62,221
Hammerson Plc......................... 6,200 42,563
Hanson Plc............................ 4,900 41,079
Hilton Group Plc...................... 8,000 25,974
J Sainsbury Plc....................... 24,300 137,283
Marks & Spencer Plc................... 36,400 174,039
Millennium & Copthorne Hotels Plc..... 5,000 30,691
Millennium & Copthorne Hotels Plc (RFD
shares)............................. 882 4,986
National Power Plc.................... 11,400 65,739
Norwich Union Plc..................... 24,000 183,950
Peninsular and Oriental Steam
Navigation Co....................... 7,013 116,340
Pilkington Plc........................ 13,900 18,928
Railtrack Group Plc................... 6,034 101,364
Rank Group Plc........................ 16,000 51,690
RMC Group Plc......................... 2,000 27,460
Rolls-Royce Plc....................... 16,312 56,649
Royal & Sun Alliance Insurance Group
Plc................................. 35,200 263,824
Safeway Plc........................... 22,500 78,049
Scottish & Newcastle Plc.............. 7,900 54,872
Slough Estates Plc.................... 8,900 50,676
Tate & Lyle Plc....................... 5,800 37,147
Taylor Woodrow Plc.................... 8,400 18,318
Thistle Hotels Plc.................... 10,000 29,883
United Assurance Group Plc............ 7,000 34,487
Whitbread Plc......................... 5,000 50,397
-----------
3,110,390
-----------
TOTAL COMMON STOCKS
(Identified Cost $15,295,340)....... 15,612,320
-----------
</TABLE>
8
<PAGE>
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SA International HBtM Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited) (Continued)
<TABLE>
- --------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
SHORT TERM INVESTMENTS
UNITED STATES -- 5.2%
SSgA U.S. Government Money Market
Fund................................ 436,657 $ 436,657
SSgA Money Market Fund................ 436,748 436,748
-----------
873,405
-----------
TOTAL SHORT TERM INVESTMENTS
(Identified Cost $873,405).......... 873,405
-----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- --------------------------------------------------------------
TOTAL INVESTMENTS -- 99.2%
(IDENTIFIED COST $16,168,745)#.................. 16,485,725
Cash and Other Assets, Less Liabilities --
0.8%.......................................... 128,672
----------
NET ASSETS -- 100%................................ $16,614,397
==========
</TABLE>
+ See Note 1.
* Non-income producing security
# At December 31, 1999, the aggregate cost of investment securities for
income tax purposes was $16,168,745. Net unrealized appreciation aggregated
$316,980, of which $992,673 related to appreciated investment securities
and $675,693 related to depreciated investment securities.
Ten Largest Sector Holdings at December 31, 1999
(As a percentage of Net Assets):
<TABLE>
<CAPTION>
Industry Percentage
- -------- -----------
<S> <C>
Banks/Savings & Loans 11.6%
Insurance 8.7%
Building & Construction 8.2%
Electronics 6.1%
Steel 5.6%
Other -- Investment Companies 5.3%
Diversified Operations 4.1%
Real Estate Investment Trusts 3.9%
Oil & Gas 3.9%
Chemicals 3.0%
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
9
<PAGE>
- --------------------------------------------------------------------------------
SA International Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited)
<TABLE>
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- -------------------------------------------------------------
MUTUAL FUNDS -- 100.0%
Continental Fund...................... 143,098 $1,807,325
Japan Fund............................ 110,871 1,118,684
Pacific Fund.......................... 67,800 679,354
United Kingdom Fund................... 40,914 896,829
----------
TOTAL MUTUAL FUNDS
(Identified Cost $4,895,007)........ 4,502,192
----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(IDENTIFIED COST $4,895,007)#................... 4,502,192
Cash and Other Assets, Less Liabilities --
0.0%.......................................... 1,124
---------
NET ASSETS -- 100%................................ $4,503,316
=========
</TABLE>
+ See Note 1.
# At December 31, 1999, the aggregate cost of investment securities for
income tax purposes was $4,895,007. Net unrealized depreciation aggregated
$392,815, of which $23,690 related to appreciated investment securities and
$416,505 related to depreciated investment securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
10
<PAGE>
- --------------------------------------------------------------------------------
SA U.S. HBtM Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited)
<TABLE>
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- --------------------------------------------------------------
COMMON STOCKS -- 99.5%
AEROSPACE/DEFENSE -- 2.9%
B.F. Goodrich Co...................... 1,500 $ 41,250
Northrop Grumman Corp................. 900 48,656
Raytheon Co. Class A.................. 1,600 39,700
Raytheon Co. Class B.................. 3,100 82,344
----------
211,950
----------
AIRLINES -- 4.2%
Alaska Air Group, Inc.*............... 300 10,538
AMR Corp.*............................ 1,900 127,300
Delta Air Lines, Inc.................. 2,200 109,587
UAL Corp.*............................ 700 54,294
----------
301,719
----------
AUTO & RELATED -- 21.4%
Borg-Warner Automotive, Inc........... 500 20,250
Cummins Engine Co., Inc............... 300 14,494
Dana Corp............................. 2,300 68,856
Federal-Mogul Corp.................... 1,000 20,125
Ford Motor Co......................... 14,900 796,219
General Motors Corp................... 8,400 610,575
Tenneco Automotive, Inc.*............. 360 3,353
United Rentals, Inc.*................. 900 15,412
----------
1,549,284
----------
BANKS/SAVINGS & LOANS -- 1.4%
BancWest Corp......................... 1,000 19,500
Commercial Federal Corp............... 1,000 17,813
GreenPoint Financial Corp............. 1,600 38,100
Pacific Century Financial Corp.*...... 900 16,819
Sovereign Bancorp, Inc................ 1,700 12,670
----------
104,902
----------
BROADCASTING -- 0.3%
Hearst-Argyle Television, Inc.*....... 900 23,963
----------
BUILDING & CONSTRUCTION -- 0.7%
Armstrong World Industries, Inc....... 500 16,687
Centex Corp........................... 500 12,344
Lafarge Corp.......................... 400 11,050
Pulte Corp............................ 500 11,250
----------
51,331
----------
BUSINESS SERVICES -- 1.6%
Interim Services, Inc.*............... 4,200 103,950
Modis Professional Services, Inc.*.... 800 11,400
----------
115,350
----------
CHEMICALS -- 2.3%
Ashland, Inc.......................... 900 29,644
Eastman Chemical Co................... 1,200 57,225
IMC Global, Inc....................... 800 13,100
Lyondell Chemical Co.................. 2,000 25,500
Millennium Chemicals, Inc............. 1,000 19,750
Valhi, Inc............................ 1,800 18,900
----------
164,119
----------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- --------------------------------------------------------------
COMPUTER EQUIPMENT -- 1.0%
Ingram Micro, Inc. Class A*........... 400 $ 5,250
Seagate Technology, Inc.*............. 1,000 46,562
Silicon Graphics, Inc.*............... 2,000 19,625
----------
71,437
----------
CONTAINERS & GLASS -- 1.4%
Crown Cork & Seal Co., Inc............ 1,300 29,087
Owens-Illinois, Inc.*................. 2,000 50,125
Pactiv Corp.*......................... 1,800 19,125
----------
98,337
----------
DIVERSIFIED OPERATIONS -- 2.5%
FMC Corp.*............................ 500 28,656
Lockheed Martin Corp.................. 5,300 115,938
Trinity Industries, Inc............... 700 19,906
U.S. Industries, Inc.................. 1,400 19,600
----------
184,100
----------
ELECTRONICS -- 3.8%
Advanced Micro Devices, Inc.*......... 1,000 28,937
Arrow Electronics, Inc.*.............. 700 17,762
General Motors Corp. Class H*......... 1,700 163,200
Tech Data Corp.*...................... 500 13,563
Thermo Electron Corp.*................ 2,100 31,500
Thermo Instrument Systems, Inc.*...... 1,800 20,025
----------
274,987
----------
FINANCIAL SERVICES -- 3.6%
Bear Stearns Cos., Inc................ 1,660 70,965
Countrywide Credit Industries, Inc.... 1,300 32,825
Finova Group, Inc..................... 900 31,950
Lehman Brothers Holdings, Inc......... 500 42,344
Liberty Financial Cos., Inc........... 700 16,056
MBIA, Inc............................. 1,200 63,375
----------
257,515
----------
FOOD & BEVERAGES -- 4.6%
Archer-Daniels-Midland Co............. 7,700 93,844
Coca-Cola Enterprises, Inc............ 7,400 148,925
Corn Products International, Inc...... 400 13,100
IBP, Inc.............................. 1,400 25,200
Nabisco Group Holdings Corp........... 4,700 49,937
----------
331,006
----------
FOREST & PAPER PRODUCTS -- 1.9%
Champion International Corp........... 1,300 80,518
Mead Corp............................. 1,300 56,469
----------
136,987
----------
FUNERAL SERVICES -- 0.2%
Service Corp. International........... 2,000 13,875
----------
HEALTH CARE - SERVICES -- 1.8%
Foundation Health Systems, Inc. Class
A*.................................. 2,000 19,875
Healthsouth Corp.*.................... 8,100 43,537
Humana, Inc.*......................... 1,400 11,463
Omnicare, Inc......................... 1,500 18,000
</TABLE>
11
<PAGE>
- --------------------------------------------------------------------------------
SA U.S. HBtM Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited) (Continued)
<TABLE>
- --------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
HEALTH CARE - SERVICES (CONTINUED)
Tenet Healthcare Corp.*............... 800 $ 18,800
Trigon Healthcare, Inc.*.............. 700 20,650
----------
132,325
----------
INSURANCE -- 14.9%
Aetna, Inc............................ 1,800 100,462
Allmerica Financial Corp.............. 800 44,500
Allstate Corp......................... 11,600 278,400
American Financial Group, Inc......... 400 10,550
American National Insurance Co........ 200 12,750
Cincinnati Financial Corp............. 2,200 68,612
CNA Financial Corp.*.................. 2,400 93,450
Conseco, Inc.......................... 3,900 69,712
Everest Reinsurance Holdings, Inc..... 400 8,925
Hartford Life, Inc. Class A........... 400 17,600
Loews Corp............................ 1,500 91,031
Old Republic International Corp....... 1,100 14,988
Safeco Corp........................... 1,900 47,263
St. Paul Cos., Inc.................... 3,000 101,062
Unitrin, Inc.......................... 500 18,813
UnumProvident Corp.................... 3,100 99,394
----------
1,077,512
----------
LEISURE -- 2.3%
Brunswick Corp........................ 900 20,025
Mandalay Resort Group*................ 1,000 20,125
Mirage Resorts, Inc.*................. 2,800 42,875
Premier Parks, Inc.*.................. 800 23,100
Starwood Hotels & Resorts Worldwide,
Inc. Class B........................ 2,600 61,100
----------
167,225
----------
METALS & MINING -- 1.0%
Phelps Dodge Corp..................... 1,100 73,837
----------
MULTIMEDIA -- 0.3%
A.H. Belo Corp. Series A.............. 1,100 20,969
----------
OFFICE EQUIPMENT -- 0.0%
Lanier Worldwide, Inc.*............... 400 1,550
----------
OIL & GAS -- 2.6%
Devon Energy Corp..................... 1,200 39,450
Helmerich & Payne, Inc................ 800 17,450
Sunoco, Inc........................... 1,000 23,500
USX- Marathon Group................... 4,300 106,156
----------
186,556
----------
OIL REFINING -- 0.6%
Ultramar Diamond Shamrock Corp........ 1,200 27,225
Valero Energy Corp.................... 1,000 19,875
----------
47,100
----------
PAPER & RELATED PRODUCTS -- 2.7%
American Greetings Corp. Class A...... 800 18,900
Boise Cascade Corp.................... 800 32,400
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- --------------------------------------------------------------
Bowater, Inc.......................... 600 $ 32,588
Louisiana-Pacific Corp................ 600 8,550
Potlatch Corp......................... 400 17,850
Temple-Inland, Inc.................... 600 39,562
Westvaco Corp......................... 1,400 45,675
----------
195,525
----------
PUBLISHING -- 0.5%
Hollinger International, Inc. Class
A................................... 1,700 21,994
Ziff-Davis, Inc.*..................... 700 11,069
----------
33,063
----------
RETAIL -- 0.9%
Kmart Corp.*.......................... 6,600 66,413
----------
RETAIL -- FOOD -- 0.3%
Great Atlantic & Pacific Tea Co.,
Inc................................. 700 19,513
----------
RETAIL -- GENERAL -- 5.4%
Dillards, Inc. Class A................ 1,600 32,300
Federated Department Stores, Inc.*.... 2,800 141,575
J.C. Penney Co., Inc.................. 3,600 71,775
Sears, Roebuck & Co................... 4,800 146,100
----------
391,750
----------
RETAIL -- SPECIALTY -- 2.3%
AutoNation, Inc.*..................... 5,000 46,250
Rite Aid Corp......................... 3,200 35,800
Saks, Inc.*........................... 2,100 32,681
Toys "R" Us, Inc.*.................... 3,100 44,369
Venator Group, Inc.*.................. 1,400 9,800
----------
168,900
----------
STEEL -- 0.8%
Timken Co............................. 1,000 20,438
USX- U.S. Steel Group................. 1,200 39,600
----------
60,038
----------
TELECOMMUNICATIONS -- 0.1%
Harris Corp........................... 400 10,675
----------
TIRES & RUBBER -- 1.3%
Cooper Tire & Rubber Co............... 1,200 18,675
Goodyear Tire & Rubber Co............. 2,700 76,106
----------
94,781
----------
TOBACCO -- 0.3%
R.J. Reynolds Tobacco Holdings,
Inc................................. 1,300 22,913
----------
TRANSPORTATION -- 7.2%
Airborne Freight Corp................. 800 17,600
Burlington Northern Santa Fe Corp..... 6,200 150,350
CSX Corp.............................. 2,800 87,850
GATX Corp............................. 600 20,250
Norfolk Southern Corp................. 4,900 100,450
Ryder System, Inc..................... 500 12,219
Union Pacific Corp.................... 3,100 135,237
----------
523,956
----------
</TABLE>
12
<PAGE>
- --------------------------------------------------------------------------------
SA U.S. HBtM Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited) (Continued)
<TABLE>
- --------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
UTILITIES -- 0.4%
Alliant Energy Corp................... 400 $ 11,000
Questar Corp.......................... 1,100 16,500
----------
27,500
----------
TOTAL COMMON STOCKS
(Identified Cost $7,302,729)........ 7,212,963
----------
SHORT TERM INVESTMENTS -- 6.1%
OTHER -- 6.1%
SSgA U.S. Government Money Market
Fund................................ 219,375 219,375
SSgA Money Market Fund................ 219,413 219,413
----------
TOTAL SHORT TERM INVESTMENTS
(Identified Cost $438,788).......... 438,788
----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------
TOTAL INVESTMENTS -- 105.6%
(IDENTIFIED COST $7,741,517)#................... 7,651,751
Liabilities, Less Cash and Other Assets --
(5.6%)........................................ (403,046)
---------
NET ASSETS -- 100%................................ $7,248,705
=========
</TABLE>
+ See Note 1.
