<PAGE>
[LOGO]
ANNUAL REPORT
JUNE 30, 2000
<PAGE>
--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAGE
<S> <C>
MANAGEMENT DISCUSSION AND ANALYSIS.......................... 1
PORTFOLIOS OF INVESTMENTS
SA Fixed Income Fund...................................... 8
SA International HBtM Fund................................ 10
SA International Small Company Fund....................... 16
SA U.S. HBtM Fund......................................... 17
SA U.S. Market Fund....................................... 20
SA U.S. Small Company Fund................................ 29
STATEMENTS OF ASSETS AND LIABILITIES........................ 40
STATEMENTS OF OPERATIONS.................................... 42
STATEMENTS OF CHANGES IN NET ASSETS......................... 44
FINANCIAL HIGHLIGHTS........................................ 46
NOTES TO FINANCIAL STATEMENTS............................... 52
REPORT OF INDEPENDENT ACCOUNTANTS........................... 61
</TABLE>
<PAGE>
--------------------------------------------------------------------------------
SA Fixed Income Fund
--------------------------------------------------------------------------------
The series seeks to maximize expected returns by shifting maturities based
on changes in the yield curve. Using current prices, the strategy creates a
matrix of expected returns from different buy and sell strategies and identifies
the optimal maturity range for the highest expected returns. Maturities are
shifted if sufficient premiums can be documented. Investments are made in US
government securities, high-quality corporate securities and currency hedged
global bonds with a maximum maturity of five years.
Fiscal 2000 was a time when the Federal Reserve Board raised interest rates
five times in an attempt to hedge inflation and cool the economy. As a result,
short-term interest rates increased while long-term bonds remained stable, thus
creating an inverted yield curve. The series, operating in an inverted and
sometimes flat yield curve environment, kept bond maturities on the short side
of the zero to five-year spectrum. Typical yield curves are upward sloping, but
when you have an inverted or flat curve no yield premium is received for
extending the maturity.
Comparison of Change in Value of a $10,000 Investment
in SA Fixed Income Fund -- vs. Merrill Lynch
3-5 year Government Bond Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MERRILL LYNCH 3-5 GOV'T SA FIXED INCOME SA FIXED INCOME
<S> <C> <C> <C>
BOND INDEX FUND - S CLASS FUND - I CLASS
Jul 29, 1999 $10,000.00 $10,000.00 $10,000.00
Aug 31, 1999 $9,998.46 $10,040.00 $10,040.00
Sep 30, 1999 $10,091.36 $10,069.27 $10,073.43
Oct 31, 1999 $10,103.46 $10,069.27 $10,073.43
Nov 30, 1999 $10,106.98 $10,109.51 $10,113.68
Dec 31, 1999 $10,077.49 $10,136.26 $10,147.09
Jan 31, 2000 $10,022.67 $10,156.57 $10,167.42
Feb 29, 2000 $10,101.26 $10,197.20 $10,208.09
Mar 31, 2000 $10,216.83 $10,260.61 $10,267.98
Apr 30, 2000 $10,210.01 $10,291.30 $10,308.97
May 31, 2000 $10,242.59 $10,311.76 $10,329.47
Jun 30, 2000 $10,412.97 $10,375.77 $10,390.08
</TABLE>
The Merrill Lynch 3-5 year Government Bond Index is a market capitalization
weighted basket of U.S. Government Treasuries/Agencies with a duration of 3-5
years.
PERFORMANCE INFORMATION
<TABLE>
<CAPTION>
INCEPTION TO
JUNE 30, 2000(A)
----------------
<S> <C>
--------------------------------------------------------------------
SA Fixed Income Fund -- I Shares.................. 3.90%
SA Fixed Income Fund -- S Shares.................. 3.76%
Merrill Lynch 3-5 Government Bond Index........... 4.13%
</TABLE>
(a) From commencement of operations (July 29, 1999).
"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL INCOME DIVIDENDS AND
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE
RESULTS. THE VALUE OF AN INVESTMENT IN A FUND AND THE RETURN ON INVESTMENT BOTH
WILL FLUCTUATE AND REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN INVESTOR'S
ORIGINAL COST.
1
<PAGE>
--------------------------------------------------------------------------------
SA International HBtM Fund
--------------------------------------------------------------------------------
The series invests in companies with market capitalization of at least $800
million and book-to-market ratios in the upper 30 percent of publicly traded
non-US companies.
The international high book-to-market sector in fiscal 2000 consisted of
solid gains from Europe and mixed returns from Asia. However, the strength of
the dollar relative to the other countries mitigated these returns. When the
dollar increases faster than foreign currencies, the movement reduces the return
of the foreign markets in dollar terms.
Comparison of Change in Value of a $10,000 Investment
in SA International HBtM Fund vs.
MSCI EAFE Value Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SA INTL. HBTM SA INTL. HBTM
<S> <C> <C> <C>
MSCI EAFE VALUE INDEX FUND - S CLASS FUND - I CLASS
Aug 5, 1999 $10,000.00 $10,000.00 $10,000.00
Aug 31, 1999 $9,873.50 $9,920.00 $9,920.00
Sep 30, 1999 $9,919.24 $9,910.00 $9,910.00
Oct 31, 1999 $10,140.17 $9,790.00 $9,800.00
Nov 30, 1999 $10,120.75 $9,630.00 $9,640.00
Dec 31, 1999 $10,803.34 $10,015.06 $10,035.66
Jan 31, 2000 $10,031.65 $9,382.84 $9,392.74
Feb 29, 2000 $9,989.86 $9,011.54 $9,021.05
Mar 31, 2000 $10,598.45 $9,573.51 $9,593.65
Apr 30, 2000 $10,186.27 $9,262.42 $9,272.19
May 31, 2000 $10,311.52 $9,533.37 $9,543.42
Jun 30, 2000 $10,747.14 $10,015.06 $10,035.66
</TABLE>
The Morgan Stanley Capital International (MSCI) EAFE Value Index is
comprised of companies with the lowest price-to-book ratio (value) within the
MSCI EAFE Index. The MSCI EAFE Index is an index of the securities traded in
Europe, Australia, and the Far East, weighted by market capitalization.
PERFORMANCE INFORMATION
<TABLE>
<CAPTION>
INCEPTION TO
JUNE 30, 2000(A)
----------------
<S> <C>
--------------------------------------------------------------------
SA International HBtM Fund -- I Shares............ 0.36%
SA International HBtM Fund -- S Shares............ 0.15%
MSCI EAFE Value Index............................. 7.47%
</TABLE>
(a) From commencement of operations (August 5, 1999).
"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL INCOME DIVIDENDS AND
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE
RESULTS. THE VALUE OF AN INVESTMENT IN A FUND AND THE RETURN ON INVESTMENT BOTH
WILL FLUCTUATE AND REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN INVESTOR'S
ORIGINAL COST.
2
<PAGE>
--------------------------------------------------------------------------------
SA International Small Company Fund
--------------------------------------------------------------------------------
The fund consists of investments in five mutual funds:
DFA JAPAN SMALL COMPANY PORTFOLIO: The series seeks to capture premium
returns and diversification benefits by investing in a broad cross-section of
small companies on a market cap-weighted basis. The series provides access to
publicly traded small firms listed on the lower half of companies on the First
Section of Tokyo Stock Exchange.
DFA PACIFIC RIM SMALL COMPANY PORTFOLIO: The series seeks to capture premium
returns and diversification benefits by investing in a broad cross-section of
small companies on a market cap-weighted basis. The series provides access to
publicly traded small firms listed on the major exchanges of Australia, Hong
Kong, Malaysia, New Zealand and Singapore.
DFA UNITED KINGDOM SMALL COMPANY PORTFOLIO: The series seeks to capture
premium returns and diversification benefits by investing in a broad
cross-section of small companies on a market cap-weighted basis. The series
provides access to publicly traded small firms listed on the lower half by
market cap of companies traded on the International Stock Exchange of the United
Kingdom.
DFA CONTINENTAL SMALL COMPANY PORTFOLIO: The series seeks to capture premium
returns and diversification benefits by investing in a broad cross-section of
small companies on a market cap-weighted basis. The series provides access to
publicly traded small firms listed on the major exchanges of Austria, Belgium,
Denmark, Finland, France, Germany, Ireland, Italy, the Netherlands, Norway,
Spain, Sweden and Switzerland.
DFA EMERGING MARKETS PORTFOLIO: The series seeks to capture premium returns
and diversification benefits by investing in a broad cross-section of small
companies on a market cap-weighted basis. The series provides access to non-US
large companies in "emerging market" countries including Argentina, Brazil,
Chile, Greece, Indonesia, Israel, Malaysia, Mexico, Philippines, Portugal, South
Korea, Thailand and Turkey.
The international small market for fiscal 2000 was mixed. Continental
Europe, the United Kingdom and Japan posted moderate gains while the Pacific Rim
was off for the period. Actual country returns are quite strong, but the
strength of the dollar relative to these countries reduced some of the gains.
When the dollar increases faster than foreign currencies, the movement reduces
the return of the foreign markets in dollar terms.
3
<PAGE>
--------------------------------------------------------------------------------
SA International Small Company Fund
(Continued)
--------------------------------------------------------------------------------
Comparison of Change in Value of a $10,000 Investment
in SA International Small Company Fund -- vs. the
Salomon Smith Barney Extended Market Index (EMI)
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SALOMON SMITH BARNEY EXTENDED SA INTL. SMALL SA INTL. SMALL
<S> <C> <C> <C>
MARKET INDEX (b) CO. FUND - S CLASS CO. FUND - I CLASS
Aug 5, 1999 $10,000.00 $10,000.00 $10,000.00
Aug 31, 1999 $10,149.00 $10,327.71 $10,327.71
Sep 30, 1999 $10,145.00 $10,278.05 $10,278.05
Oct 31, 1999 $10,057.00 $10,158.89 $10,158.89
Nov 30, 1999 $10,395.00 $10,079.44 $10,079.44
Dec 31, 1999 $11,024.00 $10,258.81 $10,247.98
Jan 31, 2000 $10,716.00 $10,228.33 $10,207.40
Feb 29, 2000 $10,990.00 $10,340.06 $10,319.01
Mar 31, 2000 $11,166.00 $10,634.62 $10,613.26
Apr 30, 2000 $10,442.00 $9,781.42 $9,760.95
May 31, 2000 $10,257.00 $9,811.89 $9,791.39
Jun 30, 2000 $11,019.00 $10,583.84 $10,562.53
</TABLE>
Salomon Smith Barney Extended Market Index (EMI) is compiled by Salomon
Smith Barney. The EMI defines the small-capitalization equity universe,
representing the bottom 20% of the available capitalization, and 75% of the
number of issues, of each country in the Salomon Smith Barney Broad Market Index
(SB BMI). The index is calculated gross of withholding taxes and is
capitalization weighted.
For comparative purposes, the SA International Small Company Fund uses a
blended return which is calculated using the Fund's respective target weightings
against corresponding EMI regions. For the year ended June 30, 2000, the blended
return was calculated using 40%, 25%, 20% and 15% of the Europe ex UK, Japan,
United Kingdom and Asia Pacific ex Japan EMI Indexes, respectively.
PERFORMANCE INFORMATION
<TABLE>
<CAPTION>
INCEPTION TO
JUNE 30, 2000
-------------
<S> <C>
-----------------------------------------------------------------
SA International Small Company Fund -- I Shares... 5.84%(a)
SA International Small Company Fund -- S Shares... 5.63%(a)
Salomon Smith Barney Extended Market Index........ 10.19%(b)
</TABLE>
(a) From commencement of operations (August 5, 1999).
(b) Performance for the benchmark is not available from August 5, 1999
(commencement of operations). For that reason, performance is shown from
July 31, 1999.
"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL INCOME DIVIDENDS AND
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE
RESULTS. THE VALUE OF AN INVESTMENT IN A FUND AND THE RETURN ON INVESTMENT BOTH
WILL FLUCTUATE AND REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN INVESTOR'S
ORIGINAL COST.
4
<PAGE>
--------------------------------------------------------------------------------
SA U.S. HBtM Fund
--------------------------------------------------------------------------------
The series seeks to capture return premiums associated with high
book-to-market ratios and market capitalization by investing in firms that have
average weighted markets caps of approximately $10 billion and book-to-market
ratios in the upper 30 percent of publicly traded US companies. The series also
seeks to minimize the impact of federal taxes on returns by deferring net
capital gains and minimizing dividend income.
The US high book-to-market asset class in fiscal 2000 reflected the
performance of the value sector. The series' positions in non-technology stocks,
in a period of time when technology and small company stocks dominated, accounts
for the dispersion from popular market averages.
Comparison of Change in Value of a $10,000 Investment
in SA U.S. HBtM Fund vs. the
Russell 1000 Value Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
RUSSELL 1000 SA U.S. HBTM SA U.S. HBTM
<S> <C> <C> <C>
VALUE INDEX FUND - S CLASS FUND - I CLASS
8/5/99 $10,000.00 $10,000.00 $10,000.00
08/31/99 $9,686.66 $10,000.00 $10,010.00
09/30/99 $9,334.28 $9,280.00 $9,270.00
10/31/99 $9,839.55 $9,600.00 $9,600.00
11/30/99 $9,756.83 $9,320.00 $9,320.00
12/31/99 $9,788.30 $9,420.00 $9,410.00
01/31/00 $9,461.03 $8,890.00 $8,880.00
02/29/00 $8,733.58 $7,970.00 $7,960.00
03/31/00 $9,768.87 $9,010.00 $9,010.00
04/30/00 $9,649.69 $9,280.00 $9,280.00
05/31/00 $9,730.52 $9,340.00 $9,340.00
06/30/00 $9,259.30 $8,620.00 $8,620.00
</TABLE>
The Russell 1000 Value Index is a market capitalization weighted broad index
of 1000 large capitalization U.S. companies.
PERFORMANCE INFORMATION
<TABLE>
<CAPTION>
INCEPTION TO
JUNE 30, 2000(A)
----------------
<S> <C>
--------------------------------------------------------------------
SA U.S. HBtM Fund -- I Shares..................... (13.80)%
SA U.S. HBtM Fund -- S Shares..................... (13.80)%
Russell 1000 Value Index.......................... (7.41)%
</TABLE>
(a) From commencement of operations (August 5, 1999).
"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL INCOME DIVIDENDS AND
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE
RESULTS. THE VALUE OF AN INVESTMENT IN A FUND AND THE RETURN ON INVESTMENT BOTH
WILL FLUCTUATE AND REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN INVESTOR'S
ORIGINAL COST.
5
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Market Fund
--------------------------------------------------------------------------------
The series seeks to capture premium returns and diversification benefits by
investing in a broad cross-section of companies on a market cap-weighted basis.
The series provides access to publicly traded firms that have average weighted
market caps between $102 million and $334 Billion.
The US stock market in fiscal 2000 was strong. The market cap-weighted
series -- meaning stocks with the largest market capitalization represent the
largest holdings of the series -- participated in the concentrated bull run of
technology stocks and balanced out the return with small cap exposure when the
technology stocks were troubled in April and May 2000.
Comparison of Change in Value of a $10,000 Investment
in SA U.S. Market Fund vs. the
Wilshire 5000 Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SA U.S. MARKET SA U.S. MARKET
WILSHIRE 5000 INDEX (B) FUND - S FUND - I CLASS
CLASS
<S> <C> <C> <C>
8/5/99 $10,000.00 $10,000.00 $10,000.00
08/31/99 $9,906.79 $9,990.00 $10,000.00
09/30/99 $9,647.93 $9,740.00 $9,740.00
10/31/99 $10,261.54 $10,250.00 $10,250.00
11/30/99 $10,605.10 $10,490.00 $10,500.00
12/31/99 $11,410.35 $11,150.00 $11,150.00
01/31/00 $10,936.70 $10,790.00 $10,810.00
02/29/00 $11,181.69 $11,180.00 $11,200.00
03/31/00 $11,845.87 $11,810.00 $11,830.00
04/30/00 $11,228.70 $11,430.00 $11,450.00
05/31/00 $10,836.48 $11,090.00 $11,120.00
06/30/00 $11,314.48 $11,560.00 $11,590.00
</TABLE>
The Wilshire 5000 Index is a market capitalization weighted broad index of
all U.S headquartered equity securities.
PERFORMANCE INFORMATION
<TABLE>
<CAPTION>
INCEPTION TO
JUNE 30, 2000
-------------
<S> <C>
-----------------------------------------------------------------
SA U.S. Market Fund -- I Shares................... 15.90%(a)
SA U.S. Market Fund -- S Shares................... 15.60%(a)
Wilshire 5000 Index............................... 13.14%(b)
</TABLE>
(a) From commencement of operations (August 5, 1999).
(b) Performance for the benchmark is not available from August 5, 1999
(commencement of operations). For that reason, performance is shown from
July 31, 1999.
"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL INCOME DIVIDENDS AND
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE
RESULTS. THE VALUE OF AN INVESTMENT IN A FUND AND THE RETURN ON INVESTMENT BOTH
WILL FLUCTUATE AND REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN INVESTOR'S
ORIGINAL COST.
6
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Small Company Fund
--------------------------------------------------------------------------------
The series seeks to capture premium returns and diversification benefits by
investing in a broad cross-section of small companies on a market cap-weighted
basis. The series provides access to publicly traded US small firms that have
average weighted market caps of approximately $600 million.
The US small company asset class in fiscal 2000 was strong. The series
benefited from the concentrated bull run of technology stocks with a number of
the series' top holdings coming from that sector. The recent trend of large-cap
stocks outperforming small-cap stocks reversed this period.
Comparison of Change in Value of a $10,000 Investment
in SA U.S. Small Company Fund vs. the
Russell 2000 Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SA U.S. SMALL SA U.S. SMALL
RUSSELL 2000 INDEX CO. FUND - S CLASS CO. FUND - I CLASS
<S> <C> <C> <C>
8/5/99 $10,000.00 $10,000.00 $10,000.00
08/31/99 $9,955.32 $10,000.00 $10,000.00
09/30/99 $9,942.99 $10,030.00 $10,030.00
10/31/99 $9,974.17 $9,910.00 $9,910.00
11/30/99 $10,566.14 $10,590.00 $10,590.00
12/31/99 $11,745.20 $11,450.00 $11,460.00
01/31/00 $11,546.95 $11,120.00 $11,140.00
02/29/00 $13,442.93 $13,330.00 $13,360.00
03/31/00 $12,544.27 $12,420.00 $12,430.00
04/30/00 $11,780.10 $11,590.00 $11,610.00
05/31/00 $11,080.40 $11,150.00 $11,170.00
06/30/00 $12,035.60 $12,550.00 $12,580.00
</TABLE>
The Russell 2000 Index is a market capitalization weighted broad index of
2000 small capitalization U.S. companies.
PERFORMANCE INFORMATION
<TABLE>
<CAPTION>
INCEPTION TO
JUNE 30, 2000(A)
----------------
<S> <C>
--------------------------------------------------------------------
SA U.S. Small Company Fund -- I Shares............ 25.80%
SA U.S. Small Company Fund -- S Shares............ 25.50%
Russell 2000 Value Index.......................... 20.36%
</TABLE>
(a) From commencement of operations (August 5, 1999).
"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL INCOME DIVIDENDS AND
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE
RESULTS. THE VALUE OF AN INVESTMENT IN A FUND AND THE RETURN ON INVESTMENT BOTH
WILL FLUCTUATE AND REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN INVESTOR'S
ORIGINAL COST.
7
<PAGE>
--------------------------------------------------------------------------------
SA Fixed Income Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
<S> <C> <C>
--------------------------------------------------------------------
BONDS AND NOTES -- 83.2%
GOVERNMENT AGENCY -- 16.3%
Federal Home Loan Bank, 5.625%,
3/19/01............................. USD 300,000 $ 297,660
Home Loan Bank, 5.875%, 8/15/01....... USD 250,000 247,268
Federal Home Loan Bank, 5.875%,
9/17/01............................. USD 250,000 247,053
Federal Home Loan Bank, 6.000%,
11/15/01............................ USD 500,000 494,195
Federal Home Loan Bank, 6.750%,
2/01/02............................. USD 1,000,000 997,954
Federal Home Loan Bank, 6.750%,
2/15/02............................. USD 500,000 498,948
Federal National Mortgage Association,
5.970%, 8/02/01..................... USD 200,000 198,319
Federal National Mortgage Association,
6.500%, 7/10/02..................... USD 350,000 208,762
Federal National Mortgage Association,
6.625%, 1/15/02..................... USD 500,000 498,117
Federal National Mortgage Association,
6.625%, 4/15/02..................... USD 600,000 597,382
-----------
4,285,658
-----------
AIRPORT -- 1.8%
Kansai International Airport, 1.300%,
7/29/04............................. JPY 50,000,000 476,395
-----------
BANKS -- 24.7%
African Development Bank MTN, 8.625%,
5/01/01............................. USD 250,000 252,721
Asian Development Bank, 8.500%,
5/02/01............................. USD 600,000 606,594
Bank Austria AG, 4.750%, 3/17/03...... EUR 200,000 186,662
Bank Nederlandse Gemeenten NV, 7.000%,
3/10/03............................. EUR 1,000,000 448,606
Caisse D'Amortissement de La Dette
Sociale, 5.500%, 4/25/02............ EUR 600,000 571,588
Credit Local De France SA, 6.000%,
9/24/01............................. EUR 300,000 288,930
Deutsche Genossen-HypotheKenbank,
3.500%, 10/26/01.................... EUR 300,000 280,385
European Investment Bank, 0.875%,
11/08/04............................ JPY 75,000,000 704,506
Export-Import Bank, 4.375%,
10/01/03............................ JPY 48,000,000 504,482
Intermediate American Development
Bank, 8.500%, 5/01/01............... USD 500,000 506,383
International Bank for Reconstruction
& Development, 4.750%, 12/20/04..... JPY 50,000,000 548,890
Landesbank Rheinland-Phalz
Girozentrale, 5.750%, 10/16/03...... EUR 700,000 673,900
Nederlandse Waterschapsbank NV,
5.125%, 12/30/02.................... EUR 1,600,000 687,097
Westfaelische Hypothekenbank, 3.250%,
8/15/01............................. EUR 250,000 233,973
-----------
6,494,717
-----------
<CAPTION>
FACE
AMOUNT VALUE+
<S> <C> <C>
--------------------------------------------------------------------
FINANCE -- AUTO LOANS -- 2.1%
Toyota Motor Credit Corp., 1.000%,
12/20/04............................ JPY 27,000,000 $ 253,241
Toyota Motor Credit Corp., 5.500%,
9/17/01............................. USD 300,000 294,708
-----------
547,949
-----------
FINANCIAL SERVICES -- 5.1%
Credit Agricole Indosuez, 7.140%,
7/03/01............................. USD 600,000 600,360
MBIA, Inc., 9.000%, 2/15/01........... USD 250,000 252,478
National Rural Utilities Cooperative
Finance Corp., 5.280%, 2/04/02...... USD 500,000 485,950
-----------
1,338,788
-----------
FOREIGN GOVERNMENT/AGENCY -- 25.0%
Canada Mortgage & Housing Corp.,
7.250%, 9/01/01..................... CAD 350,000 240,808
Government of Canada, 9.750%,
6/01/01............................. CAD 750,000 523,140
Government of France, 4.500%,
7/12/03............................. EUR 500,000 469,873
Government of The Netherlands, 6.500%,
4/15/03............................. EUR 500,000 493,404
Japan Finance Corp., 8.700%,
7/30/01............................. USD 500,000 507,726
KFW International Finance, 5.000%,
1/22/02............................. USD 300,000 290,580
KFW International Finance, 6.250%,
10/15/03............................ EUR 200,000 195,462
Kingdom of Denmark, 4.000%, 2/15/01... DKK 5,500,000 695,549
Kingdom of Sweden, 5.500%, 4/12/02.... SEK 5,000,000 570,975
New South Wales Treasury Corp.,
5.500%, 10/01/02.................... AUD 300,000 176,767
New South Wales Treasury Corp.,
8.000%, 12/01/01.................... AUD 500,000 305,866
Province of Alberta, 10.250%,
8/22/01............................. CAD 700,000 494,200
Queensland Treasury-Global, 8.000%,
8/14/01............................. AUD 500,000 304,672
Republic of Austria, 4.300%, 7/15/03.. EUR 250,000 232,012
Treuhandanstalt, 6.625%, 7/09/03...... EUR 600,000 596,457
United Kingdom Treasury, 7.000%,
11/06/01............................ GBP 150,000 229,598
United Kingdom Treasury, 10.000%,
2/26/01............................. GBP 150,000 232,626
-----------
6,559,715
-----------
FOREIGN -- MUNICIPAL COUNTY -- 0.9%
Dept. Des Hauts-De-Seine, 7.000%,
7/21/03............................. EUR 1,500,000 229,268
-----------
INSURANCE -- 0.9%
American International Group, Inc.
MTN, 6.340%, 8/16/01................ USD 250,000 247,244
-----------
</TABLE>
8
<PAGE>
--------------------------------------------------------------------------------
SA Fixed Income Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
--------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE+
<S> <C> <C>
OIL & GAS -- 1.9%
Elf Aquitaine SA, 8.000%, 10/15/01.... USD 500,000 $ 505,132
-----------
RETAIL -- 0.8%
Wal-Mart Stores, Inc., 6.150%,
8/10/01............................. USD 200,000 198,132
-----------
TRANSPORTATION -- 2.0%
Societe Nationale des Chemins de Fer,
9.800%, 2/19/02..................... EUR 500,000 510,212
-----------
UTILITIES -- 1.7%
Electricite de France, 3.750%,
10/28/03............................ EUR 500,000 456,893
-----------
TOTAL BONDS AND NOTES
(Identified Cost $22,330,247)....... 21,850,103
-----------
SHORT-TERM INVESTMENTS -- 16.6%
BANKS -- 2.2%
Commerzbank, 6.270%, 1/05/01.......... USD 600,000 580,354
-----------
FINANCIAL SERVICES -- 9.1%
Barton Capital Corp., 6.550%,
7/25/00............................. USD 600,000 597,380
CC USA, Inc., 6.630%, 9/12/00......... USD 600,000 591,933
Govco, Inc., 6.580%, 8/11/00.......... USD 600,000 595,504
Windmill Financial Corp., 6.600%,
8/07/00............................. USD 600,000 595,930
-----------
2,380,747
-----------
TELECOMMUNICATIONS -- 2.3%
British Telecommunications Plc,
6.270%, 7/10/00..................... USD 600,000 599,060
-----------
<CAPTION>
FACE
AMOUNT VALUE+
<S> <C> <C>
--------------------------------------------------------------------
OTHER -- 3.0%
SSgA Government Money Market Fund..... USD 921 $ 921
SSgA Money Market Fund................ USD 794,215 794,215
-----------
795,136
-----------
TOTAL SHORT TERM INVESTMENTS
(Identified Cost $4,355,297)........ 4,355,297
-----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
--------------------------------------------------------------
TOTAL INVESTMENTS -- 99.8%
(IDENTIFIED COST $26,685,544)# 26,205,400
Cash and Other Assets, Less Liabilities -- 0.2% 54,713
----------
NET ASSETS -- 100%................................ $26,260,113
==========
</TABLE>
+ See Note 1.
