<PAGE> 1
********************
* *
* ANNUAL REPORT *
* MAY 31, 1996 *
* *
********************
AMERICAN
GENERAL
SERIES
PORTFOLIO
COMPANY
---------------------------------
<PAGE> 2
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AMERICAN GENERAL SERIES PORTFOLIO COMPANY ANNUAL REPORT MAY 31, 1996
- --------------------------------------------------------------------------------
TABLE OF CONTENTS
<TABLE>
<S> <C>
President's Letter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
Stock Index Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
MidCap Index Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
Small Cap Index Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
International Equities Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
Growth Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
Growth & Income Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
Science & Technology Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
Social Awareness Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
Timed Opportunity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
Capital Conservation Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
Government Securities Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
International Government Bond Fund . . . . . . . . . . . . . . . . . . . . . . . 75
Money Market Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . 82
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
Report of Independent Auditors . . . . . . . . . . . . . . . . . . . . . . . . . 93
</TABLE>
<PAGE> 3
================================================================================
AGSPC PRESIDENT'S LETTER
- --------------------------------------------------------------------------------
We are pleased to provide the May 31, 1996 Annual Report of the American
General Series Portfolio Company. This report details the investments of each
of the thirteen funds that comprise the American General Series Portfolio
Company and provides financial and performance information for each fund for
the fiscal year ended May 31, 1996.
Your variable annuity contract permits you to invest in one or more of the
funds described in this report. The funds that are available under your
contract are shown on the chart on page 4.
MARKET CONDITIONS
Domestic stock returns for the fiscal year ended May 31, 1996 were well above
long term trends. The Standard & Poor's 500 Stock Index provided a total return
of 28.43%. Bond returns were below historic standards even though the Federal
Reserve Board reduced interest rates three times during the year. The rate on
Federal Funds (the rate banks charge each other for loans to meet reserve
requirements) was reduced in one-quarter point increments on July 6, 1995,
December 19, 1995 and January 31, 1996. Nevertheless, the yield on the long
term U.S. Government bond increased from a low of 5.95% on December 29, 1995 to
6.99% on May 31, 1996. Rising long term yields during a period of lower short
term rates is attributed to investor expectations of a stronger economy. For
the year, the Merrill Lynch Corporate Master Bond index had a total return of
4.57% and the Lehman Bros. U.S. Treasury index returned 3.99%.
Economic forecasts are calling for a strong second quarter followed by a
deceleration for the balance of the year. The 100 basis point rise in interest
rates mentioned above should dampen consumer spending for the second half of
the year.
The stock market, measured by the Standard & Poor's 500 Index (S&P 500(R)),
trended upward throughout the year with a 7.95% return for the third calendar
quarter followed by a return of 6.02% in the fourth quarter. The market
leveled in the early months of 1996 but picked up again in May.
International returns, as measured by the Morgan Stanley Capital International
Index of Europe, Australia, and Far East (EAFE) reached 10.67%. The performance
of the EAFE Index reflected rallies in Japan and particularly in Europe. The
local returns were moderated by a gently rising dollar.
FUND RETURNS
INDEXED FUNDS
The Stock Index Fund and the MidCap Index Fund achieved positive tracking
within ten basis points of their respective indexes. The Small Cap Index Fund
achieved a total return of 34.5% but fell short of its index by 98 basis
points. International Equities Fund exceeded its index return by 89 basis
points.
MANAGED FUNDS
Returns among the growth oriented funds were notable when measured by historic
standards. Positions in major growth stocks and technology issues were the
prime factors in the above average performance for the year.
The AGSPC Growth Fund exceeded the S&P 500 by 19.86%. The diversification of
the fund between financial, consumer and business services proved to be a very
good strategy. A reduction in consumer services and increases in financial and
business services took place during the course of the year.
The AGSPC Growth & Income Fund returned 7.21% more than the S&P 500. The fund
benefited from good issue selection as evidenced by the technology sector where
networking and software stocks outperformed semiconductor stocks. Other areas
contributing to the outperformance were oil service, retail and apparel
related, tobacco and food retailers.
The AGSPC Science & Technology Fund surpassed the S&P 500 by 30.79%. Most of
the fund's absolute performance was generated during the first half of the
fiscal year when electronic technology stocks surged. In the second half of the
fiscal year the fund achieved much of its relative performance when investments
in the healthcare, data services, and telecom/media provided stability during a
difficult period for electronic technology stocks.
The Social Awareness Fund experienced a 0.98% tracking difference versus the
S&P 500. This performance is attributed to underweighting of aerospace, oil
refining and international oil. Overweighting of telephone, food, business
machines and oil service issues further contributed to the positive
performance.
1
<PAGE> 4
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AGSPC PRESIDENT'S LETTER -- CONTINUED
- --------------------------------------------------------------------------------
The Timed Opportunity Fund outperformed its benchmark of 55% stocks, 35% bonds
and 10% cash by 1.42%. Very positive stock returns more than made up for lesser
returns from bonds and cash. The asset allocations favored equity investments
during this period.
BOND FUNDS
The Capital Conservation Fund underperformed its index by 0.59% for the year.
Results in the declining interest rate environment of 1995 were positive while
the increased interest rates in the early months of 1996 exerted a negative
effect.
The Government Securities Fund experienced a negative tracking difference of
0.11% versus its index. Price sensitivity in excess of the index caused the
variance and adjustments have been made to improve results.
The International Government Bond Fund achieved a positive tracking difference
of 0.66% versus its index but both the fund and the index returns were
negative. The major international bond markets such as Japan, Germany and
France experienced both lower prices and weaker currencies. The fund
outperformed the index due to a slight overweight position in Australia, Italy,
Sweden and Spain. Those countries had bond rallies and stable currencies.
FUTURE OUTLOOK
The U.S. economic performance for the first half of 1996 has exceeded
expectations. The 2.2% gain in Gross Domestic Product (GDP) reported for the
first quarter is expected to be followed by an increase of 4% for the second
quarter. The 100 basis point increase in interest rates in recent months should
dampen economic growth in the second half of the year. For the fourth quarter,
projections are in the area of 1% GDP growth. Only modest progress for the
first half of 1997 should permit a reduction in interest rates. Some forecasts
are calling for a long term Treasury bond yield of less than 6.5%. Generally, a
lower interest rate setting and modest economic growth have been positive for
investors.
Respectfully,
/s/ STEPHEN D. BICKEL
Stephen D. Bickel, President
American General Series Portfolio Company
July 12, 1996
2
<PAGE> 5
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AGSPC PRESIDENT'S LETTER -- CONTINUED
- --------------------------------------------------------------------------------
FUND RETURNS AND TRACKING DIFFERENCES
FOR THE TWELVE MONTHS ENDED MAY 31, 1996
<TABLE>
<CAPTION>
(1) (2) (3) (4) (5)
FUND TOTAL
PERFORMANCE INDEX
BEFORE RETURN
SUBTRACTING INCLUDING TRACKING
FUND FUND EXPENSES REINVESTED DIFFERENCE
AGSPC FUND/RELEVANT MARKET INDEX RETURN(A) EXPENSES (1) + (2) DIVIDENDS (3) -- (4)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INDEXED FUNDS:
Stock Index Fund / S&P 500 . . . . . . . . . . . . . . . . . . . . 28.17% 0.35% 28.52% 28.43% 0.09%
MidCap Index Fund / Standard & Poor's MidCap 400 . . . . . . . . . 28.10 0.41 28.51 28.45 0.06
Small Cap Index Fund / Russell 2000(R) . . . . . . . . . . . . . . 34.50 0.41 34.91 35.89 (0.98)
International Equities Fund / EAFE . . . . . . . . . . . . . . . . 11.14 0.42 11.56 10.67 0.89
MANAGED FUNDS:
Growth Fund / S&P 500 . . . . . . . . . . . . . . . . . . . . . . . 47.46 0.83 48.29 28.43 19.86
Growth & Income Fund / S&P 500 . . . . . . . . . . . . . . . . . . 34.85 0.79 35.64 28.43 7.21
Science & Technology Fund / S&P 500 . . . . . . . . . . . . . . . . 58.28 0.94 59.22 28.43 30.79
Social Awareness Fund / S&P 500 . . . . . . . . . . . . . . . . . . 28.85 0.56 29.41 28.43 0.98
Timed Opportunity Fund / Benchmark(b) . . . . . . . . . . . . . . . 17.90 0.57 18.47 17.05 1.42
Capital Conservation Fund / Merrill Lynch Corporate Master Bond . . 3.41 0.57 3.98 4.57 (0.59)
Government Securities Fund / Lehman Bros U.S. Treasury . . . . . . 3.32 0.56 3.88 3.99 (0.11)
Intl Gov't Bond Fund / Salomon Non U.S. Gov't Bond . . . . . . . . (1.91) 0.56 (1.35) (2.01) 0.66
Money Market Fund / 30 Day Certificate of Deposit
Primary Offering Rate by New York City Banks
(NYC 30 Day CD Rate) . . . . . . . . . . . . . . . . . . . . . . 5.26 0.57 5.83 4.72 1.11
</TABLE>
(a) Fund level returns are net of investment management fees and other fund
expenses, but do not reflect charges specified in annuity contracts for
mortality and expense guarantees (1.00%), administrative fees, or
surrender charges.
(b) Benchmark consists of 55% S&P 500 Index, 35% Merrill Lynch Corporate and
Government Master Index, and 10% NYC 30 Day CD Rate.
3
<PAGE> 6
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AGSPC PRESIDENT'S LETTER -- CONTINUED
- --------------------------------------------------------------------------------
SUMMARY OF NET ASSET VALUES PER SHARE
AND PER SHARE DISTRIBUTIONS
<TABLE>
<CAPTION>
DISTRIBUTIONS FROM NET
INVESTMENT INCOME AND
NET REALIZED GAINS
NET ASSET VALUES ON SECURITIES
------------------------------- ----------------------
NOVEMBER 30,
MAY 31, 1995 MAY 31, 6/1/95 TO 12/1/95 TO
FUND 1995 (UNAUDITED) 1996 11/30/95 5/31/96
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Stock Index (emulate S & P 500) . . . . . . . . . . . . . . . $16.81 $19.10 $20.69 $0.18 $0.59
MidCap Index (emulate MidCap 400) . . . . . . . . . . . . . . 15.68 18.04 19.09 0.12 0.77
Small Cap Index (emulate Russell 2000) . . . . . . . . . . . 12.49 14.22 16.25 0.09 0.39
International Equities (foreign long term growth stocks) . . 10.42 10.53 11.15 0.08 0.33
Growth Fund (long term growth of capital) . . . . . . . . . . 11.43 14.64 16.49 0.02 0.30
Growth & Income Fund (long term growth of capital
and current income) . . . . . . . . . . . . . . . . . . . 11.09 12.99 14.78 0.04 0.12
Science & Technology Fund (long term growth of capital) . . . 14.43 20.29 20.48 0.02 2.01
Social Awareness (social criteria growth stocks) . . . . . . 13.02 14.88 15.49 0.13 1.03
Timed Opportunity (asset allocation) . . . . . . . . . . . . 11.24 12.15 12.55 0.23 0.43
Capital Conservation (quality corporate bonds) . . . . . . . 9.52 9.79 9.23 0.31 0.31
Government Securities (intermediate and
long term government bonds) . . . . . . . . . . . . . . . 9.89 10.12 9.61 0.31 0.30
International Government Bond (high quality
foreign government debt securities) . . . . . . . . . . . 12.72 12.25 11.79 0.33 0.36
Money Market (money market instruments) . . . . . . . . . . . 1.00 1.00 1.00 0.03 0.02
</TABLE>
The change in net asset value of the funds will not be the same as the change
in the accumulation unit value of your annuity contract because (1) the change
in net asset value does not reflect the reinvestment of income and capital gain
distributions and (2) the mortality and expense charges described in your
annuity contract are not included.