* Non-income producing security
# At December 31, 1999, the aggregate cost of investment securities for
income tax purposes was $7,741,517. Net unrealized depreciation aggregated
$89,766, of which $370,637 related to appreciated investment securities and
$460,403 related to depreciated investment securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
13
<PAGE>
- --------------------------------------------------------------------------------
SA U.S. Market Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited)
<TABLE>
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- --------------------------------------------------------------
COMMON STOCKS -- 99.6%
ADVERTISING -- 0.5%
Catalina Marketing Corp.*............. 100 $ 11,575
Lamar Advertising Co. Class A*........ 200 12,112
Omnicom Group, Inc.................... 400 40,000
TMP Worldwide, Inc.*.................. 100 14,200
-----------
77,887
-----------
AEROSPACE/DEFENSE -- 1.1%
Boeing Co............................. 1,300 54,031
General Dynamics Corp................. 300 15,825
Honeywell International, Inc.......... 200 11,538
Litton Industries, Inc.*.............. 300 14,962
United Technologies Corp.............. 1,000 65,000
-----------
161,356
-----------
AIRLINES -- 0.2%
AMR Corp.*............................ 300 20,221
Delta Air Lines, Inc.................. 300 14,944
-----------
35,165
-----------
APPLIANCES -- 0.1%
Maytag Corp........................... 200 9,600
-----------
AUTO & RELATED -- 1.2%
Cummins Engine Co., Inc............... 200 9,662
Ford Motor Co......................... 2,300 122,906
Harley-Davidson, Inc.................. 300 19,219
Tower Automotive, Inc.*............... 600 9,263
TRW, Inc.............................. 200 10,387
-----------
171,437
-----------
BANKS/SAVINGS & LOANS -- 8.2%
Associated Banc-Corp.................. 300 10,275
Astoria Financial Corp................ 300 9,131
Bank of America Corp.................. 300 15,056
Bank One Corp......................... 4,600 147,487
Chase Manhattan Corp.................. 8,200 637,037
Comerica, Inc......................... 300 14,006
Fifth Third Bancorp................... 500 36,687
First Union Corp...................... 300 9,844
Firstar Corp.......................... 418 8,830
Golden State Bancorp, Inc.*........... 500 8,625
GreenPoint Financial Corp............. 700 16,669
Northern Trust Corp................... 400 21,200
Old National Bancorp.................. 400 12,975
One Valley Bancorp, Inc............... 300 9,188
Riggs National Corp................... 500 6,594
SouthTrust Corp....................... 300 11,344
U.S. Bancorp.......................... 800 19,050
Wachovia Corp......................... 400 27,200
Washington Mutual, Inc................ 5,300 137,800
Zions Bancorp......................... 200 11,838
-----------
1,170,836
-----------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- --------------------------------------------------------------
BROADCASTING -- 0.3%
Infinity Broadcasting Corp. Class
A*.................................. 500 $ 18,094
Sinclair Broadcast Group, Inc. Class
A*.................................. 2,200 26,847
-----------
44,941
-----------
BUILDING & CONSTRUCTION -- 0.3%
Armstrong World Industries, Inc....... 200 6,675
Dycom Industries, Inc.*............... 200 8,813
Modine Manufacturing Co............... 400 10,161
Simpson Manufacturing Co., Inc.*...... 200 8,750
Southdown, Inc........................ 200 10,325
-----------
44,724
-----------
BUSINESS SERVICES -- 3.5%
BEA Systems, Inc.*.................... 200 13,806
Cendant Corp.*........................ 1,000 26,563
Cintas Corp........................... 200 10,625
Complete Busines Solutions, Inc.*..... 700 17,588
Consolidated Graphics, Inc.*.......... 300 4,481
Diamond Technology Partners, Inc.*
Class A............................. 1,300 111,719
Electronic Data Systems Corp.......... 1,000 66,937
First Data Corp....................... 800 39,450
Fiserv, Inc.*......................... 500 19,156
Imation Corp.*........................ 3,300 110,756
Paychex, Inc.......................... 500 20,000
Primark Corp.*........................ 400 10,986
Robert Half International, Inc.*...... 400 11,425
Sapient Corp.*........................ 200 28,187
SEI Investments Co.................... 100 11,902
-----------
503,581
-----------
CHEMICALS -- 1.7%
Air Products & Chemicals, Inc......... 500 16,781
Dow Chemical Co....................... 500 66,812
E.I. du Pont de Nemours & Co.......... 200 13,175
Eastman Chemical Co................... 200 9,538
Geon Co............................... 1,100 35,750
International Specialty Products,
Inc.*............................... 4,800 44,100
MacDermid, Inc........................ 300 12,319
Rohm & Haas Co........................ 400 16,275
RPM, Inc.............................. 900 9,169
Sigma-Aldrich Corp.................... 400 12,025
-----------
235,944
-----------
COMPUTERS -- 2.7%
Apple Computer, Inc.*................. 300 30,844
Compaq Computer Corp.................. 800 21,650
Dell Computer Corp.*.................. 2,400 122,400
Gateway, Inc.*........................ 600 43,237
Hewlett-Packard Co.................... 200 22,788
International Business Machines
Corp................................ 1,300 140,400
-----------
381,319
-----------
COMPUTER EQUIPMENT -- 1.2%
EMC Corp.*............................ 200 21,850
Emulex Corp.*......................... 400 45,000
</TABLE>
14
<PAGE>
- --------------------------------------------------------------------------------
SA U.S. Market Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited) (Continued)
<TABLE>
- --------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
COMPUTER EQUIPMENT (CONTINUED)
Intel Corp............................ 500 $ 41,156
Optical Coating Laboratory, Inc....... 100 29,600
RadiSys Corp.*........................ 200 10,231
Seagate Technology, Inc.*............. 400 18,711
-----------
166,548
-----------
COMPUTER SERVICES -- 0.9%
CheckFree Holdings Corp.*............. 300 31,350
Cisco Systems, Inc.*.................. 500 53,562
Sun Microsystems, Inc.*............... 400 30,975
Unisys Corp.*......................... 600 19,163
-----------
135,050
-----------
COMPUTER SOFTWARE -- 5.7%
3Com Corp.*........................... 700 32,900
Adobe Systems, Inc.................... 200 13,450
BMC Software, Inc.*................... 500 39,969
BroadVision, Inc.*.................... 300 51,019
Computer Associates International,
Inc................................. 5,300 370,669
Inktomi Corp.*........................ 200 17,750
ISS Group, Inc.*...................... 200 14,225
Macromedia, Inc.*..................... 200 14,625
Mercury Interactive Corp.*............ 200 21,587
Micromuse, Inc.*...................... 100 17,000
Microsoft Corp.*...................... 800 93,400
National Instruments Corp.*........... 500 19,125
Netopia, Inc.*........................ 200 10,863
New Era of Networks, Inc.*............ 300 14,287
Novell, Inc.*......................... 700 27,956
Oracle Corp.*......................... 400 44,825
Parametric Technology Corp.*.......... 500 14,107
-----------
817,757
-----------
CONSUMER PRODUCTS -- 3.6%
Clorox Co............................. 500 25,187
Colgate-Palmolive Co.................. 300 19,500
Estee Lauder Companies, Inc. Class
A................................... 200 10,068
Fortune Brands, Inc................... 300 9,919
Gillette Co........................... 4,600 189,462
Newell Rubbermaid, Inc................ 600 17,400
Procter & Gamble Co................... 1,200 131,475
Warner-Lambert Co..................... 1,300 106,519
-----------
509,530
-----------
DISTRIBUTION/WHOLESALE -- 0.1%
Genuine Parts Co...................... 400 9,925
-----------
DIVERSIFIED OPERATIONS -- 7.4%
Corning, Inc.......................... 4,800 618,900
Danaher Corp.......................... 300 14,475
Federal Signal Corp................... 600 9,637
General Electric Co................... 500 77,375
Minnesota Mining & Manufacturing
Co.................................. 800 78,300
PerkinElmer, Inc...................... 4,100 170,919
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- --------------------------------------------------------------
Ralston Purina Co..................... 2,400 $ 66,900
Textron, Inc.......................... 300 22,846
-----------
1,059,352
-----------
ELECTRICAL EQUIPMENT -- 0.7%
Power Integrations, Inc.*............. 200 9,588
PRI Automation, Inc.*................. 1,000 67,125
Xilinx, Inc.*......................... 600 27,281
-----------
103,994
-----------
ELECTRONICS -- 4.0%
Alpha Industries, Inc.*............... 200 11,463
Applied Materials, Inc.*.............. 800 101,350
Cypress Semiconductor Corp.*.......... 400 12,661
Dallas Semiconductor Corp............. 2,100 135,319
DuPont Photomasks, Inc.*.............. 200 9,650
Exar Corp.*........................... 200 11,775
Lam Research Corp.*................... 200 22,312
Novellus Systems, Inc.*............... 200 24,506
PMC-Sierra, Inc.*..................... 100 16,031
Rambus, Inc.*......................... 1,100 74,181
SCI Systems, Inc.*.................... 300 24,656
SDL, Inc.*............................ 100 21,800
Siliconix, Inc.*...................... 100 12,553
Texas Instruments, Inc................ 200 19,375
TriQuint Semiconductor, Inc.*......... 100 11,125
Zoran Corp.*.......................... 1,000 55,750
-----------
564,507
-----------
ENERGY -- 0.4%
Dynegy, Inc........................... 800 19,450
Enron Corp............................ 300 13,312
Entergy Corp.......................... 500 12,875
Sempra Energy......................... 500 8,688
-----------
54,325
-----------
FACILITY SERVICES -- 0.1%
ABM Industries, Inc................... 400 8,150
-----------
FINANCIAL SERVICES -- 4.3%
American Express Co................... 100 16,625
AmSouth Bancorporation................ 700 13,519
Associates First Capital Corp. Class
A................................... 1,000 27,437
Charles Schwab Corp................... 400 15,350
CIT Group, Inc. Class A............... 600 12,675
Citigroup, Inc........................ 1,300 72,231
E*Trade Group, Inc.*.................. 500 13,063
Eaton Vance Corp...................... 300 11,400
Finova Group, Inc..................... 400 14,200
Household International, Inc.......... 1,000 37,250
Lehman Brothers Holdings, Inc......... 200 16,937
MBIA, Inc............................. 200 10,563
MBNA Corp............................. 1,000 26,777
Mellon Financial Corp................. 1,000 34,402
Merrill Lynch & Co., Inc.............. 700 58,450
Morgan Stanley Dean Witter & Co....... 1,100 157,025
Paine Webber Group, Inc............... 300 11,644
</TABLE>
15
<PAGE>
- --------------------------------------------------------------------------------
SA U.S. Market Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited) (Continued)
<TABLE>
- --------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Providian Financial Corp.............. 300 $ 27,319
State Street Corp..................... 200 14,613
UICI*................................. 400 4,225
Union Planters Corp................... 300 11,831
Wells Fargo Co........................ 300 12,131
-----------
619,667
-----------
FOOD & BEVERAGES -- 2.6%
Anheuser-Busch Cos., Inc.............. 900 63,787
Archer-Daniels-Midland Co............. 1,000 12,188
Coca-Cola Co.......................... 400 23,300
Coca-Cola Enterprises, Inc............ 800 16,100
ConAgra, Inc.......................... 800 18,050
H.J. Heinz Co......................... 3,100 123,419
Interstate Bakeries Corp.............. 4,300 77,937
PepsiCo, Inc.......................... 400 14,100
Whitman Corp.......................... 900 12,094
Wm. Wrigley Jr. Co.................... 200 16,587
-----------
377,562
-----------
FOREST & PAPER PRODUCTS -- 1.5%
Champion International Corp........... 600 37,162
Consolidated Papers, Inc.............. 400 12,725
Fort James Corp....................... 400 10,950