# At June 30, 2000, the aggregate cost of investment securities for income
tax purposes was $26,685,544. Net unrealized depreciation aggregated
$480,144, of which $113,104 related to appreciated investment securities
and $593,248 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.
9
<PAGE>
--------------------------------------------------------------------------------
SA International HBtM Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
SHARES VALUE+
<S> <C> <C>
----------------------------------------------------------------
COMMON STOCKS -- 93.6%
AUSTRALIA -- 2.4%
Amcor Ltd............................. 6,891 $ 24,072
AMP Ltd............................... 16,600 168,770
Boral Ltd.*........................... 23,303 29,266
Commonwealth Bank of Australia........ 3,766 62,365
CSR Ltd............................... 12,754 35,392
M.I.M. Holdings Ltd................... 71,623 38,551
National Australia Bank Ltd........... 7,634 127,369
Normandy Mining Ltd................... 21,772 11,719
North Ltd............................. 7,076 16,715
Orica Ltd............................. 3,427 15,531
Origin Energy Ltd.*................... 23,303 22,437
Pacific Dunlop Ltd.................... 12,644 11,267
Paperlinx Ltd.*....................... 2,297 4,355
Pasminco Ltd.*........................ 15,518 8,260
Publishing & Broadcasting Ltd......... 4,567 35,097
Qantas Airways Ltd.................... 21,193 42,840
Rio Tinto Ltd......................... 5,875 97,040
Santos Ltd............................ 10,611 32,300
Smorgon Steel Group Ltd............... 22,900 18,352
St. George Bank Ltd................... 7,962 54,288
WMC Ltd............................... 16,624 74,296
-----------
930,282
-----------
AUSTRIA -- 0.1%
Bank Austria AG....................... 301 14,661
Voest-Alpine Stahl AG................. 1,386 41,483
-----------
56,144
-----------
BELGIUM -- 0.7%
Bekaert NV............................ 400 20,660
Solvay SA............................. 2,100 141,343
Tessenderlo Chemie NV................. 400 15,985
Union Miniere SA...................... 2,600 94,300
-----------
272,288
-----------
DENMARK -- 0.7%
Carlsberg A/S......................... 1,000 30,324
Danisco A/S........................... 1,460 48,756
Den Danske Bank Group................. 840 101,027
Jyske Bank A/S........................ 2,720 50,810
Kapital Holding....................... 1,474 46,583
-----------
277,500
-----------
FINLAND -- 3.2%
Fortum Corp........................... 72,199 282,606
Huhtamaki Van Leer Oyj, Series 1...... 2,800 87,680
Kemira Oyj............................ 6,100 29,701
Kesko Oyj............................. 8,800 89,474
Metra Oyj, Class B.................... 5,000 86,162
Metsa-Serla Oyj, Series B............. 12,000 88,787
Metso Oyj*............................ 8,705 104,714
Outokumpu Oyj......................... 10,700 102,153
Sanitec Oyj*.......................... 236 2,366
Stora Enso Oyj, Series A.............. 5,600 51,325
<CAPTION>
SHARES VALUE+
<S> <C> <C>
----------------------------------------------------------------
Stora Enso Oyj........................ 14,800 $ 134,937
UPM-Kymmene Oyj....................... 7,200 178,720
-----------
1,238,625
-----------
FRANCE -- 10.2%
Accor SA.............................. 3,500 143,448
Assurances Generales De France........ 7,900 417,457
Banque Nationale de Paris............. 400 38,493
Bull SA*.............................. 4,700 41,191
Christian Dior SA*.................... 200 45,348
Ciments Francais...................... 1,000 49,549
Colas SA*............................. 800 38,952
Compagnie de Saint-Gobain............. 3,000 405,557
Compagnie Generele des Etablissements
Michelin, Class B................... 5,700 182,899
Credit Lyonnais SA.................... 400 19,018
Eiffage SA............................ 200 11,304
Eridania Beghin-Say SA................ 900 88,157
Euro Disney SCA*...................... 25,454 16,768
Faurecia.............................. 400 15,791
Financiere Marc de Lacharriere SA*.... 1,000 31,142
Groupe Danone*........................ 2,800 371,569
Groupe GTM............................ 500 46,780
Imerys................................ 400 46,437
Labinal SA............................ 100 12,612
Lafarge SA............................ 4,500 349,707
Lapeyre SA............................ 400 20,240
Pernod-Ricard SA...................... 2,400 130,603
PSA Peugeot Citroen................... 1,900 381,288
Rallye SA............................. 1,100 65,163
Remy Cointreau SA*.................... 1,200 39,009
Rue Imperiale de Lyon................. 203 39,906
SEB SA................................ 500 29,262
Societe des Immeubles de France....... 1,100 19,953
Societe Fonciere Lyonnaise............ 200 21,022
Societe Generale*..................... 10,000 601,461
Usinor SA............................. 8,100 98,829
Valeo SA.............................. 2,800 149,697
-----------
3,968,612
-----------
GERMANY -- 8.0%
Bankgesellschaft Berlin AG*........... 12,900 187,198
BASF AG............................... 6,100 245,177
Bayer AG.............................. 7,200 281,003
BHW Holding AG........................ 1,300 32,579
Commerzbank AG........................ 5,050 180,989
Continental AG........................ 1,000 16,803
DaimlerChrysler AG.................... 9,900 516,337
Degussa-Huels AG...................... 1,300 36,985
DePfa Deutsche Pfandbriefbank AG...... 200 20,068
Deutsche Bank AG...................... 1,700 139,902
Deutsche Lufthansa AG................. 3,750 86,675
Dresdner Bank AG...................... 4,100 168,705
Dyckerhoff AG......................... 700 17,723
Gehe AG............................... 500 16,468
Heidelberg Zement..................... 300 18,502
</TABLE>
10
<PAGE>
--------------------------------------------------------------------------------
SA International HBtM Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
----------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
GERMANY (CONTINUED)
Heidelberger Druckmaschinen AG........ 500 $ 30,159
Hochtief AG........................... 600 18,273
Hoechst AG............................ 3,900 125,849
HypoVereinsbank....................... 2,700 174,406
Linde AG.............................. 6,000 241,157
MAN AG................................ 800 24,181
Merck KGaA............................ 3,200 102,344
Thyssen Krupp AG...................... 4,400 71,622
Veba AG............................... 4,900 236,241
Volkswagen AG......................... 2,700 102,308
-----------
3,091,654
-----------
HONG KONG -- 1.9%
Amoy Properties Ltd................... 98,000 65,371
China Overseas Land & Investment
Ltd.*............................... 90,000 8,543
Great Eagle Holdings Ltd.............. 21,000 33,135
Hang Lung Development Co., Ltd........ 34,000 26,387
Hongkong and Shanghai Hotels Ltd...... 27,000 15,673
Hysan Development Co., Ltd............ 24,000 25,091
Kerry Properties Ltd.................. 24,495 25,766
New World Development Co., Ltd........ 71,000 78,783
New World Infrastructure Ltd.*........ 14,400 12,653
Sino Land Co., Ltd.................... 118,000 42,005
Swire Pacific Ltd..................... 29,000 170,008
Tsim Sha Tsui Properties Ltd.......... 24,254 16,334
Wharf (Holdings) Ltd.................. 90,000 161,055
Wheelock and Co., Ltd................. 78,000 51,530
-----------
732,334
-----------
IRELAND -- 0.3%
Allied Irish Banks Plc................ 2,599 23,274
Independent News & Media Plc.......... 4,798 17,406
Irish Life & Permanent Plc............ 2,429 20,477
Jefferson Smurfit Group Plc........... 40,056 68,835
-----------
129,992
-----------
ITALY -- 4.1%
Banca di Roma......................... 235,000 288,520
Banca Popolare di Milano.............. 9,000 64,872
Banca Popolare di Verona.............. 10,000 109,791
Banca Toscana......................... 10,000 34,083
CIR-Compagnie Industriali Riunite
SpA................................. 7,500 24,560
Compart SpA*.......................... 52,500 74,180
Fiat SpA.............................. 16,000 415,180
Ifil (Finanziiaria di partecipazioni)
SpA................................. 10,000 83,059
Italcementi SpA....................... 6,680 62,817
Magneti Marelli SpA................... 10,000 52,127
Milano Assicurazioni.................. 14,000 46,513
Parmalat Finanziaria SpA.............. 60,000 84,663
Riunione Adriatica di Sicurta SpA..... 18,600 204,210
SAI SpA............................... 2,000 35,419
-----------
1,579,994
-----------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
----------------------------------------------------------------
JAPAN -- 25.2%
Amada Co., Ltd........................ 8,000 $ 67,857
Amano Corp............................ 2,000 22,318
Aomori Bank Ltd....................... 2,000 9,425
Ashikaga Bank Ltd.*................... 8,000 16,587
Autobacs Seven Co., Ltd............... 500 16,634
Awa Bank Ltd.......................... 7,000 33,844
Bandai Co., Ltd....................... 1,000 36,945
Bank of Kyoto Ltd..................... 10,000 51,176
Bank of Nagoya Ltd.................... 6,000 36,756
Bank of Yokohama Ltd.................. 4,000 17,907
Best Denki Co., Ltd................... 3,000 20,612
Canon Sales Co., Inc.................. 4,000 71,627
Casio Computer Co., Ltd............... 3,000 33,646
Chiba Bank Ltd........................ 23,000 90,825
Chiyoda Fire & Marine Insurance Co.,
Ltd................................. 11,000 37,322
Chudenko Corp......................... 2,000 28,161
Chugoku Bank Ltd...................... 6,000 56,491
Chuo Trusts & Banking Co., Ltd........ 7,000 30,479
Citizen Watch Co...................... 7,000 67,556
Cosmo Oil Co., Ltd.................... 12,000 22,054
Dai-Tokyo Fire and Marine Insurance
Co., Ltd............................ 9,000 31,978
Daicel Chemical Industries Ltd........ 11,000 35,455
Daido Steel Co., Ltd.................. 35,000 81,806
Daiichi Pharmaceutical Co., Ltd....... 3,000 76,057
Daimaru, Inc.......................... 6,000 21,036
Daio Paper Corp....................... 10,000 99,901
Daishi Bank Ltd....................... 9,000 34,183
Daito Trust Construction Co., Ltd..... 900 14,844
Daiwa Bank Ltd........................ 10,000 25,918
Daiwa House Industry Co., Ltd......... 15,000 109,420
Dowa Fire & Marine Insurance Co.,
Ltd................................. 9,000 24,089
Fuji Photo Film....................... 3,000 122,709
Fujikura Ltd.......................... 8,000 53,155
Fukuoka City Bank Ltd................. 10,000 68,046
Fukuoka City Bank Ltd................. 4,000 19,226
Fukuyama Transporting Co., Ltd........ 8,000 50,139
Futaba Industrial Co., Ltd............ 2,000 26,295
Futuba Corp........................... 1,000 40,149
General Sekiyu K.K.................... 8,000 16,964
Gunma Bank Ltd........................ 15,000 77,329
Hachijuni Bank Ltd.................... 17,000 102,380
Hankyu Department Stores, Inc......... 4,000 21,337
Higo Bank Ltd......................... 5,000 20,546
Hino Motors Ltd.*..................... 8,000 29,254
Hiroshima Bank Ltd.................... 19,000 71,448
Hitachi Cable Ltd..................... 5,000 55,275
Hitachi Ltd........................... 22,000 317,233
Hitachi Metals Ltd.................... 4,000 35,701
Hokkoku Bank Ltd...................... 9,000 38,594
Hokuriku Bank Ltd.*................... 15,000 34,777
House Foods Corp...................... 2,000 30,913
Hyakugo Bank Ltd...................... 4,000 17,153
Hyakujushi Bank Ltd................... 9,000 54,710
</TABLE>
11
<PAGE>
--------------------------------------------------------------------------------
SA International HBtM Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
----------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Inax Corp............................. 7,000 $ 43,080
Ishikawajima-Harima Heavy Industries
Co., Ltd............................ 29,000 52,476
Itochu Corp.*......................... 4,000 20,169
Itoham Foods, Inc..................... 4,000 16,889
Iyo Bank Ltd.......................... 10,000 63,145
Izumiya Co., Ltd...................... 9,000 61,581
Japan Airport Terminal Co., Ltd....... 2,000 17,737
Japan Energy Corp..................... 18,000 19,339
Joyo Bank Ltd......................... 26,000 99,976
Juroku Bank Ltd....................... 8,000 35,437
Kajima Corp........................... 6,000 19,113
Kamigumi Co., Ltd..................... 8,000 42,147
Kandenko Co., Ltd..................... 5,000 21,535
Kawasaki Heavy Industries Ltd......... 31,000 47,331
Kinden Corp........................... 6,000 37,661
Kissei Pharmaceutical Co., Ltd........ 1,000 19,321
Kiyo Bank Ltd......................... 23,000 61,778
Koa Fire & Marine Insurance Co.,
Ltd................................. 6,000 18,661
Kobe Steel Ltd.*...................... 85,000 58,480
Kokuyo Co., Ltd....................... 3,000 49,168
Komatsu Ltd........................... 29,000 203,892
Komori Corp........................... 1,000 17,473
Konica Corp........................... 5,000 42,411
Kubota Corp........................... 35,000 126,997
Lion Corp............................. 6,000 24,824
Makita Corp........................... 4,000 38,113
Marubeni Corp......................... 47,000 161,680
Maruichi Steel Tube Ltd............... 2,000 25,352
Matsushita Electric Industrial Co.,
Ltd................................. 15,000 388,766
Mazda Motor Corp...................... 20,000 54,097
Michinoku Bank Ltd.................... 3,000 19,763
Mitsubishi Gas Chemical Co., Inc...... 11,000 36,803
Mitsubishi Heavy Industries Ltd....... 101,000 447,387
Mitsubishi Material Corp.*............ 13,000 53,174
Mitsubishi Motor Corp.*............... 12,000 51,232
Mitsubishi Rayon Co., Ltd............. 8,000 24,353
Mori Seiki Co., Ltd................... 3,000 46,369
Musashino Bank Ltd.................... 600 24,711
Mycal Corp............................ 6,000 20,527
Nanto Bank Ltd........................ 6,000 34,438
National House Industrial Co., Ltd.... 3,000 19,452
New Japan Securities Co., Ltd.*....... 42,000 188,021
NHK Spring Co., Ltd................... 5,000 22,148
Nichido Fire and Marine Insurance Co.,
Ltd................................. 11,000 60,129
Nichirei Corp......................... 6,000 25,560
Nippon Kayaku Co., Ltd................ 3,000 17,106
Nippon Mitsubishi Oil Corp............ 121,000 554,225
Nippon Sanso Corp..................... 9,000 31,299
Nippon Shinpan Co., Ltd............... 30,000 73,229
Nippon Shokubai Co., Ltd.............. 4,000 25,484
Nishi-Nippon Bank Ltd................. 10,000 40,432
<CAPTION>
SHARES VALUE+
<S> <C> <C>
----------------------------------------------------------------
Nishimatsu Construction Co., Ltd...... 5,000 $ 19,697
Nissei Sangyo Co., Ltd................ 2,000 29,216
Nisshin Flour Milling Co., Ltd........ 3,000 29,970
Nisshin Steel Co., Ltd................ 98,000 107,139
Nisshinbo Industries, Inc............. 23,000 121,389
Nissho Iwai Corp.*.................... 13,000 14,580
NKK Corp.*............................ 271,000 173,677
Noritz Corp........................... 1,000 12,723
North Pacific Bank Ltd................ 9,000 48,942
NTN Corp.............................. 9,000 38,424
Obayashi Corp......................... 22,000 97,243
Onward Kashiyama Co., Ltd............. 3,000 40,714
Pioneer Corp.......................... 1,000 38,924
Q.P. Corp............................. 3,000 25,022
Rinnai Corp........................... 1,100 24,518
San-In Godo Bank Ltd.................. 3,000 19,339
Sanyo Electric Co., Ltd............... 22,000 197,804
Sanyo Shinpan Finnance Co., Ltd....... 300 10,631
Sapporo Breweries Ltd................. 5,000 20,404
Seino Transportation Co., Ltd......... 15,000 75,491
Sekisui Chemical Co., Ltd............. 12,000 46,143
Sekisui House Ltd..................... 21,000 194,157
Shiga Bank Ltd........................ 4,000 18,812
Shikoku Bank Ltd...................... 6,000 36,191
Shima Seiki Mfg., Ltd................. 1,000 26,295
Shimachu Co., Ltd..................... 1,000 21,205
Shimadzu Corp......................... 4,000 22,204
Shimizu Corp.......................... 3,000 8,567
Showa Shell Sekiyu K.K................ 8,000 39,508
Snow Brand Milk Products Co., Ltd..... 8,000 42,976
Sumitomo Forestry Co., Ltd............ 3,000 20,159
Sumitomo Metal Industries Ltd.*....... 108,000 74,304
Sumitomo Metal Mining Co.............. 18,000 84,822
Sumitomo Realty & Development Co.,
Ltd................................. 10,000 44,956
Suzuken Co., Ltd...................... 1,000 38,641
Taiheiyo Cement Corp.................. 93,000 194,581
Taisei Corp........................... 28,000 44,861
Takashimaya Co., Ltd.................. 6,000 55,869
Tanabe Seiyaku Co., Ltd............... 6,000 45,860
Teijin Ltd............................ 12,000 58,470
Teikoku Oil Co., Ltd.................. 7,000 22,695
Toda Corp............................. 9,000 42,835
Toho Bank Ltd......................... 5,000 19,509
Tokyo Style Co., Ltd.................. 2,000 18,849
Toppan Printing Co., Ltd.............. 22,000 232,638
Toshiba Tec Corp...................... 5,000 25,211
Tostem Corp........................... 3,000 48,914
Toto Ltd.............................. 9,000 69,045
Toyo Seikan Kaisha Ltd................ 7,000 130,625
Toyo Suisan Kaisha Ltd................ 2,000 18,510
Toyo Trust & Banking Co., Ltd......... 3,000 10,122
Toyobo Co., Ltd....................... 11,000 21,667
Toyoda Machine Works Ltd.............. 2,000 20,734
Toyota Tsusho Corp.................... 4,000 15,155
Uny Co., Ltd.......................... 4,000 55,228
</TABLE>
12
<PAGE>
--------------------------------------------------------------------------------
SA International HBtM Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
----------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Victor Company of Japan Ltd........... 6,000 $ 52,872
Wacoal Corp........................... 3,000 30,536
Yamagata Bank Ltd..................... 3,000 16,399
Yamaguchi Bank Ltd.................... 5,000 35,484
Yamaha Corp........................... 6,000 65,539
Yamatake Corp......................... 2,000 24,108
Yamazaki Baking Co., Ltd.............. 6,000 58,810
Yasuda Trust & Banking Co., Ltd.*..... 46,000 57,226
Yokogawa Electric Corp................ 3,000 29,970
Yokohama Rubber Co., Ltd.............. 6,000 16,795
Zexel Corp............................ 27,000 37,661
-----------
9,772,278
-----------
NETHERLANDS -- 5.2%
ABN AMRO Holding NV................... 18,193 445,685
ASR Verzekeringsgroep NV.............. 306 15,863
Buhrmann NV........................... 1,100 31,453
DSM NV................................ 1,026 32,912
Hagemeyer NV.......................... 818 22,554
ING Groep NV.......................... 12,200 824,632
Ispat International NV................ 1,000 9,308
Koninklijke Vopak NV.................. 600 13,175
Koninkljke (Royal) Philips Electronics
NV.................................. 13,600 641,406
-----------
2,036,988
-----------
NEW ZEALAND -- 0.1%
Carter Holt Harvey Ltd................ 31,900 27,684
Lion Nathan Ltd....................... 10,000 22,282
-----------
49,966
-----------
NORWAY -- 0.3%
Bergesen d.y. ASA, Class A............ 2,500 51,279
Den Norske Bank ASA*.................. 6,500 26,968
Kvaerner ASA, Series A*............... 900 9,440
Norske Skogindustrier ASA............. 1,300 37,119
-----------
124,806
-----------
PORTUGAL -- 0.5%
Banco Commercial Portugues SA......... 9,000 46,828
Banco Espirito Santo SA............... 800 19,629
Cimpor-Cimento de Portugal SGPA SA.... 5,800 110,745
-----------
177,202
-----------
SINGAPORE -- 0.7%
Centrepoint Properties Ltd............ 49,779 48,424
Fraser & Neave Ltd.................... 10,000 35,611
Keppel Corporation Ltd................ 25,000 54,140
Keppel Land Ltd....................... 24,000 31,824
Keppel Tat Lee Bank Ltd............... 29,000 49,369
Neptune Orient Lines Ltd.*............ 41,000 37,985
Singapore Land Ltd.................... 12,000 25,570
-----------
282,923
-----------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
----------------------------------------------------------------
SPAIN -- 2.4%
Aceralia Corporation Siderurgica SA... 4,700 $ 43,076
Acerinox SA........................... 1,300 37,606
ACS, Actividades de Construccion y
Servicious SA....................... 800 22,531
Autopistas del Mare Nostrum SA........ 3,200 42,771
Autopistas, Concesionaria Espanola
SA.................................. 12,700 110,456
Azucarera Ebro Agricolas SA........... 3,200 38,188
Compania Espanole de Petroleos SA..... 12,800 114,869
Corporacion Mapfre.................... 2,900 36,740
Endesa SA............................. 9,600 185,960
Grupo Dragados SA..................... 6,500 46,604
Hidroelectrica del Cantabrico SA...... 5,400 113,212
Metrovacesa SA........................ 2,100 35,286
Sociedad General de Aguasde Barcelona
SA.................................. 5,000 66,829
Vallehermoso SA....................... 4,400 26,254
-----------
920,382
-----------
SWEDEN -- 3.1%
AssiDoman AB.......................... 5,300 75,414
Gambro AB, Series A................... 11,400 93,061
Gambro AB, Series B................... 1,800 14,286
Mo Och Domsjoe AB (MoDo), Series B.... 3,500 77,778
NCC AB................................ 3,500 26,190
Nordic Baltic Holding AB.............. 5,716 41,687
Scandinaviska Enskiilda Banken, Series
A................................... 11,500 136,253
SKF AB, Series B...................... 2,900 48,498
SKF AB, Series A...................... 1,600 25,397
SSAB Svenskt Stal AB, Series A........ 3,100 30,754
Svenska Cellulosa AB (SCA), Series
B................................... 10,400 197,506
Trelleborg AB, Series B............... 1,500 10,459
Volvo AB, Series A.................... 6,300 132,143
Volvo AB, Series B.................... 13,700 297,454
-----------
1,206,880
-----------
SWITZERLAND -- 5.4%
Ascom Holding AG...................... 10 32,183
Baloise Holding Ltd................... 200 198,615
Ciba Specialty Chemicals AG........... 2,300 143,107
Credit Suisse Group................... 820 163,115
Georg Fischer AG...................... 60 18,648
Helvetia Patria Holding............... 310 247,042
Oerlikon-Buehrle Holding AG*.......... 100 27,156
Rieter Holding AG*.................... 140 47,202
SAirGroup............................. 390 65,028
Saurer AG*............................ 50 31,202
Schindler Holding AG.................. 20 30,650
Schweizerische Lebensversicherungs-und
Rentenanstalt....................... 200 119,537
SIG Schweizerische
Industrie-Gesellschaft Holding AG... 40 25,084
Sika Finanz AG........................ 60 20,082
Sulzer AG*............................ 120 79,814
Sulzer Medica AG...................... 160 38,742
Swisscom AG........................... 500 173,175
</TABLE>
13
<PAGE>
--------------------------------------------------------------------------------
SA International HBtM Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
----------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
SWITZERLAND (CONTINUED)
UBS AG................................ 2,960 $ 433,666
Valora Holdings AG.................... 770 213,823
-----------
2,107,871
-----------
UNITED KINGDOM -- 19.1%
3I Group Plc.......................... 7,000 143,941
Abbey National Plc.................... 16,400 196,037
Aggregate Industries Plc.............. 34,000 35,755
Alliance & Leicester Group Treasury
Plc................................. 13,000 113,104
Allied Domecq Plc*.................... 29,800 157,816
Allied Zurich Plc..................... 33,000 390,221
Antofagasta Holdings Plc.............. 4,000 21,486
Arjo Wiggins Appleton Plc............. 18,100 70,385
Associated British Foods Plc.......... 22,000 151,794
Associates British Ports Holdings
Plc................................. 7,400 36,446
BAA Plc............................... 29,103 233,386
Barratt Developments Plc.............. 6,000 23,786
Bass Plc.............................. 12,400 139,405
Berkeley Group Plc.................... 2,730 25,941
BG Group Plc.......................... 98,000 633,172
Blue Circle Industries Plc............ 8,200 52,918
Bodycote International Plc............ 4,380 14,415
BPB Plc............................... 5,900 27,942
Britannic Plc......................... 5,400 80,686
British Airways Plc................... 30,123 173,201
British Land Company Plc.............. 11,100 68,021
British Vita.......................... 4,000 14,859
Brixton Estate Plc.................... 6,700 23,013
Canary Wharf Finance Plc*............. 12,000 67,272
Capital Shop Centers Plc.............. 8,000 49,630
Caradon Plc........................... 7,000 15,994
CGU Plc............................... 34,877 580,494
Chelsfield Plc........................ 5,045 24,580
Corus Group Plc*...................... 87,300 127,470
David S. Smith (Holdings) Plc......... 6,000 14,555
Debenhams Plc......................... 6,000 19,655
Glynwed International Plc............. 5,000 17,930
Great Universal Stores Plc............ 28,100 180,702
Halifax Group Plc..................... 31,000 297,385
Hammerson Plc......................... 6,200 41,465
Hanson Plc............................ 17,900 126,484
Hanson Plc*........................... 1,137 7,888
Hilton Group Plc...................... 42,000 147,437
J Sainsbury Plc....................... 53,976 245,015
Laporte Plc........................... 2,000 14,526
LASMO Plc............................. 32,800 69,730
Liberty International Plc............. 8,000 64,155
Marks & Spencer Plc................... 80,643 283,394
<CAPTION>
SHARES VALUE+
<S> <C> <C>
----------------------------------------------------------------
Millennium & Copthorne Hotels Plc..... 5,882 $ 36,757
Morgan Crucible Company Plc........... 4,000 13,255
National Power Plc.................... 27,400 174,542
Northern Foods Plc.................... 10,000 18,006
Northern Rock Plc..................... 10,000 51,445
Peninsular and Oriental Steam
Navigation Co....................... 19,283 165,142
Pilkington Plc........................ 30,800 43,807
PowerGen Plc.......................... 18,000 153,882
Railtrack Group Plc................... 14,033 217,960
Rank Group Plc........................ 16,000 37,041
Rexam Plc............................. 11,000 42,775
RMC Group Plc......................... 6,000 78,076
Rolls-Royce Plc....................... 22,441 79,625
Royal & Sun Alliance Insurance Group
Plc................................. 41,385 268,638
Royal Bank of Scotland Group Plc...... 2,600 43,511
Safeway Plc........................... 29,325 114,035
Scottish & Newcastle Plc.............. 17,400 142,039
Signet Group Plc...................... 23,000 19,228
Slough Estates Plc.................... 8,900 49,188
Smith W.H. Plc........................ 5,000 30,262
Stagecoach Holdings Plc............... 23,000 25,405
Tate & Lyle Plc....................... 11,100 55,425
Taylor Woodrow Plc.................... 8,400 19,446
Thistle Hotels Plc.................... 10,000 19,549
Trinity Mirror Plc.................... 8,110 72,769
Unigate Plc........................... 4,100 17,991
Whitbread Plc......................... 12,011 108,136
Wilson Bowden Plc..................... 2,000 19,307
Wolseley Plc.......................... 14,000 75,201
-----------
7,415,934
-----------
TOTAL COMMON STOCKS
(Identified Cost $35,316,137)....... 36,372,655
-----------
RIGHTS -- 0.0%
NORWAY -- 0.0%
Kvaerner ASA, Series A*............... 461 258
-----------
SPAIN -- 0.0%
Autopistas, Concesionaria Espanola
SA*................................. 12,700 5,456
-----------
SWEDEN -- 0.0%
Volvo AB, A Shares *.................. 4,700 0
Volvo AB, B Shares *.................. 10,200 0
-----------
0
-----------
TOTAL RIGHTS
(Identified Cost $0)................ 5,714
-----------
</TABLE>
14
<PAGE>
--------------------------------------------------------------------------------
SA International HBtM Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
----------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
SHORT TERM INVESTMENTS -- 4.7%
UNITED STATES -- 4.7%
SSgA Government Money Market Fund..... 236,984 $ 236,984
SSgA Money Market Fund................ 1,573,944 1,573,944
-----------
1,810,928
-----------
TOTAL SHORT TERM INVESTMENTS
(Identified Cost $1,810,928)........ 1,810,928
-----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
--------------------------------------------------------------
TOTAL INVESTMENTS -- 98.3%
(IDENTIFIED COST $37,127,065)#.................. 38,189,297
Cash and Other Assets, Less Liabilities --
1.7%.......................................... 648,920
----------
NET ASSETS -- 100%................................ $38,838,217
==========
</TABLE>
+ See Note 1.