FUNDS AVAILABLE UNDER
VARIABLE ANNUITY CONTRACTS
<TABLE>
<CAPTION>
VALIC SEPARATE ACCOUNT A
---------------------------------------
CONTRACT FORM
--------------------------------------- AG LIFE
SEPARATE ACCOUNT A AG LIFE AG LIFE
INDEPENDENCE GROUP ------------------- SEPARATE SEPARATE
PORTFOLIO PLUS IMPACT UNIT NON ACCOUNT ACCOUNT
FUND DIRECTOR* UIT(G)-585 UIT-981 PURCHASE** QUALIFIED QUALIFIED B D
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Stock Index (emulate S & P 500) . . . . . . Yes Yes Yes Yes Yes Yes Yes Yes
MidCap Index (emulate MidCap 400) . . . . . Yes Yes Yes No Yes Yes Yes No
Small Cap Index (emulate Russell 2000) . . Yes Yes No No No No No No
International Equities (foreign long term
growth stocks) . . . . . . . . . . . . . Yes Yes No No No No No Yes
Growth Fund (long term growth of capital) . Yes No No No No No No No
Growth & Income Fund (long term growth
of capital and current income) . . . . . Yes No No No No No No No
Science & Technology Fund (long term
growth of capital) . . . . . . . . . . . Yes No No No No No No No
Social Awareness (social criteria growth
stocks) . . . . . . . . . . . . . . . . Yes Yes No No No No No Yes
Timed Opportunity (asset allocation) . . . Yes Yes Yes No Yes Yes Yes No
Capital Conservation (quality corporate
bonds) . . . . . . . . . . . . . . . . . Yes Yes Yes No Yes Yes Yes No
Government Securities (intermediate and
long term government bonds) . . . . . . Yes Yes No No Yes Yes Yes No
Int'l Government Bond (high quality
foreign government debt securities) . . Yes Yes No No No No No No
Money Market (money market instruments) . . Yes Yes Yes No Yes Yes Yes No
</TABLE>
*UIT(G)194, UITN-194, UIT-IRA-194, UIT-SEP-194
**GUP, IVA, GVA SA-1, GVA SA-2
4
<PAGE> 7
STOCK INDEX FUND MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C>
COMMON STOCKS - 98.08%
ADVERTISING - 0.06%
21,700 Interpublic Group of Companies, Inc. $ 1,006,338
--------------
AEROSPACE/DEFENSE - 2.25%
120,850 Boeing Co. . . . . . . . . . . . . . 10,302,462
29,000 EG & G, Inc. . . . . . . . . . . . . 630,750
18,880 General Dynamics Corp. . . . . . . . 1,163,480
70,784 Lockheed Martin Corp. . . . . . . . . 5,937,008
61,600 * Loral Space & Communications
Limited . . . . . . . . . . . . . 985,600
38,800 McDonnell Douglas Corp. . . . . . . . 3,918,800
18,100 Northrop Grumman Corp. . . . . . . . 1,133,513
86,500 Raytheon Co. . . . . . . . . . . . . 4,606,125
68,900 Rockwell International Corp. . . . . 4,022,038
22,000 TRW Inc. . . . . . . . . . . . . . . 2,073,500
44,700 United Technologies Corp. . . . . . . 4,889,062
--------------
39,662,338
--------------
AIRLINES - 0.38%
28,700 * AMR Corp. . . . . . . . . . . . . . . 2,708,562
20,100 Delta Air Lines, Inc. . . . . . . . . 1,665,788
55,200 Southwest Airlines Co. . . . . . . . 1,511,100
41,400 * USAir Group, Inc. . . . . . . . . . . 817,650
--------------
6,703,100
--------------
APPAREL & PRODUCTS - 0.09%
16,500 * Fruit of the Loom, Inc. Class A . . . 445,500
32,900 Liz Claiborne, Inc. . . . . . . . . . 1,221,413
--------------
1,666,913
--------------
APPLIANCES/FURNISHINGS - 0.12%
21,800 Maytag Corp. . . . . . . . . . . . . 468,700
27,800 Whirlpool Corp. . . . . . . . . . . . 1,581,125
--------------
2,049,825
--------------
AUTO - CARS - 2.10%
131,937 Chrysler Corp. . . . . . . . . . . . 8,790,303
374,600 Ford Motor Co. . . . . . . . . . . . 13,672,900
263,400 General Motors Corp. . . . . . . . . 14,519,925
--------------
36,983,128
--------------
AUTO - REPLACEMENT PARTS - 0.37%
18,700 Cooper Tire & Rubber Co. . . . . . . 451,138
14,300 Echlin Inc. . . . . . . . . . . . . . 491,562
49,600 Genuine Parts Co. . . . . . . . . . . 2,256,800
56,800 Goodyear Tire & Rubber Co. . . . . . 2,868,400
15,800 Pep Boys- Manny, Moe & Jack . . . . . 521,400
--------------
6,589,300
--------------
BANKS - NEW YORK CITY - 1.98%
73,300 Bank of New York Co., Inc. . . . . . 3,802,438
154,082 Chase Manhattan Corp. . . . . . . . . 10,785,740
170,500 CitiCorp. . . . . . . . . . . . . . . 14,322,000
67,900 J.P. Morgan & Co. Inc. . . . . . . . 5,898,812
--------------
34,808,990
--------------
BANKS - OTHER - 2.48%
44,200 Bank of Boston Corp. . . . . . . . . $ 2,204,475
129,368 BankAmerica Corp. . . . . . . . . . . 9,734,942
120,623 First Chicago Corp. . . . . . . . . . 5,262,178
102,397 First Union Corp. . . . . . . . . . . 6,259,017
96,793 Fleet Financial Group, Inc. . . . . . 4,270,991
43,500 Mellon Bank Corp. . . . . . . . . . . 2,484,937
69,700 National City Corp. . . . . . . . . . 2,483,063
14,000 Republic of New York Corp. . . . . . 885,500
44,400 US Bancorp . . . . . . . . . . . . . 1,581,750
34,933 Wells Fargo & Co. . . . . . . . . . . 8,418,853
--------------
43,585,706
--------------
BANKS - REGIONAL - 2.46%
163,172 Banc One Corp. . . . . . . . . . . . 6,037,364
37,500 Barnett Banks, Inc. . . . . . . . . . 2,343,750
41,800 Boatmen's Bancshares, Inc. . . . . . 1,690,288
32,700 Comerica Inc. . . . . . . . . . . . . 1,430,625
81,400 CoreStates Financial Corp. . . . . . 3,205,125
30,200 Fifth Third Bancorp . . . . . . . . . 1,645,900
53,500 First Bank System, Inc. . . . . . . . 3,230,063
83,770 KeyCorp. . . . . . . . . . . . . . . 3,246,087
97,702 NationsBank Corp. . . . . . . . . . . 7,926,075
117,900 Norwest Corp. . . . . . . . . . . . . 4,111,762
110,100 PNC Bank Corp. . . . . . . . . . . . 3,344,287
72,200 SunTrust Banks, Inc. . . . . . . . . 2,635,300
55,513 Wachovia Corp. . . . . . . . . . . . 2,380,120
--------------
43,226,746
--------------
BEVERAGE - BREWERS/
DISTRIBUTORS - 0.65%
11,900 Adolph Coors Class B . . . . . . . . 223,125
86,500 Anheuser- Busch Companies, Inc. . . . 6,163,125
18,915 Brown-Forman Corp Class B . . . . . . 768,422
121,700 Seagram Co. Ltd . . . . . . . . . . . 4,213,862
--------------
11,368,534
--------------
BEVERAGE - SOFT DRINKS - 3.29%
863,700 Coca-Cola Co. . . . . . . . . . . . . 39,730,200
547,800 PepsiCo, Inc. . . . . . . . . . . . . 18,214,350
--------------
57,944,550
--------------
BROADCASTING - 0.82%
71,850 Comcast Corp. Class A Special . . . . 1,248,394
34,000 * General Instrument Corp. . . . . . . 1,049,750
207,800 Tele-Communications, Inc. Class A . . 3,922,225
155,300 * U S West Media Group . . . . . . . . 2,931,287
125,000 * Viacom Inc. Class B . . . . . . . . . 5,296,875
--------------
14,448,531
--------------
BUILDING MATERIALS - 0.31%
8,900 Armstrong World Industries, Inc. . . 523,987
57,100 Lowe's Companies, Inc. . . . . . . . 1,955,675
57,500 Masco Corp. . . . . . . . . . . . . . 1,796,875
28,200 Sherwin-Williams Co. . . . . . . . . 1,265,475
--------------
5,542,012
--------------
</TABLE>
5
<PAGE> 8
STOCK INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C>
CHEMICAL - MAJOR - 2.47%
88,300 Dow Chemical Co. . . . . . . . . . . $ 7,384,087
194,500 E.I. du Pont de Nemours and Co. . . . 15,511,375
11,800 Goodrich (B.F.) Co. . . . . . . . . . 467,575
39,300 Hercules Inc. . . . . . . . . . . . . 2,230,275
41,800 Monsanto Co. . . . . . . . . . . . . 6,348,375
54,900 Morton International, Inc. . . . . . 2,086,200
66,500 PPG Industries Inc. . . . . . . . . . 3,441,375
16,600 Rohm and Haas Co. . . . . . . . . . . 1,124,650
48,900 Union Carbide Corp. . . . . . . . . . 2,108,813
36,500 W.R. Grace & Co. . . . . . . . . . . 2,719,250
--------------
43,421,975
--------------
CHEMICAL - MISCELLANEOUS - 0.68%
41,100 Air Products and Chemicals, Inc. . . 2,445,450
30,637 Eastman Chemical Co. . . . . . . . . 2,052,679
8,550 Ecolab Inc. . . . . . . . . . . . . . 277,875
8,200 * FMC Corp. . . . . . . . . . . . . . . 551,450
26,500 Great Lakes Chemical Corp. . . . . . 1,709,250
30,800 Mallinckrodt Group Inc. . . . . . . . 1,158,850
9,328 Millipore Corp. . . . . . . . . . . . 409,266
20,300 Nalco Chemical Co. . . . . . . . . . 644,525
46,300 Praxair, Inc. . . . . . . . . . . . 1,880,937
16,200 Sigma Aldrich Corp. . . . . . . . . . 907,200
--------------
12,037,482
--------------
CONGLOMERATES - 1.21%
100,700 AlliedSignal Inc. . . . . . . . . . . 5,513,325
24,000 Dial Corp. . . . . . . . . . . . . . 690,000
43,800 * ITT Corp. . . . . . . . . . . . . . . 2,693,700
38,800 ITT Inds, Inc. . . . . . . . . . . . 1,062,150
35,000 Loews Corp. . . . . . . . . . . . . . 2,791,250
3,900 Ogden Corp. . . . . . . . . . . . . . 75,563
17,000 Teledyne, Inc. . . . . . . . . . . . 641,750
63,200 Tenneco Inc. . . . . . . . . . . . . 3,397,000
24,300 Textron Inc. . . . . . . . . . . . . 2,059,425
42,400 Tyco International Ltd . . . . . . . 1,674,800
25,900 Whitman Corp. . . . . . . . . . . . . 650,737
--------------
21,249,700
--------------
CONSUMER FINANCE - 0.15%
11,600 Beneficial Corp. . . . . . . . . . . 675,700
64,500 MBNA Corp. . . . . . . . . . . . . . 1,975,313
--------------
2,651,013
--------------
CONTAINERS - METAL/GLASS - 0.13%
4,700 Ball Corp. . . . . . . . . . . . . . 129,838
46,900 Crown Cork & Seal Co., Inc. . . . . . 2,192,575
--------------
2,322,413
--------------
CONTAINERS - PAPER - 0.05%
6,500 Bemis Co., Inc. . . . . . . . . . . . 215,313
13,300 Temple-Inland Inc. . . . . . . . . . 655,025
--------------
870,338
--------------
COSMETICS/TOILETRIES - 0.73%
3,400 Alberto-Culver Co. Class B . . . . . $ 134,725
19,300 Avon Products, Inc. . . . . . . . . . 1,785,250
156,600 Gillette Co. . . . . . . . . . . . . 9,258,975
34,800 International Flavors & Fragrances, Inc. 1,692,150
--------------
12,871,100
--------------
DRUGS - 6.23%
14,200 Allergan, Inc. . . . . . . . . . . . 546,700
31,600 * ALZA Corp. . . . . . . . . . . . . . 900,600
220,400 American Home Products Corp. . . . . 11,791,400
94,000 * Amgen Inc. . . . . . . . . . . . . . 5,593,000
176,100 Bristol Myers Squibb Co. . . . . . . 15,034,538
192,900 Eli Lilly and Co. . . . . . . . . . . 12,393,825
425,000 Merck & Co., Inc. . . . . . . . . . . 27,465,625
222,000 Pfizer Inc. . . . . . . . . . . . . . 15,706,500
128,800 Schering-Plough Corp. . . . . . . . . 7,550,900
179,270 Upjohn Co. . . . . . . . . . . . . . 7,327,661
97,000 Warner-Lambert Co. . . . . . . . . . 5,432,000
--------------
109,742,749
--------------
ELECTRICAL EQUIPMENT - 3.66%
74,000 AMP Inc. . . . . . . . . . . . . . . 3,117,250
20,000 * Cabletron Systems, Inc. . . . . . . . 1,455,000
79,500 Emerson Electric Co. . . . . . . . . 6,807,187
573,600 General Electric Co. . . . . . . . . 47,465,400
9,200 National Service Industries, Inc. . . 357,650
20,200 Raychem Corp. . . . . . . . . . . . . 1,509,950
6,800 Thomas & Betts Corp. . . . . . . . . 261,800
14,200 W. W. Grainger Inc. . . . . . . . . . 949,625
135,400 Westinghouse Electric Corp. . . . . . 2,487,975
--------------
64,411,837
--------------
ELECTRONIC INSTRUMENTS - 0.14%
22,800 General Signal Corp. . . . . . . . . 872,100
28,400 * Intergraph Corp. . . . . . . . . . . 372,750
19,400 Perkin-Elmer Corp. . . . . . . . . . 1,028,200
3,600 Tektronix, Inc. . . . . . . . . . . . 136,800
--------------
2,409,850
--------------
ENTERTAINMENT - 1.48%
39,200 Harrah's Entertainment, Inc. . . . . 1,318,100