Georgia-Pacific Group................. 300 15,225
International Paper Co................ 800 44,322
Kimberly-Clark Corp................... 1,100 71,775
Mead Corp............................. 400 17,375
Wausau-Mosinee Paper Corp............. 600 7,013
-----------
216,547
-----------
HEALTHCARE -- BIOTECHNOLOGY -- 0.6%
Affymetrix, Inc. *.................... 100 16,969
Amgen, Inc.*.......................... 400 24,025
Biogen, Inc.*......................... 300 24,908
Genzyme Corp.*........................ 200 9,000
Medtronic, Inc........................ 400 14,575
-----------
89,477
-----------
HEALTH CARE -- DRUGS -- 2.3%
Abbott Laboratories................... 300 10,894
Alpharma, Inc. Class A................ 300 9,225
American Home Products Corp........... 300 11,831
Bristol-Myers Squibb Co............... 900 57,769
Eli Lilly & Co........................ 1,200 79,800
King Pharmaceuticals, Inc.*........... 450 25,228
Pfizer, Inc........................... 3,600 116,775
Sepracor, Inc.*....................... 100 10,053
-----------
321,575
-----------
HEALTH CARE -- PRODUCTS -- 0.9%
Abgenix, Inc.*........................ 300 39,750
Allergan, Inc......................... 200 9,950
Johnson & Johnson..................... 200 18,625
Merck & Co., Inc...................... 400 26,825
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- --------------------------------------------------------------
Schering-Plough Corp.................. 300 $ 12,656
Stryker Corp.......................... 200 13,925
-----------
121,731
-----------
HEALTH CARE -- SERVICES -- 1.8%
Advance Paradiam, Inc.*............... 400 8,625
Baxter International, Inc............. 600 37,688
Cardinal Health, Inc.................. 500 23,938
Columbia/HCA Healthcare Corp.......... 1,700 49,831
First Health Group Corp.*............. 4,300 115,562
Foundation Health Systems, Inc. Class
A*.................................. 1,000 9,996
Quest Diagnostics, Inc.*.............. 400 12,225
-----------
257,865
-----------
INSURANCE -- 1.8%
AFLAC, Inc............................ 1,000 47,187
American International Group, Inc..... 1,200 129,750
Cincinnati Financial Corp............. 300 9,356
Financial Security Assured Holdings
Ltd................................. 200 10,406
Hartford Financial Services Group,
Inc................................. 500 23,687
Lincoln National Corp................. 400 16,000
Loews Corp............................ 200 12,138
Unitrin, Inc.......................... 300 11,288
-----------
259,812
-----------
INTERNET SERVICES -- 2.5%
America Online, Inc.*................. 2,400 181,050
DoubleClick, Inc.*.................... 205 51,878
Lycos, Inc.*.......................... 200 15,912
Network Solutions, Inc. Class A*...... 100 21,756
SoftNet Systems, Inc.*................ 300 7,538
VeriSign, Inc.*....................... 200 38,187
Yahoo!, Inc.*......................... 100 43,269
-----------
359,590
-----------
LEISURE -- 1.0%
Harrah's Entertainment, Inc.*......... 500 13,219
Marriott International, Inc. Class
A................................... 500 15,781
MGM Grand, Inc.*...................... 200 10,063
Mirage Resorts, Inc.*................. 800 12,250
Station Casinos, Inc.*................ 3,900 87,506
-----------
138,819
-----------
METALS & MINING -- 0.5%
Alcoa, Inc............................ 700 58,100
Mueller Industries, Inc.*............. 300 10,875
-----------
68,975
-----------
MULTIMEDIA -- 5.2%
AT&T Corp. -- Liberty Media Group
Class A*............................ 1,800 102,150
CBS Corp.*............................ 1,400 89,513
Gannett Co., Inc...................... 4,900 399,656
Media General, Inc. Class A........... 200 10,400
Time Warner, Inc...................... 1,200 86,925
Tribune Co............................ 500 27,531
</TABLE>
16
<PAGE>
- --------------------------------------------------------------------------------
SA U.S. Market Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited) (Continued)
<TABLE>
- --------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
MULTIMEDIA (CONTINUED)
Viacom, Inc. Class B*................. 300 $ 18,131
Walt Disney Co........................ 400 11,700
-----------
746,006
-----------
OFFICE EQUIPMENT -- 0.2%
Pitney Bowes, Inc..................... 500 23,952
Xerox Corp............................ 300 6,806
-----------
30,758
-----------
OIL & GAS -- 2.7%
AGL Resources, Inc.................... 4,300 73,100
Amerada Hess Corp..................... 200 11,218
Chevron Corp.......................... 200 17,325
EOG Resources, Inc.................... 600 10,538
Exxon Mobil Corp.*.................... 532 42,859
Halliburton Co........................ 900 36,225
Kerr-McGee Corp....................... 200 12,400
Noble Affiliates, Inc................. 500 10,719
Occidental Petroleum Corp............. 700 15,137
Phillips Petroleum Co................. 500 23,500
Pride International, Inc.*............ 700 10,238
Stone Energy Corp.*................... 1,400 49,875
Texaco, Inc........................... 200 10,863
USX- Marathon Group................... 600 14,812
Vastar Resources, Inc................. 200 11,800
Williams Cos., Inc.................... 900 27,506
-----------
378,115
-----------
PRINTING -- 0.1%
Valassis Communications, Inc.*........ 300 12,675
-----------
PUBLISHING -- 0.4%
Central Newspapers, Inc. Class A...... 500 19,687
Knight-Ridder, Inc.................... 200 11,900
The New York Times Co. Class A........ 400 19,650
-----------
51,237
-----------
RESTAURANTS -- 0.1%
McDonald's Corp....................... 400 16,125
-----------
RETAIL -- FOOD -- 0.5%
Albertson's, Inc...................... 800 25,622
Delhaize America, Inc. Class A........ 500 10,156
Safeway, Inc.*........................ 1,000 35,563
-----------
71,341
-----------
RETAIL -- GENERAL -- 1.7%
Dayton Hudson Corp.................... 900 66,094
Dollar General Corp................... 500 11,451
Longs Drug Stores Corp................ 300 7,744
May Department Stores Co.............. 700 22,575
TJX Cos., Inc......................... 600 12,263
Wal-Mart Stores, Inc.................. 1,700 117,512
-----------
237,639
-----------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- --------------------------------------------------------------
RETAIL -- SPECIALTY -- 5.2%
Amazon.com, Inc.*..................... 1,000 $ 76,125
Best Buy Co., Inc.*................... 4,300 215,806
Children's Place Retail Stores,
Inc.*............................... 2,200 36,163
Circuit City Stores-Circuit City
Group............................... 400 18,025
CompUSA, Inc.*........................ 1,700 8,713
Costco Wholesale Corp.*............... 400 36,500
EBay, Inc.*........................... 300 37,556
Home Depot, Inc....................... 1,950 133,697
Limited, Inc.......................... 400 17,325
Lowe's Cos., Inc...................... 800 47,800
PC Connection, Inc. *................. 300 10,433
The Gap, Inc.......................... 1,700 78,200
Walgreen Co........................... 1,000 29,250
-----------
745,593
-----------
STEEL -- 0.5%
Carpenter Technology Corp............. 400 10,975
Reliance Steel & Aluminum Co.......... 2,500 58,594
-----------
69,569
-----------
TELECOMMUNICATIONS -- 10.1%
Adaptive Broadband Corp.*............. 200 14,763
Adtran, Inc.*......................... 200 10,306
ALLTEL Corp........................... 600 49,612
American Tower Corp.* Class A......... 600 18,616
AT&T Corp.*........................... 2,700 137,025
Bell Atlantic Corp.................... 1,200 73,875
BellSouth Corp........................ 5,600 262,150
Comcast Corp. Class A................. 1,000 50,877
Cox Communications, Inc. Class A*..... 1,000 51,500
EchoStar Communications Corp. Class
A*.................................. 200 19,500
General Instrument Corp.*............. 300 25,500
Harmonic, Inc.*....................... 400 37,975
Harris Corp........................... 600 16,013
Level 3 Communications, Inc.*......... 700 57,312
Lucent Technologies, Inc.............. 2,400 179,550
MCI WorldCom, Inc.*................... 450 23,878
McLeodUSA, Inc.*...................... 300 17,663
Motorola, Inc......................... 1,000 147,250
Nextel Communications, Inc. Class
A*.................................. 200 20,625
Powertel, Inc.*....................... 100 9,990
RF Micro Devices, Inc.*............... 200 13,693
SBC Communications, Inc............... 300 14,625
Scientific-Atlanta, Inc............... 200 11,125
Sprint Corp. (PCS Group).............. 200 20,500
Sprint Corp.*......................... 300 20,194
Telephone & Data Systems, Inc......... 100 12,600
Tellabs, Inc.*........................ 800 51,350
U.S. West, Inc........................ 1,000 72,000
-----------
1,440,067
-----------
TEXTILE & APPAREL -- 0.5%
Guess?, Inc.*......................... 2,000 43,500
Mohawk Industries, Inc.*.............. 500 13,187
Shaw Industries, Inc.................. 600 9,263
-----------
65,950
-----------
</TABLE>
17
<PAGE>
- --------------------------------------------------------------------------------
SA U.S. Market Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited) (Continued)
<TABLE>
- --------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
TIRES & RUBBER -- 0.2%
Goodyear Tire & Rubber Co............. 1,000 $ 28,188
-----------
TOBACCO -- 0.1%
Philip Morris Cos., Inc............... 400 9,275
-----------
TOOLS-HAND HELD -- 0.1%
Snap-on, Inc.......................... 300 7,969
Stanley Works......................... 400 12,050
-----------
20,019
-----------
TRANSPORTATION -- 2.3%
Burlington Northern Santa Fe Corp..... 4,000 97,000
Roadway Express, Inc.................. 1,000 21,625
Union Pacific Corp.................... 4,300 187,587
USFreightways Corp.................... 200 9,575
Werner Enterprises, Inc............... 600 8,438
-----------
324,225
-----------
UTILITIES -- 3.0%
American Electric Power Co., Inc...... 400 12,850
Carolina Power & Light Co............. 300 9,131
CMS Energy Corp....................... 400 12,475
Dominion Resources, Inc............... 400 15,700
Duke Energy Corp...................... 700 35,087
GPU, Inc.............................. 300 8,981
IDACORP, Inc.......................... 600 16,087
Minnesota Power, Inc.................. 5,400 91,462
NiSource, Inc......................... 500 8,938
OGE Energy Corp....................... 500 9,500
PECO Energy Co........................ 400 13,900
Peoples Energy Corp................... 1,800 60,300
PG&E Corp............................. 800 16,400
Reliant Energy, Inc................... 600 13,742
SCANA Corp............................ 400 10,750
Texas Utilities Co.................... 1,200 42,675
Unicom Corp........................... 400 13,400
United Illuminating Co................ 200 10,275
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- --------------------------------------------------------------
UtiliCorp United, Inc................. 600 $ 11,663
Washington Gas Light Co............... 400 11,000
-----------
424,316
-----------
WASTE MANAGEMENT -- 0.6%
Allied Waste Industries, Inc.*........ 1,000 8,812
Waste Management, Inc................. 4,400 75,625
-----------
84,437
-----------
OTHER -- 2.4%
9 10 Fund............................. 27,285 344,061
-----------
TOTAL COMMON STOCKS
(Identified Cost $13,186,984)....... 14,197,144
-----------
SHORT TERM INVESTMENTS -- 6.1%
OTHER -- 6.1%
SSgA U.S. Government Money Market
Fund................................ 438,111 438,111
SSgA Money Market Fund................ 435,163 435,163
-----------
TOTAL SHORT TERM INVESTMENTS
(Identified Cost $873,274).......... 873,274
-----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- --------------------------------------------------------------
TOTAL INVESTMENTS -- 105.7%
(IDENTIFIED COST $14,060,258)#.................. 15,070,418
Liabilities, Less Cash and Other Assets --
(5.7%)........................................ (808,448)
----------
NET ASSETS -- 100%................................ $14,261,970
==========
</TABLE>
+ See Note 1.