* Non-income producing security
# At June 30, 2000, the aggregate cost of investment securities for income
tax purposes was $37,194,572. Net unrealized appreciation aggregated
$994,726, of which $3,160,499 related to appreciated investment securities
and $2,165,773 related to depreciated investment securities.
Ten Largest Sector Holdings at June 30, 2000
(As a percentage of Net Assets):
<TABLE>
<CAPTION>
Industry Percentage
-------- -----------
<S> <C>
Banks/Savings & Loans 15.0%
Insurance 7.7%
Building & Construction 7.3%
Oil & Gas 4.7%
Other -- Investment Companies 4.7%
Diversified Operations 4.4%
Financial Services 4.2%
Food & Beverages 4.0%
Electronics 3.5%
Auto & Related 3.2%
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
15
<PAGE>
--------------------------------------------------------------------------------
SA International Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
SHARES VALUE+
<S> <C> <C>
--------------------------------------------------------------
MUTUAL FUNDS -- 100.1%
DFA Continental Small Company
Portfolio........................... 315,092 $ 4,237,992
DFA Emerging Markets Portfolio........ 12,955 160,000
DFA Japan Small Company Portfolio..... 225,430 2,671,349
DFA Pacific Rim Small Company
Portfolio........................... 175,643 1,559,712
DFA United Kingdom Small Company
Portfolio........................... 99,971 2,062,405
-----------
TOTAL MUTUAL FUNDS
(Identified Cost $10,610,284)....... 10,691,458
-----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
--------------------------------------------------------------
TOTAL INVESTMENTS - 100.1%
(IDENTIFIED COST $10,610,284)#.................. 10,691,458
Liabilities, less Cash and Other Assets --
(0.1%)........................................ (6,576)
----------
NET ASSETS -- 100%................................ $10,684,882
==========
</TABLE>
+ See Note 1.
# At June 30, 2000, the aggregate cost of investment securities for income
tax purposes was $10,747,886. Net unrealized depreciation aggregated
$56,428, of which $186,383 related to appreciated investment securities and
$242,811 related to depreciated investment securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
16
<PAGE>
--------------------------------------------------------------------------------
SA U.S. HBtM Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
SHARES VALUE+
<S> <C> <C>
---------------------------------------------------------------
COMMON STOCKS -- 99.0%
AEROSPACE/DEFENSE -- 2.5%
B.F. Goodrich Co...................... 1,500 $ 51,094
Northrop Grumman Corp................. 1,500 99,375
Raytheon Co. Class A.................. 2,900 56,369
Raytheon Co. Class B.................. 6,600 127,050
-----------
333,888
-----------
AIRLINES -- 2.5%
Alaska Air Group, Inc.*............... 300 8,138
AMR Corp.*............................ 3,900 103,106
Delta Air Lines, Inc.................. 2,800 141,575
UAL Corp.*............................ 1,400 81,462
-----------
334,281
-----------
AUTO & RELATED -- 11.7%
Borg-Warner Automotive, Inc........... 800 28,100
Cummins Engine Co., Inc............... 1,200 32,700
Dana Corp............................. 4,700 99,581
Federal-Mogul Corp.................... 1,000 9,563
Ford Motor Co......................... 17,500 752,500
General Motors Corp................... 9,300 539,981
Lear Corp.*........................... 2,300 46,000
Tenneco Automotive, Inc.*............. 360 1,890
United Rentals, Inc.*................. 1,700 29,113
Visteon Corp.*........................ 2,291 27,778
-----------
1,567,206
-----------
BANKS/SAVINGS & LOANS -- 2.7%
Astoria Financial Corp................ 1,800 46,350
BancWest Corp......................... 2,000 32,875
Commercial Federal Corp............... 1,000 15,563
Golden State Bancorp, Inc.*........... 3,500 63,000
GreenPoint Financial Corp............. 3,000 56,250
Hibernia Corp. Class A................ 3,500 38,062
Independence Community Bank Corp...... 2,300 30,475
Pacific Century Financial Corp.*...... 1,800 26,325
Sovereign Bancorp, Inc................ 6,700 47,109
-----------
356,009
-----------
BROADCASTING -- 0.6%
Chris-Craft Industries, Inc........... 500 33,031
Hearst-Argyle Television, Inc.*....... 1,400 27,300
Sinclair Broadcast Group, Inc. Class
A*.................................. 1,600 17,600
-----------
77,931
-----------
BUILDING & CONSTRUCTION -- 2.0%
Armstrong Holdings, Inc............... 500 7,656
Centex Corp........................... 1,500 35,250
Lafarge Corp.......................... 2,000 42,000
Pulte Corp............................ 2,000 43,250
Rayonier, Inc......................... 900 32,288
York International Corp............... 3,900 104,071
-----------
264,515
-----------
BUSINESS SERVICES -- 0.6%
Interim Services, Inc.*............... 4,200 $ 74,550
Modis Professional Services, Inc.*.... 800 7,100
<CAPTION>
SHARES VALUE+
<S> <C> <C>
---------------------------------------------------------------
-----------
81,650
-----------
CHEMICALS -- 2.5%
Ashland, Inc.......................... 1,900 66,619
Crompton Corp......................... 2,500 30,625
Eastman Chemical Co................... 1,200 57,300
IMC Global, Inc....................... 3,300 42,900
Lubrizol Corp......................... 1,800 37,800
Lyondell Chemical Co.................. 3,100 51,925
Millennium Chemicals, Inc............. 1,800 30,600
Valhi, Inc............................ 1,800 18,675
-----------
336,444
-----------
COMPUTER EQUIPMENT -- 0.8%
Ingram Micro, Inc. Class A*........... 2,100 36,619
Seagate Technology, Inc.*............. 1,000 55,000
Silicon Graphics, Inc.*............... 4,100 15,375
-----------
106,994
-----------
CONSUMER PRODUCTS -- 0.6%
Fortune Brands, Inc................... 3,700 85,331
-----------
CONTAINERS & GLASS -- 1.3%
Crown Cork & Seal Co., Inc............ 3,700 55,500
Owens-Illinois, Inc.*................. 3,800 44,413
Pactiv Corp.*......................... 1,800 14,175
Smurfit-Stone Container Corp.*........ 4,800 61,800
-----------
175,888
-----------
DIVERSIFIED OPERATIONS -- 1.9%
FMC Corp.*............................ 500 29,000
Lockheed Martin Corp.................. 7,400 183,612
Trinity Industries, Inc............... 700 12,950
U.S. Industries, Inc.................. 2,500 30,313
-----------
255,875
-----------
ELECTRONICS -- 3.6%
Advanced Micro Devices, Inc.*......... 1,000 77,250
Arrow Electronics, Inc.*.............. 700 21,700
General Motors Corp. Class H*......... 3,000 263,250
MIPS Technologies, Inc. Class B*...... 568 21,868
Tech Data Corp.*...................... 500 21,781
Thermo Electron Corp.*................ 2,100 44,231
Thermo Instrument Systems, Inc.*...... 1,800 33,750
-----------
483,830
-----------
FINANCIAL SERVICES -- 5.7%
Bear Stearns Cos., Inc................ 3,160 131,535
CIT Group, Inc. Class A............... 7,000 113,750
Countrywide Credit Industries, Inc.... 2,900 87,906
Finova Group, Inc..................... 900 11,700
Heller Financial, Inc. Class A........ 1,000 20,500
KeyCorp............................... 9,700 170,962
Lehman Brothers Holdings, Inc......... 500 47,281
Liberty Financial Cos., Inc........... 1,800 $ 39,488
MBIA, Inc............................. 2,900 139,744
-----------
762,866
-----------
</TABLE>
17
<PAGE>
--------------------------------------------------------------------------------
SA U.S. HBtM Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
---------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
FOOD & BEVERAGES -- 4.5%
Archer-Daniels-Midland Co............. 17,100 167,794
Coca-Cola Enterprises, Inc............ 9,200 150,075
Corn Products International, Inc...... 900 23,850
IBP, Inc.............................. 3,000 46,312
Nabisco Group Holdings Corp........... 7,200 186,750
Tyson Foods, Inc. Class A............. 3,700 32,375
-----------
607,156
-----------
FOREST & PAPER PRODUCTS -- 3.7%
Georgia-Pacific Group................. 4,100 107,625
International Paper Co................ 10,985 327,490
Mead Corp............................. 2,400 60,600
-----------
495,715
-----------
FUNERAL SERVICES -- 0.2%
Service Corp. International........... 8,000 25,500
-----------
HEALTH CARE -- PRODUCTS -- 0.5%
Mallinckrodt, Inc..................... 1,500 65,156
-----------
HEALTH CARE -- SERVICES -- 2.2%
Foundation Health Systems, Inc. Class
A*.................................. 3,600 46,800
Healthsouth Corp.*.................... 11,100 79,781
Humana, Inc.*......................... 3,000 14,625
Manor Care, Inc.*..................... 2,200 15,400
Omnicare, Inc......................... 2,400 21,750
PacifiCare Health Systems, Inc.*...... 1,000 60,188
Tenet Healthcare Corp.*............... 800 21,600
Trigon Healthcare, Inc.*.............. 700 36,094
-----------
296,238
-----------
INSURANCE -- 14.5%
Aetna, Inc............................ 2,300 147,631
Allmerica Financial Corp.............. 1,500 78,562
Allstate Corp......................... 15,100 335,975
American Financial Group, Inc......... 1,400 34,738
American National Insurance Co........ 200 10,200
Cincinnati Financial Corp............. 4,500 141,469
CNA Financial Corp.*.................. 5,100 173,400
Conseco, Inc.......................... 8,600 83,850
Everest Reinsurance Holdings, Inc..... 400 13,150
Lincoln National Corp................. 4,200 151,725
Loews Corp............................ 2,700 162,000
MONY Group, Inc....................... 1,400 47,337
Old Republic International Corp....... 3,500 57,750
Safeco Corp........................... 3,600 71,550
St. Paul Cos., Inc.................... 6,100 208,162
The First American Corp............... 2,200 31,488
Unitrin, Inc.......................... 2,000 58,750
UnumProvident Corp.................... 6,700 134,419
-----------
1,942,156
-----------
LEISURE -- 3.0%
Brunswick Corp........................ 2,600 $ 43,063
Extended Stay America, Inc.*.......... 3,300 30,525
Mandalay Resort Group*................ 2,600 52,000
Premier Parks, Inc.*.................. 2,300 52,325
Sabre Holdings Corp. Class A.......... 1,589 45,286
<CAPTION>
SHARES VALUE+
<S> <C> <C>
---------------------------------------------------------------
Starwood Hotels & Resorts Worldwide,
Inc. Class B........................ 5,300 172,581
-----------
395,780
-----------
MACHINERY -- 0.2%
Tecumseh Products Co. Class A......... 600 22,913
-----------
METALS & MINING -- 0.7%
Arch Coal, Inc........................ 467 3,590
Phelps Dodge Corp..................... 2,300 85,531
-----------
89,121
-----------
MULTIMEDIA -- 0.4%
A.H. Belo Corp. Series A.............. 3,100 53,669
-----------
OFFICE EQUIPMENT -- 0.1%
IKON Office Solutions, Inc............ 2,000 7,750
Lanier Worldwide, Inc.*............... 400 400
-----------
8,150
-----------
OIL & GAS -- 4.8%
Amerada Hess Corp..................... 1,200 74,100
Devon Energy Corp..................... 1,200 67,425
Helmerich & Payne, Inc................ 800 29,900
Occidental Petroleum Corp............. 4,000 84,250
Pioneer Natural Resources Co.......... 3,200 40,800
Sunoco, Inc........................... 1,000 29,437
Tidewater, Inc........................ 1,000 36,000
Union Pacific Resources Group, Inc.... 5,500 121,000
USX- Marathon Group................... 6,400 160,400
-----------
643,312
-----------
OIL REFINING -- 0.8%
Ultramar Diamond Shamrock Corp........ 2,500 62,031
Valero Energy Corp.................... 1,600 50,800
-----------
112,831
-----------
PAPER & RELATED PRODUCTS -- 2.5%
American Greetings Corp. Class A...... 1,800 34,200
Boise Cascade Corp.................... 1,600 41,400
Bowater, Inc.......................... 1,400 61,775
Louisiana-Pacific Corp................ 3,100 33,712
Potlatch Corp......................... 900 29,813
Temple-Inland, Inc.................... 1,500 63,000
Westvaco Corp......................... 2,700 66,994
-----------
330,894
-----------
PUBLISHING -- 0.6%
Hollinger International, Inc. Class
A................................... 2,600 35,425
Pulitzer, Inc......................... 300 12,656
Ziff-Davis, Inc.*..................... 3,100 27,900
-----------
75,981
-----------
RETAIL -- FOOD -- 0.5%
Great Atlantic & Pacific Tea Co.,
Inc................................. 700 $ 11,638
SUPERVALU, Inc........................ 3,000 57,187
-----------
68,825
-----------
RETAIL -- GENERAL -- 4.9%
Dillards, Inc. Class A................ 2,400 29,400
</TABLE>
18
<PAGE>
--------------------------------------------------------------------------------
SA U.S. HBtM Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
---------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
Federated Department Stores, Inc.*.... 4,600 155,250
J.C. Penney Co., Inc.................. 7,300 134,594
Kmart Corp.*.......................... 12,900 87,881
Longs Drug Stores Corp................ 4,000 91,996
Sears, Roebuck & Co................... 4,800 156,600
-----------
655,721
-----------
RETAIL -- SPECIALTY -- 2.9%
AutoNation, Inc.*..................... 10,500 74,157
Consolidated Stores Corp.*............ 3,300 39,600
Office Depot, Inc.*................... 10,900 68,125
Rite Aid Corp......................... 5,700 37,406
Saks, Inc.*........................... 4,100 43,050
Toys "R" Us, Inc.*.................... 6,400 93,200
Venator Group, Inc.*.................. 3,800 38,950
-----------
394,488
-----------
STEEL -- 1.0%
AK Steel Holding Corp................. 3,300 26,400
Timken Co............................. 1,800 33,525
USX- U.S. Steel Group................. 2,600 48,263
Worthington Industries, Inc........... 3,000 31,500
-----------
139,688
-----------
TELECOMMUNICATIONS -- 3.7%
AT&T Corp............................. 13,700 433,262
Harris Corp........................... 2,000 65,500
-----------
498,762
-----------
TIRES & RUBBER -- 0.9%
Cooper Tire & Rubber Co............... 2,300 25,588
Goodyear Tire & Rubber Co............. 4,400 88,000
-----------
113,588
-----------
TOBACCO -- 0.6%
R.J. Reynolds Tobacco Holdings,
Inc................................. 3,000 83,813
-----------
TRANSPORTATION -- 6.5%
Airborne Freight Corp................. 1,500 $ 28,406
Alexander & Baldwin, Inc.............. 1,400 30,888
<CAPTION>
SHARES VALUE+
<S> <C> <C>
---------------------------------------------------------------
Burlington Northern Santa Fe Corp..... 10,100 231,669
CSX Corp.............................. 6,100 129,244
GATX Corp............................. 1,500 51,000
Norfolk Southern Corp................. 10,700 159,162
Ryder System, Inc..................... 1,800 34,087
Union Pacific Corp.................... 5,500 204,531
-----------
868,987
-----------
UTILITIES -- 0.3%
Alliant Energy Corp................... 400 10,400
Questar Corp.......................... 1,800 34,875
-----------
45,275
-----------
TOTAL COMMON STOCKS
(Identified Cost $14,319,653)....... 13,256,427
-----------
SHORT TERM INVESTMENTS -- 3.0%
OTHER -- 3.0%
SSgA Government Money Market Fund..... 2,437 2,438
SSgA Money Market Fund................ 402,370 402,370
-----------
TOTAL SHORT TERM INVESTMENTS
(Identified Cost $404,808).......... 404,808
-----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
--------------------------------------------------------------
TOTAL INVESTMENTS -- 102.0%
(IDENTIFIED COST $14,724,461)#.................. 13,661,235
Liabilities, Less Cash and Other Assets --
(2.0%)........................................ (269,516)
----------
NET ASSETS -- 100%................................ $13,391,719
==========
</TABLE>
+ See Note 1.
* Non-income producing security
# At June 30, 2000, the aggregate cost of investment securities for income
tax purposes was $14,724,461. Net unrealized depreciation aggregated
$1,063,226, of which $806,940 related to appreciated investment securities
and $1,870,166 related to depreciated investment securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
19
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Market Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
SHARES VALUE+
<S> <C> <C>
----------------------------------------------------------------
COMMON STOCKS -- 99.6%
ADVERTISING -- 0.3%
Catalina Marketing Corp.*............. 100 $ 10,200
Interpublic Group of Cos., Inc........ 600 25,800
Lamar Advertising Co. Class A*........ 200 8,663
Omnicom Group, Inc.................... 400 35,625
TMP Worldwide, Inc.*.................. 200 14,762
-----------
95,050
-----------
AEROSPACE/DEFENSE -- 0.9%
Alliant Techsystems,Inc.*............. 200 13,488
Boeing Co............................. 1,700 71,081
General Dynamics Corp................. 300 15,675
Honeywell International, Inc.......... 1,600 53,900
Litton Industries, Inc.*.............. 300 12,600
Newport News Shipbuilding, Inc........ 400 14,700
Northrop Grumman Corp................. 300 19,875
Raytheon Co. Class B.................. 500 9,625
REMEC, Inc.*.......................... 200 8,375
United Technologies Corp.............. 1,000 58,875
-----------
278,194
-----------
AIRLINES -- 0.1%
AMR Corp.*............................ 300 7,931
Delta Air Lines, Inc.................. 300 15,169
Southwest Airlines Co................. 1,000 18,938
-----------
42,038
-----------
APPLIANCES -- 0.0%
Maytag Corp........................... 200 7,375
-----------
AUTO & RELATED -- 1.1%
AutoZone, Inc.*....................... 600 13,200
Cummins Engine Co., Inc............... 200 5,450
Dollar Thrifty Automotive Group,
Inc.*............................... 500 9,219
Ford Motor Co......................... 2,300 98,900
General Motors Corp................... 2,500 145,156
Harley-Davidson, Inc.................. 600 23,100
Johnson Controls, Inc................. 200 10,262
Navistar International Corp.*......... 400 12,786
PACCAR, Inc........................... 200 7,938
Tower Automotive, Inc.*............... 600 7,500
TRW, Inc.............................. 200 8,675
Visteon Corp.*........................ 301 3,650
-----------
345,836
-----------
BANKS/SAVINGS & LOANS -- 6.0%
Associated Banc-Corp.................. 330 7,198
Astoria Financial Corp................ 300 7,725
BancWest Corp......................... 600 9,863
Bank of America Corp.................. 3,300 141,900
Bank of New York Company, Inc......... 1,500 69,750
Bank One Corp......................... 4,600 122,187
BB&T Corp............................. 700 16,712
BOK Financial Corp.................... 600 10,537
Chase Manhattan Corp.................. 12,300 566,569
Comerica, Inc......................... 300 13,462
<CAPTION>
SHARES VALUE+
<S> <C> <C>
----------------------------------------------------------------
Fifth Third Bancorp................... 500 $ 31,625
First Charter Corp.................... 600 10,142
First Financial Bancorp............... 600 11,191
First Union Corp...................... 2,000 49,625
First Virginia Banks, Inc............. 300 10,444
Firstar Corp.......................... 1,918 40,398
FleetBoston Financial Corp............ 1,800 61,200
Golden State Bancorp, Inc.*........... 500 9,000
Golden West Financial Corp............ 300 12,244
GreenPoint Financial Corp............. 700 13,125
Hibernia Corp. Class A................ 1,000 10,875
Marshall & Ilsley Corp................ 200 8,300
Mercantile Bankshares Corp............ 400 11,925
National Commerce Bancorp............. 600 9,638
Northern Trust Corp................... 400 26,025
Old National Bancorp.................. 420 12,311
One Valley Bancorp, Inc............... 300 9,375
PNC Bank Corp......................... 600 28,125
Richmond County Financial Corp........ 600 11,475
Riggs National Corp................... 500 6,313
South Trust Corp...................... 300 6,788
Summit Bancorp........................ 400 9,850
Sun Trust Banks, Inc.................. 600 27,412
Trustmark Corp........................ 600 10,463
U.S. Bancorp.......................... 1,500 28,875
Wachovia Corp......................... 5,400 292,950
Washington Mutual, Inc................ 5,300 153,037
Whitney Holding Corp.................. 300 10,256
Zions Bancorp......................... 200 9,178
-----------
1,898,068
-----------
BROADCASTING -- 0.4%
Clear Channel Communications, Inc.*... 700 52,500
Infinity Broadcasting Corp. Class
A*.................................. 500 18,219
Pegasus Communications Corp.*......... 200 9,812
Sinclair Broadcast Group, Inc. Class
A*.................................. 2,200 24,200
Univision Communications, Inc. Class
A*.................................. 100 10,350
-----------
115,081
-----------
BUILDING & CONSTRUCTION -- 0.3%
Armstrong Holdings, Inc............... 200 3,063
Clayton Homes, Inc.................... 1,100 8,800
Dycom Industries, Inc.*............... 300 13,800
Fleetwood Enterprises, Inc............ 700 9,975
Jacobs Engineering Group, Inc.*....... 300 9,806
Masco Corp............................ 900 16,256
Modine Manufacturing Co............... 400 10,800
Simpson Manufacturing Co., Inc.*...... 200 9,562
Southdown, Inc........................ 200 11,550
Texas Industries, Inc................. 300 8,663
-----------
102,275
-----------
BUSINESS SERVICES -- 2.4%
Automatic Data Processing, Inc........ 1,300 69,631
BEA Systems, Inc.*.................... 400 19,775
Cendant Corp.*........................ 1,000 14,000
Cintas Corp........................... 300 11,006
</TABLE>
20
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Market Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
----------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
BUSINESS SERVICES (CONTINUED)
CMGI, Inc.*........................... 500 $ 22,906
Complete Busines Solutions, Inc.*..... 700 12,294
Consolidated Graphics, Inc.*.......... 300 2,813
Diamond Technology Partners, Inc.