35,350 Hasbro, Inc. . . . . . . . . . . . . 1,334,463
16,200 * King World Productions, Inc. . . . . 676,350
97,187 Mattel, Inc. . . . . . . . . . . . . 2,648,346
139,900 Time Warner Inc. . . . . . . . . . . 5,648,462
236,352 Walt Disney Co. . . . . . . . . . . . 14,358,384
--------------
25,984,105
--------------
FINANCE COMPANIES - 0.19%
40,400 Green Tree Financial Corp. . . . . . 1,323,100
27,900 Household International, Inc. . . . . 1,932,075
--------------
3,255,175
--------------
</TABLE>
6
<PAGE> 9
STOCK INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C>
FOODS - 2.46%
160,424 Archer Daniels Midland Co. . . . . . $ 3,128,268
83,000 Campbell Soup Co. . . . . . . . . . . 5,353,500
88,950 ConAgra, Inc. . . . . . . . . . . . . 3,791,494
53,000 CPC International Inc. . . . . . . . 3,663,625
58,500 General Mills, Inc. . . . . . . . . . 3,356,438
123,150 H J Heinz Co. . . . . . . . . . . . . 4,094,737
23,500 Hershey Foods Corp. . . . . . . . . . 1,709,625
77,500 Kellogg Co. . . . . . . . . . . . . . 5,638,125
24,100 Pioneer Hi-Bred International, Inc. . 1,361,650
45,000 Quaker Oats Co. . . . . . . . . . . . 1,580,625
37,700 Ralston Purina Co. . . . . . . . . . 2,309,125
172,700 Sara Lee Corp. . . . . . . . . . . . 5,763,862
31,300 Wm. Wrigley Jr. Co. . . . . . . . . . 1,639,338
--------------
43,390,412
--------------
FOOTWEAR - 0.27%
16,900 Brown Group, Inc. . . . . . . . . . . 287,300
34,000 NIKE Inc. Class B . . . . . . . . . . 3,412,750
13,792 * Payless ShoeSource Inc. . . . . . . . 387,900
20,700 Reebok International Ltd. . . . . . . 628,762
3,800 Stride Rite Corp. . . . . . . . . . . 34,200
--------------
4,750,912
--------------
FREIGHT - 0.09%
20,600 * Federal Express Corp. . . . . . . . . 1,578,475
--------------
GOLD MINING - 0.46%
128,100 Barrick Gold Corp. . . . . . . . . . 4,035,150
21,800 Echo Bay Mines Ltd . . . . . . . . . 294,300
53,900 Homestake Mining Co. . . . . . . . . 1,111,688
88,900 Placer Dome Inc. . . . . . . . . . . 2,633,662
--------------
8,074,800
--------------
GOVERNMENT SPONSORED - 0.97%
63,900 Federal Home Loan Mortgage Corp. . . 5,279,738
381,700 Federal National Mortgage
Association . . . . . . . . . . . 11,784,987
--------------
17,064,725
--------------
HARDWARE & TOOLS - 0.11%
22,200 Black & Decker Corp. . . . . . . . . 912,975
7,700 Snap-on Inc. . . . . . . . . . . . . 370,563
11,400 Stanley Works . . . . . . . . . . . . 691,125
--------------
1,974,663
--------------
HEALTHCARE - 0.38%
56,900 U.S. Healthcare, Inc. . . . . . . . . 3,086,825
64,700 United HealthCare Corp. . . . . . . . 3,550,412
--------------
6,637,237
--------------
HEAVY DUTY TRUCKS/PARTS - 0.27%
19,700 Cummins Engine Co., Inc. . . . . . . $ 837,250
27,100 Dana Corp. . . . . . . . . . . . . . 907,850
31,300 Eaton Corp. . . . . . . . . . . . . . 1,811,487
39,010 * Navistar International Corp. . . . . 404,729
16,355 PACCAR Inc. . . . . . . . . . . . . . 805,484
--------------
4,766,800
--------------
HOME BUILDERS - 0.05%
16,600 Centex Corp. . . . . . . . . . . . . 500,075
14,456 Kaufman & Broad Home Corp. . . . . . 215,033
7,900 Pulte Corp. . . . . . . . . . . . . . 221,200
--------------
936,308
--------------
HOSPITAL MANAGEMENT - 0.69%
8,000 * Beverly Enterprises, Inc. . . . . . . 98,000
157,023 Columbia/HCA Healthcare Corp. . . . . 8,459,614
8,950 * Community Psychiatric Centers . . . . 85,025
45,800 * Humana Inc. . . . . . . . . . . . . . 1,007,600
13,000 Manor Care, Inc. . . . . . . . . . . 507,000
13,100 Shared Medical Systems Corp. . . . . 876,063
54,900 * Tenet Healthcare Corp. . . . . . . . 1,180,350
--------------
12,213,652
--------------
HOSPITAL SUPPLIES - 2.94%
275,200 Abbott Laboratories . . . . . . . . . 11,868,000
8,400 Bard (C. R.), Inc. . . . . . . . . . 276,150
23,900 Bausch & Lomb Inc. . . . . . . . . . 1,027,700
100,000 Baxter International Inc. . . . . . . 4,425,000
23,200 Becton, Dickinson and Co. . . . . . . 1,972,000
29,000 * Biomet, Inc. . . . . . . . . . . . . 406,000
57,177 * Boston Scientific Corp. . . . . . . . 2,451,464
231,100 Johnson & Johnson . . . . . . . . . . 22,503,362
84,400 Medtronic, Inc. . . . . . . . . . . . 4,747,500
30,450 * St. Jude Medical, Inc. . . . . . . . 1,157,100
25,700 United States Surgical Corp. . . . . 880,225
--------------
51,714,501
--------------
HOUSEHOLD PRODUCTS - 2.76%
14,400 Clorox Co. . . . . . . . . . . . . . 1,225,800
52,900 Colgate-Palmolive Co. . . . . . . . . 4,165,875
147,000 Minnesota Mining &
Manufacturing Co. . . . . . . . . 10,032,750
59,000 Newell Co. . . . . . . . . . . . . . 1,770,000
24,200 Premark International Inc. . . . . . 390,225
238,126 Procter & Gamble Co. . . . . . . . . 20,925,322
47,900 Rubbermaid, Inc. . . . . . . . . . . 1,341,200
24,200 * Tupperware Corp. . . . . . . . . . . 1,107,150
56,500 Unilever N V- ADR . . . . . . . . . . 7,620,438
--------------
48,578,760
--------------
</TABLE>
7
<PAGE> 10
STOCK INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C>
INFORMATION PROCESSING - 9.09%
53,500 * Amdahl Corp. . . . . . . . . . . . . $ 628,625
48,200 Apple Computer, Inc. . . . . . . . . 1,259,225
22,200 Autodesk, Inc. . . . . . . . . . . . 771,450
105,200 Automatic Data Processing, Inc. . . . 4,037,050
70,700 * Bay Networks, Inc. . . . . . . . . . 2,050,300
21,152 * Ceridian Corp. . . . . . . . . . . . 1,118,412
199,000 * Cisco Systems, Inc. . . . . . . . . . 10,895,250
96,300 * Compaq Computer Corp. . . . . . . . . 4,682,587
85,725 Computer Associates International,Inc. 6,236,494
14,900 * Computer Sciences Corp. . . . . . . . 1,175,238
396 * Cray Research, Inc. . . . . . . . . . 10,841
56,300 * Digital Equipment Corp. . . . . . . . 2,934,637
82,900 * EMC Corp. . . . . . . . . . . . . . . 1,834,162
79,327 First Data Corp. . . . . . . . . . . 6,326,328
40,100 H&R Block Inc. . . . . . . . . . . . 1,398,488
177,000 Hewlett-Packard Co. . . . . . . . . . 18,894,750
35,500 Honeywell Inc. . . . . . . . . . . . 1,801,625
284,900 Intel Corp. . . . . . . . . . . . . . 21,509,950
188,700 International Business Machines
Corp. . . . . . . . . . . . . . . 20,143,725
205,700 * Microsoft Corp. . . . . . . . . . . . 24,426,875
139,900 * Novell, Inc. . . . . . . . . . . . . 1,993,575
230,725 * Oracle Corp. . . . . . . . . . . . . 7,642,766
52,800 Pitney Bowes Inc. . . . . . . . . . . 2,620,200
58,100 * Silicon Graphics, Inc. . . . . . . . 1,597,750
67,500 * Sun Microsystems, Inc. . . . . . . . 4,227,187
26,800 * Tandem Computers Inc. . . . . . . . . 335,000
61,800 * 3Com Corp. . . . . . . . . . . . . . 3,043,650
37,700 * Unisys Corp. . . . . . . . . . . . . 306,313
38,600 Xerox Corp. . . . . . . . . . . . . . 6,074,675
--------------
159,977,128
--------------
INSURANCE - CASUALTY - 0.35%
64,600 Chubb Corp. . . . . . . . . . . . . . 3,011,975
47,400 SAFECO Corp. . . . . . . . . . . . . 1,596,787
24,300 St. Paul Companies, Inc. . . . . . . 1,284,863
13,900 USF & G Corp. . . . . . . . . . . . . 222,400
--------------
6,116,025
--------------
INSURANCE - LIFE - 0.34%
30,375 Jefferson-Pilot Corp. . . . . . . . . 1,560,516
37,300 Lincoln National Corp. . . . . . . . 1,753,100
20,200 Torchmark Corp. . . . . . . . . . . . 861,025
21,109 Transamerica Corp. . . . . . . . . . 1,709,829
2,550 USLIFE Corp. . . . . . . . . . . . . 76,500
--------------
5,960,970
--------------
INSURANCE - MISCELLANEOUS - 0.35%
3,200 Alexander & Alexander Services Inc. . 63,600
29,900 General Reinsurance Corp. . . . . . . 4,365,400
28,800 UNUM Corp. . . . . . . . . . . . . . 1,699,200
--------------
6,128,200
--------------
INSURANCE - MULTILINE - 2.47%
43,600 Aetna Life and Casualty Co. . . . . . $ 3,215,500
158,520 Allstate Corp. . . . . . . . . . . . 6,697,470
165,218 American International Group, Inc. . 15,571,796
33,000 Aon Corp. . . . . . . . . . . . . . . 1,662,375
28,300 CIGNA Corp. . . . . . . . . . . . . . 3,250,962
42,500 ITT Hartford Group, Inc. . . . . . . 2,199,375
21,700 Marsh & McLennan Companies, Inc. . . 2,031,663
44,500 Providian Corp. . . . . . . . . . . . 1,941,313
168,134 Travelers Group, Inc. . . . . . . . . 6,977,540
--------------
43,547,994
--------------
LEISURE TIME - 0.05%
16,100 Bally Entertainment Corp. . . . . . . 386,400
17,900 Brunswick Corp. . . . . . . . . . . . 400,512
8,700 Outboard Marine Corp. . . . . . . . . 168,563
--------------
955,475
--------------
LODGING - 0.22%
18,500 Hilton Hotels Corp. . . . . . . . . . 1,993,375
38,100 Marriot International, Inc. . . . . . 1,809,750
--------------
3,803,125
--------------
MACHINE TOOLS - 0.03%
4,700 Cincinnati Milacron Inc. . . . . . . 112,800
22,800 Giddings & Lewis, Inc. . . . . . . . 379,050
--------------
491,850
--------------
MACHINERY - AGRICULTURE - 0.30%
19,200 Case Corp. . . . . . . . . . . . . . 962,400
95,400 Deere & Co. . . . . . . . . . . . . . 3,971,025
5,340 * Varity Corp. . . . . . . . . . . . . 262,327
--------------
5,195,752
--------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.41%
70,000 Caterpillar Inc. . . . . . . . . . . 4,593,750
31,500 Fluor Corp. . . . . . . . . . . . . . 2,055,375
2,600 Foster Wheeler Corp. . . . . . . . . 115,700
10,800 Harnischfeger Industries, Inc. . . . 378,000
--------------
7,142,825
--------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.57%
14,600 Briggs & Stratton Corp. . . . . . . . 627,800
42,700 Cooper Industries, Inc. . . . . . . . 1,820,087
32,400 Dover Corp. . . . . . . . . . . . . . 1,539,000
33,600 Illinois Tool Works Inc. . . . . . . 2,251,200
25,600 Ingersoll-Rand Co. . . . . . . . . . 1,078,400
16,000 Johnson Controls, Inc. . . . . . . . 1,116,000
25,633 Pall Corp. . . . . . . . . . . . . . 685,683
16,350 Parker Hannifin Corp. . . . . . . . . 666,263
6,400 Timken Co. . . . . . . . . . . . . . 252,000
1,600 TRINOVA Corp. . . . . . . . . . . . . 52,800
--------------
10,089,233
--------------
</TABLE>
8
<PAGE> 11
STOCK INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C>
MERCHANDISE - DRUG - 0.19%
8,300 Longs Drug Stores Corp. . . . . . . . $ 355,863
24,200 Rite Aid Corp. . . . . . . . . . . . 710,875
72,800 Walgreen Co. . . . . . . . . . . . . 2,320,500
--------------
3,387,238
--------------
MERCHANDISE - SPECIALTY - 1.31%
32,900 American Greetings Corp. Class A . . 892,413
29,500 Charming Shoppes, Inc. . . . . . . . 236,000
27,100 Circuit City Stores, Inc. . . . . . . 884,138
106,000 Gap, Inc. . . . . . . . . . . . . . . 3,564,250
167,700 Home Depot, Inc. . . . . . . . . . . 8,573,662
973 Jostens Inc. . . . . . . . . . . . . 22,014
70,598 Limited, Inc. . . . . . . . . . . . . 1,464,909
41,700 Melville Corp. . . . . . . . . . . . 1,694,062
32,000 Nordstrom, Inc. . . . . . . . . . . . 1,632,000
16,800 Tandy Corp. . . . . . . . . . . . . . 907,200
18,600 TJX Companies, Inc. . . . . . . . . . 655,650
89,225 * Toys "R" Us, Inc. . . . . . . . . . . 2,587,525
--------------
23,113,823
--------------
MERCHANDISING - DEPARTMENT - 0.66%
26,900 Dayton Hudson Corp. . . . . . . . . . 2,743,800
30,800 Dillard Department Stores, Inc.