* Non-income producing security
# At December 31, 1999, the aggregate cost of investment securities for
income tax purposes was $14,060,258. Net unrealized appreciation aggregated
$1,010,160, of which $1,572,061 related to appreciated investment
securities and $561,901 related to depreciated investment securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
18
<PAGE>
- --------------------------------------------------------------------------------
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited)
<TABLE>
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- -------------------------------------------------------------
COMMON STOCKS -- 100.1%
AEROSPACE/DEFENSE -- 1.3%
Alliant Techsystems, Inc.*............ 800 $ 49,850
REMEC, Inc.*.......................... 800 20,400
Triumph Group, Inc.*.................. 400 9,675
----------
79,925
----------
AIRLINES -- 0.4%
Atlantic Coast Airlines Holdings,
Inc.*............................... 600 14,250
SkyWest, Inc.......................... 500 14,000
----------
28,250
----------
AUTO & RELATED -- 2.8%
A.S.V., Inc.*......................... 500 6,813
Avis Rent A Car, Inc.*................ 3,100 79,244
Collins & Aikman Corp................. 5,000 28,750
Midas, Inc............................ 500 10,937
Oshkosh Truck Corp.................... 400 11,725
Rent-A-Center, Inc.*.................. 500 9,906
Rollins Truck Leasing Corp............ 1,100 13,131
Strattec Security Corp.*.............. 300 9,713
Wabash National Corp.................. 500 7,500
----------
177,719
----------
BANKS/SAVINGS & LOANS -- 7.3%
AMCORE Financial, Inc................. 600 14,400
BB&T Corp............................. 348 9,526
BT Financial Corp..................... 525 11,550
Carolina First Corp................... 2,600 47,450
Cathay Bancorp, Inc................... 900 36,900
Community Bank Systems, Inc........... 400 9,250
Eagle Bancshares, Inc................. 600 8,625
F&M Bancorp........................... 500 11,145
First Indiana Corp.................... 400 8,700
First Northern Capital Corp........... 900 8,663
First Washington Bancorp, Inc......... 600 8,850
FirstFed Financial Corp.*............. 600 8,438
Flagstar Bancorp, Inc................. 700 12,075
GBC Bancorp........................... 1,300 25,106
Hamilton Bancorp, Inc.*............... 500 8,875
Hopfed Bancorp, Inc................... 500 7,938
Hudson River Bancorp, Inc............. 900 9,113
Independent Bank Corp................. 1,400 17,500
InterWest Bancorp, Inc................ 500 9,625
MAF Bancorp, Inc...................... 2,400 50,250
National City Bancorp................. 900 15,075
NBT Bancorp, Inc...................... 1,260 19,530
Richmond County Financial Corp........ 600 10,793
Second Bancorp, Inc................... 1,100 24,612
St. Francis Capital Corp.............. 500 9,312
Sterling Bancshares, Inc.............. 800 8,950
Texas Regional Bancshares, Inc. Class
A................................... 400 11,600
UCBH Holdings, Inc.*.................. 500 10,281
United National Bancorp............... 530 11,759
WesBanco, Inc......................... 400 10,400
West Coast Bancorp.................... 770 10,395
----------
466,686
----------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- -------------------------------------------------------------
BROADCASTING -- 0.9%
Paxson Communications Corp.*.......... 5,000 $ 59,687
----------
BUILDING & CONSTRUCTION -- 5.3%
Ampco-Pittsburgh Corp................. 1,000 10,184
Building One Services Corp.*.......... 2,500 23,594
Butler Manufacturing Co............... 400 8,925
Crossmann Communities, Inc.*.......... 600 9,300
Elcor Corp............................ 400 12,050
Emcor Group, Inc.*.................... 500 9,125
Florida Rock Industries, Inc.......... 3,700 127,419
Granite Construction, Inc............. 500 9,219
M.D.C. Holdings, Inc.................. 700 10,981
Nortek, Inc.*......................... 1,200 33,600
Palm Harbor Homes, Inc.*.............. 700 12,600
Ryland Group, Inc..................... 400 9,225
Standard Pacific Corp................. 900 9,900
Stone & Webster, Inc.................. 700 11,769
Texas Industries, Inc................. 400 17,025
Thor Industries, Inc.................. 400 12,175
Toll Brothers, Inc.*.................. 700 13,037
----------
340,128
----------
BUSINESS SERVICES -- 4.7%
Administaff, Inc.*.................... 700 21,175
Ambassadors International, Inc.*...... 1,000 10,465
Angelica Corp......................... 900 8,775
Aspect Communications Corp.*.......... 900 35,213
Brady Corp. Class A................... 400 13,575
CCC Information Services Group,
Inc.*............................... 2,200 37,675
CDI Corp.*............................ 400 9,650
Forrester Research, Inc.*............. 1,000 68,875
Labor Ready, Inc.*.................... 900 10,656
Precision Response Corp.*............. 2,200 53,350
Primark Corp.*........................ 400 11,125
Professional Detailing, Inc.*......... 400 11,975
Staff Leasing, Inc.*.................. 1,100 10,205
----------
302,714
----------
CHEMICALS -- 1.5%
Bush Boake Allen, Inc.*............... 400 9,825
ChemFirst, Inc........................ 1,800 39,375
M. A. Hanna Co........................ 1,000 10,528
U.S. Plastic Lumber Corp.*............ 2,800 21,525
Wellman, Inc.......................... 700 12,750
----------
94,003
----------
COMMERCIAL SERVICES -- 1.8%
Data Broadcasting Corp.*.............. 1,000 8,250
Data Transmission Network Corp.*...... 400 6,900
DBT Online, Inc.*..................... 400 9,750
F.Y.I, Inc.*.......................... 1,400 47,600
Mail-Well, Inc.*...................... 1,000 13,500
Plexus Corp.*......................... 400 17,600
R.H. Donnelley Corp................... 700 13,212
----------
116,812
----------
</TABLE>
19
<PAGE>
- --------------------------------------------------------------------------------
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited) (Continued)
<TABLE>
- -------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
COMMUNICATIONS EQUIPMENT -- 0.5%
Advanced Radio Telecom Corp.*......... 800 $ 19,200
NumereX Corp.*........................ 1,000 12,028
----------
31,228
----------
COMPUTER EQUIPMENT -- 4.7%
Computer Network Technology Corp.*.... 500 11,469
Concurrent Computer Corp.*............ 1,000 18,687
Drexler Technology Corp.*............. 1,000 10,015
In Focus Systems, Inc.*............... 500 11,757
Kronos, Inc.*......................... 300 18,000
Maxwell Technologies, Inc.*........... 500 5,000
Mentor Graphics Corp.*................ 4,900 64,619
MicroTouch Systems, Inc.*............. 700 8,838
MMC Networks, Inc.*................... 3,100 106,562
Silicon Storage Technology, Inc.*..... 500 20,625
Systems & Computer Technology
Corp.*.............................. 1,000 16,250
Veramark Technologies, Inc.*.......... 800 9,800
----------
301,622
----------
COMPUTER SERVICES -- 1.9%
4Front Software, Inc.*................ 1,100 14,712
Axent Technologies, Inc.*............. 600 12,600
Computer Horizons Corp.*.............. 900 14,569
InaCom Corp.*......................... 1,400 10,539
Metamor Worldwide, Inc.*.............. 700 20,387
Segue Software, Inc.*................. 900 22,500
Technology Solutions Co.*............. 800 26,200
----------
121,507
----------
COMPUTER SOFTWARE -- 7.2%
Acclaim Entertainment, Inc.*.......... 3,200 16,400
Active Voice Corp.*................... 500 14,531
Ardent Software, Inc.*................ 400 15,600
Avant! Corp.*......................... 700 10,500
Best Software, Inc.*.................. 400 11,855
Brio Technology, Inc.*................ 700 29,400
Concord Communications, Inc.*......... 300 13,313
Datastream Systems, Inc.*............. 1,000 24,562
FileNET Corp.*........................ 600 15,300
IMRglobal Corp.*...................... 800 10,010
Integrated Systems, Inc. Class A*..... 700 23,494
InterVU, Inc.*........................ 300 31,500
IntraNet Solutions, Inc.*............. 500 18,500
JDA Software Group, Inc.*............. 700 10,857
Netopia, Inc.*........................ 300 16,294
New Era of Networks, Inc.*............ 600 28,575
Open Market, Inc.*.................... 700 31,587
Peerless Systems Corp.*............... 1,400 10,850
Pervasive Software, Inc.*............. 300 5,081
Pinnacle Systems, Inc.*............... 500 20,344
Puma Technology, Inc.*................ 300 39,187
Sanchez Computer Associates, Inc.*.... 500 20,594
Santa Cruz Operation, Inc.*........... 700 21,262
SPSS, Inc.*........................... 500 12,625
Structural Dynamics Research Corp.*... 700 8,925
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- -------------------------------------------------------------
----------
461,146
----------
CONTAINERS-PAPER/PLASTIC -- 0.4%
AEP Industries, Inc.*................. 400 $ 10,305
EarthShell Corp.*..................... 4,400 18,150
----------
28,455
----------
DISTRIBUTION/WHOLESALE -- 1.2%
Aviall, Inc.*......................... 900 7,369
CellStar Corp.*....................... 1,200 11,283
Daisytek International Corp.*......... 500 11,656
Handleman Co.*........................ 900 11,050
Hughes Supply, Inc.................... 500 10,781
ScanSource, Inc.*..................... 600 24,337
----------
76,476
----------
DIVERSIFIED OPERATIONS -- 1.5%
Barnes Group, Inc..................... 600 9,788
Griffon Corp.*........................ 1,500 11,719
MascoTech, Inc........................ 900 11,331
Myers Industries, Inc................. 600 9,450
SPS Technologies, Inc.*............... 300 9,581
Volt Information Sciences, Inc.*...... 500 11,937
Walter Industries, Inc................ 1,000 10,812
Xceed, Inc.*.......................... 500 20,750
----------
95,368
----------
EDUCATION -- 0.7%
Career Education Corp.*............... 400 15,350
Strayer Education, Inc................ 1,600 31,600
----------
46,950
----------
ELECTRICAL EQUIPMENT -- 4.8%
American Xtal Technology, Inc.*....... 1,900 33,131
Belden, Inc........................... 2,300 48,300
C&D Technologies, Inc................. 300 12,750
Cable Design Technologies Corp.*...... 600 13,800
Checkpoint Systems, Inc.*............. 3,000 30,563
GenRad, Inc.*......................... 600 9,675
Meade Instruments Corp.*.............. 800 22,800
ParkerVision, Inc.*................... 400 12,300
Photon Dynamics, Inc.*................ 400 15,500
Power-One, Inc.*...................... 2,100 96,206
Spectrian Corp.*...................... 300 8,475
----------
303,500
----------
ELECTRONICS -- 5.7%
ACT Manufacturing, Inc.*.............. 300 11,160
ADE Corp.*............................ 700 11,550
AMETEK, Inc........................... 600 11,438
California Amplifier, Inc.*........... 400 10,555
Coherent, Inc.*....................... 500 13,375
DuPont Photomasks, Inc.*.............. 300 14,475
Electro Scientific Industries,
Inc.*............................... 300 21,900
EMCORE Corp.*......................... 300 10,208
Exar Corp.*........................... 200 11,775
General Semiconductor, Inc.*.......... 1,100 15,606
Hadco Corp.*.......................... 300 15,300
</TABLE>
20
<PAGE>
- --------------------------------------------------------------------------------
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited) (Continued)
<TABLE>
- -------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
Integrated Silicon Solution, Inc.*.... 1,000 16,562
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
Interlink Electronics, Inc.*.......... 200 $ 11,530
Mattson Technology, Inc.*............. 800 13,700
Methode Electronics, Inc. Class A..... 600 19,275
Micros Systems, Inc.*................. 300 22,200
MIPS Technologies, Inc. Class A*...... 300 15,554
Photronics, Inc.*..................... 2,400 68,700
Pioneer-Standard Electronics, Inc..... 800 11,550
Stoneridge, Inc.*..................... 700 10,806
Three-Five Systems, Inc............... 400 16,400
Watkins-Johnson Co.................... 300 12,000
----------
365,619
----------
ENVIROMENTAL SERVICES -- 0.8%
Catalytica, Inc.*..................... 2,900 39,331
Layne Christensen Co.*................ 1,200 8,700
----------
48,031
----------
FINANCIAL SERVICES -- 2.2%
Amresco, Inc.*........................ 1,500 2,109
First Sierra Financial, Inc.*......... 600 9,954
Hoenig Group, Inc.*................... 900 8,325
Investors Financial Services Corp..... 300 13,800
Jefferies Group, Inc.................. 500 11,000
JWGenesis Financial Corp.*............ 600 17,775
Morgan Keegan, Inc.................... 600 10,088
Phoenix Investment Partners Ltd....... 1,300 10,436
Pioneer Group, Inc.................... 800 12,600
Ragen Mackenzie Group, Inc.*.......... 600 10,800
Sky Financial Group, Inc.............. 547 11,008
Susquehanna Bancshares, Inc........... 700 10,869
WFS Financial, Inc.................... 500 10,563
----------
139,327
----------
FOOD & BEVERAGES -- 1.6%
Dreyer's Grand Ice Cream, Inc......... 600 10,200
Fleming Cos., Inc..................... 1,000 10,250
J. M. Smucker Co. Class B............. 1,500 24,375
Michael Foods, Inc.................... 400 9,850
Performance Food Group Co.*........... 1,400 34,125
Ralcorp Holdings, Inc.*............... 600 11,962
----------
100,762
----------
FOREST & PAPER PRODUCTS -- 0.8%
Buckeye Technologies, Inc.*........... 700 10,310
Deltic Timber Corp.................... 400 8,750
FiberMark, Inc.*...................... 800 9,400
Pope & Talbot, Inc.................... 700 11,200
Schweitzer-Mauduit International,
Inc................................. 800 10,750
----------
50,410
----------
HEALTHCARE -- BIOTECHNOLOGY -- 2.8%
Avigen, Inc.*......................... 1,300 40,300
Aviron*............................... 500 7,906
Bio-Technology General Corp.*......... 1,100 16,290
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- -------------------------------------------------------------