Class A*............................ 1,300 114,400
Ecolab, Inc........................... 300 11,719
Electronic Data Systems Corp.......... 1,000 41,250
First Data Corp....................... 800 39,700
Fiserv, Inc.*......................... 500 21,625
i2 Technologies, Inc.*................ 510 53,175
Imation Corp.*........................ 3,300 96,937
Interim Services, Inc.*............... 500 8,875
Modis Professional Services, Inc.*.... 1,200 11,058
National Data Corp.................... 300 6,900
NCO Group, Inc.*...................... 500 11,563
Paychex, Inc.......................... 750 31,500
Primark Corp.*........................ 400 14,900
Radiant Systems, Inc.*................ 300 7,200
Robert Half International, Inc.*...... 800 22,800
Sapient Corp.*........................ 200 21,387
SEI Investments Co.................... 300 11,944
Solectron Corp.*...................... 1,200 50,250
TeleTech Holdings, Inc.*.............. 400 12,425
Westwood One, Inc.*................... 400 13,650
-----------
755,683
-----------
CHEMICALS -- 1.0%
Air Products & Chemicals, Inc......... 500 15,406
Cabot Corp............................ 400 10,900
Dow Chemical Co....................... 2,000 60,375
E.I. du Pont de Nemours & Co.......... 2,100 91,875
Eastman Chemical Co................... 200 9,550
Geon Co............................... 1,100 20,350
Great Lakes Chemical Corp............. 300 9,450
IMC Global, Inc....................... 700 9,100
International Specialty Products,
Inc.*............................... 4,800 27,300
Lyondell Chemical Co.................. 700 11,725
MacDermid, Inc........................ 300 7,050
Praxair, Inc.......................... 300 11,231
Rohm & Haas Co........................ 400 13,800
RPM, Inc.............................. 900 9,113
Sigma-Aldrich Corp.................... 400 11,700
-----------
318,925
-----------
COMPUTERS -- 3.2%
Apple Computer, Inc.*................. 600 31,425
Compaq Computer Corp.................. 3,400 86,912
Dell Computer Corp.*.................. 5,100 251,494
Gateway, Inc.*........................ 600 34,050
Hewlett-Packard Co.................... 2,000 249,750
International Business Machines
Corp................................ 3,300 361,556
-----------
1,015,187
-----------
COMPUTER EQUIPMENT -- 2.3%
Electronics for Imaging, Inc.*........ 200 5,063
<CAPTION>
SHARES VALUE+
<S> <C> <C>
----------------------------------------------------------------
EMC Corp.*............................ 4,200 $ 323,137
Emulex Corp.*......................... 400 26,275
Ingram Micro, Inc. Class A*........... 600 10,254
Intel Corp............................ 1,500 200,531
Maxtor Corp.*......................... 900 9,506
RadiSys Corp.*........................ 200 11,350
SanDisk Corp.*........................ 200 12,238
SCM Microsystems, Inc.*............... 100 6,056
Seagate Technology, Inc.*............. 400 22,000
Silicon Storage Technology, Inc.*..... 100 8,831
VERITAS Software Corp.*............... 800 90,413
Verity, Inc.*......................... 300 11,400
-----------
737,054
-----------
COMPUTER SERVICES -- 1.7%
Aspen Technology, Inc.*............... 200 7,700
Cadence Design Systems, Inc.*......... 500 10,187
CDW Computer Centers, Inc.*........... 200 12,500
CheckFree Holdings Corp.*............. 300 15,469
Cisco Systems, Inc.*.................. 1,000 63,562
Computer Sciences Corp.*.............. 300 22,406
Compuware Corp.*...................... 700 7,263
Network Appliance, Inc.*.............. 600 48,300
Safeguard Scientifics, Inc.*.......... 300 9,619
Sun Microsystems, Inc.*............... 3,400 309,187
SunGard Data Systems, Inc.*........... 300 9,300
Unisys Corp.*......................... 600 8,738
Wind River Systems, Inc.*............. 200 7,575
Zomax, Inc.*.......................... 400 5,250
-----------
537,056
-----------
COMPUTER SOFTWARE -- 5.4%
3Com Corp.*........................... 700 40,337
Adobe Systems, Inc.................... 200 26,000
BMC Software, Inc.*................... 500 18,242
BroadVision, Inc.*.................... 900 45,731
Citrix Systems, Inc.*................. 400 7,575
Computer Associates International,
Inc................................. 5,300 271,294
Excalibur Technologies Corp.*......... 300 11,981
Inktomi Corp.*........................ 200 23,650
IntraNet Solutions, Inc.*............. 400 15,350
Intuit, Inc.*......................... 400 16,550
ISS Group, Inc.*...................... 200 19,747
Macromedia, Inc.*..................... 200 19,337
Mercury Interactive Corp.*............ 400 38,700
Micromuse, Inc.*...................... 200 33,097
Microsoft Corp.*...................... 8,800 704,000
National Instruments Corp.*........... 500 21,812
Netopia, Inc.*........................ 200 8,050
Network Associates, Inc.*............. 600 12,225
New Era of Networks, Inc.*............ 300 12,750
Novell, Inc.*......................... 700 6,475
Oracle Corp.*......................... 2,800 235,375
Parametric Technology Corp.*.......... 500 5,500
PeopleSoft, Inc....................... 500 8,375
Peregrine Systems, Inc.*.............. 200 6,938
</TABLE>
21
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Market Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
----------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
COMPUTER SOFTWARE (CONTINUED)
Pinnacle Systems, Inc.*............... 400 $ 8,994
Puma Technology, Inc.*................ 200 5,363
Rational Software Corp.*.............. 200 18,588
Siebel Systems, Inc.*................. 400 65,425
-----------
1,707,461
-----------
CONSUMER PRODUCTS -- 1.5%
Avon Products, Inc.................... 500 22,250
Clorox Co............................. 500 22,406
Colgate-Palmolive Co.................. 1,200 71,850
Energizer Holdings, Inc.*............. 800 14,600
Estee Lauder Companies, Inc. Class
A................................... 200 9,888
Fortune Brands, Inc................... 300 6,919
Gillette Co........................... 4,600 160,712
Mattel, Inc........................... 900 11,869
Newell Rubbermaid, Inc................ 600 15,450
Procter & Gamble Co................... 2,600 148,850
-----------
484,794
-----------
CONTAINERS-PAPER/PLASTIC -- 0.0%
Sealed Air Corp.*..................... 200 10,475
-----------
DISTRIBUTION/WHOLESALE -- 0.1%
Fastenal Company...................... 200 10,125
Genuine Parts Co...................... 400 8,000
-----------
18,125
-----------
DIVERSIFIED OPERATIONS -- 7.3%
Cognex Corp.*......................... 200 10,343
Corning, Inc.......................... 4,800 1,295,400
Danaher Corp.......................... 300 14,831
Federal Signal Corp................... 600 9,900
General Electric Co................... 8,500 450,500
Hawaiian Electric Industries, Inc..... 300 9,844
Hillenbrand Industries, Inc........... 400 12,525
Illinois Tool Works, Inc.............. 600 34,200
Lockheed Martin Corp.................. 800 19,850
Minnesota Mining & Manufacturing
Co.................................. 800 66,000
PE Corp-PE Biosystems Group........... 400 26,350
Perkin Elmer, Inc..................... 4,100 271,112
PPG Industries, Inc................... 300 13,294
Ralston Purina Co..................... 2,400 47,850
SPS Technologies, Inc.*............... 300 12,758
Textron, Inc.......................... 300 16,294
Viad Corp............................. 600 16,350
Volt Information Sciences, Inc.*...... 300 9,881
-----------
2,337,282
-----------
EDUCATION -- 0.0%
Learning Tree International, Inc.*.... 200 12,250
-----------
ELECTRICAL EQUIPMENT -- 1.0%
Belden, Inc........................... 500 12,812
Credence Systems Corp.*............... 200 11,038
Ibis Technology Corp.*................ 100 6,038
<CAPTION>
SHARES VALUE+
<S> <C> <C>
----------------------------------------------------------------
Microchip Technology, Inc.*........... 200 $ 11,653
Micron Technology, Inc.*.............. 1,000 88,062
Molex, Inc............................ 200 9,625
Power Integrations, Inc.*............. 200 4,713
Power-One, Inc.*...................... 100 10,765
PRI Automation, Inc.*................. 1,000 65,391
Sanmina Corp.*........................ 440 37,620
Xilinx, Inc.*......................... 600 49,537
-----------
307,254
-----------
ELECTRONICS -- 7.7%
ACT Manufacturing, Inc.*.............. 200 9,288
Advanced Micro Devices, Inc.*......... 300 23,175
Agilent Technologies, Inc.*........... 762 56,197
Alpha Industries, Inc.*............... 400 17,625
Altera Corp.*......................... 400 40,775
American Superconductor Corp.*........ 200 9,650
Amkor Technology, Inc.*............... 300 10,594
Analog Devices, Inc.*................. 700 53,200
Applied Materials, Inc.*.............. 1,600 145,000
Applied Micro Circuits Corp.*......... 200 19,750
Atmel Corp.*.......................... 400 14,750
ATMI, Inc.*........................... 200 9,300
Avnet, Inc............................ 200 11,850
AVX Corp.............................. 400 9,175
Broadcom Corp. Class B*............... 100 21,894
Coherent, Inc.*....................... 200 16,775
Cree, Inc.*........................... 100 13,350
Cypress Semiconductor Corp.*.......... 400 16,900
Dallas Semiconductor Corp............. 4,200 171,150
DSP Group, Inc.*...................... 200 11,200
DuPont Photomasks, Inc.*.............. 200 13,700
EMCORE Corp.*......................... 100 12,000
Emerson Electric Co................... 5,900 356,212
Exar Corp.*........................... 300 26,156
General Motors Corp. Class H*......... 300 26,325
Integrated Device Technology, Inc.*... 200 11,975
Jabil Circuit, Inc.*.................. 300 14,888
KLA-Tencor Corp.*..................... 400 23,425
Lam Research Corp.*................... 600 22,500
Linear Technology Corp................ 600 38,362
LSI Logic Corp.*...................... 600 32,475
Maxim Integrated Products, Inc.*...... 600 40,762
Micrel, Inc.*......................... 400 17,375
Molecular Devices Corp.*.............. 200 13,838
National Semiconductor Corp.*......... 300 17,025
Newport Corp.......................... 300 32,212
Novellus Systems, Inc.*............... 600 33,937
PMC-Sierra, Inc.*..................... 300 53,306
Rambus, Inc.*......................... 4,400 453,200
Rockwell International Corp........... 400 12,600
Sawtek, Inc.*......................... 200 11,513
SCI Systems, Inc.*.................... 600 23,513
SDL, Inc.*............................ 200 57,037
Siliconix, Inc.*...................... 300 20,250
Teradyne, Inc.*....................... 300 22,050
</TABLE>
22
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Market Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
----------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
Texas Instruments, Inc................ 3,200 $ 219,800
Thermo Electron Corp.*................ 600 12,638
Thermo Instrument Systems, Inc.*...... 700 13,125
Three-Five Systems, Inc.*............. 150 8,850
TranSwitch Corp.*..................... 200 15,438
TriQuint Semiconductor, Inc.*......... 200 19,138
Vitesse Semiconductor Corp.*.......... 300 22,069
Zoran Corp.*.......................... 1,000 65,937
-----------
2,445,229
-----------
ENERGY -- 0.5%
DTE Energy Co......................... 300 9,169
El Paso Energy Corp................... 500 25,468
Enron Corp............................ 1,500 96,750
Entergy Corp.......................... 900 24,469
Sempra Energy......................... 500 8,500
-----------
164,356
-----------
FACILITY SERVICES -- 0.0%
ABM Industries, Inc................... 400 9,200
-----------
FINANCIAL SERVICES -- 5.5%
Ambac Financial Group, Inc............ 300 16,444
American Express Co................... 2,700 140,737
American General Corp................. 500 30,500
AmSouth Bancorporation................ 700 11,025
Associates First Capital Corp. Class
A................................... 6,000 133,875
Capital One Financial Corp............ 400 17,850
Charles Schwab Corp................... 600 20,175
CIT Group, Inc. Class A............... 600 9,750
Citigroup, Inc........................ 6,700 403,675
Concord EFS, Inc.*.................... 400 10,400
Countrywide Credit Industries, Inc.... 500 15,156
Donaldson Lufkin & Jenrette, Inc...... 300 12,731
E*Trade Group, Inc.*.................. 500 8,250
Eaton Vance Corp...................... 300 13,875
Equifax, Inc.......................... 600 15,750
Finova Group, Inc..................... 400 5,200
Franklin Resources, Inc............... 500 15,188
H&R Block, Inc........................ 400 12,950
Household International, Inc.......... 1,000 41,562
J.P. Morgan & Co., Inc................ 300 33,038
KeyCorp............................... 1,800 31,725
Lehman Brothers Holdings, Inc......... 200 18,913
MBIA, Inc............................. 200 9,638
MBNA Corp............................. 1,600 43,400
Mellon Financial Corp................. 1,000 36,437
Merrill Lynch & Co., Inc.............. 700 80,500
Morgan Stanley Dean Witter & Co....... 2,200 183,150
National City Corp.................... 1,200 20,475
Paine Webber Group, Inc............... 300 13,650
Providian Financial Corp.............. 300 27,000
Raymond James Financial, Inc.......... 600 13,500
Regions Financial Corp................ 900 17,888
SLM Holding Corp...................... 300 11,231
<CAPTION>
SHARES VALUE+
<S> <C> <C>
----------------------------------------------------------------
State Street Corp..................... 300 $ 31,819
Susquehanna Bancshares, Inc........... 800 11,400
Synovus Financial Corp................ 600 10,575
The Goldman Sachs Group, Inc.......... 900 85,387
UICI*................................. 400 2,625
Union Planters Corp................... 300 8,381
Wells Fargo Co........................ 3,300 127,875
-----------
1,753,700
-----------
FOOD & BEVERAGES -- 2.5%
Adolph Coors Co. Class B.............. 200 12,100
Anheuser-Busch Cos., Inc.............. 900 67,219
Archer-Daniels-Midland Co............. 1,000 9,813
Campbell Soup Co...................... 800 23,300
Coca-Cola Co.......................... 3,400 195,287
Coca-Cola Enterprises, Inc............ 800 13,050
ConAgra, Inc.......................... 800 15,250
Corn Products International, Inc...... 400 10,600
General Mills, Inc.................... 600 22,950
H.J. Heinz Co......................... 3,100 135,625
Hershey Foods Corp.................... 200 9,700
IBP, Inc.............................. 600 9,263
Interstate Bakeries Corp.............. 4,300 60,200
Kellogg Co............................ 800 23,800
PepsiCo, Inc.......................... 2,400 106,650
Quaker Oats Co........................ 300 22,537
Suiza Foods Corp.*.................... 300 14,663
SYSCO Corp............................ 700 29,487
Whitman Corp.......................... 900 11,138
Wm. Wrigley Jr. Co.................... 200 16,037
-----------
808,669
-----------
FOREST & PAPER PRODUCTS -- 0.6%
Consolidated Papers, Inc.............. 400 14,625
Fort James Corp....................... 400 9,250
Georgia-Pacific Group................. 300 7,875
International Paper Co................ 1,624 48,415
Kimberly-Clark Corp................... 1,100 63,112
Mead Corp............................. 400 10,100
Wausau-Mosinee Paper Corp............. 600 5,138
Weyerhaeuser Co....................... 500 21,500
-----------
180,015
-----------
HEALTHCARE -- BIOTECHNOLOGY -- 1.5%
Affymetrix, Inc.*..................... 100 16,512
Amgen, Inc.*.......................... 2,000 140,500
Avigen, Inc.*......................... 200 8,775
Aviron*............................... 400 12,350
Biogen, Inc.*......................... 300 19,350
Chiron Corp.*......................... 400 19,000
CuraGen Corp.*........................ 200 7,613
Enzo Biochem, Inc.*................... 100 6,900
Gene Logic, Inc.*..................... 300 10,706
Genzyme Corp.*........................ 200 11,888
IDEC Pharmaceuticals Corp.*........... 100 11,378
Immunex Corp.*........................ 1,000 49,437
Incyte Pharmaceuticals, Inc.*......... 100 8,219
</TABLE>
23
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Market Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
----------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
HEALTHCARE - BIOTECHNOLOGY (CONTINUED)
Medtronic, Inc........................ 2,400 $ 119,550
Myriad Genetics, Inc.*................ 100 14,808
Protein Design Labs, Inc.*............ 100 16,495
Vical, Inc.*.......................... 200 3,850
-----------
477,331
-----------
HEALTH CARE -- DRUGS -- 4.8%
Abbott Laboratories................... 3,100 138,144
Alkermes, Inc.*....................... 200 9,425
Alliance Pharmaceutical Corp.*........ 4,700 52,875
Alpharma, Inc. Class A................ 300 18,675
ALZA Corp.*........................... 200 11,895
American Home Products Corp........... 2,600 152,750
Bristol-Myers Squibb Co............... 2,900 168,925
Eli Lilly & Co........................ 2,200 219,725
Forest Laboratories, Inc.*............ 200 20,200
Inhale Therapeutic Systems, Inc.*..... 100 9,853
IVAX Corp.*........................... 600 24,900
Jones Pharma, Inc..................... 300 10,564
King Pharmaceuticals, Inc.*........... 675 29,616
MedImmune, Inc.*...................... 300 22,200
Millennium Pharmaceuticals, Inc.*..... 200 22,375
Pfizer, Inc........................... 11,175 536,400
Pharmacopeia, Inc.*................... 200 9,275
Sepracor, Inc.*....................... 300 36,187
Vertex Pharmaceuticals, Inc.*......... 100 10,109
Watson Pharmaceuticals, Inc.*......... 200 10,612
-----------
1,514,705
-----------
HEALTH CARE -- PRODUCTS -- 3.6%
Abgenix, Inc.*........................ 600 71,916
Allergan, Inc......................... 200 14,900
ArthroCare Corp.*..................... 1,000 53,250
Bausch & Lomb, Inc.................... 200 15,475
Becton, Dickinson & Co................ 500 14,344
Boston Scientific Corp.*.............. 800 17,550
C.R. Bard, Inc........................ 300 14,437
Cooper Cos., Inc...................... 300 10,913
Datascope Corp........................ 300 10,800
Edwards Lifesciences Corp.*........... 120 2,220
Guidant Corp.*........................ 600 29,700
Human Genome Sciences, Inc.*.......... 100 13,337
Johnson & Johnson..................... 2,800 285,250
Merck & Co., Inc...................... 4,400 337,150
MiniMed, Inc.*........................ 100 11,800
Schering-Plough Corp.................. 2,900 146,450
Stryker Corp.......................... 400 17,500
Sybron International Corp.*........... 400 7,925
Wesley Jessen VisionCare, Inc......... 1,700 63,856
-----------
1,138,773
-----------
HEALTH CARE -- SERVICES -- 1.4%
Advance Paradiam, Inc.*............... 400 8,200
Baxter International, Inc............. 600 42,187
Cardinal Health, Inc.................. 500 37,000
<CAPTION>
SHARES VALUE+
<S> <C> <C>
----------------------------------------------------------------
Cerner Corp.*......................... 400 $ 10,900
First Health Group Corp.*............. 4,300 141,094
Foundation Health Systems, Inc. Class
A*.................................. 1,000 13,000
HCA-The Healthcare Corp............... 1,700 51,637
Health Management Associates, Inc.
Class A*............................ 1,000 13,062
Healthsouth Corp.*.................... 1,500 10,781
Humana, Inc.*......................... 1,300 6,338
IMS Health, Inc....................... 600 10,800
McKesson HBOC, Inc.................... 600 12,563
Omnicare, Inc......................... 600 5,438
Quest Diagnostics, Inc.*.............. 400 29,900
Tenet Healthcare Corp.*............... 600 16,200
Trigon Healthcare, Inc.*.............. 300 15,469
UnitedHealth Group, Inc............... 300 25,725
-----------
450,294
-----------
HOUSEHOLD PRODUCTS -- 0.0%
Black & Decker Corp................... 300 11,794
-----------
INSTRUMENTS -- SCIENTIFIC -- 0.1%
Millipore Corp........................ 200 15,075
Waters Corp.*......................... 100 12,481
-----------
27,556
-----------
INSURANCE -- 2.8%
AFLAC, Inc............................ 1,000 45,937
Allmerica Financial Corp.............. 200 10,475
Allstate Corp......................... 3,200 71,200
American International Group, Inc..... 3,100 364,250
Aon Corp.............................. 500 15,531
Chubb Corp............................ 400 24,600
Cincinnati Financial Corp............. 300 9,431
CNA Financial Corp.*.................. 400 13,600
Conseco, Inc.......................... 1,300 12,675
Financial Security Assured Holdings
Ltd................................. 200 15,175
Harleysville Group, Inc............... 2,900 48,575
Hartford Financial Services Group,
Inc................................. 500 27,969
Lincoln National Corp................. 800 28,900
Loews Corp............................ 200 12,000
Markel Corp.*......................... 100 14,162
Marsh & McLennan Cos., Inc............ 500 52,219
MGIC Investment Corp.................. 200 9,100
MONY Group, Inc....................... 400 13,525
Ohio Casualty Corp.................... 700 7,438
Old Republic International Corp....... 700 11,550
Radian Group, Inc..................... 200 10,350
Reinsurance Group of America, Inc..... 400 12,050
St. Paul Cos., Inc.................... 400 13,650
Torchmark, Inc........................ 500 12,344
Unitrin, Inc.......................... 300 8,813
UnumProvident Corp.................... 500 10,031
W.R. Berkley Corp..................... 500 9,375
-----------
884,925
-----------
INSURANCE CONTRACTS -- 0.3%
CIENA Corp.*.......................... 300 50,006
</TABLE>
24
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Market Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
----------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
INSURANCE CONTRACTS (CONTINUED)
CIGNA Corp............................ 300 $ 28,050
Jefferson-Pilot Corp.................. 200 11,288
-----------
89,344
-----------
INTERNET SERVICES -- 1.9%
America Online, Inc.*................. 4,600 242,650
At Home Corp. Series A*............... 700 14,525
CNET Networks, Inc.*.................. 300 7,369
DoubleClick, Inc.*.................... 410 15,631
Exodus Communications, Inc.*.......... 600 27,638
iGATE Capital Corp.*.................. 300 4,125
InfoSpace, Inc.*...................... 400 22,100
Lycos, Inc.*.......................... 200 10,800
Real Networks, Inc.*.................. 300 15,169
RSA Security, Inc.*................... 200 13,850
SoftNet Systems, Inc.*................ 300 2,888
VeriSign, Inc.*....................... 415 73,247
Visual Networks, Inc.*................ 300 8,550
Yahoo!, Inc.*......................... 1,100 136,262
-----------
594,804
-----------
LEISURE -- 0.6%
Harrah's Entertainment, Inc.*......... 500 10,469
Mandalay Resort Group*................ 500 10,000
Marriott International, Inc. Class
A................................... 500 18,031
Metro-Goldwyn-Mayer, Inc.*............ 400 10,450
MGM Grand, Inc........................ 400 12,850
Sabre Holdings Corp. Class A.......... 216 6,156
Starwood Hotels & Resorts Worldwide,
Inc. Class B........................ 400 13,025
Station Casinos, Inc.*................ 3,900 97,500
-----------
178,481
-----------
MACHINERY -- 0.4%
Caterpillar, Inc...................... 700 23,712
Deere & Co............................ 500 18,500
Dover Corp............................ 400 16,225
GaSonics International Corp.*......... 300 11,831
Ingersoll-Rand Co..................... 300 12,075
Kennametal, Inc....................... 400 8,575
Kulicke and Soffa Industries, Inc.*... 200 11,875
Milacron, Inc......................... 700 10,150
SPX Corp.*............................ 100 12,094
-----------
125,037
-----------
MANUFACTURING -- 0.1%
American Standard Cos., Inc.*......... 300 12,300
Leggett & Platt, Inc.................. 800 13,200
Nordson Corp.......................... 200 10,125
-----------
35,625
-----------
METALS & MINING -- 0.2%
Alcoa, Inc............................ 1,400 40,600
Mueller Industries, Inc.*............. 300 8,400
<CAPTION>
SHARES VALUE+
<S> <C> <C>
----------------------------------------------------------------
Phelps Dodge Corp..................... 200 $ 7,438
Precision Castparts Corp.............. 300 13,575
-----------
70,013
-----------
MULTIMEDIA -- 2.6%
Adelphia Communications Corp.
Class A*............................ 200 9,375
AT&T Corp. -- Liberty Media Group
Class A*............................ 4,600 111,550
Emmis Communications Corp.
Class A*............................ 200 8,275
Gannett Co., Inc...................... 4,900 293,081
Macrovision Corp.*.................... 200 12,784
McGraw-Hill Cos, Inc.................. 400 21,600
Media General, Inc. Class A........... 200 9,713
Time Warner, Inc...................... 1,200 91,200
Tribune Co............................ 500 17,500
TV Guide, Inc. Class A*............... 300 10,275
USA Networks, Inc.*................... 600 12,975
Viacom, Inc. Class A*................. 300 20,513
Viacom, Inc. Class B*................. 2,619 178,583
Walt Disney Co........................ 400 15,525
-----------
812,949
-----------
OFFICE EQUIPMENT -- 0.2%
Lexmark International Group, Inc.