Class A . . . . . . . . . . . . . 1,232,000
70,900 * Federated Department Stores, Inc. . . 2,454,912
86,200 May Department Stores Co. . . . . . . 4,083,725
16,000 Mercantile Stores Co., Inc. . . . . . 1,032,000
--------------
11,546,437
--------------
MERCHANDISING - FOOD - 0.73%
92,400 Albertsons, Inc. . . . . . . . . . . 3,684,450
37,300 American Stores Co. . . . . . . . . . 1,394,087
6,900 Fleming Companies, Inc. . . . . . . . 107,813
15,500 Giant Food Inc. Class A . . . . . . . 534,750
15,300 Great Atlantic & Pacific Tea Co.,Inc. 524,025
47,800 * Kroger Co. . . . . . . . . . . . . . 1,876,150
16,700 Supervalu Inc. . . . . . . . . . . . 517,700
71,900 SYSCO Corp. . . . . . . . . . . . . . 2,453,587
52,000 Winn-Dixie Stores, Inc. . . . . . . . 1,794,000
--------------
12,886,562
--------------
MERCHANDISING - MASS - 2.06%
81,400 J.C. Penney Co., Inc. . . . . . . . . 4,222,625
179,400 KMart Corp. . . . . . . . . . . . . . 2,085,525
82,622 * Price/Costco, Inc. . . . . . . . . . 1,652,440
138,600 Sears Roebuck and Co. . . . . . . . . 7,051,275
796,100 Wal-Mart Stores, Inc. . . . . . . . . 20,599,087
35,000 * Woolworth Corp. . . . . . . . . . . . 717,500
--------------
36,328,452
--------------
METALS - ALUMINUM - 0.42%
68,000 Alcan Aluminium Ltd . . . . . . . . . 2,227,000
63,400 Aluminum Co. of America . . . . . . . 3,907,025
24,800 Reynolds Metals Co. . . . . . . . . . 1,339,200
--------------
7,473,225
--------------
METALS - COPPER - 0.24%
9,200 ASARCO Inc. . . . . . . . . . . . . . $ 288,650
35,149 Newmont Mining Corp. . . . . . . . . 2,117,727
26,200 Phelps Dodge Corp. . . . . . . . . . 1,794,700
--------------
4,201,077
--------------
METALS - MISCELLANEOUS - 0.27%
31,350 Cyprus Amax Minerals Co. . . . . . . 752,400
57,075 Engelhard Corp. . . . . . . . . . . . 1,398,337
47,000 Freeport-McMoRan Copper & Gold
Inc. Class B . . . . . . . . . . . 1,562,750
32,300 Inco Limited . . . . . . . . . . . . 1,053,788
--------------
4,767,275
--------------
METALS - STEEL - 0.24%
22,300 * Armco Inc. . . . . . . . . . . . . . 117,075
21,900 * Bethlehem Steel Corp. . . . . . . . . 279,225
20,200 Inland Steel Industries, Inc. . . . . 436,825
31,100 Nucor Corp. . . . . . . . . . . . . . 1,710,500
29,620 USX-US Steel Group, Inc. . . . . . . 918,220
38,925 Worthington Industries, Inc. . . . . 783,366
--------------
4,245,211
--------------
MISCELLANEOUS - 0.47%
84,900 Corning Inc. . . . . . . . . . . . . 3,247,425
68,300 * CUC International Inc. . . . . . . . 2,527,100
12,100 * Owens Corning . . . . . . . . . . . . 487,025
36,350 Service Corp. International . . . . . 2,031,056
--------------
8,292,606
--------------
MOBILE HOMES - 0.03%
14,600 Fleetwood Enterprises, Inc. . . . . . 439,825
--------------
NATURAL GAS - DIVERSIFIED - 0.22%
26,000 Coastal Corp. . . . . . . . . . . . . 1,066,000
11,200 ENSEARCH Corp. . . . . . . . . . . . 242,200
8,800 NorAm Energy Corp. . . . . . . . . . 93,500
47,929 PanEnergy Corp. . . . . . . . . . . . 1,539,719
23,700 Sonat Inc. . . . . . . . . . . . . . 1,004,288
--------------
3,945,707
--------------
OIL - INTEGRATED DOMESTIC - 2.18%
34,000 Amerada Hess Corp. . . . . . . . . . 1,938,000
173,400 Amoco Corp. . . . . . . . . . . . . . 12,571,500
10,000 Ashland Oil, Inc. . . . . . . . . . . 427,500
57,000 Atlantic Richfield Co. . . . . . . . 6,818,625
47,300 Burlington Resources Inc. . . . . . . 1,797,400
11,100 Kerr-McGee Corp. . . . . . . . . . . 652,125
117,700 Occidental Petroleum Corp. . . . . . 3,045,487
40,800 * Oryx Energy Co. . . . . . . . . . . . 663,000
11,000 Pennzoil Co. . . . . . . . . . . . . 475,750
95,500 Phillips Petroleum Co. . . . . . . . 3,963,250
40,202 * Santa Fe Energy Resources, Inc. . . . 482,424
29,016 Sun Co., Inc. . . . . . . . . . . . . 888,615
87,500 Unocal Corp. . . . . . . . . . . . . 2,843,750
87,000 USX-Marathon Group . . . . . . . . . 1,903,125
--------------
38,470,551
--------------
</TABLE>
9
<PAGE> 12
STOCK INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C>
OIL - INTEGRATED
INTERNATIONAL - 5.74%
227,700 Chevron Corp. . . . . . . . . . . . . $ 13,605,075
429,000 Exxon Corp. . . . . . . . . . . . . . 36,357,750
137,300 Mobil Corp. . . . . . . . . . . . . . 15,497,737
185,500 Royal Dutch Petroleum Co. - ADR . . . 27,825,000
93,200 Texaco Inc. . . . . . . . . . . . . . 7,805,500
--------------
101,091,062
--------------
OIL - SERVICES - 0.85%
55,700 Baker Hughes Inc. . . . . . . . . . . 1,747,588
69,600 Dresser Industries, Inc. . . . . . . 2,035,800
43,300 Halliburton Co. . . . . . . . . . . . 2,408,562
24,000 McDermott International, Inc. . . . . 522,000
85,900 Schlumberger Ltd . . . . . . . . . . 7,161,912
18,500 * Western Atlas Inc. . . . . . . . . . 1,133,125
--------------
15,008,987
--------------
OIL/GAS PRODUCERS - 0.03%
3,000 Helmerich & Payne, Inc. . . . . . . . 108,750
8,700 Louisiana Land & Exploration Co. . . 468,713
--------------
577,463
--------------
PAPER/FOREST PRODUCTS - 1.69%
41,000 Alco Standard Corp. . . . . . . . . . 2,562,500
24,100 Avery Dennison Corp. . . . . . . . . 1,373,700
8,366 Boise Cascade Corp. . . . . . . . . . 351,372
36,500 Champion International Corp. . . . . 1,610,562
34,100 Georgia-Pacific Corp. . . . . . . . . 2,463,725
107,018 International Paper Co. . . . . . . . 4,267,343
33,100 James River Corp. of Virginia . . . . 823,363
99,266 Kimberly-Clark Corp. . . . . . . . . 7,234,010
41,600 Louisiana Pacific Corp. . . . . . . . 1,024,400
16,000 Mead Corp. . . . . . . . . . . . . . 860,000
4,900 Potlatch Corp. . . . . . . . . . . . 202,125
23,364 Stone Container Corp. . . . . . . . . 362,142
27,250 Union Camp Corp. . . . . . . . . . . 1,434,031
26,850 Westvaco Corp. . . . . . . . . . . . 859,200
72,800 Weyerhaeuser Co. . . . . . . . . . . 3,303,300
17,500 Willamette Industries, Inc. . . . . . 1,050,000
--------------
29,781,773
--------------
PHOTOGRAPHY - 0.54%
121,550 Eastman Kodak Co. . . . . . . . . . . 9,040,281
10,400 Polaroid Corp. . . . . . . . . . . . 468,000
--------------
9,508,281
--------------
POLLUTION CONTROL - 0.53%
76,500 Browning-Ferris Industries, Inc. . . 2,333,250
71,800 Laidlaw Inc Class B . . . . . . . . . 726,975
50 Safety-Kleen Corp. . . . . . . . . . 831
175,900 WMX Technologies, Inc. . . . . . . . 6,200,475
--------------
9,261,531
--------------
PUBLISHING - NEWS - 0.55%
31,600 Dow Jones & Co., Inc. . . . . . . . . $ 1,236,350
47,600 Gannett Co., Inc. . . . . . . . . . . 3,320,100
21,200 Knight-Ridder, Inc. . . . . . . . . . 1,584,700
22,200 New York Times Co. Class A . . . . . 729,825
39,732 Times Mirror Co. . . . . . . . . . . 1,733,308
15,600 Tribune Co. . . . . . . . . . . . . . 1,156,350
--------------
9,760,633
--------------
PUBLISHING/PRINTING - 0.49%
21,700 Deluxe Corp. . . . . . . . . . . . . 786,625
60,200 Dun & Bradstreet Corp. . . . . . . . 3,845,275
19,217 Harcourt General, Inc. . . . . . . . 975,263
24,000 McGraw-Hill, Inc. . . . . . . . . . . 1,125,000
21,600 Moore Corp. Ltd . . . . . . . . . . . 402,300
39,200 R R Donnelley & Sons Co. . . . . . . 1,440,600
--------------
8,575,063
--------------
RAILROAD - 1.12%
46,917 Burlington Northern Inc. . . . . . . 3,976,216
29,300 Conrail Inc. . . . . . . . . . . . . 2,058,325
73,600 CSX Corp. . . . . . . . . . . . . . . 3,643,200
48,300 Norfolk Southern Corp. . . . . . . . 4,165,875
45,309 Santa Fe Pacific Gold Corp. . . . . . 690,962
73,700 Union Pacific Corp. . . . . . . . . . 5,168,212
--------------
19,702,790
--------------
RESTAURANTS - 0.75%
55,800 Darden Restaurants, Inc. . . . . . . 662,625
7,550 Luby's Cafeterias, Inc. . . . . . . . 185,919
245,000 McDonald's Corp. . . . . . . . . . . 11,790,625
7,800 * Shoney's, Inc. . . . . . . . . . . . 95,550
30,000 Wendy's International, Inc. . . . . . 540,000
--------------
13,274,719
--------------
SAVINGS & LOAN - 0.18%
25,100 Golden West Financial Corp. . . . . . 1,377,363
47,050 Great Western Financial Corp. . . . . 1,082,150
24,900 H.F. Ahmanson & Co. . . . . . . . . . 641,175
--------------
3,100,688
--------------
SECURITIES RELATED - 1.13%
170,400 American Express Co. . . . . . . . . 7,795,800
61,648 Dean Witter, Discover & Co. . . . . . 3,652,644
62,400 Merrill Lynch & Co., Inc. . . . . . . 4,040,400
53,900 Morgan Stanley Group Inc. . . . . . . 2,668,050
41,500 Salomon Inc. . . . . . . . . . . . . 1,737,812
--------------
19,894,706
--------------
SEMICONDUCTORS - 1.46%
37,000 * Advanced Micro Devices, Inc. . . . . 652,125
67,100 * Applied Materials, Inc. . . . . . . . 2,499,475
49,800 * LSI Logic Corp. . . . . . . . . . . . 1,550,025
77,700 Micron Technology, Inc. . . . . . . . 2,505,825
206,500 Motorola, Inc. . . . . . . . . . . . 13,783,875
46,700 * National Semiconductor Corp. . . . . 758,875
69,100 Texas Instruments Inc. . . . . . . . 3,886,875
--------------
25,637,075
--------------
</TABLE>
10
<PAGE> 13
STOCK INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C>
TELECOMMUNICATIONS - 1.16%
158,600 * Airtouch Communications, Inc. . . . . $ 5,055,375
56,300 ALLTEL Corp. . . . . . . . . . . . . 1,773,450
15,490 * Andrew Corp. . . . . . . . . . . . . 840,333
45,900 * DSC Communications Corp. . . . . . . 1,382,737
6,600 Harris Corp. . . . . . . . . . . . . 426,525
85,800 Northern Telecommunications Corp . . 4,654,650
29,500 Scientific-Atlanta, Inc. . . . . . . 556,813
33,800 * Tellabs, Inc. . . . . . . . . . . . . 2,180,100
70,900 * WorldCom, Inc. . . . . . . . . . . . 3,465,237
--------------
20,335,220
--------------
TEXTILE - PRODUCTS - 0.08%
11,400 Russell Corp. . . . . . . . . . . . . 313,500
17,600 VF Corp. . . . . . . . . . . . . . . 1,071,400
--------------
1,384,900
--------------
TOBACCO - 1.91%
62,800 American Brands, Inc. . . . . . . . . 2,747,500
287,200 Philip Morris Cos Inc. . . . . . . . 28,540,500
73,300 UST Corp. . . . . . . . . . . . . . . 2,418,900
--------------
33,706,900
--------------
TRUCKERS - 0.07%