Genzyme Transgenics Corp.*............ 2,000 25,250
Integra LifeSciences Holdings*........ 1,600 $ 9,450
Interpore International, Inc.*........ 1,400 11,025
Pharmaceutical Product Development,
Inc.*............................... 2,400 28,500
Protein Design Labs, Inc.*............ 400 28,000
Vical, Inc.*.......................... 500 14,969
----------
181,690
----------
HEALTH CARE -- DRUGS -- 3.3%
Alpharma, Inc. Class A................ 1,700 52,275
CIMA Labs, Inc.*...................... 1,000 13,063
Cubist Pharmaceuticals, Inc.*......... 600 11,717
CV Therapeutics, Inc.*................ 600 15,637
Isis Pharmaceuticals, Inc.*........... 2,900 18,125
Medco Research, Inc.*................. 1,000 30,062
Omega Protein Corp.*.................. 2,400 7,500
Pharmacyclics, Inc.*.................. 1,500 61,875
----------
210,254
----------
HEALTH CARE -- PRODUCTS -- 2.7%
Arrow International, Inc.............. 500 14,500
ArthroCare Corp.*..................... 200 12,200
Biomatrix, Inc.*...................... 500 9,625
Biosite Diagnostics, Inc.*............ 700 10,782
COR Therapeutics, Inc.*............... 500 13,438
Cytyc Corp.*.......................... 400 24,425
Datascope Corp........................ 300 12,000
Henry Schein, Inc.*................... 800 10,650
Hollis-Eden Pharmaceuticals, Inc.*.... 600 6,225
Immucor, Inc.*........................ 800 10,550
Perrigo Co.*.......................... 1,500 11,919
Sola International, Inc.*............. 700 9,713
Varian Medical Systems, Inc........... 600 17,887
West Pharmaceutical Services, Inc..... 300 9,281
----------
173,195
----------
HEALTH CARE -- SERVICES -- 1.4%
Brookdale Living Communities, Inc.*... 1,200 14,850
Cerner Corp.*......................... 700 13,781
Kendle International, Inc.*........... 2,300 22,712
Laboratory Corporation of America
Holdings*........................... 3,800 14,013
Sunquest Information Systems, Inc.*... 800 10,800
Sunrise Assisted Living, Inc.*........ 400 5,500
Total Renal Care Holdings, Inc.*...... 1,600 10,144
----------
91,800
----------
HOUSEHOLD PRODUCTS -- 0.2%
Oneida Ltd............................ 500 10,858
----------
INSURANCE -- 3.4%
Brown & Brown, Inc.................... 300 11,494
CNA Surety Corp....................... 4,400 57,200
Enhance Financial Services Group,
Inc................................. 800 13,000
Fremont General Corp.................. 1,400 10,325
Harleysville Group, Inc............... 600 8,550
HCC Insurance Holdings, Inc........... 1,000 13,187
</TABLE>
21
<PAGE>
- --------------------------------------------------------------------------------
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited) (Continued)
<TABLE>
- -------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
Meadowbrook Insurance Group, Inc...... 900 5,906
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
Medical Assurance, Inc................ 500 $ 10,594
Philadelphia Consolidated Holding
Corp................................ 700 10,169
Presidential Life Corp................ 600 11,025
RLI Corp.............................. 1,000 34,000
Selective Insurance Group, Inc........ 600 10,313
State Auto Financial Corp............. 1,200 11,283
W.R. Berkley Corp..................... 500 10,437
----------
217,483
----------
INTERNET SERVICES -- 0.9%
Panja, Inc.*.......................... 900 14,850
Quokka Sports, Inc.*.................. 900 10,937
RMI.NET, Inc.*........................ 2,500 20,781
SoftNet Systems, Inc.*................ 500 12,563
----------
59,131
----------
LEISURE -- 2.6%
AMC Entertainment, Inc.*.............. 1,000 8,625
AMF Bowling, Inc.*.................... 5,000 15,625
Argosy Gaming Co.*.................... 800 12,450
Bally Total Fitness Holding Corp.*.... 500 13,344
Boca Resorts, Inc. Class A*........... 4,200 40,950
Fairfield Communities, Inc.*.......... 900 9,675
Scientific Games Holdings Corp.*...... 600 9,938
Sunterra Corp.*....................... 3,600 41,400
WMS Industries, Inc.*................. 900 11,812
----------
163,819
----------
MACHINERY -- 2.2%
Alamo Group, Inc...................... 1,000 10,000
Astec Industries, Inc.*............... 600 11,199
Commercial Intertech Corp............. 1,500 19,125
JLG Industries, Inc................... 900 14,344
Lufkin Industries, Inc................ 700 10,500
Milacron, Inc......................... 3,500 53,812
Sauer, Inc............................ 2,700 24,469
----------
143,449
----------
METALS & MINING -- 0.5%
A.M. Castle & Co...................... 700 8,225
AMCOL International Corp.............. 800 12,900
Wolverine Tube, Inc.*................. 700 9,888
----------
31,013
----------
OFFICE FURNISHINGS & SUPPLIES -- 0.6%
American Business Products, Inc....... 800 9,350
Global Imaging Systems, Inc.*......... 600 7,350
New England Business Service, Inc..... 400 9,775
Standard Register Co.................. 500 9,688
----------
36,163
----------
OIL & GAS -- 1.3%
Atmos Energy Corp..................... 600 12,019
Cal Dive International, Inc.*......... 300 9,937
Clayton Williams Energy, Inc.*........ 900 10,631
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- -------------------------------------------------------------
Cross Timbers Oil Co.................. 1,000 $ 9,063
Grey Wolf, Inc.*...................... 3,300 9,488
Key Production Co., Inc.*............. 1,200 8,850
Oceaneering International, Inc.*...... 700 10,456
Pennaco Energy, Inc.*................. 900 7,200
TransMontaigne, Inc.*................. 900 6,300
----------
83,944
----------
PERSONAL CARE -- 0.3%
Chattem, Inc.*........................ 500 9,500
Guest Supply, Inc.*................... 700 10,169
----------
19,669
----------
PUBLISHING -- 0.2%
Playboy Enterprises, Inc. Class B*.... 400 9,725
----------
RESTAURANTS -- 1.1%
IHOP Corp.*........................... 600 10,013
O' Charley's, Inc.*................... 800 10,495
RARE Hospitality International,
Inc.*............................... 1,200 25,969
Ryan's Family Steak Houses, Inc.*..... 1,200 10,200
Sonic Corp.*.......................... 400 11,400
----------
68,077
----------
RETAIL -- FOOD -- 0.6%
Delhaize America, Inc. Class A........ 800 16,250
Hain Food Group, Inc.*................ 400 8,950
Smart & Final, Inc.................... 1,500 10,354
----------
35,554
----------
RETAIL -- GENERAL -- 0.4%
Bebe stores, Inc.*.................... 500 13,500
PriceSmart, Inc.*..................... 300 11,756
----------
25,256
----------
RETAIL -- SPECIALTY -- 3.3%
CompUSA, Inc.*........................ 1,800 9,225
Deb Shops, Inc........................ 700 12,950
Goody's Family Clothing, Inc.*........ 3,300 17,737
Group 1 Automotive, Inc.*............. 600 8,363
Heilig-Meyers Co...................... 5,000 13,750
Hines Horticulture, Inc.*............. 2,200 18,562
J.Baker, Inc.......................... 1,400 8,400
Maxim Group, Inc.*.................... 1,900 10,213
Pep Boys -- Manny, Moe & Jack......... 1,100 9,999
Pier 1 Imports, Inc................... 1,900 12,112
Rush Enterprises, Inc.*............... 700 10,150
Shop At Home, Inc.*................... 2,800 27,825
Sunglass Hut International, Inc.*..... 900 10,125
Systemax, Inc.*....................... 1,100 9,350
Transport World Entertainment
Corp.*.............................. 1,000 10,500
Wet Seal, Inc.*....................... 1,100 13,475
Wilsons The Leather Experts, Inc.*.... 600 11,063
----------
213,799
----------
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
Trammell Crow Co.*.................... 700 8,138
----------
</TABLE>
22
<PAGE>
- --------------------------------------------------------------------------------
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF DECEMBER 31, 1999 (Unaudited) (Continued)
<TABLE>
- -------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
STEEL -- 0.9%
Carpenter Technology Corp............. 400 $ 10,975
Maverick Tube Corp.*.................. 500 12,344
Reliance Steel & Aluminum Co.......... 600 14,062
Ryerson Tull, Inc..................... 500 9,719
Valmont Industries, Inc............... 700 11,063
----------
58,163
----------
TELECOMMUNICATIONS -- 4.3%
Anaren Microwave, Inc.*............... 300 16,238
Applied Digital Solutions, Inc.*...... 1,400 10,500
Aware, Inc.*.......................... 400 14,550
CFW Communications Co................. 300 10,400
Communications Systems, Inc........... 900 11,700
Executone Information Systems,
Inc.*............................... 3,100 16,856
IPC Information, Inc.*................ 800 56,800
Optical Cable Corp.*.................. 1,900 38,000
Osicom Technologies, Inc.*............ 1,000 45,375
Proxim, Inc.*......................... 200 22,000
Rural Celluar Corp. Class A*.......... 200 18,100
Startec Global Communications
Corp.*.............................. 500 11,514
----------
272,033
----------
TEXTILE & APPAREL -- 0.8%
Columbia Sportswear Co.*.............. 500 10,750
Kellwood Co........................... 600 11,663
Oshkosh B' Gosh, Inc. Class A......... 1,400 29,487
----------
51,900
----------
TOBACCO -- 0.1%
Brooke Group Ltd...................... 630 9,411
----------
TOOLS-HAND HELD -- 0.2%
Toro Co............................... 300 11,194
----------
TRANSPORTATION -- 2.8%
American Freightways Corp.*........... 600 9,713
Circle International Group, Inc....... 1,800 40,050
Interpool, Inc........................ 2,700 20,081
Kirby Corp.*.......................... 500 10,045
Knight Transportation, Inc.*.......... 800 13,700
M.S. Carriers, Inc.*.................. 400 9,550
Overseas Shipholding Group, Inc....... 700 10,369
RailAmerica, Inc.*.................... 1,200 10,308
XTRA Corp............................. 1,300 55,412
----------
179,228
----------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
- -------------------------------------------------------------
UTILITIES -- 2.7%
Avista Corp........................... 700 $ 10,806
Cascade Natural Gas Corp.............. 600 9,675
CTG Resources, Inc.................... 300 10,425
E' Town Corp.......................... 200 12,450
El Paso Electric Co.*................. 1,200 11,775
Energen Corp.......................... 600 10,838
Madison Gas and Electric Co........... 500 10,063
Middlesex Water Co.................... 500 16,000
Northwest Natural Gas Co.............. 500 10,969
NorthWestern Corp..................... 500 11,000
TNP Enterprises, Inc,................. 300 12,375
UniSource Energy Corp.*............... 1,000 11,187
United Illuminating Co................ 300 15,412
Unitil Corp........................... 500 17,875
----------
170,850
----------
WASTE MANAGEMENT -- 0.4%
Casella Waste Systems, Inc. Class
A*.................................. 1,300 24,538
----------
TOTAL COMMON STOCKS
(Identified Cost $5,783,362)........ 6,396,659
----------
SHORT TERM INVESTMENTS -- 8.1%
OTHER -- 8.1%
SSgA U.S. Government Money Market
Fund................................ 259,500 259,500
SSgA Money Market Fund................ 259,500 259,500
----------
TOTAL SHORT TERM INVESTMENTS
(Identified Cost $519,000).......... 519,000
----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------
TOTAL INVESTMENTS -- 108.2%
(IDENTIFIED COST $6,302,362)#................... 6,915,659
Liabilities, Less Cash and Other Assets --
(8.2%)........................................ (523,110)
---------
NET ASSETS -- 100%................................ $6,392,549
=========
</TABLE>
+ See Note 1.
* Non-income producing security
# At December 31, 1999, the aggregate cost of investment securities for
income tax purposes was $6,302,362. Net unrealized appreciation aggregated
$613,297, of which $919,018 related to appreciated investment securities
and $305,721 related to depreciated investment securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
23
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES -- DECEMBER 31, 1999 (Unaudited)
<TABLE>
<CAPTION>
SA SA INTERNATIONAL
FIXED INCOME HBTM
FUND FUND
<S> <C> <C>
- ---------------------------------------------------------
ASSETS
Investments in
securities, at market $10,463,806 $15,612,320
Short-term investments
(at amortized cost) 7,714,409 873,405
Cash 12,466 557
Foreign Currency -- 31,551
Receivable for
investments sold -- 31,590
Dividends and interest
receivable 257,844 11,814
Receivable for fund
shares sold 115,836 62,688
Receivable due from
advisor (Note 2) 45,367 88,006
Receivable for foreign
tax reclaims -- 235
----------- -----------
TOTAL ASSETS 18,609,728 16,712,166
----------- -----------
LIABILITIES
Payable for investments
purchased -- 1,536
Payable for forward
foreign currency
exchange contracts
(Note 1) 29,884 --
Payable for fund shares
redeemed -- --
Advisory fee payable
(Note 2) 21,089 21,296
Administrative fee
payable (Note 2) 912 1,291
Shareholder servicing
fee payable (Note 2) 1,530 1,480
Trustee's fees payable
(Note 2) 2,901 2,901
Accrued expenses and
other liabilities 43,945 69,265
----------- -----------
TOTAL LIABILITIES 100,261 97,769
----------- -----------
NET ASSETS $18,509,467 $16,614,397
=========== ===========
NET ASSETS CONSIST OF:
Capital paid-in $18,589,949 $16,382,858
Undistributed
(overdistributed) net
investment income (39,426) (75,722)
Accumulated net
realized gain/(loss) 193,721 (9,620)
Net unrealized
appreciation/(depreciation)
on:
Investments (202,517) 316,980
Foreign currency
translations (32,260) (99)
----------- -----------
NET ASSETS $18,509,467 $16,614,397
=========== ===========
CLASS S:
Net assets $ 5,214,207 $ 7,827,879
Shares outstanding (par
value) 522,317 784,067
Net asset value per share $ 9.98 $ 9.98
CLASS I:
Net assets $13,295,260 $ 8,786,518
Shares outstanding (par
value) 1,332,135 879,888
Net asset value per share $ 9.98 $ 9.99
IDENTIFIED COST OF
INVESTMENTS $18,380,732 $16,168,745
COST OF FOREIGN CURRENCY -- $ 31,514
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
24
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SA INTERNATIONAL SA SA SA U.S.