Class A*............................ 300 20,175
Pitney Bowes, Inc..................... 500 20,000
Xerox Corp............................ 1,300 26,975
-----------
67,150
-----------
OFFICE FURNISHINGS & SUPPLIES -- 0.0%
Avery Dennison Corp................... 200 13,425
-----------
OIL & GAS -- 3.2%
AGL Resources, Inc.................... 4,300 68,531
Amerada Hess Corp..................... 200 12,350
Anadarko Petroleum Corp............... 300 14,794
Apache Corp........................... 200 11,762
Atwood Oceanics, Inc.*................ 200 8,875
Baker Hughes, Inc..................... 700 22,400
BJ Services Co.*...................... 200 12,500
Burlington Resources, Inc............. 900 34,425
Cal Dive International, Inc.*......... 200 10,838
Chevron Corp.......................... 1,200 101,775
Coastal Corp.......................... 400 24,350
Columbia Energy Group................. 200 13,125
Devon Energy Corp..................... 200 11,237
Diamond Offshore Drilling, Inc........ 300 10,538
ENSCO International, Inc.............. 300 10,744
EOG Resources, Inc.................... 600 20,100
Exxon Mobil Corp...................... 1,532 120,262
Global Marine, Inc.*.................. 400 11,836
Halliburton Co........................ 900 42,469
Kerr-McGee Corp....................... 200 11,787
Nabors Industries, Inc.*.............. 300 12,469
Noble Affiliates, Inc................. 500 18,625
Noble Drilling Corp.*................. 300 12,356
Occidental Petroleum Corp............. 700 14,744
</TABLE>
25
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Market Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
----------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
OIL & GAS (CONTINUED)
Ocean Energy, Inc.*................... 5,000 $ 70,937
ONEOK, Inc............................ 400 10,375
Phillips Petroleum Co................. 500 25,344
Pride International, Inc.*............ 700 17,325
Stone Energy Corp.*................... 1,400 83,650
Sunoco, Inc........................... 500 14,719
Texaco, Inc........................... 1,100 58,575
Unocal Corp........................... 1,000 33,125
USX- Marathon Group................... 600 15,037
Vastar Resources, Inc................. 200 16,425
Williams Cos., Inc.................... 900 37,519
-----------
1,015,923
-----------
OIL REFINING -- 0.0%
Ultramar Diamond Shamrock Corp........ 500 12,406
-----------
PAPER & RELATED PRODUCTS -- 0.1%
Boise Cascade Corp.................... 300 7,763
Westvaco Corp......................... 400 9,925
-----------
17,688
-----------
PHOTO EQUIPMENT & SUPPLIES -- 0.1%
Eastman Kodak Co...................... 600 35,700
-----------
PRINTING -- 0.0%
Valassis Communications, Inc.*........ 300 11,438
-----------
PUBLISHING -- 0.3%
Central Newspapers, Inc. Class A...... 500 31,625
Knight-Ridder, Inc.................... 200 10,637
The New York Times Co. Class A........ 400 15,800
The Reader's Digest Association,
Inc................................. 400 16,311
Ziff-Davis, Inc.*..................... 600 5,400
-----------
79,773
-----------
RESTAURANTS -- 0.3%
McDonald's Corp....................... 2,700 88,931
Starbucks Corp.*...................... 400 15,275
-----------
104,206
-----------
RETAIL -- FOOD -- 0.6%
Albertson's, Inc...................... 800 26,600
Bestfoods............................. 600 41,550
Dean Foods Co......................... 300 9,506
Delhaize America, Inc. Class A........ 500 8,844
Kroger Co.*........................... 1,700 37,506
Safeway, Inc.*........................ 1,000 45,125
Sara Lee Corp......................... 1,800 34,763
-----------
203,894
-----------
RETAIL -- GENERAL -- 2.3%
BJ's Wholesale Club, Inc.*............ 300 9,900
CVS Corp.............................. 800 32,000
Dollar General Corp................... 625 12,188
Family Dollar Stores, Inc............. 700 13,694
Federated Department Stores, Inc.*.... 400 13,500
<CAPTION>
SHARES VALUE+
<S> <C> <C>
----------------------------------------------------------------
J.C. Penney Co., Inc.................. 1,000 $ 18,437
Longs Drug Stores Corp................ 300 6,525
May Department Stores Co.............. 700 16,800
Sears, Roebuck & Co................... 1,400 45,675
Target Corp........................... 900 52,200
TJX Cos., Inc......................... 600 11,250
Wal-Mart Stores, Inc.................. 8,900 512,862
-----------
745,031
-----------
RETAIL -- SPECIALTY -- 3.2%
Amazon.com, Inc.*..................... 1,000 36,312
Bed Bath & Beyond, Inc.*.............. 300 10,875
Best Buy Co., Inc.*................... 4,300 271,975
Children's Place Retail Stores,
Inc.*............................... 2,200 45,100
Circuit City Stores-Circuit City
Group............................... 400 13,275
Costco Wholesale Corp.*............... 800 26,400
EBay, Inc.*........................... 600 32,588
Home Depot, Inc....................... 4,650 232,209
Kohl's Corp.*......................... 600 33,375
Limited, Inc.......................... 800 17,300
Lowe's Cos., Inc...................... 800 32,850
PC Connection, Inc.*.................. 450 25,650
RadioShack Corp.*..................... 400 18,950
Saks, Inc.*........................... 5,000 52,500
Staples, Inc.*........................ 900 13,838
Talbots, Inc.......................... 200 10,988
The Gap, Inc.......................... 1,700 53,125
V.F. Corp............................. 500 12,205
Walgreen Co........................... 2,000 64,375
Williams-Sonoma, Inc.*................ 300 9,731
-----------
1,013,621
-----------
STEEL -- 0.2%
Carpenter Technology Corp............. 400 8,450
Nucor Corp............................ 200 6,638
Reliance Steel & Aluminum Co.......... 2,500 47,812
USX- U.S. Steel Group................. 400 7,425
-----------
70,325
-----------
TELECOMMUNICATIONS -- 8.8%
Adaptive Broadband Corp.*............. 400 14,700
ADC Telecommunications, Inc.*......... 600 50,325
Adtran, Inc.*......................... 200 11,975
Advanced Fibre Communications,
Inc.*............................... 200 9,062
ALLTEL Corp........................... 600 37,162
American Tower Corp. Class A*......... 600 25,012
Anaren Microwave, Inc.*............... 150 19,685
ANTEC Corp.*.......................... 200 8,313
AT&T Corp............................. 10,400 328,900
Aware, Inc.*.......................... 200 9,955
Bell Atlantic Corp.................... 1,200 60,975
BellSouth Corp........................ 5,600 238,700
Broadwing, Inc........................ 400 10,375
Cabletron Systems, Inc.*.............. 700 17,675
Cablevision Systems Corp. Class A*.... 300 20,362
Carrier Access Corp.*................. 200 10,740
Comcast Corp. Class A................. 1,000 40,500
</TABLE>
26
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Market Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
----------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Comm Scope, Inc.*..................... 300 $ 12,300
Comverse Technology, Inc.*............ 300 27,900
Cox Communications, Inc. Class A*..... 2,100 95,681
Crown Castle International Corp.*..... 300 10,950
CT Communications, Inc................ 400 11,375
CTC Communications Group, Inc.*....... 300 10,800
EchoStar Communications Corp.
Class A*............................ 400 13,244
Global Crossing Ltd.*................. 541 14,235
Harmonic, Inc.*....................... 400 9,900
Harris Corp........................... 600 19,650
JDS Uniphase Corp.*................... 1,170 140,254
Level 3 Communications,Inc.*.......... 700 61,600
Lucent Technologies, Inc.............. 6,400 379,200
McLeod USA, Inc.*..................... 900 18,619
Metromedia Fiber Network, Inc. Class
A*.................................. 900 35,719
Motorola, Inc......................... 3,516 102,184
MRV Communications, Inc.*............. 200 13,450
Natural MicroSystems Corp.*........... 100 11,153
Nextel Communications, Inc. Class
A*.................................. 1,200 73,425
NTL, Inc.*............................ 300 17,962
Osicom Technologies, Inc.*............ 100 8,463
PanAmSat Corp.*....................... 300 13,106
Plantronics, Inc.*.................... 100 11,603
Powertel, Inc.*....................... 100 7,094
Price Communications Corp............. 500 11,781
Primus Telecommunications Group,
Inc.*............................... 300 7,463
Proxim, Inc.*......................... 100 9,897
QUALCOMM, Inc.*....................... 1,500 90,000
RCN Corp.*............................ 200 5,075
RF Micro Devices, Inc.*............... 200 17,525
SBC Communications, Inc............... 6,300 272,475
Scientific-Atlanta, Inc............... 400 29,800
Sprint Corp.*......................... 300 15,300
Sprint Corp. (PCS Group)*............. 400 23,800
Symbol Technologies, Inc.............. 300 16,200
Telephone & Data Systems, Inc......... 100 10,025
Tellabs, Inc.*........................ 800 54,750
Tollgrade Communications, Inc.*....... 100 13,250
U.S. West, Inc........................ 1,000 85,750
Winstar Communications, Inc.*......... 200 6,775
WorldCom, Inc.*....................... 2,450 112,394
-----------
2,816,543
-----------
TEXTILE & APPAREL -- 0.2%
Guess?, Inc.*......................... 2,000 28,000
Jones Apparel Group, Inc.*............ 500 11,750
Mohawk Industries, Inc.*.............. 500 10,875
NIKE, Inc. Class B.................... 400 15,925
Shaw Industries, Inc.................. 600 7,500
-----------
74,050
-----------
TIRES & RUBBER -- 0.1%
Goodyear Tire & Rubber Co............. 1,000 20,000
-----------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
----------------------------------------------------------------
TOBACCO -- 0.4%
Philip Morris Cos., Inc............... 4,400 $ 116,875
-----------
TOOLS-HAND HELD -- 0.1%
Snap-on, Inc.......................... 300 7,988
Stanley Works......................... 400 9,500
-----------
17,488
-----------
TRANSPORTATION -- 1.4%
Burlington Northern Santa Fe Corp..... 4,000 91,750
C.H. Robinson Worldwide, Inc.......... 200 9,900
CNF Transportation, Inc............... 400 9,100
CSX Corp.............................. 900 19,993
FedEx Corp.*.......................... 600 22,800
Forward Air Corp.*.................... 300 12,008
Kansas City Southern Industries,
Inc................................. 200 17,738
Landstar Systems, Inc.*............... 200 11,913
Norfolk Southern Corp................. 800 11,900
Roadway Express, Inc.................. 1,000 23,437
Union Pacific Corp.................... 4,300 159,906
US Freightways Corp................... 2,600 63,862
Werner Enterprises, Inc............... 600 6,938
-----------
461,245
-----------
UTILITIES -- 3.1%
AES Corp.*............................ 800 36,500
Allegheny Energy, Inc................. 400 10,950
Ameren Corp........................... 300 10,125
American Electric Power Co., Inc...... 400 11,850
Calpine Corp.*........................ 200 13,150
Cinergy Corp.......................... 600 15,262
Cleco Corp............................ 300 10,050
CMS Energy Corp....................... 400 8,850
Consolidated Edison, Inc.............. 800 23,700
Constellation Energy Group............ 300 9,769
CP&L, Inc.*........................... 300 9,581
Documentum, Inc.*..................... 200 17,875
Dominion Resources, Inc............... 400 17,150
DPL, Inc.............................. 600 13,162
DQE, Inc.............................. 300 11,850
Duke Energy Corp...................... 700 39,462
Dynegy, Inc. Class A.................. 384 26,232
Edison International.................. 700 14,350
El Paso Electric Co.*................. 1,200 13,425
FirstEnergy Corp...................... 500 11,688
FPL Group, Inc........................ 400 19,800
GPU, Inc.............................. 300 8,119
IDACORP, Inc.......................... 600 19,350
Kansas City Power & Light Co.......... 400 9,000
LG&E Energy Corp...................... 500 11,938
MDU Resources Group, Inc.............. 5,500 118,937
Minnesota Power, Inc.................. 5,400 93,487
NiSource, Inc......................... 500 9,313
Northern States Power Co.............. 600 12,624
Northwest Natural Gas Co.............. 500 11,188
OGE Energy Corp....................... 500 9,250
PECO Energy Co........................ 400 16,125
</TABLE>
27
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Market Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
----------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
UTILITIES (CONTINUED)
Peoples Energy Corp................... 1,800 $ 58,275
PG&E Corp............................. 800 19,700
Philadelphia Suburban Corp............ 500 10,250
Pinnacle West Capital Corp............ 300 10,163
Public Service Enterprise Group,
Inc................................. 400 13,850
Puget Sound Energy, Inc............... 500 10,656
Questar Corp.......................... 700 13,562
Reliant Energy, Inc................... 1,100 32,519
SCANA Corp............................ 400 9,650
Southern Co........................... 2,000 46,625
TXU Corp.............................. 1,200 35,400
Unicom Corp........................... 400 15,475
United Illuminating Co................ 200 8,750
UtiliCorp United, Inc................. 600 11,925
Washington Gas Light Co............... 400 9,625
Wisconsin Energy Corp................. 500 9,906
-----------
980,443
-----------
WASTE MANAGEMENT -- 0.3%
Allied Waste Industries, Inc.*........ 1,000 10,000
Waste Management, Inc................. 4,400 83,600
-----------
93,600
-----------
OTHER -- 2.6%
9 10 Fund............................. 60,153 839,730
-----------
TOTAL COMMON STOCKS
(Identified Cost $29,822,924)....... 31,708,817
-----------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
----------------------------------------------------------------
SHORT TERM INVESTMENTS -- 4.4%
OTHER -- 4.4%
SSgA Government Money Market Fund..... 185,637 $ 185,637
SSgA Money Market Fund................ 1,224,875 1,224,875
-----------
TOTAL SHORT TERM INVESTMENTS
(Identified Cost $1,410,511)........ 1,410,512
-----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
--------------------------------------------------------------
TOTAL INVESTMENTS -- 104.0%
(IDENTIFIED COST $31,233,435)#.................. 33,119,329
Liabilities, Less Cash and Other Assets --
(4.0%)........................................ (1,285,469)
----------
NET ASSETS -- 100%................................ $31,833,860
==========
</TABLE>
+ See Note 1.
* Non-income producing security
# At June 30, 2000, the aggregate cost of investment securities for income
tax purposes was $31,233,435. Net unrealized appreciation aggregated
$1,885,893, of which $4,439,751 related to appreciated investment
securities and $2,553,858 related to depreciated investment securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
28
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
SHARES VALUE+
<S> <C> <C>
--------------------------------------------------------------
COMMON STOCKS -- 99.8%
ADVERTISING -- 0.1%
HA-LO Industries, Inc.*............... 1,500 $ 8,438
-----------
AEROSPACE/DEFENSE -- 1.4%
AAR Corp.............................. 800 9,600
Alliant Techsystems, Inc.*............ 800 53,950
Armor Holdings, Inc.*................. 900 11,700
Comptek Research, Inc.*............... 700 12,425
DRS Technologies, Inc.*............... 1,100 12,788
Engineered Support Systems, Inc....... 800 11,000
GenCorp, Inc.......................... 1,300 10,400
Hexcel Corp.*......................... 1,500 14,250
Orbital Sciences Corp. Class A*....... 700 8,531
REMEC, Inc.*.......................... 800 33,500
Triumph Group, Inc.*.................. 400 11,150
-----------
189,294
-----------
AGRICULTURAL OPERATIONS -- 0.1%
Agribrands International, Inc.*....... 300 12,581
-----------
AIRLINES -- 0.6%
America West Holding Corp. Class B*... 800 13,700
Amtran, Inc.*......................... 700 8,706
Atlantic Coast Airlines Holdings,
Inc.*............................... 600 19,050
Mesa Air Group, Inc.*................. 1,700 9,403
Midwest Express Holdings, Inc.*....... 400 8,600
SkyWest, Inc.......................... 500 18,532
-----------
77,991
-----------
AUTO & RELATED -- 2.1%
A.S.V., Inc.*......................... 500 7,188
Arvin Industries, Inc................. 500 8,688
Avis Rent A Car, Inc.*................ 3,100 58,125
Carey International, Inc.*............ 1,100 15,262
Collins & Aikman Corp................. 5,000 25,937
Dollar Thrifty Automotive Group,
Inc.*............................... 500 9,219
Exide Corp............................ 1,100 8,800
Hayes Lemmerz International, Inc.*.... 900 10,856
IMPCO Technologies, Inc.*............. 300 12,712
Midas, Inc............................ 500 10,000
Monaco Coach Corp.*................... 600 8,175
National R.V. Holdings, Inc.*......... 1,100 11,550
Oshkosh Truck Corp.................... 400 14,300
Rent-A-Center, Inc.*.................. 500 11,250
Rollins Truck Leasing Corp............ 1,100 7,631
Simpson Industries, Inc............... 900 6,778
Skyline Corp.......................... 500 10,750
Standard Motor Products, Inc.......... 1,300 10,111
Strattec Security Corp.*.............. 300 9,750
Tower Automotive, Inc.*............... 900 11,250
United Auto Group, Inc.*.............. 1,100 10,038
Wabash National Corp.................. 500 5,969
-----------
284,339
-----------
BANKS/SAVINGS & LOANS -- 5.9%
1st Source Corp....................... 600 9,413
Alliance Bancorp...................... 600 9,863
AMCORE Financial, Inc................. 600 10,987
Andover Bancorp, Inc.................. 400 11,525
<CAPTION>
SHARES VALUE+
<S> <C> <C>
--------------------------------------------------------------
Area Bancshares Corp.................. 500 $ 11,156
Bay View Capital Corp................. 1,000 9,778
BB&T Corp............................. 348 8,309
Brenton Banks, Inc.................... 1,200 16,650
BSB Bancorp, Inc...................... 600 12,037
BT Financial Corp..................... 525 9,056
Cathay Bancorp, Inc................... 900 41,737
Centennial Bancorp.................... 1,000 8,688
Chittenden Corp....................... 600 14,416
Coastal Bancorp, Inc.................. 700 10,063
Colorado Business Bankshares, Inc..... 700 9,363
Commonwealth Bancorp, Inc............. 700 8,313
Community Bank Systems, Inc........... 400 8,875
Corus Bankshares, Inc................. 400 10,586
Eagle Bancshares, Inc................. 600 6,825
F&M Bancorp........................... 500 9,875
F&M National Corp..................... 500 10,500
F.N.B Corp............................ 700 14,446
First Charter Corp.................... 600 9,450
First Citizens BancShares, Inc........ 200 11,900
First Financial Holdings, Inc......... 700 9,625
First Indiana Corp.................... 400 7,950
First Niagara Financial Group,
Inc.*............................... 1,100 10,312
First Northern Capital Corp........... 900 12,037
First Republic Bank*.................. 500 9,969
First Washington Bancorp, Inc......... 600 8,363
FirstFed Financial Corp.*............. 600 8,475
Flagstar Bancorp, Inc................. 700 5,688
GBC Bancorp........................... 1,300 38,025
Hamilton Bancorp, Inc.*............... 500 8,750
Harbor Florida Bancshares, Inc........ 1,100 11,481
Harleysville National Corp............ 400 13,100
Hopfed Bancorp, Inc................... 500 4,781
Hudson River Bancorp, Inc............. 900 10,687
Independent Bank Corp................. 1,400 15,837
Integra Bank Corp..................... 500 8,500
InterWest Bancorp, Inc................ 500 7,000
MAF Bancorp, Inc...................... 2,400 43,650
Merchants New York Bancorp, Inc....... 600 10,312
Mississippi Valley Bankshares, Inc.... 500 12,125
National City Bancorp................. 900 13,050
NBT Bancorp, Inc...................... 1,260 13,466
Northwest Bancorp, Inc................ 1,400 9,625
OceanFirst Financial Corp............. 700 12,906
Ocwen Financial Corp.*................ 1,400 7,788
Pacific Capital Bancorp............... 500 12,531
PFF Bancorp, Inc...................... 700 12,775
Premier National Bancorp, Inc......... 1,000 13,000
Provident Bankshares Corp............. 800 10,800
Richmond County Financial Corp........ 600 11,475
Riggs National Corp................... 1,100 13,887
Second Bancorp, Inc................... 1,100 16,706
Shoreline Financial Corp.............. 735 8,728
St. Francis Capital Corp.............. 500 7,563
Staten Island Bancorp, Inc............ 700 12,337
Sterling Bancshares, Inc.............. 800 8,650
Texas Regional Bancshares, Inc. Class
A................................... 400 10,150
UCBH Holdings, Inc.................... 500 13,344
United National Bancorp............... 530 9,739
</TABLE>
29
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
--------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
BANKS/SAVINGS & LOANS (CONTINUED)
Webster Financial Corp................ 456 $ 10,118
WesBanco, Inc......................... 400 9,700
West Coast Bancorp.................... 770 7,700
WestCorp, Inc......................... 960 11,460
-----------
797,976
-----------
BROADCASTING -- 0.7%
4Kids Entertainment, Inc.*............ 600 15,638
Cumulus Media, Inc. Class A*.......... 1,100 10,341
Liberty Digital, Inc. Class A*........ 500 15,000
On Command Corp.*..................... 600 8,550
Paxson Communications Corp.*.......... 5,000 40,000
-----------
89,529
-----------
BUILDING & CONSTRUCTION -- 2.8%
Ampco-Pittsburgh Corp................. 1,000 11,125
Armstrong Holdings, Inc............... 800 13,078
Beazer Homes USA, Inc.*............... 500 9,125
Butler Manufacturing Co............... 400 6,800
Centex Construction Products, Inc..... 400 9,075
Crossmann Communities, Inc.*.......... 600 9,900
Dal-Tile International, Inc.*......... 1,100 9,075
Elcor Corp............................ 400 9,200
Emcor Group, Inc.*.................... 500 11,594
Fleetwood Enterprises, Inc............ 700 9,975
Florida Rock Industries, Inc.......... 3,700 131,812
Foster Wheeler Corp................... 1,200 10,350
Granite Construction, Inc............. 500 12,250
M.D.C. Holdings, Inc.................. 700 13,038
Nortek, Inc.*......................... 1,200 23,700
Palm Harbor Homes, Inc.*.............. 700 10,150
Ryland Group, Inc..................... 400 8,850
Standard Pacific Corp................. 900 9,000
Stone & Webster, Inc.................. 700 525
Texas Industries, Inc................. 400 11,550
The Shaw Group, Inc.*................. 300 14,137
Thor Industries, Inc.................. 400 8,400
Toll Brothers, Inc.*.................. 700 14,350
Wackenhut Corrections Corp.*.......... 1,300 9,750
-----------
376,809
-----------
BUSINESS SERVICES -- 4.9%
Acacia Research Corp.*................ 200 4,800
Administaff, Inc.*.................... 700 44,450
ADVO, Inc.*........................... 400 16,800
Alpha Microsystems*................... 1,300 6,459
Ambassadors International, Inc.*...... 1,000 15,750
Angelica Corp......................... 900 7,200
Applied Graphics Technologies,
Inc.*............................... 2,500 10,625
Aspect Communications Corp.*.......... 900 35,381
Banta Corp............................ 500 9,469
BARRA, Inc.*.......................... 300 14,869
Bowne & Co., Inc...................... 1,100 11,069
Brady Corp. Class A................... 400 13,000
Butler International, Inc.*........... 1,000 8,500
Cambridge Technology Partners,
Inc.*............................... 1,300 11,334
CCC Information Services Group,
Inc.*............................... 2,200 23,375
<CAPTION>
SHARES VALUE+
<S> <C> <C>
--------------------------------------------------------------
CDI Corp.*............................ 400 $ 8,150
ChoicePoint, Inc.*.................... 210 9,345
CompuCom Systems, Inc.*............... 1,500 2,438
Concero, Inc.*........................ 300 3,675
E. W. Blanch Holdings, Inc............ 300 6,094
Electro Rent Corp.*................... 1,000 11,527
eLoyalty Corp.*....................... 800 10,200
Emergent Information Technologies,
Inc.*............................... 1,800 3,825
En Pointe Technologies, Inc.*......... 300 2,625
Encompass Services Corp.*............. 3,125 17,969
ePlus, Inc.*.......................... 500 13,219
Fair, Issac & Co., Inc................ 300 13,200
Forrester Research, Inc.*............. 2,000 145,625
Franklin Covey Co.*................... 1,000 6,937
Hall, Kinion & Associates, Inc.*...... 400 13,325
Intelligroup, Inc.*................... 300 3,600
John H. Harland Co.................... 600 8,962
Kforce.com, Inc.*..................... 900 6,244
Labor Ready, Inc.*.................... 900 5,963
Level 8 Systems, Inc.*................ 300 6,319
Marketing Services Group, Inc.*....... 1,800 7,987
MAXIMUS, Inc.*........................ 400 8,850
Navigant Consulting, Inc.*............ 1,200 5,100
NCO Group, Inc.*...................... 500 11,562
Primark Corp.*........................ 400 14,900
ProBusiness Services, Inc.*........... 500 13,281
Professional Detailing, Inc.*......... 400 13,625
Profit Recovery Group International,
Inc.*............................... 1,000 16,625
RCM Technologies, Inc.*............... 1,200 8,850
SierraCities.com, Inc.*............... 600 2,250
SITEL Corp.*.......................... 1,400 6,913
Staff Leasing, Inc.*.................. 1,100 3,919
StaffMark, Inc.*...................... 1,800 12,037
SVI Holdings, Inc.*................... 1,000 5,125
UniCapital Corp.*..................... 2,700 1,350
Workflow Management, Inc.*............ 400 4,750
-----------
669,447
-----------
CHEMICALS -- 1.6%
A. Schulman, Inc...................... 900 10,856
Airgas, Inc.*......................... 1,400 7,963
Arch Chemicals, Inc................... 700 15,312
Bush Boake Allen, Inc.*............... 400 17,500
Chemfab Corp.*........................ 800 9,500
ChemFirst, Inc........................ 1,800 43,425
Geon Co............................... 500 9,250
H.B. Fuller Co........................ 300 13,669
Hawkins Chemical, Inc................. 1,200 9,450
Landec Corp.*......................... 1,800 9,788
M. A. Hanna Co........................ 1,000 9,000
Mississippi Chemical Corp............. 1,600 7,600
TETRA Technologies, Inc.*............. 800 11,350
U.S. Plastic Lumber Corp.*............ 2,800 12,337
Uniroyal Technology Corp.*............ 500 5,531