14,200 Caliber System, Inc. . . . . . . . . 527,175
2,300 Consolidated Freightways, Inc. . . . 54,625
15,900 Ryder System, Inc. . . . . . . . . . 465,075
19,300 * Yellow Corp. . . . . . . . . . . . . 250,900
--------------
1,297,775
--------------
UTILITIES - COMMUNICATION - 7.13%
194,400 Ameritech Corp. . . . . . . . . . . . 10,983,600
552,326 AT & T Corp. . . . . . . . . . . . . 34,451,334
153,700 Bell Atlantic Corp. . . . . . . . . . 9,587,037
346,400 BellSouth Corp. . . . . . . . . . . . 14,072,500
339,700 GTE Corp. . . . . . . . . . . . . . . 14,522,175
244,700 MCI Communications Corp. . . . . . . 7,126,888
154,700 NYNEX Corp. . . . . . . . . . . . . . 7,135,537
153,400 Pacific Telesis Group . . . . . . . . 5,119,725
213,400 SBC Communications, Inc. . . . . . . 10,536,625
154,300 Sprint Corp. . . . . . . . . . . . . 6,538,463
169,100 US West Communications Group . . . . 5,516,888
--------------
125,590,772
--------------
UTILITIES - ELECTRIC - 2.97%
57,600 American Electric Power, Inc. . . . . 2,311,200
35,200 Baltimore Gas and Electric Co. . . . 963,600
60,100 Carolina Power & Light Co. . . . . . 2,171,112
70,100 Central & South West Corp. . . . . . 1,936,512
41,164 Cinergy Corp. . . . . . . . . . . . . 1,219,484
71,500 Consolidated Edison Co. of
New York, Inc. . . . . . . . . . . 1,993,062
57,650 Dominion Resources, Inc. . . . . . . 2,183,494
42,300 DTE Energy Co. . . . . . . . . . . . 1,237,275
61,200 Duke Power Co. . . . . . . . . . . . 2,952,900
UTILITIES - ELECTRIC - Continued
163,800 Edison International . . . . . . . . $ 2,702,700
86,000 Entergy Corp. . . . . . . . . . . . . 2,257,500
68,400 FPL Group, Inc. . . . . . . . . . . . 2,924,100
101,800 Houston Industries, Inc. . . . . . . 2,226,875
37,500 Niagara Mohawk Power Corp. . . . . . 285,938
26,000 Northern States Power Co. . . . . . . 1,222,000
35,900 Ohio Edison Co. . . . . . . . . . . . 785,313
44,500 P P & L Resources Inc. . . . . . . . 1,017,938
151,700 Pacific Gas and Electric Co. . . . . 3,527,025
83,900 PacifiCorp . . . . . . . . . . . . . 1,688,488
83,500 Peco Energy Co. . . . . . . . . . . . 2,056,187
90,850 Public Service Enterprise Group, Inc. 2,407,525
239,200 Southern Co. . . . . . . . . . . . . 5,531,500
82,700 Texas Utilities Co. . . . . . . . . . 3,380,362
81,400 Unicom Corp. . . . . . . . . . . . . 2,248,675
28,800 Union Electric Co. . . . . . . . . . 1,134,000
--------------
52,364,765
--------------
UTILITIES - GAS, PIPELINE - 0.51%
13,000 Columbia Gas System Inc. . . . . . . 635,375
22,600 Consolidated Natural Gas Co. . . . . 1,093,275
91,500 Enron Corp. . . . . . . . . . . . . . 3,660,000
23,700 NICOR Inc. . . . . . . . . . . . . . 657,675
18,300 ONEOK Inc. . . . . . . . . . . . . . 498,675
15,000 Pacific Enterprises . . . . . . . . . 395,625
2,200 Peoples Energy Corp. . . . . . . . . 70,675
40,100 Williams Companies, Inc. . . . . . . 2,015,025
--------------
9,026,325
--------------
UTILITIES - MISCELLANEOUS - 0.06%
32,600 General Public Utilities Corp. . . . 1,092,100
--------------
TOTAL COMMON STOCKS
(Cost $1,144,047,433) . . . . . . . . 1,726,975,087
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
- -----------
<S> <C> <C>
CORPORATE SHORT TERM
COMMERCIAL PAPER - 1.53%
CONSUMER FINANCE - 0.51%
$8,951,000 Associates Corp. of North America,
5.20% due 6/3/96 . . . . . . . . . 8,948,414
--------------
FINANCE COMPANIES - 0.28%
4,917,000 Ford Motor Credit Co.,
5.27% due 6/4/96 . . . . . . . . . 4,914,841
--------------
SECURITIES RELATED - 0.74%
13,073,000 Merrill Lynch & Co., Inc.,
5.35% due 6/5/96 . . . . . . . . . 13,065,229
--------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $26,928,484) . . . . . . . . . 26,928,484
--------------
</TABLE>
11
<PAGE> 14
STOCK INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------------------------
<S> <C>
UNITED STATES GOVERNMENT -
SHORT TERM - 0.10%
U.S. TREASURY BILLS - 0.10%
United States Treasury Bills:
$ 250,000 4.98% due 6/20/96 . . . . . . . . . $ 249,343
200,000 4.935% due 6/20/96 . . . . . . . . 199,479
1,400,000 4.93% due 6/20/96 . . . . . . . . . 1,396,357
--------------
TOTAL UNITED STATES
GOVERNMENT - SHORT TERM
(Cost $1,845,179) . . . . . . . . . . 1,845,179
--------------
TOTAL INVESTMENTS
(Cost $1,172,821,096) - 99.71% . . . 1,755,748,750
Other assets and liabilities,
net - 0.29% . . . . . . . . . . . . 5,037,539
--------------
NET ASSETS (equivalent
to $20.69 per share on
85,117,305 shares
outstanding) - 100% . . . . . . . $1,760,786,289
--------------
</TABLE>
* Non-income producing
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
CONTRACTS (DEPRECIATION)
- ----------------------------------------------------------------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 5/31/96)
82 (2) S&P 500 Index Futures
(June/$666.95) . . . . . . . . . . $ 436,500
5 (2) S&P 500 Index Futures
(September/$672.75) . . . . . . . . (17,825)
--------------
$ 418,675
--------------
</TABLE>
(1) U.S.Treasury Bills with a market value of approximately
$1,850,000 were maintained in a segregated account with a
portion placed as collateral for futures contracts.
(2) Per 500
<TABLE>
<S> <C>
- ----------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
85,117,305 shares outstanding . . . . . . . . . . $ 851,173
Additional paid in capital . . . . . . . . . . . . 1,162,867,645
Undistributed net realized gain on securities . . . 13,348,483
Undistributed net investment income . . . . . . . . 372,659
Unrealized appreciation of:
Investments . . . . . . . . . . . $ 582,927,654
Futures . . . . . . . . . . . . . 418,675 583,346,329
------------- --------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING . . . . . . . . . . . . . . . . . . . $1,760,786,289
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<PAGE> 15
STOCK INDEX FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1996
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 34,670,238
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,297,301
-------------
Total investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,967,539
-------------
EXPENSES:
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,242,848
Custodian and accounting services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 621,341
Reports to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 152,834
Audit fees and tax services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53,556
Directors' fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52,817
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118,880
-------------
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,242,276
-------------
NET INVESTMENT INCOME . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,725,263
-------------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 11,011,332
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,537,274 14,548,606
-------------
NET unrealized appreciation of securities during the year:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 322,706,596
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 264,750 322,971,346
------------- -------------
Net realized and unrealized gain on securities during the year . . . . . . . . . . . . . . . 337,519,952
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 368,245,215
-------------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1996 1995
-----------------------------
<S> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 30,725,263 $ 27,820,558
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,548,606 30,306,629
Net unrealized appreciation of securities during the year . . . . . . . . . . . . . . . 322,971,346 154,652,699
----------------------------
Increase in net assets resulting from operations . . . . . . . . . . . . . . . . . 368,245,215 212,779,886
----------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (30,481,712) (27,954,349)
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . . . . . (30,841,988) (2,497,235)
----------------------------
Decrease in net assets resulting from distributions to shareholders . . . . . . . (61,323,700) (30,451,584)
----------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . . . . 195,841,204 100,308,445
Proceeds from capital stock issued for distributions reinvested . . . . . . . . . . . . 61,323,700 30,451,584
----------------------------
257,164,904 130,760,029
Cost of capital stock repurchased . . . . . . . . . . . . . . . . . . . . . . . . . . . (71,292,243) (131,555,447)
----------------------------
Increase (decrease) in net assets resulting from capital stock transactions . . . 185,872,661 (795,418)
----------------------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 492,794,176 181,532,884
NET ASSETS:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,267,992,113 1,086,459,229
----------------------------
End of year (including undistributed net investment income of $372,659 and $129,108) . 1,760,786,289 1,267,992,113
----------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,230,862 6,656,098
Shares issued for distributions reinvested . . . . . . . . . . . . . . . . . . . . . . 3,223,528 2,028,815
Shares of capital stock repurchased . . . . . . . . . . . . . . . . . . . . . . . . . (3,788,544) (8,727,186)
----------------------------
Increase (decrease) in shares outstanding . . . . . . . . . . . . . . . . . . . . 9,665,846 (42,273)
Shares outstanding:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75,451,459 75,493,732
----------------------------
End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85,117,305 75,451,459
----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<PAGE> 16
MIDCAP INDEX FUND MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C>
COMMON STOCKS - 98.45%
ADVERTISING - 0.47%
58,364 Omnicom Group, Inc. . . . . . . . . . $ 2,546,130
--------------
AEROSPACE/DEFENSE - 0.91%
18,480 Gencorp Inc. . . . . . . . . . . . . 279,510