SMALL COMPANY U.S. HBTM U.S. MARKET SMALL COMPANY
FUND FUND FUND FUND
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------
ASSETS
Investments in
securities, at market $4,502,192 $7,212,963 $14,197,144 $6,396,659
Short-term investments
(at amortized cost) -- 438,788 873,274 519,000
Cash 314 146 1,978 1,334
Foreign Currency -- -- -- --
Receivable for
investments sold -- -- -- --
Dividends and interest
receivable -- 11,838 13,735 4,330
Receivable for fund
shares sold 12,376 19,058 41,486 12,459
Receivable due from
advisor (Note 2) 36,162 43,047 46,894 47,299
Receivable for foreign
tax reclaims -- -- -- --
---------- ---------- ----------- ----------
TOTAL ASSETS 4,551,044 7,725,840 15,174,511 6,981,081
---------- ---------- ----------- ----------
LIABILITIES
Payable for investments
purchased -- 420,491 836,108 529,994
Payable for forward
foreign currency
exchange contracts
(Note 1) -- -- -- --
Payable for fund shares
redeemed -- -- 15,600 --
Advisory fee payable
(Note 2) 2,997 7,779 10,336 7,852
Administrative fee
payable (Note 2) 352 548 1,077 470
Shareholder servicing
fee payable (Note 2) 488 782 1,614 680
Trustee's fees payable
(Note 2) 2,901 2,823 2,901 2,901
Accrued expenses and
other liabilities 40,990 44,712 44,905 46,635
---------- ---------- ----------- ----------
TOTAL LIABILITIES 47,728 477,135 912,541 588,532
---------- ---------- ----------- ----------
NET ASSETS $4,503,316 $7,248,705 $14,261,970 $6,392,549
========== ========== =========== ==========
NET ASSETS CONSIST OF:
Capital paid-in $4,577,355 $7,325,495 $13,212,945 $5,775,686
Undistributed
(overdistributed) net
investment income (11,590) 12,976 16,940 895
Accumulated net
realized gain/(loss) 330,366 -- 21,925 2,671
Net unrealized
appreciation/(depreciation)
on:
Investments (392,815) (89,766) 1,010,160 613,297
Foreign currency
translations -- -- -- --
---------- ---------- ----------- ----------
NET ASSETS $4,503,316 $7,248,705 $14,261,970 $6,392,549
========== ========== =========== ==========
CLASS S:
Net assets $2,040,785 $3,471,558 $ 7,288,717 $3,040,979
Shares outstanding (par
value) 202,053 368,572 653,868 265,484
Net asset value per share $ 10.10 $ 9.42 $ 11.15 $ 11.45
CLASS I:
Net assets $2,462,531 $3,777,147 $ 6,973,253 $3,351,570
Shares outstanding (par
value) 243,753 401,224 625,104 292,428
Net asset value per share $ 10.10 $ 9.41 $ 11.16 $ 11.46
IDENTIFIED COST OF
INVESTMENTS $4,895,007 $7,741,517 $14,060,258 $6,302,362
COST OF FOREIGN CURRENCY -- -- -- --
</TABLE>
25
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS -- DECEMBER 31, 1999 (Unaudited)
<TABLE>
<CAPTION>
SA SA INTERNATIONAL
FIXED INCOME HBTM
FUND* FUND**
<S> <C> <C>
- ---------------------------------------------------------
INVESTMENT INCOME
INCOME:
Dividends $ -- $ 15,867
Interest 237,186 18,697
Less: Foreign taxes
withheld (1,825) (1,657)
--------- ---------
TOTAL INCOME 235,361 32,907
--------- ---------
EXPENSES:
Advisory fees
(Note 2) 37,732 23,091
Sub-Advisory fees
(Note 2) 8,434 10,323
Shareholder service
fees (S Class)
(Note 2) 1,993 3,322
Shareholder service
fees (I Class)
(Note 2) 1,821 689
Administrative fees
(Note 2) 4,439 2,717
Sub-Administration
fees (Note 2) 45,973 45,009
Trustee's fees and
expenses (Note 2) 2,196 2,196
Custody and
accounting fees
(Note 2) 33,488 65,652
Transfer agent fees
(S Class) 10,464 10,461
Transfer agent fees
(I Class) 10,456 10,456
Audit fees 12,751 12,179
Legal fees 1,667 1,667
Registration fees 16,258 15,687
Organization costs 23,621 23,620
Other expenses 3,421 3,265
--------- ---------
TOTAL EXPENSES BEFORE
WAIVERS AND
REIMBURSEMENTS: 214,714 230,334
Less: Expenses waived
or borne by the
Advisor (Note 2) (122,985) (139,868)
Less: Expenses waived
by the
Sub-Administrator,
Custodian and
accounting agent
(Note 2) (45,415) (45,415)
--------- ---------
NET EXPENSES 46,314 45,051
--------- ---------
NET INVESTMENT INCOME
(LOSS) 189,047 (12,144)
--------- ---------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS
REALIZED GAIN (LOSS)
ON:
Investments (22,263) 2,820
Foreign currency
transactions 215,984 (12,440)
INCREASE (DECREASE)
IN UNREALIZED
APPRECIATION
(DEPRECIATION) ON:
Investments (202,517) 316,980
Foreign currency
translations (32,260) (99)
--------- ---------
Net realized and
unrealized gain
(loss) on
investments and
change in
unrealized
appreciation
(depreciation) (41,056) 307,261
--------- ---------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS $ 147,991 $ 295,117
========= =========
</TABLE>
* From commencement of operations, July 29, 1999.
** From commencement of operations, August 5, 1999.
SEE NOTES TO FINANCIAL STATEMENTS
26
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SA INTERNATIONAL SA SA SA U.S.
SMALL COMPANY U.S. HBTM U.S. MARKET SMALL COMPANY
FUND** FUND** FUND** FUND**
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME:
Dividends $ 91,307 $ 21,323 $ 35,999 $ 10,231
Interest 2 6,261 9,777 5,000
Less: Foreign taxes
withheld -- (15) -- --
--------- --------- ---------- ---------
TOTAL INCOME 91,309 27,569 45,776 15,231
--------- --------- ---------- ---------
EXPENSES:
Advisory fees
(Note 2) 6,350 9,829 20,169 8,631
Sub-Advisory fees
(Note 2) -- 3,122 1,186 3,858
Shareholder service
fees (S Class)
(Note 2) 896 1,446 3,045 1,268
Shareholder service
fees (I Class)
(Note 2) 194 288 577 254
Administrative fees
(Note 2) 747 1,156 2,373 1,015
Sub-Administration
fees (Note 2) 43,805 44,053 44,798 43,954
Trustee's fees and
expenses (Note 2) 2,195 2,196 2,196 2,196
Custody and
accounting fees
(Note 2) 26,854 30,509 38,430 34,007
Transfer agent fees
(S Class) 10,443 10,464 10,464 10,464
Transfer agent fees
(I Class) 10,467 10,456 10,456 10,456
Audit fees 12,179 12,179 12,179 12,179
Legal fees 1,667 1,667 1,667 1,667
Registration fees 12,562 13,295 14,849 12,886
Organization costs 23,620 23,621 23,621 23,620
Other expenses 3,267 3,290 3,267 3,267
--------- --------- ---------- ---------
TOTAL EXPENSES BEFORE
WAIVERS AND
REIMBURSEMENTS: 155,246 167,571 189,277 169,722
Less: Expenses waived
or borne by the
Advisor (Note 2) (99,324) (107,563) (115,025) (109,972)
Less: Expenses waived
by the
Sub-Administrator,
Custodian and
accounting agent
(Note 2) (45,415) (45,415) (45,416) (45,414)
--------- --------- ---------- ---------
NET EXPENSES 10,507 14,593 28,836 14,336
--------- --------- ---------- ---------
NET INVESTMENT INCOME
(LOSS) 80,802 12,976 16,940 895
--------- --------- ---------- ---------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS
REALIZED GAIN (LOSS)
ON:
Investments 330,366 -- 21,925 2,671
Foreign currency
transactions -- -- -- --
INCREASE (DECREASE)
IN UNREALIZED
APPRECIATION
(DEPRECIATION) ON:
Investments (392,815) (89,766) 1,010,160 613,297
Foreign currency
translations -- -- -- --
--------- --------- ---------- ---------
Net realized and
unrealized gain
(loss) on
investments and
change in
unrealized
appreciation
(depreciation) (62,449) (89,766) 1,032,085 615,968
--------- --------- ---------- ---------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS $ 18,353 $ (76,790) $1,049,025 $ 616,863
========= ========= ========== =========
</TABLE>
* From commencement of operations, July 29, 1999.
** From commencement of operations, August 5, 1999.
27
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS -- FOR THE PERIOD ENDED DECEMBER 31, 1999*
(Unaudited)
<TABLE>
<CAPTION>
SA SA INTERNATIONAL
FIXED INCOME HBTM
FUND FUND
<S> <C> <C>
- ---------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS
OPERATIONS:
Net investment income
(loss) $ 189,047 $ (12,144)
Net realized gain
(loss) on
investments and
foreign currency
transactions 193,721 (9,620)
Net increase
(decrease) in
unrealized
appreciation
(depreciation) (234,777) 316,881
----------- -----------
Net increase
(decrease) from
operations 147,991 295,117
----------- -----------
DISTRIBUTION TO
SHAREHOLDERS FROM:
Net investment income
Class S (51,958) (25,889)
Class I (176,515) (37,689)
----------- -----------
TOTAL DISTRIBUTIONS (228,473) (63,578)
----------- -----------
SHARE TRANSACTIONS
Proceeds from sale of
shares
Class S 5,275,282 7,758,174
Class I 13,459,202 8,733,899
Value of
distributions
reinvested
Class S 50,998 25,526
Class I 175,405 37,689
Cost of shares
redeemed
Class S (110,924) (61,080)
Class I (310,014) (121,350)
----------- -----------
TOTAL SHARE
TRANSACTIONS 18,539,949 16,372,858
Shareholder
transaction fees
(Note 2) -- --
----------- -----------
Net increase (decrease)
from share
transactions 18,539,949 16,372,858
----------- -----------
TOTAL INCREASE
(DECREASE) IN NET
ASSETS 18,459,467 16,604,397
NET ASSETS
Beginning of period 50,000 10,000
----------- -----------
End of period $18,509,467 $16,614,397
=========== ===========
UNDISTRIBUTED
(OVERDISTRIBUTED) NET
INVESTMENT INCOME, END
OF PERIOD $ (39,426) $ (75,722)
CAPITAL SHARE
TRANSACTIONS:
CLASS S:
Shares sold by
subscription 525,782 787,132
Issued for
distributions
reinvested 5,112 2,608
Shares redeemed (11,077) (6,173)
----------- -----------
Net increase (decrease)
in fund shares 519,817 783,567
=========== ===========
CLASS I:
Shares sold by
subscription 1,343,153 887,874
Issued for
distributions
reinvested 17,572 3,845
Shares redeemed (31,090) (12,331)
----------- -----------
Net increase (decrease)
in fund shares 1,329,635 879,388
=========== ===========
</TABLE>
* From commencement of operations on July 29, 1999 for the SA Fixed Income
Fund, and from August 5, 1999 for all other Funds.
SEE NOTES TO FINANCIAL STATEMENTS
28
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SA INTERNATIONAL SA SA SA U.S.
SMALL COMPANY U.S. HBTM U.S. MARKET SMALL COMPANY
FUND FUND FUND FUND
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS
OPERATIONS:
Net investment income
(loss) $ 80,802 $ 12,976 $ 16,940 $ 895
Net realized gain
(loss) on
investments and
foreign currency
transactions 330,366 -- 21,925 2,671
Net increase
(decrease) in
unrealized
appreciation
(depreciation) (392,815) (89,766) 1,010,160 613,297
---------- ---------- ----------- ----------
Net increase
(decrease) from
operations 18,353 (76,790) 1,049,025 616,863
---------- ---------- ----------- ----------
DISTRIBUTION TO
SHAREHOLDERS FROM:
Net investment income
Class S (40,786) -- -- --
Class I (51,606) -- -- --
---------- ---------- ----------- ----------
TOTAL DISTRIBUTIONS (92,392) -- -- --
---------- ---------- ----------- ----------
SHARE TRANSACTIONS
Proceeds from sale of
shares
Class S 2,038,698 3,517,702 6,876,566 2,812,464
Class I 2,482,775 3,906,720 6,660,152 3,138,377
Value of
distributions
reinvested
Class S 40,128 -- -- --
Class I 51,605 -- -- --
Cost of shares
redeemed
Class S (17,786) (21,745) (146,133) (75,458)
Class I (58,798) (87,182) (187,640) (109,697)
---------- ---------- ----------- ----------
TOTAL SHARE
TRANSACTIONS 4,536,622 7,315,495 13,202,945 5,765,686
Shareholder
transaction fees
(Note 2) 30,733 -- -- --
---------- ---------- ----------- ----------
Net increase (decrease)
from share
transactions 4,567,355 7,315,495 13,202,945 5,765,686
---------- ---------- ----------- ----------
TOTAL INCREASE
(DECREASE) IN NET
ASSETS 4,493,316 7,238,705 14,251,970 6,382,549
NET ASSETS
Beginning of period 10,000 10,000 10,000 10,000
---------- ---------- ----------- ----------
End of period $4,503,316 $7,248,705 $14,261,970 $6,392,549
========== ========== =========== ==========
UNDISTRIBUTED
(OVERDISTRIBUTED) NET
INVESTMENT INCOME, END
OF PERIOD $ (11,590) $ 12,976 $ 16,940 $ 895
CAPITAL SHARE
TRANSACTIONS:
CLASS S:
Shares sold by
subscription 199,229 370,398 667,248 272,185
Issued for
distributions
reinvested 4,078 -- -- --
Shares redeemed (1,754) (2,326) (13,880) (7,201)
---------- ---------- ----------- ----------
Net increase (decrease)
in fund shares 201,553 368,072 653,368 264,984
========== ========== =========== ==========
CLASS I:
Shares sold by
subscription 243,793 410,078 642,174 302,321
Issued for
distributions
reinvested 5,245 -- -- --
Shares redeemed (5,785) (9,354) (17,570) (10,393)
---------- ---------- ----------- ----------
Net increase (decrease)
in fund shares 243,253 400,724 624,604 291,928
========== ========== =========== ==========
</TABLE>
* From commencement of operations on July 29, 1999 for the SA Fixed Income
Fund, and from August 5, 1999 for all other Funds.