WD-40 Co.............................. 500 10,375
Wellman, Inc.......................... 700 11,331
-----------
214,237
-----------
</TABLE>
30
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
--------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
COMMERCIAL SERVICES -- 1.2%
Aviation Sales Co.*................... 1,700 $ 10,519
Bell & Howell Co.*.................... 500 12,125
Competitive Technologies, Inc.*....... 700 7,000
CoStar Group, Inc.*................... 300 7,519
Data Broadcasting Corp.*.............. 1,000 6,313
F.Y.I, Inc.*.......................... 1,400 47,162
Mail-Well, Inc.*...................... 1,000 8,625
Plexus Corp.*......................... 400 45,200
R.H. Donnelley Corp................... 700 13,562
Veritas DGC, Inc.*.................... 400 10,400
-----------
168,425
-----------
COMMUNICATIONS EQUIPMENT -- 1.2%
Advanced Radio Telecom Corp.*......... 800 11,700
Allen Telecom, Inc.*.................. 600 10,613
Brooktrout, Inc.*..................... 400 8,725
Corsair Communications, Inc.*......... 400 11,500
Inter-Tel, Inc........................ 800 12,850
Motient Corp.*........................ 1,000 15,687
Network Equipment Technologies,
Inc.*............................... 1,100 11,069
Network Peripherals, Inc.*............ 500 8,375
North Pittsburgh Systems, Inc......... 800 11,800
NumereX Corp.*........................ 1,000 12,375
P-Com, Inc.*.......................... 1,500 8,531
Performance Technologies, Inc.*....... 600 5,100
SeaChange International, Inc.*........ 400 11,550
SymmetriCom, Inc.*.................... 800 20,200
Telxon Corp........................... 500 9,467
-----------
169,542
-----------
COMPUTER EQUIPMENT -- 4.0%
3Dfx Interactive, Inc.*............... 1,300 9,948
Apex, Inc............................. 400 17,500
Blue Wave Systems, Inc.*.............. 900 9,281
Computer Network Technology Corp.*.... 500 8,688
Concurrent Computer Corp.*............ 1,000 13,125
Cybex Computer Products Corp.......... 400 16,950
Drexler Technology Corp.*............. 1,000 13,000
Extended Systems, Inc.*............... 200 19,200
Hutchinson Technology, Inc.*.......... 1,000 14,250
Kronos, Inc.*......................... 300 7,800
Maxwell Technologies, Inc.*........... 500 6,750
Media 100, Inc.*...................... 400 10,986
Mentor Graphics Corp.*................ 4,900 97,387
Mercury Computer Systems, Inc.*....... 400 12,925
MicroTouch Systems, Inc.*............. 700 6,038
MMC Networks, Inc.*................... 3,100 165,656
MTI Technology Corp.*................. 1,300 10,400
Silicon Storage Technology, Inc.*..... 500 44,156
Standard Microsystems Corp.*.......... 800 12,300
Systems & Computer Technology
Corp.*.............................. 1,000 20,000
TALX Corp.*........................... 600 10,275
Veramark Technologies, Inc.*.......... 800 3,050
Vitech America, Inc.*................. 1,800 9,900
-----------
539,565
-----------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
--------------------------------------------------------------
COMPUTER SERVICES -- 1.3%
4Front Software, Inc.*................ 1,100 $ 13,200
Axent Technologies, Inc.*............. 600 14,887
Computer Horizons Corp.*.............. 900 12,094
Cylink Corp.*......................... 600 10,050
InaCom Corp.*......................... 1,400 88
Informix Corp.*....................... 1,400 10,412
Manhattan Associates, Inc.*........... 500 12,500
Metro Information Services, Inc.*..... 800 8,000
Pomeroy Computer Resources, Inc.*..... 700 10,325
Procom Technology, Inc.*.............. 200 10,338
Segue Software, Inc.*................. 900 7,538
Sykes Enterprises, Inc.*.............. 800 10,300
Syntel, Inc.*......................... 800 8,000
Technology Solutions Co............... 800 4,950
Vertel Corp.*......................... 800 14,000
Wind River Systems, Inc.*............. 644 24,391
Zomax, Inc.*.......................... 600 7,875
-----------
178,948
-----------
COMPUTER SOFTWARE -- 4.0%
Acclaim Entertainment, Inc.*.......... 3,200 4,600
Active Voice Corp.*................... 1,000 8,000
Activision, Inc.*..................... 700 4,550
Actuate Corp.*........................ 600 32,025
Adept Technology, Inc.*............... 1,000 46,750
Advantage Learning Systems, Inc.*..... 700 10,763
Artisoft, Inc.*....................... 800 9,700
Avant! Corp.*......................... 700 13,114
AVT Corp.*............................ 1,600 11,619
Brio Technology, Inc.*................ 700 14,831
Concord Communications, Inc.*......... 300 11,962
CUseeMe Networks, Inc.*............... 600 5,475
Datastream Systems, Inc.*............. 1,000 12,500
Elcom International, Inc.*............ 600 4,125
Excalibur Technologies Corp.*......... 300 11,981
FileNET Corp.*........................ 600 11,025
Hypercom Corp.*....................... 700 10,063
IMRglobal Corp.*...................... 800 10,450
Information Architects Corp.*......... 900 6,244
Inso Corp.*........................... 300 1,556
InteliData Technologies Corp.*........ 1,200 12,375
IntraNet Solutions, Inc.*............. 500 19,187
Intrusion.com, Inc.*.................. 600 6,788
JDA Software Group, Inc.*............. 700 13,431
Logility, Inc.*....................... 1,500 5,766
MapInfo Corp.*........................ 300 12,187
Midway Games, Inc.*................... 800 6,450
Mobius Management Systems, Inc.*...... 2,000 9,125
Netopia, Inc.*........................ 300 12,075
New Era of Networks, Inc.*............ 600 25,500
Novadigm, Inc.*....................... 600 11,850
Objective Systems Integrators,
Inc.*............................... 1,100 11,756
Open Market, Inc.*.................... 700 9,669
Peerless Systems Corp.*............... 1,400 2,713
Pegasystems, Inc.*.................... 1,500 7,500
Per-Se Technologies, Inc.*............ 1,200 11,250
Pervasive Software, Inc.*............. 300 1,688
Pinnacle Systems, Inc.*............... 1,000 22,484
</TABLE>
31
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
--------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
COMPUTER SOFTWARE (CONTINUED)
PLATO Learning, Inc.*................. 800 $ 10,422
Project Software & Development,
Inc.*............................... 400 7,200
Puma Technology, Inc.*................ 600 16,087
SAGA SYSTEMS, Inc.*................... 600 7,463
Sanchez Computer Associates, Inc.*.... 500 11,875
Santa Cruz Operation, Inc.*........... 700 4,463
Secure Computing Corp.*............... 1,000 18,812
SPSS, Inc.*........................... 500 14,562
Structural Dynamics Research Corp.*... 700 10,544
Symix Systems, Inc.*.................. 400 3,550
-----------
548,105
-----------
CONSUMER PRODUCTS -- 0.1%
Central Garden & Pet Co.*............. 1,000 8,969
Fossil, Inc.*......................... 600 11,662
-----------
20,631
-----------
CONTAINERS-PAPER/PLASTIC -- 0.3%
AEP Industries, Inc.*................. 400 10,100
EarthShell Corp.*..................... 4,400 13,337
Longview Fibre Co..................... 1,000 11,063
-----------
34,500
-----------
DISTRIBUTION/WHOLESALE -- 0.9%
Aviall, Inc.*......................... 900 4,444
Brightpoint, Inc.*.................... 1,100 9,522
CellStar Corp.*....................... 1,200 3,338
Daisytek International Corp.*......... 500 4,719
Handleman Co.*........................ 900 11,250
Hughes Supply, Inc.................... 500 9,875
Keystone Automotive Industries,
Inc.*............................... 1,700 10,645
Miami Computer Supply Corp.*.......... 400 10,350
Nash-Finch Co......................... 1,200 9,900
Owens & Minor, Inc.................... 1,000 17,187
Savoir Technology Group, Inc.......... 1,400 9,887
ScanSource, Inc.*..................... 600 23,325
-----------
124,442
-----------
DIVERSIFIED OPERATIONS -- 1.5%
AMERCO*............................... 700 14,000
Barnes Group, Inc..................... 600 9,787
Cornell Corrections, Inc.*............ 1,000 8,000
Esterline Technologies Corp.*......... 900 13,387
Fidelity Holdings, Inc.*.............. 500 625
Griffon Corp.*........................ 1,500 8,344
International Multifoods Corp......... 600 10,366
MascoTech, Inc........................ 900 9,731
Metromedia International Group,
Inc.*............................... 1,900 9,025
Myers Industries, Inc................. 600 6,450
NACCO Industries, Inc. Class A........ 300 10,537
Ogden Corp............................ 1,500 13,500
Park-Ohio Holdings Corp.*............. 1,200 10,350
SPS Technologies, Inc.*............... 300 12,319
Sturm, Ruger & Co., Inc............... 1,100 9,763
Universal Corp........................ 600 12,675
Vector Group Ltd...................... 630 9,293
Volt Information Sciences, Inc.*...... 500 16,469
<CAPTION>
SHARES VALUE+
<S> <C> <C>
--------------------------------------------------------------
Walter Industries, Inc................ 1,000 $ 11,437
Xceed, Inc.*.......................... 500 4,563
-----------
200,621
-----------
EDUCATION -- 0.6%
Career Education Corp.*............... 400 19,400
Education Management Corp.*........... 900 16,257
ITT Educational Services, Inc.*....... 500 8,781
Strayer Education, Inc................ 1,600 38,400
-----------
82,838
-----------
ELECTRICAL EQUIPMENT -- 6.8%
American Xtal Technology, Inc.*....... 1,900 82,175
Avid Technology, Inc.*................ 700 8,400
Belden, Inc........................... 2,300 58,937
C&D Technologies, Inc................. 600 33,900
Cable Design Technologies Corp.*...... 600 20,100
Celeritek, Inc.*...................... 400 16,325
Checkpoint Systems, Inc.*............. 3,000 22,500
Cohu, Inc............................. 400 10,788
CyberOptics Corp.*.................... 450 20,812
GenRad, Inc.*......................... 600 5,400
Harmon Industries, Inc................ 600 7,950
Ibis Technology Corp.*................ 200 12,118
Information Resource Engineering,
Inc.*............................... 300 7,575
Input/Output, Inc.*................... 1,500 12,656
Littelfuse, Inc.*..................... 400 19,600
Meade Instruments Corp.*.............. 1,600 40,200
ParkerVision, Inc.*................... 400 20,175
Paxar Corp.*.......................... 1,400 16,712
Photon Dynamics, Inc.*................ 400 29,875
Power Integrations, Inc.*............. 500 11,781
Power-One, Inc.*...................... 3,150 358,903
Rogers Corp.*......................... 400 14,000
Sanmina Corp.*........................ 420 35,910
SIPEX Corp.*.......................... 400 11,075
SLI, Inc.............................. 700 8,488
Spectrian Corp.*...................... 300 4,988
UCAR International, Inc.*............. 900 11,756
Ultrak, Inc.*......................... 1,300 10,563
Woodhead Industries, Inc.............. 600 10,950
-----------
924,612
-----------
ELECTRONICS -- 6.2%
ACT Manufacturing, Inc.*.............. 300 13,931
ADE Corp.*............................ 700 13,387
Aeroflex, Inc.*....................... 400 19,875
American Superconductor Corp.*........ 300 14,475
AMETEK, Inc........................... 600 10,500
Analogic Corp......................... 300 12,000
Andrea Electronics Corp.*............. 1,500 10,688
Benchmark Electronics, Inc.*.......... 500 18,281
C.P. Clare Corp.*..................... 1,000 7,313
California Amplifier, Inc.*........... 400 18,300
Coherent, Inc.*....................... 500 41,937
Cubic Corp............................ 500 9,375
Diodes, Inc.*......................... 400 17,150
DuPont Photomasks, Inc.*.............. 300 20,550
Electro Scientific Industries,
Inc.*............................... 600 26,419
</TABLE>
32
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
--------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
EMCORE Corp.*......................... 300 $ 36,000
ESS Technology, Inc.*................. 800 11,600
Exar Corp.*........................... 300 26,156
General Semiconductor, Inc.*.......... 1,100 16,225
II-VI, Inc.*.......................... 200 11,206
InFocus Corp.*........................ 500 16,094
Integrated Silicon Solution, Inc.*.... 1,000 38,000
Interlink Electronics, Inc.*.......... 300 12,563
Loronix Information Systems, Inc.*.... 300 10,781
MagneTek, Inc.*....................... 1,200 9,600
Mattson Technology, Inc.*............. 800 26,000
Merix Corp.*.......................... 700 32,900
Methode Electronics, Inc. Class A..... 600 23,175
Micros Systems, Inc.*................. 300 5,569
MIPS Technologies, Inc. Class A*...... 300 12,750
Molecular Devices Corp.*.............. 300 20,756
Nanometrics, Inc.*.................... 300 12,356
Pericom Semiconductor Corp.*.......... 300 20,400
Photronics, Inc.*..................... 2,400 68,100
Pioneer-Standard Electronics, Inc..... 800 11,800
Robotic Vision Systems, Inc.*......... 800 14,400
Spectrum Control, Inc.*............... 1,200 16,350
Stoneridge, Inc.*..................... 700 6,125
Superconductor Technologies, Inc*..... 300 11,794
Supertex, Inc.*....................... 400 20,100
Three-Five Systems, Inc.*............. 600 35,400
Trimble Navigation Ltd.*.............. 500 24,406
Ultratech Stepper, Inc.*.............. 900 13,387
Xicor, Inc.*.......................... 600 4,013
Zygo Corp.*........................... 200 18,162
-----------
840,349
-----------
ENVIROMENTAL SERVICES -- 0.4%
Calgon Carbon Corp.................... 1,600 12,400
Catalytica, Inc.*..................... 2,900 31,900
Layne Christensen Co.*................ 1,200 5,400
-----------
49,700
-----------
FACILITY SERVICES -- 0.1%
ABM Industries, Inc................... 400 9,200
-----------
FINANCIAL SERVICES -- 2.5%
Advest Group, Inc..................... 500 10,469
Amresco, Inc.*........................ 1,500 844
Cash America International, Inc....... 1,500 11,062
Dain Rauscher Corp.................... 200 13,200
Financial Federal Corp.*.............. 600 10,425
First Commonwealth Financial Corp..... 1,200 10,875
Hoenig Group, Inc.*................... 900 8,831
Investors Financial Services Corp..... 600 23,812
Irwin Financial Corp.................. 600 8,663
Jefferies Group, Inc.................. 500 10,094
JWGenesis Financial Corp.*............ 900 7,875
Morgan Keegan, Inc.................... 600 8,850
National Discount Brokers Group,
Inc.*............................... 400 12,750
National Processing, Inc.*............ 1,000 12,500
Phoenix Investment Partners Ltd....... 1,300 13,650
<CAPTION>
SHARES VALUE+
<S> <C> <C>
--------------------------------------------------------------
Pioneer Group, Inc.*.................. 800 $ 33,900
Resource America, Inc................. 1,400 9,144
Siebert Financial Corp................ 1,400 9,800
Sky Financial Group, Inc.............. 547 8,718
South Financial Group, Inc.*.......... 2,600 37,700
Southwest Bancorporation of Texas,
Inc.*............................... 600 12,450
Southwest Securities Group, Inc....... 400 14,900
Susquehanna Bancshares, Inc........... 700 9,975
Tucker Anthony Sutro Corp............. 700 12,600
Wells Fargo Co........................ 312 12,090
WFS Financial, Inc.................... 500 8,625
-----------
333,802
-----------
FOOD & BEVERAGES -- 1.3%
American Italian Pasta Co. Class A*... 400 8,275
American States Water Co.............. 300 8,925
Dreyer's Grand Ice Cream, Inc......... 600 12,600
Fleming Cos., Inc..................... 1,000 13,062
Hain Celestial Group, Inc.*........... 779 28,580
J. M. Smucker Co. Class B............. 1,500 28,125
Michael Foods, Inc.................... 400 9,800
Performance Food Group Co.*........... 1,400 44,800
RalCorp Holdings, Inc.*............... 600 7,350
Triarc Cos., Inc.*.................... 600 12,300
-----------
173,817
-----------
FOREST & PAPER PRODUCTS -- 0.7%
Buckeye Technologies, Inc.*........... 700 15,356
Caraustar Industries, Inc............. 800 12,100
Chesapeake Corp....................... 400 11,850
Deltic Timber Corp.................... 400 8,550
FiberMark, Inc.*...................... 800 9,900
P.H. Glatfelter Co.................... 800 8,150
Pope & Talbot, Inc.................... 700 11,200
Schweitzer-Mauduit International,
Inc................................. 800 10,000
Wausau-Mosinee Paper Corp............. 1,000 8,563
-----------
95,669
-----------
HEALTHCARE -- BIOTECHNOLOGY -- 4.5%
Aastrom Biosciences, Inc.*............ 1,900 4,572
Advanced Tissue Sciences, Inc.*....... 1,800 14,456
Alexion Pharmaceuticals, Inc.*........ 300 21,450
Avigen, Inc.*......................... 1,300 57,037
Aviron*............................... 500 15,437
Bio-Technology General Corp.*......... 1,100 14,506
BioCryst Pharmaceuticals, Inc.*....... 500 14,344
Collateral Therapeutics, Inc.*........ 300 7,608
Creative BioMolecules, Inc.*.......... 800 11,172
Digene Corp.*......................... 300 13,021
Emisphere Technologies, Inc.*......... 300 12,783
Gene Logic, Inc.*..................... 500 17,844
Genelabs Technologies, Inc.*.......... 2,400 9,750
Genome Therapeutics Corp.*............ 400 12,175
Genzyme Transgenics Corp.*............ 2,000 54,250
Geron Corp.*.......................... 600 19,200
Gliatech, Inc.*....................... 500 10,125
Guilford Pharmaceuticals, Inc.*....... 700 10,544
Hyseq, Inc.*.......................... 300 13,631
Integra LifeSciences Holdings*........ 1,600 15,900
</TABLE>
33
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
--------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
HEALTHCARE (CONTINUED)
Interpore International, Inc.*........ 1,400 $ 13,563
LifeCell Corp.*....................... 1,500 9,563
Nanogen, Inc.*........................ 400 16,975
Neose Technologies, Inc.*............. 300 12,619
Novavax, Inc.*........................ 2,000 14,625
Pharmaceutical Product Development,
Inc.*............................... 2,400 50,400
Protein Design Labs, Inc.*............ 400 65,981
Ribozyme Pharmaceuticals, Inc.*....... 500 12,906
Targeted Genetics Corp.*.............. 1,100 16,362
Titan Pharmaceuticals, Inc.*.......... 500 21,500
Transkaryotic Therapies, Inc.*........ 500 18,375
Vical, Inc.*.......................... 500 9,625
-----------
612,299
-----------
HEALTH CARE -- DRUGS -- 5.5%
Alpharma, Inc. Class A................ 1,700 105,825
Anesta Corp.*......................... 700 17,412
Aphton Corp.*......................... 300 7,725
ARIAD Pharmaceuticals, Inc.*.......... 700 9,319
AVANT Immunotherapeutics, Inc.*....... 1,000 10,563
Cell Therapeutics, Inc.*.............. 800 24,500
CIMA Labs, Inc.*...................... 1,000 20,250
Corixa Corp.*......................... 400 17,175
Coulter Pharmaceutical, Inc.*......... 500 10,250
Cubist Pharmaceuticals, Inc.*......... 600 29,550
CV Therapeutics, Inc.*................ 600 41,587
Dura Pharmaceuticals, Inc.*........... 900 12,937
GelTex Pharmaceuticals, Inc.*......... 600 12,263
ILEX Oncology, Inc.*.................. 400 14,100
Immune Response Corp.*................ 800 8,700
ImmunoGen, Inc.*...................... 1,000 12,063
Isis Pharmaceuticals, Inc.*........... 2,900 42,050
King Pharmaceuticals, Inc.*........... 1,013 44,423
Ligand Pharmaceuticals, Inc. Class
B*.................................. 1,100 14,506
Magainin Pharmaceuticals, Inc.*....... 3,000 13,875
Maxim Pharmaceuticals, Inc.*.......... 300 15,412
NeoPharm, Inc.*....................... 600 11,766
Neurocrine Biosciences, Inc.*......... 400 14,225
Neurogen Corp.*....................... 300 8,663
NPS Pharmaceuticals, Inc.*............ 500 13,375
Omega Protein Corp.*.................. 2,400 4,800
OSI Pharmaceuticals, Inc.*............ 1,100 31,694
PathoGenesis Corp.*................... 500 13,000
Penwest Pharmaceuticals Co.*.......... 600 6,038
Pharmacyclics, Inc.*.................. 1,500 91,500
Schein Pharmaceutical, Inc.*.......... 700 15,137
SciClone Pharmaceuticals, Inc.*....... 1,200 15,525
Texas Biotechnology Corp.*............ 700 13,300
Valentis, Inc.*....................... 800 9,400
ViroPharma, Inc.*..................... 800 12,500
-----------
745,408
-----------
HEALTH CARE -- PRODUCTS -- 4.9%
ABIOMED, Inc.*........................ 200 6,150
ADAC Laboratories*.................... 400 9,911
Arrow International, Inc.............. 500 16,750
<CAPTION>
SHARES VALUE+
<S> <C> <C>
--------------------------------------------------------------
ArthroCare Corp.*..................... 200 $ 10,650
Bergen Brunswig Corp. Class A......... 2,000 11,000
Biomatrix, Inc.*...................... 500 11,313
Biosite Diagnostics, Inc.*............ 700 33,731
BriteSmile, Inc.*..................... 1,200 5,400
Carter-Wallace, Inc................... 700 14,087
Cerus Corp.*.......................... 300 15,356
Columbia Laboratories, Inc.*.......... 1,500 8,625
CONMED, Corp.*........................ 500 12,937
Cooper Cos., Inc...................... 300 10,913
COR Therapeutics, Inc.*............... 500 42,656
Cytyc Corp.*.......................... 800 42,700
Datascope Corp........................ 300 10,800
Elan Corp. Plc ADR*................... 308 14,919
EPIX Medical, Inc.*................... 600 8,925
Fusion Medical Technologies, Inc.*.... 500 7,969
Haemonetics Corp.*.................... 500 10,500
Henry Schein, Inc.*................... 800 13,800
Hollis-Eden Pharmaceuticals, Inc.*.... 600 7,088
Immucor, Inc.*........................ 800 4,500
Invacare Corp......................... 600 15,750
Laser Vision Centers, Inc.*........... 1,300 8,044
LaserSight, Inc.*..................... 900 3,431
Lifecore Biomedical, Inc.*............ 1,400 11,025
LJL Biosystems, Inc.*................. 900 17,437
Mentor Corp.*......................... 700 19,031
MGI Pharma, Inc.*..................... 500 14,383
Noven Pharmaceuticals, Inc.*.......... 700 21,044
Novoste Corp.*........................ 300 18,300
OrthoLogic Corp.*..................... 3,000 14,812
Perrigo Co.*.......................... 1,500 9,469
PharmaNetics, Inc.*................... 800 15,900
PolyMedica Corp.*..................... 300 12,975
Protocol Systems, Inc.*............... 900 14,344
PSS World Medical, Inc.*.............. 1,400 9,406
Respironics, Inc.*.................... 700 12,600
SangStat Medical Corp.*............... 400 11,550
Sola International, Inc.*............. 700 3,413
Sunrise Technologies International,
Inc.*............................... 1,400 14,000
Thermo Cardiosystems, Inc.*........... 1,200 12,000
Twinlab Corp.*........................ 1,700 11,203
Varian Medical Systems, Inc........... 600 23,475
Ventana Medical Systems, Inc.*........ 300 7,050
Vital Signs, Inc...................... 400 7,250
Vysis, Inc.*.......................... 1,100 12,237
West Pharmaceutical Services, Inc..... 300 6,488
Zoll Medical Corp.*................... 200 9,800
-----------
667,097
-----------
HEALTH CARE -- SERVICES -- 1.6%
Brookdale Living Communities, Inc.*... 1,200 17,400
Caredata.com, Inc.*................... 900 1,519
Cerner Corp.*......................... 700 19,075
Covance, Inc.*........................ 1,100 9,694
Coventry Health Care, Inc.*........... 1,200 15,994
Hooper Holmes, Inc.................... 1,200 9,600
IDX Systems Corp.*.................... 600 8,475
IMPATH, Inc.*......................... 400 21,700
Kendle International, Inc.*........... 2,300 18,112
</TABLE>
34
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
--------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
HEALTH CARE (CONTINUED)
Laboratory Corporation of America
Holdings*........................... 380 $ 29,307
Mid Atlantic Medical Services,
Inc.*............................... 1,000 13,500
STERIS Corp.*......................... 1,300 11,538
Sunquest Information Systems, Inc.*... 800 8,600
Sunrise Assisted Living, Inc.*........ 400 7,400
Total Renal Care Holdings, Inc.*...... 1,600 9,600
Veterinary Centers of America,
Inc.*............................... 900 12,375
-----------
213,889
-----------
HOUSEHOLD PRODUCTS -- 0.4%
Applica, Inc.*........................ 700 7,919
Bassett Furniture Industries, Inc..... 600 7,575
Enesco Group, Inc..................... 1,500 7,125
Oneida Ltd............................ 500 8,875
Restoration Hardware, Inc.*........... 1,900 10,450
Salton, Inc.*......................... 300 11,062
Sunbeam Corp.*........................ 2,000 6,875
-----------
59,881
-----------
INSURANCE -- 2.7%
Arthur J. Gallagher & Co.............. 400 16,800
Brown & Brown, Inc.................... 300 15,600
CNA Surety Corp....................... 4,400 52,525
Danielson Holding Corp.*.............. 1,900 9,262
Enhance Financial Services Group,
Inc................................. 800 11,500
FBL Financial Group, Inc. Class A..... 1,000 15,750
Fremont General Corp.................. 1,400 5,512
Harleysville Group, Inc............... 600 10,050
HCC Insurance Holdings, Inc........... 1,000 18,875
HealthAxis, Inc.*..................... 400 1,525
Hilb, Rogal & Hamilton Co............. 300 10,406
Horace Mann Educators Corp............ 800 12,000
LandAmerica Financial Group, Inc...... 500 11,469
Meadowbrook Insurance Group, Inc...... 900 4,613
Medical Assurance, Inc................ 525 5,906
Ohio Casualty Corp.................... 1,200 12,750
Philadelphia Consolidated Holding
Corp................................ 700 11,769
Presidential Life Corp................ 600 8,325
Professionals Group, Inc.............. 500 12,219
RLI Corp.............................. 1,000 34,750
SCPIE Holdings, Inc................... 400 8,200
Selective Insurance Group, Inc........ 600 11,400
State Auto Financial Corp............. 1,200 14,250
Stewart Information Services Corp..... 800 11,700
United Wisconsin Services, Inc........ 1,900 10,509
Vesta Insurance Group, Inc............ 2,100 12,994
W.R. Berkley Corp..................... 500 9,375
Zenith National Insurance Corp........ 500 10,625
-----------
370,659
-----------
INTERNET SERVICES -- 0.8%
Akamai Technologies, Inc.*............ 178 21,135
CyberSource Corp.*.................... 700 9,669
eLOT, Inc.*........................... 3,100 5,812
ePresence, Inc.*...................... 500 3,625
Learn2.com, Inc.*..................... 1,500 2,953
<CAPTION>
SHARES VALUE+
<S> <C> <C>
--------------------------------------------------------------
Panja, Inc.*.......................... 900 $ 11,025
Pilot Network Services, Inc.*......... 300 4,463
PSINet, Inc.*......................... 630 15,829
Quokka Sports, Inc.*.................. 900 7,228
RMI.NET, Inc.*........................ 2,500 7,656
SoftNet Systems, Inc.*................ 500 4,813