22,071 OEA, Inc. . . . . . . . . . . . . . . 904,911
21,855 * Rohr Industries, Inc. . . . . . . . . 461,687
5,000 * Sequa Corp. Class A . . . . . . . . . 204,375
51,774 Sundstrand Corp. . . . . . . . . . . 1,825,033
10,710 Teleflex Inc. . . . . . . . . . . . . 493,999
18,761 Thiokol Corp. . . . . . . . . . . . . 771,546
--------------
4,941,061
--------------
AIRLINES - 0.22%
17,921 * Alaska Air Group, Inc. . . . . . . . 463,706
28,174 Atlantic Southeast Airlines, Inc. . . 746,611
--------------
1,210,317
--------------
APPAREL & PRODUCTS - 1.00%
2,753 Angelica Corp. . . . . . . . . . . . 67,793
22,600 * Ann Taylor Stores Corp. . . . . . . . 466,125
42,453 Cintas Corp. . . . . . . . . . . . . 2,271,235
25,614 Claire's Stores, Inc. . . . . . . . . 640,350
37,014 CML Group, Inc. . . . . . . . . . . . 198,950
23,424 * Land's End, Inc. . . . . . . . . . . 512,400
43,300 Warnaco Group, Inc. Class A . . . . . 1,228,638
--------------
5,385,491
--------------
APPLIANCES/FURNISHINGS - 0.90%
44,359 Heilig-Meyers Co . . . . . . . . . . 914,905
25,814 Herman Miller, Inc. . . . . . . . . . 797,007
29,101 Lancaster Colony Corp. . . . . . . . 1,054,911
69,576 Leggett & Platt, Inc. . . . . . . . . 1,974,219
2,604 National Presto Industries, Inc. . . 105,462
--------------
4,846,504
--------------
AUTO - ORIGINAL EQUIPMENT - 1.14%
16,925 Arvin Industries, Inc. . . . . . . . 414,663
8,400 Carlisle Cos Inc. . . . . . . . . . . 437,850
44,942 Danaher Corp. . . . . . . . . . . . . 1,865,093
16,218 Donaldson Co., Inc. . . . . . . . . . 425,722
37,170 Federal-Mogul Corp. . . . . . . . . . 682,999
45,853 Mark IV Industries, Inc. . . . . . . 997,303
27,228 Modine Manufacturing Co. . . . . . . 687,507
23,200 Superior Industries International,Inc. 635,100
--------------
6,146,237
--------------
AUTO - OTHER - 0.61%
68,670 Harley-Davidson, Inc. . . . . . . . . 3,287,576
--------------
AUTO - REPLACEMENT PARTS - 0.13%
16,221 Kaydon Corp. . . . . . . . . . . . . 697,503
--------------
BANKS - OTHER - 1.15%
57,100 Firstar Corp. . . . . . . . . . . . . 2,797,900
65,372 State Street Boston Corp. . . . . . . 3,407,515
--------------
6,205,415
--------------
BANKS - REGIONAL - 5.75%
28,734 Bancorp Hawaii, Inc. . . . . . . . . 1,045,199
--------------
BANKS - REGIONAL - Continued
30,952 Central Fidelity Banks, Inc. . . . . $ 1,060,106
43,055 City National Corp. . . . . . . . . . 661,971
32,586 Crestar Financial Corp. . . . . . . . 1,837,036
22,018 Dauphin Deposit Corp. . . . . . . . . 610,999
52,343 First of America Bank Corp. . . . . . 2,394,692
64,361 First Security Corp. . . . . . . . . 1,528,574
64,402 First Tennessee National Corp. . . . 2,165,517
24,775 First Virginia Banks, Inc. . . . . . 991,000
113,700 Hibernia Corp. Class A . . . . . . . 1,250,700
86,148 Marshall & Ilsley Corp. . . . . . . . 2,369,070
59,334 Mercantile Bancorporation Inc. . . . 2,788,698
35,356 Mercantile Bankshares Corp. . . . . . 914,836
47,053 Northern Trust Corp. . . . . . . . . 2,576,152
57,209 Regions Financial Corp. . . . . . . . 2,703,125
76,487 SouthTrust Corp. . . . . . . . . . . 2,093,832
82,103 Summit Bancorporation . . . . . . . . 2,986,497
33,678 Wilmington Trust Corp. . . . . . . . 1,111,374
--------------
31,089,378
--------------
BEVERAGE - SOFT DRINKS - 0.64%
108,303 Coca-Cola Enterprises Inc. . . . . . 3,438,620
--------------
BROADCASTING - 0.54%
29,828 A.H. Belo Corp. . . . . . . . . . . . 1,140,921
26,387 * Chris-Craft Industries, Inc. . . . . 1,078,569
25,016 TCA Cable TV, Inc. . . . . . . . . . 706,702
--------------
2,926,192
--------------
BUILDING MATERIALS - 0.96%
12,766 CalMat Co. . . . . . . . . . . . . . 234,575
28,900 Fastenal Co. . . . . . . . . . . . . 1,300,500
21,125 HON INDUSTRIES Inc. . . . . . . . . . 591,500
75,465 RPM, Inc. . . . . . . . . . . . . . . 1,254,606
12,000 Southdown, Inc. . . . . . . . . . . . 277,500
26,400 Vulcan Materials Co. . . . . . . . . 1,518,000
--------------
5,176,681
--------------
CHEMICAL - MAJOR - 0.21%
49,625 Albemarle Corp. . . . . . . . . . . . 1,116,563
--------------
CHEMICAL - MISCELLANEOUS - 3.13%
23,380 Betz Laboratories, Inc. . . . . . . . 1,072,557
34,337 Crompton & Knowles Corp. . . . . . . 605,190
14,268 Dexter Corp. . . . . . . . . . . . . 408,422
115,300 Ethyl Corp. . . . . . . . . . . . . . 1,196,237
22,547 Ferro Corp. . . . . . . . . . . . . . 614,406
32,633 Georgia Gulf Corp. . . . . . . . . . 1,117,680
14,064 H.B. Fuller Co. . . . . . . . . . . . 474,660
25,693 Lawter International, Inc. . . . . . 295,470
25,480 Loctite Corp. . . . . . . . . . . . . 1,270,815
59,319 Lubrizol Corp. . . . . . . . . . . . 1,801,815
67,278 Lyondell Petrochemical Co. . . . . . 1,740,818
34,824 M.A. Hanna Co. . . . . . . . . . . . 1,197,075
20,400 Minerals Technologies Inc. . . . . . 742,050
4,355 NCH Corp. . . . . . . . . . . . . . . 247,146
22,571 Olin Corp. . . . . . . . . . . . . . 2,087,817
23,025 Rollins, Inc. . . . . . . . . . . . . 523,819
37,373 Schulman A. Inc. . . . . . . . . . . 967,026
49,900 * Sterling Chemicals, Inc. . . . . . . 573,850
--------------
16,936,853
--------------
</TABLE>
14
<PAGE> 17
MIDCAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C>
COAL - 0.17%
30,500 Pittston Brink's Group . . . . . . . $ 922,625
--------------
CONGLOMERATES - 1.04%
43,498 Alexander & Baldwin, Inc. . . . . . . 1,114,636
43,700 * Litton Industries, Inc. . . . . . . . 2,026,588
5,100 * MAXXAM, Inc. . . . . . . . . . . . . 218,663
17,561 PHH Corp. . . . . . . . . . . . . . . 972,440
37,421 Trinity Industries, Inc. . . . . . . 1,295,702
--------------
5,628,029
--------------
CONTAINERS - PAPER - 0.74%
15,614 Chesapeake Utilities Corp. . . . . . 415,723
40,722 * Sealed Air Corp. . . . . . . . . . . 1,445,631
78,836 Sonoco Products Co. . . . . . . . . . 2,158,135
--------------
4,019,489
--------------
COSMETICS/TOILETRIES - 0.30%
35,088 Tambrands Inc. . . . . . . . . . . . 1,618,434
--------------
DRUGS - 3.77%
27,904 Bergen Brunswig Corp. Class A . . . . 742,944
29,276 * Biogen, Inc. . . . . . . . . . . . . 1,771,198
42,046 Carter-Wallace Inc. . . . . . . . . . 588,644
54,088 * Centocor, Inc. . . . . . . . . . . . 1,913,363
34,070 * Chiron Corp. . . . . . . . . . . . . 3,577,350
37,341 * Forest Laboratories, Inc. . . . . . . 1,540,316
25,871 * Genzyme Corp. . . . . . . . . . . . . 1,506,986
94,836 IVAX Corp. . . . . . . . . . . . . . 2,607,990
35,700 McKesson Corp. . . . . . . . . . . . 1,664,512
107,334 Mylan Laboratories Inc. . . . . . . . 2,039,346
22,600 * R P Scherer Corp. . . . . . . . . . . 949,200
32,500 * Watson Pharmaceuticals, Inc. . . . . 1,462,500
--------------
20,364,349
--------------
ELECTRICAL EQUIPMENT - 2.55%
74,286 * American Power Conversion Corp. . . . 956,432
34,331 AMETEK, Inc. . . . . . . . . . . . . 738,117
25,935 Hubbell Inc. Class B . . . . . . . . 1,812,208
87,633 Molex Inc. . . . . . . . . . . . . . 2,793,302
43,596 * Quantum Corp. . . . . . . . . . . . . 1,040,854
86,499 * Seagate Technology . . . . . . . . . 5,081,816
67,446 * Teradyne, Inc. . . . . . . . . . . . 1,357,351
--------------
13,780,080
--------------
ELECTRONIC INSTRUMENTS - 2.59%
39,876 * Arrow Electronics, Inc. . . . . . . . 1,963,893
23,266 * Exabyte Corp. . . . . . . . . . . . . 462,412
63,000 * Integrated Device Technology, Inc. . 811,125
21,321 * MagneTek, Inc. . . . . . . . . . . . 207,880
59,779 Sensormatic Electronics Corp. . . . . 1,068,550
21,673 * Symbol Technologies, Inc. . . . . . . 937,357
70,840 Thermo Electron Corp. . . . . . . . . 4,516,050
27,816 Varian Associates, Inc. . . . . . . . 1,585,512
22,673 * VeriFone, Inc. . . . . . . . . . . . 1,142,152
47,355 * Vishay Intertechnology, Inc. . . . . 1,308,182
--------------
14,003,113
--------------
FERTILIZERS - 0.50%
73,646 IMC Global Inc. . . . . . . . . . . . $ 2,697,285
--------------
FINANCE COMPANIES - 0.45%
43,300 SunAmerica, Inc. . . . . . . . . . . 2,424,800
--------------
FOODS - 2.42%
40,882 Dean Foods Co. . . . . . . . . . . . 996,499
49,209 Dole Food Co., Inc. . . . . . . . . . 1,857,640
15,118 Dreyer's Grand Ice Cream, Inc. . . . 510,233
43,136 Flowers Industries, Inc. . . . . . . 679,392
78,200 IBP, Inc. . . . . . . . . . . . . . . 2,140,725
8,212 International Multifoods Corp. . . . 163,214
18,171 J.M. Smucker Co. Class A . . . . . . 370,234
23,271 Lance, Inc. . . . . . . . . . . . . . 386,880
75,578 McCormick & Co., Inc. . . . . . . . . 1,719,399
20,676 Michaels Foods, Inc. . . . . . . . . 211,929
127,991 Tyson Foods, Inc. Class A . . . . . . 3,135,779
26,329 Universal Foods Corp. . . . . . . . . 928,097
--------------
13,100,021
--------------
FOOTWEAR - 0.45%
33,800 * Nine West Group, Inc. . . . . . . . . 1,643,525
28,200 * Payless ShoeSource Inc. . . . . . . . 793,125
--------------
2,436,650
--------------
FREIGHT - 0.43%
19,073 Airborne Freight Corp. . . . . . . . 481,593
21,560 American President Companies, Ltd. . 568,645
37,300 J.B. Hunt Transport Services, Inc. . 708,700
28,971 Overseas Shipholding Group Inc. . . . 543,207
--------------
2,302,145
--------------
GOLD MINING - 0.13%
79,194 Battle Mountain Gold Co. . . . . . . 692,948
--------------
HARDWARE & TOOLS - 0.03%
7,355 Lawson Products, Inc. . . . . . . . . 169,165
--------------
HEALTHCARE - 3.00%
37,500 * Apria Healthcare Group, Inc. . . . . 1,096,875
43,453 Cardinal Health, Inc. . . . . . . . . 2,775,560
44,243 * Coram Healthcare Corp. . . . . . . . 215,685
37,576 * FHP International Corp. . . . . . . . 1,070,916
31,486 * Healthcare COMPARE Corp. . . . . . . 1,523,135
124,601 * HealthSouth Corp. . . . . . . . . . . 4,361,035
50,800 * Horizon/CMS Healthcare Corp. . . . . 622,300
88,064 * Laboratory Corp. of America . . . . . 671,488
12,018 * Laboratory Corp. of America
(Warrants) . . . . . . . . . . . . 6,760
51,891 * NovaCare, Inc. . . . . . . . . . . . 337,292
27,400 * PacifiCare Health System, Inc.