29
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (Unaudited)
<TABLE>
<CAPTION>
SA FIXED
INCOME FUND*
- --------------------------------------------------------------
(S CLASS) (I CLASS)
<S> <C> <C>
Net Asset Value, Beginning of Period $10.00 $ 10.00
------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss) 0.12 0.15
Net realized and unrealized gain
(loss) on securities 0.02 --
------ -------
Total from Investment Operations 0.14 0.15
------ -------
LESS DISTRIBUTIONS:
Dividends from net investment income (0.16) (0.17)
Distributions from capital gains -- --
------ -------
Total Distributions (0.16) (0.17)
------ -------
Net Asset Value, End of Period $ 9.98 $ 9.98
====== =======
Total Return (1) 1.36% 1.47%
Net Assets, End of Period (000s) $5,214 $13,295
Ratio of Net Expenses to Average Net
Assets (2) 1.26% 1.00%
Ratio of Gross Expenses to Average Net
Assets (2)(3) 5.76% 3.40%
Ratio of Net Investment Income to
Average Net Assets (2) 4.19% 4.29%
Portfolio Turnover Rate (1) 6% 6%
Without giving effect to the voluntary
expense limitations described in Note
2 of the financial statements, net
investment income/(loss) per share
would have been (3) $(0.01) $ 0.07
</TABLE>
* For the period from July 29, 1999 (commencement of operations) through
December 31, 1999.
(1) Periods less than one year are not annualized.
(2) Annualized for periods less than one year.
(3) Gross expenses before waivers and reimbursements.
30
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (Unaudited) (Continued)
<TABLE>
<CAPTION>
SA INTERNATIONAL
HBTM FUND*
- --------------------------------------------------------------
(S CLASS) (I CLASS)
<S> <C> <C>
Net Asset Value, Beginning of Period $10.00 $10.00
------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss) (0.01) --
Net realized and unrealized gain
(loss) on securities 0.02 0.03
------ ------
Total from Investment Operations 0.01 0.03
------ ------
LESS DISTRIBUTIONS:
Dividends from net investment income (0.03) (0.04)
Distributions from capital gains -- --
------ ------
Total Distributions (0.03) (0.04)
------ ------
Net Asset Value, End of Period $ 9.98 $ 9.99
====== ======
Total Return (1) 0.15% 0.36%
Net Assets, End of Period (000s) $7,828 $8,787
Ratio of Net Expenses to Average Net
Assets (2) 1.79% 1.53%
Ratio of Gross Expenses to Average Net
Assets (2)(3) 7.00% 6.61%
Ratio of Net Investment Income to
Average Net Assets (2) (0.55)% (0.35)%
Portfolio Turnover Rate (1) 0% 0%
Without giving effect to the voluntary
expense limitations described in Note
2 of the financial statements, net
investment income/(loss) per share
would have been (3) $(0.08) $(0.06)
</TABLE>
* For the period from August 5, 1999 (commencement of operations) through
December 31, 1999.
(1) Periods less than one year are not annualized.
(2) Annualized for periods less than one year.
(3) Gross expenses before waivers and reimbursements.
31
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (Unaudited) (Continued)
<TABLE>
<CAPTION>
SA INTERNATIONAL
SMALL COMPANY FUND*
- --------------------------------------------------------------
(S CLASS) (I CLASS)
<S> <C> <C>
Net Asset Value, Beginning of Period $10.00 $10.00
------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss) 0.19 0.20
Net realized and unrealized gain
(loss) on securities 0.12 0.12
------ ------
Total from Investment Operations 0.31 0.32
------ ------
LESS DISTRIBUTIONS:
Dividends from net investment income (0.21) (0.22)
Distributions from capital gains -- --
------ ------
Total Distributions (0.21) (0.22)
------ ------
Net Asset Value, End of Period $10.10 $10.10
====== ======
Total Return (1) 3.20% 3.31%
Net Assets, End of Period (000s) $2,041 $2,463
Ratio of Net Expenses to Average Net
Assets (2) 1.54% 1.28%
Ratio of Gross Expenses to Average Net
Assets (2)(3) 15.03% 14.36%
Ratio of Net Investment Income to
Average Net Assets (2) 9.89% 11.65%
Portfolio Turnover Rate (1) 1% 1%
Without giving effect to the voluntary
expense limitations described in Note
2 of the financial statements, net
investment income/(loss) per share
would have been (3) $(0.07) $(0.02)
</TABLE>
* For the period from August 5, 1999 (commencement of operations) through
December 31, 1999.
(1) Periods less than one year are not annualized.
(2) Annualized for periods less than one year.
(3) Gross expenses before waivers and reimbursements.
32
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (Unaudited) (Continued)
<TABLE>
<CAPTION>
SA U.S.
HBTM FUND*
- --------------------------------------------------------------
(S CLASS) (I CLASS)
<S> <C> <C>
Net Asset Value, Beginning of Period $10.00 $10.00
------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss) 0.01 0.02
Net realized and unrealized gain
(loss) on securities (0.59) (0.61)
------ ------
Total from Investment Operations (0.58) (0.59)
------ ------
LESS DISTRIBUTIONS:
Dividends from net investment income -- --
Distributions from capital gains -- --
------ ------
Total Distributions 0.00 0.00
------ ------
Net Asset Value, End of Period $ 9.42 $ 9.41
====== ======
Total Return (1) (5.80)% (5.90)%
Net Assets, End of Period (000s) $3,472 $3,777
Ratio of Net Expenses to Average Net
Assets (2) 1.39% 1.13%
Ratio of Gross Expenses to Average Net
Assets (2)(3) 10.73% 10.37%
Ratio of Net Investment Income to
Average Net Assets (2) 0.95% 1.29%
Portfolio Turnover Rate (1) 0% 0%
Without giving effect to the voluntary
expense limitations described in Note
2 of the financial statements, net
investment income/(loss) per share
would have been (3) $(0.13) $(0.11)
</TABLE>
* For the period from August 5, 1999 (commencement of operations) through
December 31, 1999.
(1) Periods less than one year are not annualized.
(2) Annualized for periods less than one year.
(3) Gross expenses before waivers and reimbursements.
33
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (Unaudited) (Continued)
<TABLE>
<CAPTION>
SA U.S.
MARKET FUND*
- --------------------------------------------------------------
(S CLASS) (I CLASS)
<S> <C> <C>
Net Asset Value, Beginning of Period $10.00 $10.00
------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss) 0.01 0.02
Net realized and unrealized gain
(loss) on securities 1.14 1.14
------ ------
Total from Investment Operations 1.15 1.16
------ ------
LESS DISTRIBUTIONS:
Dividends from net investment income -- --
Distributions from capital gains -- --
------ ------
Total Distributions 0.00 0.00
------ ------
Net Asset Value, End of Period $11.15 $11.16
====== ======
Total Return (1) 11.50% 11.60%
Net Assets, End of Period (000s) $7,289 $6,973
Ratio of Net Expenses to Average Net
Assets (2) 1.34% 1.08%
Ratio of Gross Expenses to Average Net
Assets (2)(3) 6.12% 5.99%
Ratio of Net Investment Income to
Average Net Assets (2) 0.58% 0.86%
Portfolio Turnover Rate (1) 0% 0%
Without giving effect to the voluntary
expense limitations described in Note
2 of the financial statements, net
investment income/(loss) per share
would have been (3) $(0.08) $(0.07)
</TABLE>
* For the period from August 5, 1999 (commencement of operations) through
December 31, 1999.
(1) Periods less than one year are not annualized.
(2) Annualized for periods less than one year.
(3) Gross expenses before waivers and reimbursements.
34
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (Unaudited) (Continued)
<TABLE>
<CAPTION>
SA U.S.
SMALL COMPANY FUND*
- --------------------------------------------------------------
(S CLASS) (I CLASS)
<S> <C> <C>
Net Asset Value, Beginning of Period $10.00 $10.00
------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss) -- --
Net realized and unrealized gain
(loss) on securities 1.45 1.46
------ ------
Total from Investment Operations 1.45 1.46
------ ------
LESS DISTRIBUTIONS:
Dividends from net investment income -- --
Distributions from capital gains -- --
------ ------
Total Distributions 0.00 0.00
------ ------
Net Asset Value, End of Period $11.45 $11.46
====== ======
Total Return (1) 14.50% 14.60%
Net Assets, End of Period (000s) $3,041 $3,352
Ratio of Net Expenses to Average Net
Assets (2) 1.54% 1.28%
Ratio of Gross Expenses to Average Net
Assets (2)(3) 12.42% 12.03%
Ratio of Net Investment Income to
Average Net Assets (2) (0.06)% 0.24%
Portfolio Turnover Rate (1) 1% 1%
Without giving effect to the voluntary
expense limitations described in Note
2 of the financial statements, net
investment income/(loss) per share
would have been (3) $(0.21) $(0.18)
</TABLE>
* For the period from August 5, 1999 (commencement of operations) through
December 31, 1999.
(1) Periods less than one year are not annualized.
(2) Annualized for periods less than one year.
(3) Gross expenses before waivers and reimbursements.
35
<PAGE>
- --------------------------------------------------------------------------------
SA Funds
NOTES TO FINANCIAL STATEMENTS -- DECEMBER 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The SA Funds--Investment Trust (the "Trust") was organized as a Delaware
business trust on June 16, 1998 under the name RWB Funds--Investment Trust. The
Trust adopted its current name on June 7, 1999. The Declaration of Trust permits
the Trust to offer separate portfolios ("Funds") of shares of beneficial
interest, with different classes of shares within each Fund. The Trust currently
offers six Funds, each of which is registered under the Investment Company Act
of 1940 (the "1940 Act"), and is a diversified mutual fund as defined in the
1940 Act. The Trust consists of the following publicly offered Funds:
SA Fixed Income Fund
SA International HBtM Fund
SA International Small Company Fund
SA U.S. HBtM Fund
SA U.S. Market Fund
SA U.S. Small Company Fund
All of the Funds commenced investment operations on August 5, 1999 with the
exception of the SA Fixed Income Fund, which commenced operations on July 29,
1999. In addition, on Novermber 23, 1999 the Trust's Board of Trustees created
two additional Funds which have not yet commenced operations.
The Funds offer two classes of shares -- Class I and Class S. Each class has
its own expense structure, including different shareholder servicing fees and
operating expenses. Both classes are offered without a sales charge.
On July 7, 1999, the SA Fixed Income Fund issued 2,500 Class I shares and
2,500 Class S shares, and each of the SA International HBtM, International Small
Company, U.S. HBtM, U.S. Market and U.S. Small Company Funds issued 500 Class I
shares and 500 Class S shares at net asset value (the "Initial Shares") to RWB
Advisory Services Inc (the "Manager").
The preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates. The following
summarizes the significant accounting policies of the Funds:
SECURITY VALUATION -- Equity securities listed on an exchange for which
market quotations are readily available are valued at their last sale price on
the exchange where primarily traded, or in the absence of such reported sales,
at the mean between the most recent quoted bid and asked prices. Unlisted equity
securities for which market quotations are readily available are valued at the
mean between the most recent quoted bid and asked prices. Long-term debt
securities are valued based upon prices provided by an independent pricing
service. Short-term securities with a remaining maturity of 60 days or less are
valued at amortized cost, which approximates market value. Securities for which
market quotations are not available are valued at fair value as determined in
good faith by the Trustees of the Funds.
36
<PAGE>
- --------------------------------------------------------------------------------
SA Funds
NOTES TO FINANCIAL STATEMENTS -- DECEMBER 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Investments in the underlying funds within the International Small Company
Fund are valued at the closing net asset value per share of each underlying fund
as reported on each business day.
REPURCHASE AGREEMENTS -- The Funds may agree to purchase securities from
financial institutions such as member banks of the Federal Reserve System or any
foreign bank or any domestic broker/dealer that is recognized as a reporting
government securities dealer, subject to the seller's agreement to repurchase
them at an agreed-upon time and price. Dimensional Fund Advisors, Inc. (the
"Sub-adviser") will review and continuously monitor the credit worthiness of the
seller under a repurchase agreement, and will require the seller to maintain
liquid assets segregated on the books of the Fund or the Fund's custodian in an
amount that is greater than the repurchase price. Default by, or bankruptcy of,
the seller would however, expose a Fund to possible loss because of adverse
market action or delays in connection with the disposition of underlying
obligations except with respect to repurchase agreements secured by U.S.
Government securities.
FOREIGN CURRENCY TRANSLATION AND FOREIGN INVESTMENTS -- The books and
records of the Funds are maintained in U.S. dollars. The value of securities,
currencies and other assets and liabilities denominated in currencies other than
U.S. dollars is translated into U.S. dollars based upon foreign currency
exchange rates prevailing at the end of the period. Purchases and sales of
investment securities are translated at contractual currency exchange rates
established at the time of the trade. Income and expenses are translated at
prevailing exchange rates on the respective dates of such transactions.