Styleclick.com, Inc.*................. 800 8,000
Travelocity.com, Inc.*................ 300 4,912
-----------
107,120
-----------
LEISURE -- 1.5%
AMC Entertainment, Inc.*.............. 1,000 4,875
American Classic Voyages Co.*......... 400 8,250
AMF Bowling, Inc.*.................... 5,000 938
Argosy Gaming Co.*.................... 800 11,500
Aztar Corp.*.......................... 800 12,400
Bally Total Fitness Holding Corp.*.... 500 12,687
Boca Resorts, Inc. Class A*........... 4,200 41,475
Boyd Gaming Corp.*.................... 1,900 10,569
Championship Auto Racing Teams,
Inc.*............................... 500 12,750
Choice Hotels International, Inc.*.... 1,100 11,511
Fairfield Communities, Inc.*.......... 900 7,088
Pinnacle Entertainment, Inc.*......... 500 9,719
Prime Hospitality Corp.*.............. 1,400 13,212
Scientific Games Holdings Corp.*...... 600 14,737
Sunterra Corp.*....................... 3,600 828
Vail Resorts, Inc.*................... 800 13,050
WMS Industries, Inc.*................. 900 13,894
-----------
199,483
-----------
MACHINERY -- 2.9%
Alamo Group, Inc...................... 1,000 12,500
Applied Industrial Technologies,
Inc................................. 600 9,825
Astec Industries, Inc.*............... 600 15,225
Baldor Electric Co.................... 700 13,037
BEI Technologies, Inc................. 400 10,161
CARBO Ceramics, Inc................... 300 10,658
CFM Technologies, Inc.*............... 900 13,950
Flowserve Corp........................ 800 12,050
FSI International, Inc.*.............. 800 17,350
GaSonics International Corp.*......... 300 11,831
Gerber Scientific, Inc................ 700 8,050
Gulf Islands Fabrication, Inc.*....... 700 11,900
Intermet Corp......................... 1,000 6,875
Intevac, Inc.*........................ 1,300 4,956
JLG Industries, Inc................... 900 10,688
Lufkin Industries, Inc................ 700 11,112
Milacron, Inc......................... 3,500 50,750
National-Oilwell, Inc.*............... 541 17,785
Powell Industries, Inc.*.............. 1,200 11,700
Presstek, Inc.*....................... 700 11,419
Sauer, Inc............................ 2,700 26,662
Semitool, Inc.*....................... 600 10,388
Specialty Equipment Cos., Inc.*....... 400 10,850
SpeedFam-IPEC, Inc.*.................. 600 10,913
Stewart & Stevenson Services, Inc..... 1,100 16,569
Tennant Co............................ 300 11,250
Terex Corp.*.......................... 800 11,300
</TABLE>
35
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
--------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
Thomas Industries, Inc................ 500 $ 8,844
Woodward Governor Co.................. 400 11,325
-----------
389,923
-----------
MANUFACTURING -- 0.3%
Applied Films Corp.*.................. 400 14,650
JAKKS Pacific, Inc.*.................. 600 8,850
Polymer Group, Inc.................... 1,000 9,250
Rayovac Corp.*........................ 500 11,188
-----------
43,938
-----------
METALS & MINING -- 0.5%
A.M. Castle & Co...................... 700 5,819
Amcast Industrial Corp................ 1,000 8,750
AMCOL International Corp.............. 800 13,200
Brush Engineered Materials, Inc....... 700 10,937
MAXXAM, Inc.*......................... 400 7,100
USEC, Inc............................. 2,600 12,025
Wolverine Tube, Inc.*................. 700 11,900
-----------
69,731
-----------
MULTIMEDIA -- 0.5%
LodgeNet Entertainment Corp.*......... 400 9,700
USA Networks, Inc.*................... 2,376 51,381
YouthStream Media Networks, Inc.*..... 500 2,969
-----------
64,050
-----------
OFFICE FURNISHINGS & SUPPLIES -- 0.4%
Global Imaging Systems, Inc.*......... 600 6,300
Hunt Corp............................. 1,100 11,413
Interface, Inc........................ 2,800 10,675
New England Business Service, Inc..... 400 6,500
Standard Register Co.................. 500 7,125
Wallace Computer Services, Inc........ 1,200 11,850
-----------
53,863
-----------
OIL & GAS -- 3.8%
Atmos Energy Corp..................... 600 10,500
Atwood Oceanics, Inc.*................ 300 13,339
Basin Exploration, Inc.*.............. 1,100 19,662
Cal Dive International, Inc.*......... 300 16,256
Chesapeake Energy Corp.*.............. 2,000 15,500
Clayton Williams Energy, Inc.*........ 900 28,744
Cross Timbers Oil Co.................. 1,000 22,125
Detroit Diesel Corp................... 700 10,325
EnergyNorth, Inc...................... 200 11,850
Forest Oil Corp.*..................... 1,100 17,531
Giant Industries, Inc.*............... 1,100 8,663
Grey Wolf, Inc.*...................... 3,300 16,500
Houston Exploration Co.*.............. 500 12,563
HS Resources, Inc.*................... 600 18,000
Key Production Co., Inc.*............. 1,200 21,000
New Jersey Resources Corp............. 400 15,225
Nuevo Energy Co.*..................... 600 11,325
Oceaneering International, Inc.*...... 700 13,300
Parker Drilling Co.*.................. 2,000 12,375
Pennaco Energy, Inc.*................. 900 14,737
Petroleum Development Corp.*.......... 1,800 9,225
<CAPTION>
SHARES VALUE+
<S> <C> <C>
--------------------------------------------------------------
Plains Resources, Inc.*............... 700 $ 11,200
Prima Energy Corp.*................... 300 16,050
SEACOR SMIT, Inc.*.................... 300 11,606
SEMCO Energy, Inc..................... 900 11,700
Southwestern Energy Co................ 1,500 9,375
St. Mary Land & Exploration Co........ 300 12,619
Superior Energy Services, Inc.*....... 1,200 12,450
Swift Energy Co.*..................... 400 11,350
Tesoro Petroleum Corp.*............... 1,000 10,125
Tom Brown, Inc.*...................... 700 16,144
TransMontaigne, Inc.*................. 900 5,513
Trico Marine Services, Inc.*.......... 1,000 12,750
UGI Corp.............................. 500 10,250
Unit Corp.*........................... 1,100 14,850
UTI Energy Corp.*..................... 400 16,050
Western Gas Resources, Inc............ 600 12,600
-----------
513,377
-----------
PERSONAL CARE -- 0.2%
Chattem, Inc.*........................ 500 6,844
French Fragrances, Inc.*.............. 1,500 12,281
Guest Supply, Inc.*................... 700 12,731
-----------
31,856
-----------
PHOTO EQUIPMENT & SUPPLIES -- 0.1%
Concord Camera Corp.*................. 800 16,700
-----------
PUBLISHING -- 0.2%
Cadmus Communications Corp............ 1,000 9,750
Journal Register Co.*................. 900 16,425
Playboy Enterprises, Inc. Class B*.... 400 5,150
-----------
31,325
-----------
REAL ESTATE INVESTMENT TRUSTS -- 0.4%
Avatar Holdings, Inc.*................ 500 11,500
Castle & Cooke, Inc.*................. 700 13,519
Jones Lang LaSalle, Inc.*............. 900 12,037
LNR Property Corp..................... 500 9,750
Trammell Crow Co.*.................... 700 7,525
-----------
54,331
-----------
RESTAURANTS -- 1.4%
Bob Evans Farms, Inc.................. 800 11,950
Buffets, Inc.*........................ 1,200 15,225
CBRL Group, Inc....................... 1,200 17,625
CKE Restaurants, Inc.................. 1,500 4,500
Dave & Buster's, Inc.*................ 1,400 8,750
IHOP Corp.*........................... 600 10,050
Landry's Seafood Restaurants, Inc..... 1,500 12,750
Lone Star Steakhouse & Saloon, Inc.... 1,100 11,137
O'Charley's, Inc.*.................... 800 10,900
P.F. Chang's China Bistro, Inc.*...... 400 12,775
RARE Hospitality International,
Inc.*............................... 1,200 33,900
Ruby Tuesday, Inc..................... 1,200 15,075
Ryan's Family Steak Houses, Inc.*..... 1,200 10,125
Sonic Corp.*.......................... 400 11,750
-----------
186,512
-----------
RETAIL -- FOOD -- 0.4%
Delhaize America, Inc. Class A........ 800 14,150
</TABLE>
36
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
--------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
RETAIL (CONTINUED)
Morrison Management Specialists,
Inc................................. 440 $ 12,403
Ruddick Corp.......................... 900 10,631
Smart & Final, Inc.*.................. 1,500 11,531
Wild Oats Markets, Inc.*.............. 600 7,538
-----------
56,253
-----------
RETAIL -- GENERAL -- 0.6%
Ames Department Stores, Inc.*......... 600 4,650
Bebe stores, Inc.*.................... 500 4,188
Casey's General Stores, Inc........... 1,100 11,412
Duane Reade, Inc.*.................... 500 12,875
Factory 2-U Stores, Inc.*............. 400 15,125
PriceSmart, Inc.*..................... 300 11,400
ShopKo Stores, Inc.*.................. 600 9,225
Value City Department Stores, Inc.*... 1,000 9,500
-----------
78,375
-----------
RETAIL -- SPECIALTY -- 2.1%
American Eagle Outfitters, Inc.*...... 900 12,600
Burlington Coat Factory Warehouse
Corp................................ 900 9,731
Chico's FAS, Inc.*.................... 500 10,045
Children's Place Retail Stores,
Inc.*............................... 500 9,982
Cost Plus, Inc.*...................... 400 11,475
Deb Shops, Inc........................ 700 8,750
Discount Auto Parts, Inc.*............ 1,000 10,000
Flooring America, Inc.*............... 1,900 0
Genesco, Inc.*........................ 700 11,244
Goody's Family Clothing, Inc.*........ 3,300 18,150
Group 1 Automotive, Inc.*............. 600 7,200
Heilig-Meyers Co...................... 5,000 5,938
Hines Horticulture, Inc.*............. 2,200 14,987
Hollywood Entertainment Corp.*........ 900 7,088
Hot Topic, Inc.*...................... 400 12,800
J.Baker, Inc.......................... 1,400 8,137
Pep Boys -- Manny, Moe & Jack......... 1,100 6,600
PETsMART, Inc.*....................... 2,200 7,425
Pier 1 Imports, Inc................... 1,900 18,525
Regis Corp............................ 800 10,000
Right Start, Inc.*.................... 600 2,738
Rush Enterprises, Inc.*............... 700 3,894
Shop At Home, Inc.*................... 2,800 13,081
Sunglass Hut International, Inc.*..... 900 7,397
Systemax, Inc.*....................... 1,100 4,263
Transport World Entertainment
Corp.*.............................. 1,000 12,125
Tuesday Morning Corp.*................ 800 8,400
Wet Seal, Inc.*....................... 1,100 14,437
Wilsons The Leather Experts, Inc.*.... 900 13,219
-----------
280,231
-----------
STEEL -- 0.8%
Bethlehem Steel Corp.*................ 3,000 10,687
Carpenter Technology Corp............. 400 8,450
Material Sciences Corp.*.............. 900 9,000
Maverick Tube Corp.*.................. 500 14,562
Reliance Steel & Aluminum Co.......... 600 11,475
Roanoke Electric Steel Corp........... 600 7,500
Ryerson Tull, Inc..................... 500 5,188
<CAPTION>
SHARES VALUE+
<S> <C> <C>
--------------------------------------------------------------
Steel Dynamics, Inc.*................. 1,000 $ 9,063
Valmont Industries, Inc............... 700 13,912
Weirton Steel Corp.*.................. 1,700 5,525
WHX Corp.*............................ 1,600 8,800
-----------
104,162
-----------
TELECOMMUNICATIONS -- 4.2%
Anaren Microwave, Inc.*............... 450 59,055
APAC Telecommunications Corp.*........ 1,400 15,488
Applied Digital Solutions, Inc.*...... 1,400 4,725
Aware, Inc.*.......................... 400 20,450
CFW Communications Co................. 300 11,250
Communications Systems, Inc........... 900 13,725
CT Communications, Inc................ 400 11,375
e.spire Communications, Inc.*......... 1,000 6,750
eGlobe, Inc.*......................... 2,700 8,100
Global Crossing Ltd.*................. 4,334 114,038
Hickory Tech Corp..................... 700 8,531
International FiberCom, Inc.*......... 600 15,300
Lightbridge, Inc.*.................... 500 11,938
Natural MicroSystems Corp.*........... 300 33,731
Optical Cable Corp.*.................. 1,900 57,475
Osicom Technologies, Inc.*............ 1,000 84,625
Proxim, Inc.*......................... 200 19,794
PTEK Holdings, Inc.*.................. 2,800 9,100
Rural Celluar Corp. Class A*.......... 200 15,313
Smith Micro Software, Inc.*........... 500 3,156
Startec Global Communications
Corp.*.............................. 500 5,344
Telscape International, Inc.*......... 800 5,400
Tollgrade Communications, Inc.*....... 200 26,500
Wireless Telecom Group, Inc.*......... 1,900 5,700
-----------
566,863
-----------
TEXTILE & APPAREL -- 1.3%
Brown Shoe Co., Inc................... 900 11,700
Charming Shoppes, Inc.*............... 2,000 10,187
Columbia Sportswear Co.*.............. 500 13,437
G & K Services, Inc. Class A.......... 400 10,025
Global Sports, Inc.*.................. 600 3,863
Haggar Corp........................... 800 9,400
Kellwood Co........................... 600 12,675
Nautica Enterprises, Inc.*............ 1,000 10,687
Oshkosh B' Gosh, Inc. Class A......... 1,400 22,925
Phillips-Van Heusen Corp.............. 1,400 13,300
Quiksilver, Inc.*..................... 700 10,894
Reebok International Ltd.*............ 1,100 17,531
Steven Madden Ltd.*................... 600 3,938
Stride Rite Corp...................... 1,400 8,575
Vans, Inc.*........................... 700 10,237
Wolverine World Wide, Inc............. 900 8,888
-----------
178,262
-----------
TOOLS-HAND HELD -- 0.1%
Toro Co............................... 300 9,881
-----------
TRANSPORTATION -- 2.3%
American Freightways Corp.*........... 600 8,700
Circle International Group, Inc....... 1,800 45,225
Consolidated Freightways Corp.*....... 2,400 9,750
Forward Air Corp.*.................... 400 16,000
</TABLE>
37
<PAGE>
--------------------------------------------------------------------------------
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS -- AS OF JUNE 30, 2000 (Continued)
<TABLE>
--------------------------------------------------------------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
COMMON STOCKS (CONTINUED)
TRANSPORTATION (CONTINUED)
Fritz Companies, Inc.*................ 1,100 $ 11,344
Interpool, Inc........................ 2,700 26,325
J.B. Hunt Transport Services, Inc..... 700 10,806
Kirby Corp.*.......................... 500 10,625
Knight Transportation, Inc.*.......... 800 11,650
Landstar Systems, Inc.*............... 200 11,913
M.S. Carriers, Inc.*.................. 400 7,050
Offshore Logistics, Inc.*............. 1,100 15,812
Overseas Shipholding Group, Inc....... 700 17,237
RailAmerica, Inc.*.................... 1,200 7,650
Roadway Express, Inc.................. 600 14,063
Werner Enterprises, Inc............... 900 10,406
Wisconsin Central Transportation
Corp.*.............................. 1,000 13,000
XTRA Corp............................. 1,300 51,269
Yellow Corp.*......................... 800 11,800
-----------
310,625
-----------
UTILITIES -- 1.9%
Avista Corp........................... 700 12,206
California Water Service Group........ 400 9,700
Cascade Natural Gas Corp.............. 600 10,013
CH Energy Group, Inc.................. 300 10,283
Chesapeake Utilities Corp............. 600 10,650
CTG Resources, Inc.................... 300 11,006
E' Town Corp.......................... 200 13,288
El Paso Electric Co.*................. 1,200 13,425
Empire District Electric Co........... 500 11,031
Energen Corp.......................... 600 13,088
FuelCell Energy, Inc.*................ 200 13,812
Ionics, Inc.*......................... 500 15,312
Madison Gas and Electric Co........... 500 9,875
Middlesex Water Co.................... 500 14,312
Northwest Natural Gas Co.............. 500 11,188
NorthWestern Corp..................... 500 11,563
NUI Corp.............................. 400 10,800
Otter Tail Power Co................... 500 10,500
Parker-Hannifin Corp.................. 216 7,398
UniSource Energy Corp.*............... 1,000 15,000
United Illuminating Co................ 300 13,125
Unitil Corp........................... 500 13,344
-----------
260,919
-----------
<CAPTION>
SHARES VALUE+
<S> <C> <C>
--------------------------------------------------------------
WASTE MANAGEMENT -- 0.2%
Casella Waste Systems, Inc. Class
A*.................................. 1,300 $ 13,975
IMCO Recycling, Inc................... 1,700 9,244
-----------
23,219
-----------
TOTAL COMMON STOCKS
(Identified Cost $11,940,874)....... 13,515,639
-----------
RIGHTS -- 0.0%
HEALTH CARE -- PRODUCTS -- 0.0%
Elan Corp. Plc*....................... 800 400
-----------
TOTAL RIGHTS
(Identified Cost $320).............. 400
-----------
SHORT TERM INVESTMENTS -- 2.5%
OTHER -- 2.5%
SSgA Government Money Market Fund..... 84,418 84,418
SSgA Money Market Fund................ 252,470 252,470
-----------
TOTAL SHORT TERM INVESTMENTS
(Identified Cost $336,888).......... 336,888
-----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
--------------------------------------------------------------
TOTAL INVESTMENTS -- 102.3%
(IDENTIFIED COST $12,278,082)#.................. 13,852,927
Liabilities, Less Cash and Other Assets --
(2.3%)........................................ (305,103)
----------
NET ASSETS -- 100%................................ $13,547,824
==========
</TABLE>
+ See Note 1.
* Non-income producing security
# At June 30, 2000, the aggregate cost of investment securities for income
tax purposes was $12,278,082. Net unrealized appreciation aggregated
$1,574,844, of which $3,050,671 related to appreciated investment
securities and $1,475,827 related to depreciated investment securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
38
<PAGE>
(This page has been left blank intentionally.)
39
<PAGE>
--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES -- JUNE 30, 2000
<TABLE>
<CAPTION>
SA SA INTERNATIONAL
FIXED INCOME HBtM
FUND Fund
<S> <C> <C>
---------------------------------------------------------
ASSETS
Investments in
securities, at market $21,850,103 $36,378,369
Short-term investments
(at amortized cost) 4,355,297 1,810,928
Cash 158 616
Foreign Currency 57,275 503,217
Receivable for
investments sold -- 74,655
Dividends and interest
receivable 505,986 71,652
Receivable for fund
shares sold 77,071 64,272
Receivable for foreign
currency exchange
contracts (Note 2) 91,731 --
Receivable due from
advisor (Note 2) 55,598 46,481
Receivable for foreign
tax reclaims -- 35,055
----------- -----------
TOTAL ASSETS 26,993,219 38,985,245
----------- -----------
LIABILITIES
Payable for investments
purchased 599,972 4,469
Payable for fund shares
redeemed 18,152 14,780
Advisory fee payable
(Note 2) 17,243 25,362
Administration fee
payable (Note 2) -- 118
Shareholder servicing
fee payable (Note 2) 2,738 4,214
Accrued expenses and
other liabilities 95,001 98,085
----------- -----------
TOTAL LIABILITIES 733,106 147,028
----------- -----------
NET ASSETS $26,260,113 $38,838,217
=========== ===========
NET ASSETS CONSIST OF:
Capital paid in $26,235,413 $37,538,717
Undistributed net
investment income 441,798 202,381
Accumulated net
realized gain/(loss) (26,845) 30,015
Net unrealized
appreciation/(depreciation)
on:
Investments (480,144) 1,062,232
Foreign currency
translations 89,891 4,872
----------- -----------
NET ASSETS $26,260,113 $38,838,217
=========== ===========
CLASS S:
Net assets $11,095,274 $17,645,853
Shares outstanding (par
value) 1,104,158 1,768,492
Net asset value per share $ 10.05 $ 9.98
CLASS I:
Net assets $15,164,839 $21,192,364
Shares outstanding (par
value) 1,509,751 2,122,031
Net asset value per share $ 10.04 $ 9.99
IDENTIFIED COST OF
INVESTMENTS $26,685,544 $37,127,065
COST OF FOREIGN CURRENCY $ 57,617 $ 499,659
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
40
<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 $10,691,458 $13,256,427 $31,708,817 $13,516,039
Short-term investments
(at amortized cost) -- 404,808 1,410,512 336,888
Cash 2,893 320 12,978 295
Foreign Currency -- -- -- --
Receivable for
investments sold -- -- 12,000 --
Dividends and interest
receivable -- 25,548 30,042 9,535
Receivable for fund
shares sold 21,107 27,433 63,735 26,972
Receivable for foreign
currency exchange
contracts (Note 2) -- -- -- --
Receivable due from
advisor (Note 2) 62,759 60,523 84,134 75,770
Receivable for foreign
tax reclaims -- -- -- --
----------- ----------- ----------- -----------
TOTAL ASSETS 10,778,217 13,775,059 33,322,218 13,965,499
----------- ----------- ----------- -----------
LIABILITIES
Payable for investments
purchased -- 280,700 1,358,747 312,348
Payable for fund shares
redeemed 4,363 3,914 10,975 4,741
Advisory fee payable
(Note 2) 6,877 9,456 20,951 8,615
Administration fee
payable (Note 2) -- -- 250 --
Shareholder servicing
fee payable (Note 2) 1,173 1,621 3,667 1,514
Accrued expenses and
other liabilities 80,922 87,649 93,768 90,457
----------- ----------- ----------- -----------
TOTAL LIABILITIES 93,335 383,340 1,488,358 417,675
----------- ----------- ----------- -----------
NET ASSETS $10,684,882 $13,391,719 $31,833,860 $13,547,824
=========== =========== =========== ===========
NET ASSETS CONSIST OF:
Capital paid in $10,472,426 $14,300,268 $29,864,096 $11,940,650
Undistributed net
investment income -- 91,355 39,969 --
Accumulated net
realized gain/(loss) 131,282 63,322 43,902 32,330
Net unrealized
appreciation/(depreciation)
on:
Investments 81,174 (1,063,226) 1,885,893 1,574,844
Foreign currency
translations -- -- -- --
----------- ----------- ----------- -----------
NET ASSETS $10,684,882 $13,391,719 $31,833,860 $13,547,824
=========== =========== =========== ===========
CLASS S:
Net assets $ 5,072,064 $ 6,404,603 $15,645,567 $ 6,711,326
Shares outstanding (par
value) 487,433 743,055 1,352,677 534,825
Net asset value per share $ 10.41 $ 8.62 $ 11.57 $ 12.55
CLASS I:
Net assets $ 5,612,818 $ 6,987,116 $16,188,293 $ 6,836,498
Shares outstanding (par
value) 538,410 810,315 1,396,487 543,428
Net asset value per share $ 10.42 $ 8.62 $ 11.59 $ 12.58
IDENTIFIED COST OF
INVESTMENTS $10,610,284 $14,724,461 $31,233,435 $12,278,082
COST OF FOREIGN CURRENCY -- -- -- --
</TABLE>
41
<PAGE>
--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS -- JUNE 30, 2000
<TABLE>
<CAPTION>
SA SA INTERNATIONAL
FIXED INCOME HBtM
FUND* Fund**
<S> <C> <C>
---------------------------------------------------------
INVESTMENT INCOME
INCOME:
Dividends $ -- $ 563,198
Interest 799,980 79,232
Less: Foreign taxes
withheld (564) (66,764)
--------- ----------
TOTAL INCOME 799,416 575,666
--------- ----------
EXPENSES:
Advisory fees
(Note 2) 126,955 132,114
Sub-Advisory fees
(Note 2) 28,378 59,063
Shareholder service
fees (S Class)
(Note 2) 11,816 18,559
Shareholder service
fees (I Class)
(Note 2) 5,087 4,055
Administration fees
(Note 2) 14,936 15,543
Sub-Administration
fees (Note 2) 105,295 103,635
Trustees fees and
expenses (Note 2) 4,935 4,935
Custody and
accounting fees
(Note 2) 86,160 152,570
Transfer agent fees
(S Class) 18,496 27,333
Transfer agent fees
(I Class) 33,807 24,970
Audit fees 27,628 27,056
Legal fees 3,293 3,293
Registration fees 41,573 41,002
Organization costs 23,812 23,811
Other expenses 9,690 9,535
--------- ----------
TOTAL EXPENSES BEFORE
WAIVERS AND
REIMBURSEMENTS: 541,861 647,474
Less: Expenses waived
or borne by the
Advisor (Note 2) (320,543) (330,510)
Less: Expenses waived
by the
Sub-Administrator,
Custodian and
accounting agent
(Note 2) (59,814) (59,814)
--------- ----------
NET EXPENSES 161,504 257,150
--------- ----------
NET INVESTMENT INCOME
(LOSS) 637,912 318,516
--------- ----------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS
REALIZED GAIN (LOSS)
ON:
Investments (127,321) 30,015
Foreign currency
transactions 541,134 (33,971)
INCREASE (DECREASE)
IN UNREALIZED
APPRECIATION
(DEPRECIATION) ON:
Investments (480,144) 1,062,232
Foreign currency
translations 89,891 4,872
--------- ----------
Net realized and
unrealized gain
(loss) on
investments and
change in
unrealized
appreciation
(depreciation) 23,560 1,063,148
--------- ----------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS $ 661,472 $1,381,664
========= ==========
</TABLE>
* From commencement of operations, July 29, 1999.
** From commencement of operations, August 5, 1999.
SEE NOTES TO FINANCIAL STATEMENTS
42
<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 $ 91,309 $ 148,940 $ 165,799 $ 43,504
Interest -- 21,227 36,183 19,450
Less: Foreign taxes
withheld -- (57) -- --
--------- ----------- ---------- ----------
TOTAL INCOME 91,309 170,110 201,982 62,954
--------- ----------- ---------- ----------
EXPENSES:
Advisory fees
(Note 2) 36,672 53,655 113,956 48,877
Sub-Advisory fees
(Note 2) -- 17,043 6,703 21,851
Shareholder service
fees (S Class)
(Note 2) 5,161 7,627 17,157 7,077
Shareholder service
fees (I Class)
(Note 2) 1,124 1,632 3,272 1,460
Administration fees
(Note 2) 4,314 6,312 13,407 5,750
Sub-Administration
fees (Note 2) 103,350 103,247 103,957 103,091
Trustees fees and
expenses (Note 2) 4,934 4,935 4,935 4,935
Custody and
accounting fees
(Note 2) 62,177 78,897 102,839 102,988
Transfer agent fees
(S Class) 25,691 26,213 28,824 26,659
Transfer agent fees
(I Class) 26,613 26,090 23,479 25,644
Audit fees 27,056 27,056 27,056 27,056
Legal fees 3,293 3,341 3,293 3,293
Registration fees 37,877 38,610 40,164 38,201
Organization costs 23,811 23,812 23,812 23,811
Other expenses 9,535 9,536 9,535 9,535
--------- ----------- ---------- ----------
TOTAL EXPENSES BEFORE
WAIVERS AND
REIMBURSEMENTS: 371,608 428,006 522,389 450,228
Less: Expenses waived
or borne by the
Advisor (Note 2) (251,190) (288,927) (299,745) (309,431)
Less: Expenses waived
by the
Sub-Administrator,
Custodian and
accounting agent
(Note 2) (59,814) (59,815) (59,967) (59,813)
--------- ----------- ---------- ----------
NET EXPENSES 60,604 79,264 162,677 80,984
--------- ----------- ---------- ----------
NET INVESTMENT INCOME
(LOSS) 30,705 90,846 39,305 (18,030)
--------- ----------- ---------- ----------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS
REALIZED GAIN (LOSS)
ON:
Investments 192,969 63,322 43,902 50,325
Foreign currency
transactions -- -- -- --
INCREASE (DECREASE)
IN UNREALIZED
APPRECIATION
(DEPRECIATION) ON:
Investments 81,174 (1,063,226) 1,885,893 1,574,844
Foreign currency
translations -- -- -- --
--------- ----------- ---------- ----------
Net realized and
unrealized gain
(loss) on
investments and
change in
unrealized
appreciation
(depreciation) 274,143 (999,904) 1,929,795 1,625,169
--------- ----------- ---------- ----------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS $ 304,848 $ (909,058) $1,969,100 $1,607,139
========= =========== ========== ==========
</TABLE>
* From commencement of operations, July 29, 1999.