Class B . . . . . . . . . . . . . 2,267,350
47,585 * Value Health, Inc. . . . . . . . . . 1,296,691
--------------
16,245,087
--------------
HEAVY DUTY TRUCKS/PARTS - 0.15%
31,704 Federal Signal Corp. . . . . . . . . 796,563
--------------
</TABLE>
15
<PAGE> 18
MIDCAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C>
HOME BUILDERS - 0.31%
85,920 Clayton Homes, Inc. . . . . . . . . . $ 1,653,960
--------------
HOSPITAL MANAGEMENT - 1.38%
45,600 * Foundation Health Corp. . . . . . . . 1,812,600
29,800 * Health Care & Retirement Corp. . . . 1,076,525
50,500 * Healthsource, Inc. . . . . . . . . . 1,142,562
40,200 * Medaphis Corp. . . . . . . . . . . . 1,517,550
61,400 * Vencor, Inc. . . . . . . . . . . . . 1,941,775
--------------
7,491,012
--------------
HOSPITAL SUPPLIES - 1.29%
17,635 * Acuson Corp. . . . . . . . . . . . . 337,269
15,310 * Advanced Technology Laboratories,
Inc. . . . . . . . . . . . . . . . 539,678
19,533 Beckman Instruments, Inc. . . . . . . 710,513
17,568 * Datascope Corp. . . . . . . . . . . . 311,832
26,400 DENTSPLY International Inc. . . . . . 1,135,200
8,109 Diagnostic Products Corp. . . . . . . 305,101
25,968 * Nellcor Puritan Bennett Inc. . . . . 1,415,256
42,691 Stryker Corp. . . . . . . . . . . . . 2,209,259
--------------
6,964,108
--------------
HOUSEHOLD PRODUCTS - 0.59%
62,200 * Bed Bath & Beyond, Inc. . . . . . . . 1,749,375
10,314 Church & Dwight Co., Inc. . . . . . . 206,280
31,246 First Brands Corp. . . . . . . . . . 773,339
15,764 Stanhome Inc. . . . . . . . . . . . . 457,156
--------------
3,186,150
--------------
INFORMATION PROCESSING - 9.85%
59,550 Adobe Systems Inc. . . . . . . . . . 2,210,794
69,000 * America Online, Inc. . . . . . . . . 3,898,500
27,562 * AST Research, Inc. . . . . . . . . . 223,941
40,452 * BMC Software, Inc. . . . . . . . . . 2,548,476
29,321 * Borland International, Inc. . . . . . 394,001
46,119 * Cadence Design Systems, Inc. . . . . 2,617,253
37,539 Comdisco, Inc. . . . . . . . . . . . 1,032,323
39,800 * Compuware Corp. . . . . . . . . . . . 1,562,150
76,612 * Dell Computer Corp. . . . . . . . . . 4,242,389
38,334 Diebold, Inc. . . . . . . . . . . . . 1,461,484
45,400 * Electronic Arts . . . . . . . . . . . 1,435,775
41,664 * FIserv, Inc. . . . . . . . . . . . . 1,307,208
30,968 * Information Resources, Inc. . . . . . 387,100
121,100 * Informix Corp. . . . . . . . . . . . 2,755,025
9,514 Measurex Corp. . . . . . . . . . . . 274,717
53,907 * Mentor Graphics Corp. . . . . . . . . 963,588
103,184 * Parametric Technology Corp. . . . . . 4,720,668
61,038 Paychex Inc. . . . . . . . . . . . . 2,685,672
17,418 * Policy Management Systems Corp. . . . 931,863
37,654 Reynolds and Reynolds Co. Class A . . 1,877,993
34,725 * Sequent Computer Systems, Inc. . . . 460,106
39,300 * Solectron Corp. . . . . . . . . . . . 1,704,637
46,890 * Storage Technology Corp. . . . . . . 1,605,982
60,100 * Stratacom, Inc. . . . . . . . . . . . 3,267,937
24,425 * Stratus Computer, Inc. . . . . . . . 720,538
27,773 * Structural Dynamics Research Corp. . 791,531
45,312 * Symantec Corp. . . . . . . . . . . . 713,664
INFORMATION PROCESSING - Continued
70,600 * U. S. Robotics Corp. . . . . . . . . $ 6,477,550
--------------
53,272,865
--------------
INSURANCE - CASUALTY - 1.00%
55,933 American Financial Group, Inc. . . . 1,677,990
56,962 Progressive Corp. . . . . . . . . . . 2,634,492
17,018 Transatlantic Holdings, Inc. . . . . 1,093,407
--------------
5,405,889
--------------
INSURANCE - MISCELLANEOUS - 0.15%
17,766 Hartford Steam Boiler Inspection &
Insurance Co. . . . . . . . . . . 823,898
--------------
INSURANCE - MULTILINE - 0.93%
117,225 AFLAC Inc. . . . . . . . . . . . . . 3,531,403
42,486 Provident Companies Inc. . . . . . . 1,524,185
--------------
5,055,588
--------------
LEISURE TIME - 2.12%
62,300 Callaway Golf Co. . . . . . . . . . . 1,876,788
84,525 * Circus Circus Enterprises, Inc. . . . 3,518,353
116,102 International Game Technology . . . . 1,843,119
74,445 * Mirage Resorts Inc. . . . . . . . . . 4,234,059
--------------
11,472,319
--------------
LODGING - 1.21%
88,200 * HFS Inc. . . . . . . . . . . . . . . 5,501,475
38,300 * Promus Hotel Corp. . . . . . . . . . 1,053,250
--------------
6,554,725
--------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.15%
17,271 Granite Construction Inc. . . . . . . 382,121
16,268 * Jacobs Engineering Group Inc. . . . . 437,202
--------------
819,323
--------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 1.74%
29,273 Albany International Corp. Class A . 589,119
25,318 Duriron Co., Inc. . . . . . . . . . . 715,233
25,925 Goulds Pumps, Inc. . . . . . . . . . 615,719
29,576 Keystone International, Inc. . . . . 646,975
12,514 Nordson Corp. . . . . . . . . . . . . 738,326
33,433 Stewart & Stevenson Services, Inc. . 835,825
18,300 Tecumseh Products Co. Class A . . . . 1,033,950
48,792 Tidewater Inc. . . . . . . . . . . . 2,012,670
27,624 Watts Industries, Inc. Class A . . . 521,403
32,000 York International Corp. . . . . . . 1,692,000
--------------
9,401,220
--------------
MEDICAL TECHNOLOGY - 0.02%
12,788 * Applied Bioscience International Inc. 116,691
--------------
MERCHANDISE - DRUG - 0.36%
66,600 * Perrigo Co. . . . . . . . . . . . . . 749,250
50,700 * Revco D.S., Inc. . . . . . . . . . . 1,204,125
--------------
1,953,375
--------------
</TABLE>
16
<PAGE> 19
MIDCAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C>
MERCHANDISE - SPECIALTY - 3.71%
40,800 * Best Buy Co., Inc. . . . . . . . . . $ 928,200
3,857 Cross (A.T.) Co. Class A . . . . . . 61,712
66,646 Dollar General Corp. . . . . . . . . 1,849,426
16,423 Duty Free International, Inc. . . . . 246,345
41,100 Fingerhut Companies, Inc. . . . . . . 631,913
22,271 * Gibson Greetings, Inc. . . . . . . . 320,146
6,657 Hancock Fabrics, Inc. . . . . . . . . 75,723
83,964 * Home Shopping Network, Inc. . . . . . 1,206,982
33,027 Intelligent Electronics, Inc. . . . . 324,077
66,800 * Kohl's Corp. . . . . . . . . . . . . 2,212,750
23,821 * Mac Frugal's Bargains Close-outs Inc. 452,599
31,400 * Micro Warehouse, Inc. . . . . . . . . 1,224,600
125,337 * Office Depot, Inc. . . . . . . . . . 3,211,761
53,711 Sotheby's Holdings, Inc. . . . . . . 765,382
127,350 * Staples, Inc. . . . . . . . . . . . . 2,547,000
15,768 Tiffany & Co. . . . . . . . . . . . . 1,196,397
69,600 * Viking Office Products, Inc. . . . . 1,992,300
31,086 * Waban Inc. . . . . . . . . . . . . . 831,551
--------------
20,078,864
--------------
MERCHANDISING - FOOD - 0.54%
29,900 Hannaford Bros. Co. . . . . . . . . . 945,587
27,500 Ruddick Corp. . . . . . . . . . . . . 371,250
13,668 Savannah Foods & Industries, Inc. . . 169,142
39,688 * Vons Companies, Inc. . . . . . . . . 1,448,612
--------------
2,934,591
--------------
MERCHANDISING - MASS - 0.29%
40,007 Family Dollar Stores, Inc. . . . . . 680,119
18,100 * Fred Meyer, Inc. . . . . . . . . . . 522,638
66,624 * Service Merchandise Co., Inc. . . . . 358,104
--------------
1,560,861
--------------
METALS - ALUMINUM - 0.25%
40,267 * Alumax Inc. . . . . . . . . . . . . . 1,338,878
--------------
METALS - MISCELLANEOUS - 0.41%
17,700 Brush Wellman Inc. . . . . . . . . . 331,875
27,806 Kennametal Inc. . . . . . . . . . . . 1,032,298
19,950 Precision Castparts Corp. . . . . . . 852,862
--------------
2,217,035
--------------
METALS - STEEL - 0.77%
60,152 Allegheny Ludlum Corp. . . . . . . . 1,203,040
9,010 Carpenter Technology Corp. . . . . . 325,486
12,857 Cleveland-Cliffs Inc. . . . . . . . . 515,887
21,721 Harsco Corp. . . . . . . . . . . . . 1,409,150
15,516 Lukens Inc. . . . . . . . . . . . . . 416,993
18,323 Oregon Steel Mills, Inc. . . . . . . 293,168
--------------
4,163,724
--------------
MISCELLANEOUS - 2.12%
18,836 * Castle & Cooke, Inc. . . . . . . . . 329,630
134,500 Equifax Inc. . . . . . . . . . . . . 3,328,875
22,386 FlightSafety International, Inc. . . 1,234,028
23,400 * Jones Apparel Group, Inc. . . . . . . 1,193,400
MISCELLANEOUS - Continued
30,303 Kelly Services Inc. Class A . . . . . $ 901,514
68,100 Manpower Inc. . . . . . . . . . . . . 2,621,850
59,750 Olsten Corp. . . . . . . . . . . . . 1,837,313
--------------
11,446,610
--------------
NATURAL GAS - DIVERSIFIED - 0.80%
34,600 El Paso Natural Gas Co. . . . . . . . 1,254,250
40,843 Questar Corp. . . . . . . . . . . . . 1,337,608
35,232 * Seagull Energy Corp. . . . . . . . . 792,720
34,191 Valero Energy Corp. . . . . . . . . . 940,253
--------------
4,324,831
--------------
OIL - INTEGRATED DOMESTIC - 0.52%
28,873 Diamond Shamrock, Inc. . . . . . . . 949,200
27,580 MAPCO Inc. . . . . . . . . . . . . . 1,592,745
17,614 Quaker State Corp. . . . . . . . . . 270,815
--------------
2,812,760
--------------
OIL - INTEGRATED
INTERNATIONAL - 0.30%
36,846 Murphy Oil Corp. . . . . . . . . . . 1,625,830
--------------
OIL - SERVICE - PRODUCTS - 0.40%
68,825 * Parker Drilling Co. . . . . . . . . . 490,378
19,186 * Varco International, Inc. . . . . . . 318,967
42,582 * Weatherford Enterra, Inc. . . . . . . 1,341,333
--------------
2,150,678
--------------
OIL - SERVICES - 1.51%
25,621 * BJ Services Co. . . . . . . . . . . . 864,709
54,800 * ENSCO International, Inc. . . . . . . 1,664,550
139,115 * Global Marine Inc. . . . . . . . . . 1,704,159
68,339 * Nabors Industries, Inc. . . . . . . . 1,050,712
37,846 * Smith International, Inc. . . . . . . 1,192,149
52,646 Witco Corp. . . . . . . . . . . . . . 1,678,091
--------------
8,154,370
--------------
OIL/GAS PRODUCERS - 1.63%
51,155 Anadarko Petroleum Corp. . . . . . . 2,749,581
59,998 Apache Corp. . . . . . . . . . . . . 1,717,443
63,280 Cabot Corp. . . . . . . . . . . . . . 1,732,290
45,335 Noble Affiliates, Inc. . . . . . . . 1,535,723
24,700 Parker & Parsley Petroleum Co. . . . 602,063
65,166 Ranger Oil Ltd . . . . . . . . . . . 488,745
--------------
8,825,845
--------------
PAPER/FOREST PRODUCTS - 1.39%
36,439 Bowater Inc. . . . . . . . . . . . . 1,434,786
34,435 Consolidated Papers, Inc. . . . . . . 1,799,229
36,739 Longview Fibre Co. . . . . . . . . . 619,971
28,700 P H Glatfelter Co. . . . . . . . . . 505,837
40,176 Pentair Inc. . . . . . . . . . . . . 1,074,708
27,800 Rayonier Inc. . . . . . . . . . . . . 1,042,500
18,270 Standard Register Co. . . . . . . . . 511,560
25,161 Wausau Paper Mills Co. . . . . . . . 534,671
--------------
7,523,262
--------------
</TABLE>
17
<PAGE> 20
MIDCAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C>
PHOTOGRAPHY - 0.01%
3,753 CPI Corp. . . . . . . . . . . . . . . $ 61,455
--------------
POLLUTION CONTROL - 0.43%
24,533 Calgon Carbon Corp. . . . . . . . . . 315,862
68,800 * USA Waste Services, Inc. . . . . . . 2,029,600
--------------
2,345,462
--------------
PUBLISHING - NEWS - 0.84%
31,700 Lee Enterprises, Inc. . . . . . . . . 740,987
18,468 Media General, Inc. Class A . . . . . 692,550
9,861 Washington Post Co. Class B . . . . . 3,084,028
--------------
4,517,565
--------------
PUBLISHING/PRINTING - 0.81%
33,286 Banta Corp. . . . . . . . . . . . . . 798,864
3,857 Ennis Business Forms, Inc. . . . . . 41,945
24,625 * Golden Books Family Entertainment,
Inc. . . . . . . . . . . . . . . . 338,594
16,616 Houghton Mifflin Co. . . . . . . . . 787,183
15,500 * Scholastic Corp. . . . . . . . . . . 964,875
53,800 * Topps Co. Inc. . . . . . . . . . . . 336,250
18,514 Wallace Computer Services, Inc. . . . 1,110,840
--------------
4,378,551
--------------
RAILROAD - 0.72%
16,312 GATX Corp. . . . . . . . . . . . . . 734,040
59,477 Illinois Central Corp. . . . . . . . 1,776,875
31,632 Kansas City Southern Industries, Inc. 1,407,624
--------------
3,918,539
--------------
RESTAURANTS - 1.31%
40,133 Bob Evans Farms, Inc. . . . . . . . . 607,012
57,255 * Brinker International, Inc. . . . . . 959,021
24,732 * Buffets, Inc. . . . . . . . . . . . . 312,242
56,866 Cracker Barrel Old Country Store, Inc. 1,506,949
12,780 * International Dairy Queen, Inc.
Class A . . . . . . . . . . . . . 268,380
34,500 * Lone Star Steakhouse & Saloon, Inc. . 1,392,937
40,000 * Outback Steakhouse Inc. . . . . . . . 1,515,000
19,988 Sbarro, Inc. . . . . . . . . . . . . 532,180
--------------
7,093,721
--------------
SECURITIES RELATED - 2.63%
71,276 A.G. Edwards, Inc. . . . . . . . . . 1,826,448
105,804 Bear Stearns Co. Inc. . . . . . . . . 2,552,529
154,452 Charles Schwab Corp. . . . . . . . . 3,745,461
74,268 Franklin Resources, Inc. . . . . . . 4,353,961
80,600 Paine Webber Group Inc. . . . . . . . 1,763,125
--------------
14,241,524
--------------
SEMICONDUCTORS - 3.20%
37,120 * Altera Corp. . . . . . . . . . . . . 1,795,680
92,629 * Analog Devices, Inc. . . . . . . . . 2,558,876
80,600 * Atmel Corp. . . . . . . . . . . . . . 2,861,300
39,888 Avnet, Inc. . . . . . . . . . . . . . 2,054,232
50,136 * Cirrus Logic, Inc. . . . . . . . . . 1,065,390
SEMICONDUCTORS - Continued
75,682 * Cypress Semiconductor Corp. . . . . . $ 1,040,627
60,854 Linear Technology Corp. . . . . . . . 2,099,463
52,100 * Maxim Integrated Products, Inc. . . . 1,771,400
59,181 * Xilinx, Inc. . . . . . . . . . . . . 2,056,540
--------------
17,303,508
--------------
TELECOMMUNICATIONS - 2.96%
54,164 * ADC Telecommunications, Inc. . . . . 2,491,544
46,242 COMSAT Corp. . . . . . . . . . . . . 1,312,117
137,046 Frontier Corp. . . . . . . . . . . . 4,385,472
175,200 * Nextel Communications, Inc. Class A . 3,635,400
41,940 * Octel Communications Corp. . . . . . 1,027,530
92,101 * 360 Communications Co. . . . . . . . 2,129,835
42,040 * Vanguard Cellular Systems, Inc.