The results of operations resulting from changes in foreign exchange rates
on investments are not isolated from fluctuations arising from changes in market
prices of securities held. All such fluctuations are included with net realized
and unrealized gain or loss on investments.
The SA Fixed Income and International HBtM Funds may purchase foreign
securities, or in the case of the International Small Company Fund, may purchase
other funds that invest in foreign securities. Investing in foreign securities
and foreign governments involves special risks and considerations not typically
associated with investing in U.S. companies and securities of the U.S.
government. These risks include revaluation of currencies and the risk of
appropriation. Moreover, the markets for securities of many foreign companies
and foreign governments and their markets may be less liquid and the prices of
such securities may be more volatile than those of securities of comparable U.S.
companies and the U.S. Government.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- Each Fund that may invest in
foreign securities may enter into forward currency exchange contracts. A forward
foreign currency exchange contract is an agreement between two parties to buy or
sell currency at a set price on a future date. By entering into a forward
contract for the purchase or sale for a fixed amount of dollars of the amount of
foreign currency involved in the underlying security transactions, the Fund will
be able to protect itself against a possible loss resulting from an adverse
change in the relationship between the U.S. dollar and the applicable foreign
currency during the period between the date the security is purchased or sold
and the date on which payment is made or received.
The market value of the contract will fluctuate with changes in currency
exchange rates. The contract is marked-to-market daily using the forward
currency exchange rate and the change in market value is recorded as unrealized
appreciation (depreciation) on foreign currency translations in the Funds'
Statements of Assets and Liabilities. Realized gain or loss is recognized when
the contract is closed which is 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 and
recorded as realized gain (loss) on foreign currency transactions in the Funds'
Statements of Operations.
37
<PAGE>
- --------------------------------------------------------------------------------
SA Funds
NOTES TO FINANCIAL STATEMENTS -- DECEMBER 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Forward foreign currency exchange contracts may involve risks from the
potential inability of counterparties to meet the terms of their contracts and
from unanticipated movements in the value of a foreign currency relative to the
U.S. dollar.
At December 31, 1999, the SA Fixed Income Fund had the following open
forward foreign currency exchange contracts:
<TABLE>
<CAPTION>
LOCAL AGGREGATE UNREALIZED
DELIVERY CURRENCY FACE TOTAL APPRECIATION
DATE AMOUNT AMOUNT VALUE (DEPRECIATION)
--------- ---------- ---------- ---------- --------------
<S> <C> <C> <C> <C> <C>
Australian Dollar
(sell)................. 1/20/2000 1,180,952 $ 750,767 $ 775,551 $(24,784)
Canadian Dollar (sell)... 1/20/2000 950,030 643,695 658,453 (14,758)
Danish Krone (sell)...... 1/20/2000 3,451,633 475,641 467,756 7,885
Swedish Krona (sell)..... 1/20/2000 3,964,562 472,129 466,550 5,579
Euro (sell).............. 1/21/2000 3,778,834 3,806,420 3,812,491 (6,071)
British Pounds (sell).... 1/21/2000 317,060 514,525 512,201 2,324
Japanese Yen (sell)...... 1/31/2000 29,264,705 287,866 287,925 (59)
--------
$(29,884)
========
</TABLE>
INVESTMENT TRANSACTIONS, INCOME AND EXPENSES -- Investments in securities
are accounted for as of trade date (the date the buy or sell is executed).
Dividend income is recorded on the ex-dividend date, except certain cash
dividends from foreign securities that are recorded as soon as the Funds are
informed. Interest income is recorded on an accrual basis and includes
amortization of discounts based on the effective interest method. Gains and
losses are determined on the identified cost basis, which is the same for
federal income tax purposes.
Expenses which cannot be attributed to a particular fund are apportioned
among the Funds either evenly or based on relative net assets. Otherwise,
expenses are attributed directly to the appropriate fund or class as applicable.
Investment income, realized and unrealized gains and losses, and common
expenses of a fund are allocated on a pro rata basis to each class based on the
relative net assets of each class to the total net assets of the fund. Each
class of shares differs in its respective distribution and certain other class
specific fees and expense limitations.
FEDERAL INCOME TAXES -- The Funds' policy is to comply with the requirements
of the Internal Revenue Code that are applicable to regulated investment
companies and to distribute all of its taxable income and net realized capital
gains, if any, to its stockholders. The Funds do not expect to be subject to
income tax and no such provision will be made.
DISTRIBUTIONS TO SHAREHOLDERS -- Each Fund, excluding the Fixed Income Fund,
declares and pays its net investment income annually. The Fixed Income Fund
declares and pays its net investment income quarterly. All Funds declare and pay
distributions from net realized capital gains at least annually.
Dividends to shareholders are recorded on the ex-dividend date. Income and
capital gain distributions are determined in accordance with income tax
regulations, which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments of income and gains
on various investment
38
<PAGE>
- --------------------------------------------------------------------------------
SA Funds
NOTES TO FINANCIAL STATEMENTS -- DECEMBER 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
securities held by the Funds, timing differences and differing characterizations
of distributions made by the Funds. Permanent book and tax basis differences
relating to shareholder distributions will result in reclassifications to
capital paid-in. Undistributed net investment income and accumulated
undistributed net realized gain/(loss) on investments and foreign currency
transactions may include temporary book and tax differences which will reverse
in a subsequent period. During any particular year net realized gains from
investment transactions, in excess of available capital loss carry forwards,
would be taxable to the Funds if not distributed and, therefore, would be
distributed to shareholders annually.
ORGANIZATION EXPENSES -- Costs and expenses of the Trust paid by the Manager
in connection with the organization of the Trust and the initial public offering
of its shares were immediately expensed by each Fund.
2. AGREEMENTS AND TRANSACTIONS WITH AFFILIATES
The Trust has an Investment Advisory and Administrative Service Agreement
with the Manager, an indirect, wholly-owned subsidiary of Assante Corporation
which is a privately held financial service company located in Winnipeg Canada,
under which the Manager manages the investments of and provides administrative
services to each Fund. For the advisory services provided, the Manager is
entitled to fees from each Fund computed daily and payable monthly at the rate
of 0.85% of the average daily net assets of each Fund. For the administrative
services provided, the Manager is entitled to a fee from each Fund computed
daily and payable monthly at a rate of 0.10% of the average daily net assets of
each Fund.
The Trust has a Shareholder Servicing Agreement with the Manager. For the
shareholder services provided, the Manager is paid an annual service fee at the
rate of up to 0.25% of the value of average daily net assets of the Class S
shares, and an annual service fee at the rate of up to 0.05% of the value of
average daily net assets of Class I shares of each Fund.
The Manager has contractually agreed to waive its management fees and/or to
reimburse expenses to the extent necessary to limit each Fund's total operating
expenses to the amounts shown in the table below. This agreement will remain in
effect until July 7, 2009.
<TABLE>
<CAPTION>
CLASS S CLASS I
EXPENSE EXPENSE
FUND LIMIT RATIO LIMIT RATIO
- ---- ----------- -----------
<S> <C> <C>
SA Fixed Income Fund.................... 1.26% 1.00%
SA International HBtM Fund.............. 1.79% 1.53%
SA International Small Company Fund..... 1.54% 1.28%
SA U.S. HBtM Fund....................... 1.39% 1.13%
SA U.S. Market Fund..................... 1.34% 1.08%
SA U.S. Small Company Fund.............. 1.54% 1.28%
</TABLE>
The Manager may elect to recapture any amounts waived or reimbursed subject
to the following conditions: (1) the manager must request reimbursement within
three years from the year in which the waiver/reimbursement
39
<PAGE>
- --------------------------------------------------------------------------------
SA Funds
NOTES TO FINANCIAL STATEMENTS -- DECEMBER 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
is made, (2) the Board of Trustees must approve the reimbursement, and (3) the
Fund must be able to make the reimbursement and still stay within the operating
expense limitations. As of December 31, 1999, the following amounts are subject
to this recapture through June 30, 2003.
<TABLE>
<CAPTION>
AMOUNT
SUBJECT TO
FUND RECAPTURE
- ---- ----------
<S> <C>
SA Fixed Income Fund.............................. $122,985
SA International HBtM Fund........................ 139,868
SA International Small Company Fund............... 99,324
SA U.S. HBtM Fund................................. 107,563
SA U.S. Market Fund............................... 115,025
SA U.S. Small Company Fund........................ 109,972
</TABLE>
The Trust has entered into a Sub-Advisory Agreement with Dimensional Fund
Advisors Inc. ("DFA"). For the sub-advisory services provided, DFA is entitled
to a fee from each Fund (other than the International Small Company Fund)
computed daily and payable monthly at an annual rate based on each Fund's
average daily net assets as set forth below. The International Small Company
Fund will not pay a fee to DFA for its sub-advisory services. DFA, however,
receives administration fees from the feeder funds in which the International
Small Company Fund invests and also received advisory fees for providing
advisory serves to the corresponding master funds. The sub-advisory fee
percentage rate applicable to each Fund is as follows:
<TABLE>
<CAPTION>
SUB-ADVISORY
FUND FEE RATIO
- ---- ------------
<S> <C>
SA Fixed Income Fund.............................. 0.19%
SA International HBtM Fund........................ 0.38%
SA U.S. HBtM Fund................................. 0.27%
SA U.S. Market Fund............................... 0.05%
SA U.S. Small Company Fund........................ 0.38%
</TABLE>
TRUSTEES FEES AND EXPENSES -- For their services as trustees, the trustees
who are not "interested persons" (as defined in the 1940 Act) receive a $5,000
annual retainer fee and $1,000 per meeting attended, as well as reimbursement
for expenses incurred in connection with attendance at such meetings. The
interested trustees receive no compensation for their services as trustees.
SUB-ADMINISTRATION FEES -- State Street Bank and Trust Company ("State
Street") serves as sub-administrator to the Trust, pursuant to a
sub-administration agreement (the "Sub-Administration Agreement") with the
Manager of the Trust. For providing such services, State Street receives a fee
which is calculated daily and paid monthly at an annual rate based on the
average daily net assets of each Fund as follows: 0.06% on the first $750
million of net assets, plus 0.04% for net assets between $750 million and $1.5
billion, plus 0.02% on net assets over $1.5 billion, subject to a minimum Fee of
$85,000 annually per Fund.
SHAREHOLDER TRANSACTION FEES -- The International Small Company Fund charges
a transaction fee of 0.675% of the Fund's offering price on purchases of, and
exchanges for, shares of the Fund. The fee does not
40
<PAGE>
- --------------------------------------------------------------------------------
SA Funds
NOTES TO FINANCIAL STATEMENTS -- DECEMBER 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
apply to reinvested dividends or capital gain distributions. The fee is not a
sales charge. It is paid to the Fund and is used to protect existing
shareholders by offsetting the transaction costs associated with new purchases
of securities by the Fund.
During the first six months, State Street has agreed to waive its minimum
fee charges for sub-administration and custodian fees. Through December 31,
1999, State Street has waived the following amounts in administration fees for
each Fund:
<TABLE>
<CAPTION>
WAIVER
FUND AMOUNT
- ---- -------
<S> <C>
SA Fixed Income Fund.............................. $45,415
SA International HBtM Fund........................ 45,415
SA International Small Company Fund............... 45,415
SA U.S. HBtM Fund................................. 45,415
SA U.S. Market Fund............................... 45,416
SA U.S. Small Company Fund........................ 45,414
</TABLE>
3. PURCHASES AND SALES OF SECURITIES
Excluding short-term investments, each purchases and sales of securities for
the period ended December 31, 1999 were as follows:
<TABLE>
<CAPTION>
PURCHASES
------------------------------
U.S. GOVERNMENT OTHER
--------------- -------------
<S> <C> <C>
SA Fixed Income Fund.................... $1,227,085 $ 9,929,922
SA International HBtM Fund.............. -- 15,327,934
SA International Small Company Fund..... -- 4,918,595
SA U.S. HBtM Fund....................... -- 7,302,729
SA U.S. Market Fund..................... -- 13,186,984
SA U.S. Small Company Fund.............. -- 5,812,029
</TABLE>
<TABLE>
<CAPTION>
SALES
---------------------------
U.S. GOVERNMENT OTHER
--------------- ----------
<S> <C> <C>
SA Fixed Income Fund.................... $ -- $438,913
SA International HBtM Fund.............. -- 35,414
SA International Small Company Fund..... -- 22,771
SA U.S. HBtM Fund....................... -- --
SA U.S. Market Fund..................... -- --
SA U.S. Small Company Fund.............. -- 31,338
</TABLE>
41
<PAGE>
- --------------------------------------------------------------------------------
SA Funds
NOTES TO FINANCIAL STATEMENTS -- DECEMBER 31, 1999 (Unaudited) (Continued)
- --------------------------------------------------------------------------------
4. DISTRIBUTIONS
Through December 31, 1999, the Funds indicated below declared and paid
ordinary income distributions. These amounts are as follows:
<TABLE>
<CAPTION>
AMOUNTS PER SHARE
------------------
FUND S CLASS I CLASS DECLARATION DATE PAYABLE DATE
- ---- -------- -------- ---------------- ------------
<S> <C> <C> <C> <C>
SA Fixed Income Fund.......... $0.0593 $0.0634 9/24/1999 9/27/1999
SA Fixed Income Fund.......... 0.0965 0.1031 12/21/1999 12/22/1999
SA International HBtM Fund.... 0.0344 0.0448 12/21/1999 12/22/1999
SA International Small Company
Fund........................ 0.2141 0.2247 12/21/1999 12/22/1999
</TABLE>
42