** From commencement of operations, August 5, 1999.
43
<PAGE>
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS -- FOR THE PERIOD ENDED JUNE 30, 2000*
<TABLE>
<CAPTION>
SA SA INTERNATIONAL
FIXED INCOME HBtM
FUND* Fund**
<S> <C> <C>
---------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS
OPERATIONS:
Net investment income
(loss) $ 637,912 $ 318,516
Net realized gain
(loss) on
investments and
foreign currency
transactions 413,813 (3,956)
Net increase
(decrease) in
unrealized
appreciation
(depreciation) (390,253) 1,067,104
----------- -----------
Net increase
(decrease) from
operations 661,472 1,381,664
----------- -----------
DISTRIBUTION TO
SHAREHOLDERS FROM:
Net investment income
Class S (206,380) (25,889)
Class I (430,392) (37,689)
Net realized gains
Class S -- --
Class I -- --
----------- -----------
TOTAL DISTRIBUTIONS (636,772) (63,578)
----------- -----------
SHARE TRANSACTIONS
Proceeds from sale of
shares
Class S 18,847,826 19,325,531
Class I 15,482,141 20,976,901
Value of
distributions
reinvested
Class S 186,666 25,526
Class I 427,262 37,689
Cost of shares
redeemed
Class S (1,970,358) (2,254,486)
Class I (6,788,124) (601,030)
----------- -----------
TOTAL SHARE
TRANSACTIONS 26,185,413 37,510,131
Shareholder
transaction fees
(Note 2) -- --
----------- -----------
Net increase (decrease)
from share
transactions 26,185,413 37,510,131
----------- -----------
TOTAL INCREASE
(DECREASE) IN NET
ASSETS 26,210,113 38,828,217
NET ASSETS
Beginning of period 50,000 10,000
----------- -----------
End of period $26,260,113 $38,838,217
=========== ===========
UNDISTRIBUTED NET
INVESTMENT INCOME, END
OF PERIOD $ 441,798 $ 202,381
CAPITAL SHARE
TRANSACTIONS:
CLASS S:
Shares sold by
subscription 1,879,337 2,009,067
Issued for
distributions
reinvested 18,640 2,608
Shares redeemed (196,319) (243,683)
----------- -----------
Net increase (decrease)
in fund shares 1,701,658 1,767,992
=========== ===========
CLASS I:
Shares sold by
subscription 2,140,747 2,181,176
Issued for
distributions
reinvested 42,704 3,846
Shares redeemed (676,200) (63,491)
----------- -----------
Net increase (decrease)
in fund shares 1,507,251 2,121,531
=========== ===========
</TABLE>
* From commencement of operations, July 29, 1999.
** From commencement of operations, August 5, 1999.
SEE NOTES TO FINANCIAL STATEMENTS
44
<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) $ 30,705 $ 90,846 $ 39,305 $ (18,030)
Net realized gain
(loss) on
investments and
foreign currency
transactions 192,969 63,322 43,902 50,325
Net increase
(decrease) in
unrealized
appreciation
(depreciation) 81,174 (1,063,226) 1,885,893 1,574,844
----------- ----------- ----------- -----------
Net increase
(decrease) from
operations 304,848 (909,058) 1,969,100 1,607,139
----------- ----------- ----------- -----------
DISTRIBUTION TO
SHAREHOLDERS FROM:
Net investment income
Class S (40,786) -- -- --
Class I (51,606) -- -- --
Net realized gains
Class S -- -- -- --
Class I -- -- -- --
----------- ----------- ----------- -----------
TOTAL DISTRIBUTIONS (92,392) -- -- --
----------- ----------- ----------- -----------
SHARE TRANSACTIONS
Proceeds from sale of
shares
Class S 5,978,947 7,917,425 16,914,276 7,105,475
Class I 5,640,710 7,771,314 16,340,573 6,869,906
Value of
distributions
reinvested
Class S 40,128 -- -- --
Class I 51,605 -- -- --
Cost of shares
redeemed
Class S (1,087,109) (1,055,665) (2,306,344) (1,233,256)
Class I (239,486) (342,297) (1,093,745) (811,440)
----------- ----------- ----------- -----------
TOTAL SHARE
TRANSACTIONS 10,384,795 14,290,777 29,854,760 11,930,685
Shareholder
transaction fees
(Note 2) 77,631 -- -- --
----------- ----------- ----------- -----------
Net increase (decrease)
from share
transactions 10,462,426 14,290,777 29,854,760 11,930,685
----------- ----------- ----------- -----------
TOTAL INCREASE
(DECREASE) IN NET
ASSETS 10,674,882 13,381,719 31,823,860 13,537,824
NET ASSETS
Beginning of period 10,000 10,000 10,000 10,000
----------- ----------- ----------- -----------
End of period $10,684,882 $13,391,719 $31,833,860 $13,547,824
=========== =========== =========== ===========
UNDISTRIBUTED NET
INVESTMENT INCOME, END
OF PERIOD $ -- $ 91,355 $ 39,969 $ --
CAPITAL SHARE
TRANSACTIONS:
CLASS S:
Shares sold by
subscription 588,817 867,160 1,560,286 632,762
Issued for
distributions
reinvested 4,078 -- -- --
Shares redeemed (105,962) (124,605) (208,109) (98,437)
----------- ----------- ----------- -----------
Net increase (decrease)
in fund shares 486,933 742,555 1,352,177 534,325
=========== =========== =========== ===========
CLASS I:
Shares sold by
subscription 556,108 846,965 1,491,978 610,751
Issued for
distributions
reinvested 5,245 -- -- --
Shares redeemed (23,443) (37,150) (95,991) (67,823)
----------- ----------- ----------- -----------
Net increase (decrease)
in fund shares 537,910 809,815 1,395,987 542,928
=========== =========== =========== ===========
</TABLE>
* From commencement of operations, July 29, 1999.
** From commencement of operations, August 5, 1999.
45
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SA FIXED
INCOME FUND
--------------------------------------------------------------
(S CLASS) (I CLASS)
2000* 2000*
<S> <C> <C>
Net Asset Value, Beginning of Period $ 10.00 $ 10.00
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss) 0.31 0.35
Net realized and unrealized gain
(loss) on securities 0.06 0.03
------- -------
Total from Investment Operations 0.37 0.38
------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income (0.32) (0.34)
Distributions from capital gains 0.00 0.00
------- -------
Total Distributions (0.32) (0.34)
------- -------
Net Asset Value, End of Period $ 10.05 $ 10.04
======= =======
Total Return (1) 3.76% 3.90%
Net Assets, End of Period (000s) $11,095 $15,165
Ratio of Net Expenses to Average Net
Assets (2) 1.26% 1.00%
Ratio of Gross Expenses to Average Net
Assets (2)(3) 3.55% 3.08%
Ratio of Net Investment Income to
Average Net Assets (2) 4.13% 4.35%
Portfolio Turnover Rate (1) 20% 20%
Without giving effect to the voluntary
expense Limitations described in Note
2 of the Financial Statements, net
investment income per Share would have
been (3) $ 0.14 $ 0.18
</TABLE>
* For the period from July 29, 1999 (commencement of operations) through
June 30, 2000.
(1) Periods less than one year are not annualized.
(2) Annualized for periods less than one year.
(3) Gross expenses before waivers and reimbursement of expenses.
SEE NOTES TO FINANCIAL STATEMENTS
46
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
SA INTERNATIONAL
HBTM FUND
--------------------------------------------------------------
(S CLASS) (I CLASS)
2000* 2000*
<S> <C> <C>
Net Asset Value, Beginning of Period $ 10.00 $ 10.00
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss) 0.10 0.11
Net realized and unrealized gain
(loss) on securities (0.09) (0.08)
------- -------
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) $17,646 $21,192
Ratio of Net Expenses to Average Net
Assets (2) 1.79% 1.53%
Ratio of Gross Expenses to Average Net
Assets (2)(3) 3.92% 3.66%
Ratio of Net Investment Income to
Average Net Assets (2) 1.86% 2.22%
Portfolio Turnover Rate (1) 2% 2%
Without giving effect to the voluntary
expense Limitations described in Note
2 of the Financial Statements, net
investment income per Share would have
been (3) $ (0.01) $ 0.00
</TABLE>
* For the period from August 5, 1999 (commencement of operations) through
June 30, 2000.
(1) Periods less than one year are not annualized.
(2) Annualized for periods less than one year.
(3) Gross expenses before waivers and reimbursement of expenses.
SEE NOTES TO FINANCIAL STATEMENTS
47
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
SA INTERNATIONAL SMALL
COMPANY FUND
----------------------------------------------------------------
(S CLASS) (I CLASS)
2000* 2000*
<S> <C> <C>
Net Asset Value, Beginning of Period $10.00 $10.00
------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss) 0.15 0.17
Net realized and unrealized gain
(loss) on securities 0.47 0.47
------ ------
Total from Investment Operations 0.62 0.64
------ ------
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 $10.41 $10.42
====== ======
Total Return (1) 5.63% 5.84%
Net Assets, End of Period (000s) $5,072 $5,613
Ratio of Net Expenses to Average Net
Assets (2) 1.54% 1.28%
Ratio of Gross Expenses to Average Net
Assets (2)(3) 7.38% 7.08%
Ratio of Net Investment Income to
Average Net Assets (2) 0.45% 0.95%
Portfolio Turnover Rate (1) 25% 25%
Without giving effect to the voluntary
expense Limitations described in Note
2 of the Financial Statements, net
investment income per Share would have
been (3) $(1.79) $(0.86)
</TABLE>
* For the period from August 5, 1999 (commencement of operations) through
June 30, 2000.
(1) Periods less than one year are not annualized.
(2) Annualized for periods less than one year.
(3) Gross expenses before waivers and reimbursement of expenses.
SEE NOTES TO FINANCIAL STATEMENTS
48
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
SA U.S.
HBtM Fund
--------------------------------------------------------------
(S CLASS) (I CLASS)
2000* 2000*
<S> <C> <C>
Net Asset Value, Beginning of Period $10.00 $10.00
------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss) 0.05 0.06
Net realized and unrealized gain
(loss) on securities (1.43) (1.44)
------ ------
Total from Investment Operations (1.38) (1.38)
------ ------
LESS DISTRIBUTIONS:
Dividends from net investment income -- --
Distributions from capital gains -- --
------ ------
Total Distributions 0.00 0.00
------ ------
Net Asset Value, End of Period $ 8.62 $ 8.62
====== ======
Total Return (1) (13.80)% (13.80)%
Net Assets, End of Period (000s) $6,405 $6,987
Ratio of Net Expenses to Average Net
Assets (2) 1.39% 1.13%
Ratio of Gross Expenses to Average Net
Assets (2)(3) 6.00% 5.67%
Ratio of Net Investment Income to
Average Net Assets (2) 1.30% 1.57%
Portfolio Turnover Rate (1) 3% 3%
Without giving effect to the voluntary
expense Limitations described in Note
2 of the Financial Statements, net
investment income per Share would have
been (3) $(0.14) $(0.12)
</TABLE>
* For the period from August 5, 1999 (commencement of operations) through
June 30, 2000.
(1) Periods less than one year are not annualized.
(2) Annualized for periods less than one year.
(3) Gross expenses before waivers and reimbursement of expenses.
SEE NOTES TO FINANCIAL STATEMENTS
49
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
SA U.S.
MARKET FUND
--------------------------------------------------------------
(S CLASS) (I CLASS)
2000* 2000*
<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 1.56 1.57
------- -------
Total from Investment Operations 1.57 1.59
------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income -- --
Distributions from capital gains -- --
------- -------
Total Distributions 0.00 0.00
------- -------
Net Asset Value, End of Period $ 11.57 $ 11.59
======= =======
Total Return (1) 15.60% 15.90%
Net Assets, End of Period (000s) $15,646 $16,188
Ratio of Net Expenses to Average Net
Assets (2) 1.34% 1.08%
Ratio of Gross Expenses to Average Net
Assets (2)(3) 3.56% 3.33%
Ratio of Net Investment Income to
Average Net Assets (2) 0.16% 0.43%
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 per Share would have
been (3) $ (0.10) $ (0.09)
</TABLE>
* For the period from August 5, 1999 (commencement of operations) through
June 30, 2000.
(1) Periods less than one year are not annualized.
(2) Annualized for periods less than one year.
(3) Gross expenses before waivers and reimbursement of expenses.
SEE NOTES TO FINANCIAL STATEMENTS
50
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
SA U.S.
SMALL COMPANY FUND
--------------------------------------------------------------
(S CLASS) (I CLASS)
2000* 2000*
<S> <C> <C>
Net Asset Value, Beginning of Period $10.00 $10.00
------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss) (0.02) (0.01)
Net realized and unrealized gain
(loss) on securities 2.57 2.59
------ ------
Total from Investment Operations 2.55 2.58
------ ------
LESS DISTRIBUTIONS:
Dividends from net investment income -- --
Distributions from capital gains -- --
------ ------
Total Distributions 0.00 (0.00)
------ ------
Net Asset Value, End of Period $12.55 $12.58
====== ======
Total Return (1) 25.50% 25.80%
Net Assets, End of Period (000s) $6,711 $6,836
Ratio of Net Expenses to Average Net
Assets (2) 1.54% 1.28%
Ratio of Gross Expenses to Average Net
Assets (2)(3) 6.96% 6.62%
Ratio of Net Investment Income to
Average Net Assets (2) (0.45)% (0.18)%
Portfolio Turnover Rate (1) 4% 4%
Without giving effect to the voluntary
expense Limitations described in Note
2 of the Financial Statements, net
investment income per Share would have
been (3) $(0.31) $(0.30)
</TABLE>
* For the period from August 5, 1999 (commencement of operations) through
June 30, 2000.
(1) Periods less than one year are not annualized.
(2) Annualized for periods less than one year.
(3) Gross expenses before waivers and reimbursement of expenses.
SEE NOTES TO FINANCIAL STATEMENTS
51
<PAGE>
--------------------------------------------------------------------------------
SA Funds
NOTES TO FINANCIAL STATEMENTS -- JUNE 30, 2000
--------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
SA Funds--Investment Trust (the "Trust") was organized as a Delaware
business trust on June 16, 1998 under the name RWB Funds--Investment Trust,
which was changed to the current name on June 7, 1999. The Agreement and
Declaration of Trust permits the Trust to offer separate portfolios ("Funds") of
shares of beneficial interest and different classes of shares of 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 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 November 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. Effective April 7, 2000, RWB Advisory Services Inc.
changed its name to Assante Asset Management 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.
52
<PAGE>
--------------------------------------------------------------------------------
SA Funds
NOTES TO FINANCIAL STATEMENTS -- JUNE 30, 2000 (Continued)
--------------------------------------------------------------------------------
Investments in the underlying funds of 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 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 when the contract is closed. Realized gain
or loss is recognized, 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.
53
<PAGE>
--------------------------------------------------------------------------------
SA Funds
NOTES TO FINANCIAL STATEMENTS -- JUNE 30, 2000 (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 June 30, 2000, 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>
Japanese Yen (sell)...... 7/10/2000 219,752,351 $2,091,287 $2,075,024 $ 16,263
Japanese Yen (sell)...... 7/10/2000 48,512,481 461,980 458,082 3,898
Australian Dollar
(sell)................. 7/19/2000 1,696,244 1,019,613 1,014,756 4,857
Euro (sell).............. 7/19/2000 7,066,266 6,798,172 6,754,606 43,566
British Pounds (sell).... 7/19/2000 313,685 471,491 474,815 (3,324)
Swedish Krona (sell)..... 7/19/2000 5,128,947 602,548 582,392 20,156
Canadian Dollar (sell)... 7/24/2000 1,922,760 1,305,203 1,299,968 5,235
Danish Krone (sell)...... 7/24/2000 5,537,767 710,471 709,391 1,080
--------
$ 91,731
========
</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. Interest income is recorded
on an accrual basis and includes amortization of discounts and premiums based on
the effective interest method. Gains and losses are determined on the identified
cost basis, which is the same as 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 their taxable income to their shareholders.
Therefore, no income tax provision is required.
At June 30, 2000, the SA Fixed Income Fund had available a capital loss
carryforward of $141 which will expire on June 30, 2008. The loss carryforward
is intended to be used to offset future capital gains.
54
<PAGE>
--------------------------------------------------------------------------------
SA Funds
NOTES TO FINANCIAL STATEMENTS -- JUNE 30, 2000 (Continued)
--------------------------------------------------------------------------------
As of June 30, 2000, the SA Fixed Income Fund has elected for Federal income
tax purposes to defer a $26,704 current year post October 31 capital loss as
though the loss was incurred on the first day of the next fiscal year.
DISTRIBUTIONS TO SHAREHOLDERS -- Each Fund, excluding the Fixed Income Fund,
declares and pays its 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 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 paid-in capital. 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 Services Agreement
with the Manager, an indirect, wholly-owned subsidiary of Assante Corporation
which is a publicly traded 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 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.
55
<PAGE>
--------------------------------------------------------------------------------
SA Funds
NOTES TO FINANCIAL STATEMENTS -- JUNE 30, 2000 (Continued)
--------------------------------------------------------------------------------
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 15, 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 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 June 30, 2000, the following amounts are subject to this
recapture through July 15, 2002.
<TABLE>
<CAPTION>
AMOUNT
SUBJECT TO
FUND RECAPTURE
---- ----------
<S> <C>
SA Fixed Income Fund.............................. $320,543
SA International HBtM Fund........................ 330,510
SA International Small Company Fund............... 251,190
SA U.S. HBtM Fund................................. 288,927
SA U.S. Market Fund............................... 299,745
SA U.S. Small Company Fund........................ 309,431
</TABLE>
The Trust and the Manager have entered into a Sub-Advisory Agreement with
Dimensional Fund Advisors Inc. ("DFA"). For the sub-advisory services provided
to each Fund (other than the International Small Company Fund), DFA is entitled
to a fee 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 does 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 receives advisory fees for
providing advisory services 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>
56
<PAGE>
--------------------------------------------------------------------------------
SA Funds
NOTES TO FINANCIAL STATEMENTS -- JUNE 30, 2000 (Continued)
--------------------------------------------------------------------------------
DFA has agreed to waive a portion of its sub-advisory fees through June 30,
2000. DFA has waived the following amounts in sub-advisory fees for each Fund:
<TABLE>
<CAPTION>
WAIVER
FUND AMOUNT
---- -------
<S> <C>
SA Fixed Income Fund.............................. $28,378
SA International HBtM Fund........................ 59,063
SA U.S. HBtM Fund................................. 17,043
SA U.S. Market Fund............................... 6,703
SA U.S. Small Company Fund........................ 21,851
</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 for the Trust, pursuant to a
sub-administration agreement (the "Sub-Administration Agreement") with the Trust
and 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.
During the first six months, State Street has agreed to waive its minimum
fee charges for sub-administration, custody and accounting fees subject to
certain requirements. The agreement states that if certain requirements are not
met, the Funds would repay State Street certain fees waived. As of June 30,
2000, the total fees waived and portion subject to repayment are $359,037 and
$103,683, respectively.
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 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.
57
<PAGE>
--------------------------------------------------------------------------------
SA Funds
NOTES TO FINANCIAL STATEMENTS -- JUNE 30, 2000 (Continued)
--------------------------------------------------------------------------------
3. PURCHASES AND SALES OF SECURITIES
Excluding short-term investments, purchases and sales of securities for the
period ended June 30, 2000 were as follows:
<TABLE>
<CAPTION>
PURCHASES
------------------------------
U.S. GOVERNMENT OTHER
--------------- -------------
<S> <C> <C>
SA Fixed Income Fund.................... $3,814,993 $21,247,723
SA International HBtM Fund.............. -- 35,583,697
SA International Small Company Fund..... -- 11,855,016
SA U.S. HBtM Fund....................... -- 14,509,591
SA U.S. Market Fund..................... -- 29,951,995
SA U.S. Small Company Fund.............. -- 12,144,011
</TABLE>
<TABLE>
<CAPTION>
SALES
------------------------------
U.S. GOVERNMENT OTHER
--------------- -------------
<S> <C> <C>
SA Fixed Income Fund.................... $ -- $ 2,492,351
SA International HBtM Fund.............. -- 297,236
SA International Small Company Fund..... -- 1,266,521
SA U.S. HBtM Fund....................... -- 253,260
SA U.S. Market Fund..................... -- 151,045
SA U.S. Small Company Fund.............. -- 253,142
</TABLE>
4. DISTRIBUTIONS
Through June 30, 2000, 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 Fixed Income Fund.......... 0.0723 0.0788 3/27/2000 3/28/2000
SA Fixed Income Fund.......... 0.0925 0.0991 6/26/2000 6/27/2000
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>
5. SUBSEQUENT EVENTS
Effective after the close of business on August 11, 2000, the S Class shares
of all SA Funds were recapitalized into I Class shares, such that the Funds no
longer have any S Class shares outstanding.
58
<PAGE>
--------------------------------------------------------------------------------
SA Funds
NOTES TO FINANCIAL STATEMENTS -- JUNE 30, 2000 (Continued)
--------------------------------------------------------------------------------
Effective August 15, 2000, the Manager has contractually agreed to waive a
portion of its management fee and to reimburse expenses to the extent necessary
to limit total operating expenses on the I Class shares of each Fund to the
amounts shown in the table below. This agreement will remain in effect until
August 15, 2002.
<TABLE>
<CAPTION>
CLASS I
EXPENSE
FUND LIMIT RATIO
---- -----------
<S> <C>
SA Fixed Income Fund.............................. 0.85%
SA International HBtM Fund........................ 1.45%
SA International Small Company Fund............... 1.28%
SA U.S. HBtM Fund................................. 1.05%
SA U.S. Market Fund............................... 0.92%
SA U.S. Small Company Fund........................ 1.25%
</TABLE>
6. BENEFICIAL INTEREST
The following table shows the number of shareholders each owning
beneficially or of record 5% or more of a class of shares of a Fund outstanding
as of June 30, 2000 and the total percentage of the class of shares of the Fund
held by such shareholder.
<TABLE>
<CAPTION>
5% OR GREATER SHAREHOLDERS
---------------------------
NUMBER % OF CLASS HELD
-------- -----------------
<S> <C> <C>
SA Fixed Income Fund -- Class S
Shares................................ 2 52.09%
SA Fixed Income Fund -- Class I
Shares................................ 8 72.98%
SA International HBtM Fund -- Class S
Shares................................ 2 58.62%
SA International HBtM Fund -- Class I
Shares................................ 2 46.12%
SA International Small Company Fund --
Class S Shares........................ 2 57.08%
SA International Small Company Fund --
Class I Shares........................ 3 50.56%
SA U.S. HBtM Fund -- Class S Shares..... 2 58.70%
SA U.S. HBtM Fund -- Class I Shares..... 3 54.36%
SA U.S. Market Fund -- Class S Shares... 2 60.94%
SA U.S. Market Fund -- Class I Shares... 2 55.10%
SA U.S. Small Company Fund -- Class S
Shares................................ 2 60.21%
SA U.S. Small Company Fund -- Class I
Shares................................ 2 53.56%
</TABLE>
TAX INFORMATION NOTICE (UNAUDITED)
For Federal income tax purposes, the following information is furnished with
respect to the distributions of the Funds for its fiscal year ended June 30,
2000:
FOREIGN TAX CREDITS -- The SA International HBtM Fund has made an election
under Internal Revenue Code Section 853 to pass through foreign taxes paid by
the Fund to its shareholders. For the year ended June 30, 2000,
59
<PAGE>
--------------------------------------------------------------------------------
SA Funds
NOTES TO FINANCIAL STATEMENTS -- JUNE 30, 2000 (Continued)
--------------------------------------------------------------------------------
the total amount of foreign taxes that will be passed through to shareholders
and the foreign source income for information reporting purposes will be $66,764
(all of which represents taxes withheld) and $564,058, respectively.
CAPITAL GAINS DISTRIBUTIONS -- On December 21, 1999, the SA International
Small Company Fund declared a distribution of $92,392 of which $50,148
represents long term capital gains.
CORPORATE DIVIDENDS RECEIVED DEDUCTION -- The following Funds paid
distributions from ordinary income that qualify for the corporate dividends
received deduction. The percentage that qualifies is noted below:
<TABLE>
<S> <C>
SA U.S. HBtM Fund................................. 93.80%
SA U.S. Market Fund............................... 100.00%
SA U.S. Small Company Fund........................ 100.00%
</TABLE>
60
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of
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
(collectively the "Funds")
In our opinion, the accompanying statements of assets and liabilities,
including the portfolios of investments, and the related statements of
operations and changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of the Funds at
June 30, 2000, and the results of their operations, the changes in their net
assets and the financial highlights for each of the periods then ended, in
conformity with accounting principles generally accepted in the United States.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audit. We conducted our audit of these financial statements in accordance
with auditing standards generally accepted in the United States which require
that we plan and perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by the Management, and evaluating the overall
financial statement presentation. We believe that our audit, which included
confirmation of securities at June 30, 2000 by correspondence with the custodian
and brokers provides a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers
San Francisco, California
August 23, 2000
61