Class A . . . . . . . . . . . . . 1,014,215
--------------
15,996,113
--------------
TEXTILE - PRODUCTS - 0.76%
45,300 * Burlington Industries, Inc. . . . . . 577,575
108,910 Shaw Industries Inc. . . . . . . . . 1,415,830
54,921 Unifi, Inc. . . . . . . . . . . . . . 1,524,058
26,284 Wellman, Inc. . . . . . . . . . . . . 594,675
--------------
4,112,138
--------------
TOBACCO - 0.15%
31,835 Universal Corp. . . . . . . . . . . . 807,813
--------------
TRUCKERS - 0.05%
17,614 Arnold Industries, Inc. . . . . . . . 270,815
--------------
UTILITIES - COMMUNICATION - 1.21%
52,750 Century Telephone Enterprises, Inc. . 1,714,375
23,318 Lincoln Telecommunications Co. . . . 384,747
53,064 Southern New England
Telecommunications Corp. . . . . . 2,288,385
49,291 Telephone and Data Systems, Inc. . . 2,150,320
--------------
6,537,827
--------------
UTILITIES - ELECTRIC - 9.89%
56,836 * AES Corp. . . . . . . . . . . . . . . 1,577,199
99,814 Allegheny Power System, Inc. . . . . 2,932,036
49,435 Atlantic Energy, Inc. . . . . . . . . 834,216
3,853 Black Hills Corp. . . . . . . . . . . 92,954
36,400 * Calenergy, Inc. . . . . . . . . . . . 973,700
8,959 Central Louisiana Electric Co., Inc. 238,533
30,416 Central Maine Power Co. . . . . . . . 406,814
82,464 CMS Energy Corp. . . . . . . . . . . 2,370,840
54,537 Delmarva Power & Light Co. . . . . . 1,070,289
78,862 Florida Progress Corp. . . . . . . . 2,602,446
17,366 Hawaiian Electric Industries, Inc. . 590,444
22,423 Idaho Power Co. . . . . . . . . . . . 655,873
59,100 Illinova Corp. . . . . . . . . . . . 1,551,375
11,759 Indiana Energy, Inc. . . . . . . . . 279,276
51,264 IPALCO Enterprises, Inc. . . . . . . 1,288,008
56,619 Kansas City Power & Light Co. . . . . 1,479,171
62,942 LG&E Energy Corp. . . . . . . . . . . 1,329,650
68,934 MidAmerican Energy Co. . . . . . . . 1,180,495
</TABLE>
18
<PAGE> 21
MIDCAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C>
UTILITIES - ELECTRIC - Continued
16,218 Minnesota Power & Light Co. . . . . . $ 435,859
57,557 Montana Power Co. . . . . . . . . . . 1,251,865
27,833 Nevada Power Co. . . . . . . . . . . 553,181
63,017 New England Electric System . . . . . 2,118,947
65,521 New York State Electric & Gas Corp. . 1,498,793
57,472 NIPSCO Industries, Inc. . . . . . . . 2,140,832
121,233 Northeast Utilities . . . . . . . . . 1,757,878
41,346 Oklahoma Gas and Electric Co. . . . . 1,576,316
76,223 Pinnacle West Capital Corp. . . . . . 2,019,909
34,491 Portland General Corp. . . . . . . . 1,017,484
109,264 Potomac Electric Power Co. . . . . . 2,786,232
57,112 Public Service Co. of Colorado . . . 1,891,835
41,437 Public Service Co. of New Mexico . . 776,944
67,362 Puget Sound Power & Light Co. . . . . 1,583,007
87,988 SCANA Corp. . . . . . . . . . . . . . 2,298,686
40,248 Southwestern Public Service Co. . . . 1,232,595
104,520 TECO Energy, Inc. . . . . . . . . . . 2,469,285
32,788 UtiliCorp United Inc. . . . . . . . . 897,572
27,024 Washington Gas Light Co. . . . . . . 560,748
93,652 Wisconsin Energy Corp. . . . . . . . 2,622,256
16,916 WPL Holdings, Inc. . . . . . . . . . 511,709
--------------
53,455,252
--------------
UTILITIES - GAS, DISTRIBUTION - 1.11%
60,836 AGL Resources, Inc. . . . . . . . . . 1,072,234
32,905 Brooklyn Union Gas Co. . . . . . . . 880,209
57,768 MCN Corp. . . . . . . . . . . . . . . 1,371,990
35,578 National Fuel Gas Co. . . . . . . . . 1,222,993
28,982 Tosco Corp. . . . . . . . . . . . . . 1,434,610
--------------
5,982,036
--------------
WATER SERVICES - 0.15%
22,300 American Water Works Co., Inc. . . . 794,438
--------------
TOTAL COMMON STOCKS
(Cost $417,231,837) . . . . . . . . . 532,297,323
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
- ----------
<S> <C> <C>
CORPORATE SHORT TERM
COMMERCIAL PAPER - 1.39%
FINANCE COMPANIES - 0.11%
$ 608,000 Ford Motor Credit Co.,
5.29% due 6/4/96 . . . . . . . . . 607,732
--------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 1.28%
6,924,000 Cooper Industries, Inc.,
5.40% due 6/3/96 . . . . . . . . . 6,921,923
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $7,529,655) . . . . . . . . . . $ 7,529,655
--------------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.04%
U.S. TREASURY BILLS - 0.04%
$ 200,000 United States Treasury Bills,
4.93% due 6/20/96 (Cost $199,479) . 199,479
--------------
TOTAL INVESTMENTS
(Cost $424,960,971) - 99.88% . . . . 540,026,457
Other assets and liabilities, net - 0.12% 661,102
--------------
NET ASSETS (equivalent
to $19.09 per share on
28,321,727 shares
outstanding)- 100% . . . . . . . . $ 540,687,559
--------------
</TABLE>
* Non-income producing
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
(DEPRECIATION)
- --------------------------------------------------------------------------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 5/31/96)
59 (2) S&P MidCap 400 Index Futures
(June/$239.25) . . . . . . . . . . $ 58,575
4 (2) S&P MidCap 400 Index Futures
(September/$241.65) . . . . . . . . (2,900)
--------------
$ 55,675
--------------
</TABLE>
(1) U.S.Treasury Bills with a market value of approximately
$200,000 were maintained in a segregated account with a
portion placed as collateral for futures contracts.
(2) Per 500
<TABLE>
<S> <C>
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
28,321,727 shares outstanding . . . . . . . . . . $ 283,217
Additional paid in capital . . . . . . . . . . . . 392,097,961
Undistributed net realized gain on securities . . . 33,130,917
Undistributed net investment income . . . . . . . . 54,303
Unrealized appreciation of:
Investments . . . . . . . . . . . . $ 115,065,486
Futures . . . . . . . . . . . . 55,675 115,121,161
--------------- --------------
Net Assets Applicable to Shares
Outstanding . . . . . . . . . . . . . . . . . $ 540,687,559
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<PAGE> 22
MIDCAP INDEX FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1996
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 8,036,632
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 419,613
-------------
Total investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,456,245
-------------
EXPENSES:
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,666,107
Custodian and accounting services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 197,231
Reports to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,376
Audit fees and tax services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,811
Directors' fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,981
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,480
-------------
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,975,986
-------------
NET INVESTMENT INCOME . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,480,259
-------------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 32,518,426
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 924,360 33,442,786
-------------
Net unrealized appreciation during the year:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76,364,198
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,825 76,393,023
------------- -------------
Net realized and unrealized gain on securities during the year . . . . . . . . . . . . . . . 109,835,809
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 116,316,068
-------------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1996 1995
-----------------------------
<S> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,480,259 $ 6,497,943
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,442,786 17,285,230
Net unrealized appreciation of securities during the year . . . . . . . . . . . . . . . 76,393,023 24,441,688
----------------------------
Increase in net assets resulting from operations . . . . . . . . . . . . . . . . . 116,316,068 48,224,861
----------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (6,584,543) (6,508,350)
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . (17,378,059) (11,552,354)
----------------------------
Decrease in net assets resulting from distributions to shareholders . . . . . . . (23,962,602) (18,060,704)
----------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . . . . 43,226,671 49,716,369
Proceeds from capital stock issued for distributions reinvested . . . . . . . . . . . . 23,962,602 18,060,704
----------------------------
67,189,273 67,777,073
Cost of capital stock repurchased . . . . . . . . . . . . . . . . . . . . . . . . . . . (26,411,830) (39,425,302)
----------------------------
Increase in net assets resulting from capital stock transactions . . . . . . . . . 40,777,443 28,351,771
----------------------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133,130,909 58,515,928
NET ASSETS:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 407,556,650 349,040,722
----------------------------
End of year (including undistributed net investment income of $54,303 and $158,587) . . $ 540,687,559 $ 407,556,650
----------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,455,783 3,399,417
Shares issued for distributions reinvested . . . . . . . . . . . . . . . . . . . . . . 1,381,367 1,269,279
Shares of capital stock repurchased . . . . . . . . . . . . . . . . . . . . . . . . . (1,503,393) (2,681,672)
----------------------------
Increase in shares outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . 2,333,757 1,987,024
Shares outstanding:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,987,970 24,000,946
----------------------------
End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,321,727 25,987,970
----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<PAGE> 23
SMALL CAP INDEX FUND MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 95.34%
ADVERTISING - 0.58%
5,200 * Acxiom Corp. . . . . . . . . . . . . $ 162,500
5,025 ADVO, Inc. . . . . . . . . . . . . . 54,647
2,700 * American Business Information, Inc. . 49,613
2,600 * Catalina Marketing Corp. . . . . . . 201,500
600 Grey Advertising, Inc. . . . . . . . 137,400
450 Harte-Hanks Communications . . . . . 11,869
4,700 * National Media Corp. . . . . . . . . 87,537
8,100 True North Communications Inc. . . . 208,575
8,100 * Westwood One, Inc. . . . . . . . . . 141,750
--------------
1,055,391
--------------
AEROSPACE/DEFENSE - 1.38%
2,600 * Alliant Techsystems Inc. . . . . . . 124,800
6,700 Aviall, Inc. . . . . . . . . . . . . 67,000
7,400 * BE Aerospace, Inc. . . . . . . . . . 107,300
400 Cubic Corp. . . . . . . . . . . . . . 13,400
6,900 Gencorp Inc. . . . . . . . . . . . . 104,363
14,500 * Geotek Communications, Inc. . . . . . 201,187
5,100 Logicon, Inc. . . . . . . . . . . . . 147,900
1,000 * Nortek, Inc. . . . . . . . . . . . . 14,250
5,800 OEA, Inc. . . . . . . . . . . . . . . 237,800
6,200 * Orbital Sciences Corp. . . . . . . . 110,825
7,900 * Rohr Industries, Inc. . . . . . . . . 166,888
9,100 * SCI Systems, Inc. . . . . . . . . . . 409,500
3,600 * Sequa Corp. Class A . . . . . . . . . 147,150
2,000 * Special Devices, Inc. . . . . . . . . 40,000
2,000 * Tech-Sym Corp. . . . . . . . . . . . 68,250
3,700 Teleflex Inc. . . . . . . . . . . . . 170,662
4,800 Thiokol Corp. . . . . . . . . . . . . 197,400
6,400 * Trimble Navigation Ltd . . . . . . . 154,400
600 * Whittaker Corp. . . . . . . . . . . . 11,550
--------------
2,494,625
--------------
AIRLINES - 0.98%
3,800 * Alaska Air Group, Inc. . . . . . . . 98,325
12,300 * America West Airlines, Inc. Class B . 250,612
10,012 Comair Holdings, Inc. . . . . . . . . 262,815
6,500 * Continental Airlines, Inc. Class B . 369,687
5,350 Expeditors International of
Washington, Inc. . . . . . . . . . 165,181
5,400 Harper Group, Inc. . . . . . . . . . 110,700
9,700 * Mesa Airlines, Inc. . . . . . . . . . 128,525
1,300 SkyWest, Inc. . . . . . . . . . . . . 24,863
7,300 Tower Air, Inc. . . . . . . . . . . . 42,888
15,100 * USAir Group, Inc. . . . . . . . . . . 298,225
1,700 * Worldcorp Inc. . . . . . . . . . . . 13,175
--------------
1,764,996
--------------
APPAREL & PRODUCTS - 1.49%
4,400 Angelica Corp. . . . . . . . . . . . 108,350
5,000 * Ann Taylor Stores Corp. . . . . . . . 103,125
7,100 Authentic Fitness Corp. . . . . . . . 134,900
2,200 Blair Corp. . . . . . . . . . . . . . 54,725
8,150 Cato Corp. . . . . . . . . . . . . . 61,889
5,800 * Chic By H. I. S., Inc. . . . . . . . 34,800
8,550 Claire's Stores, Inc. . . . . . . . . 213,750
APPAREL & PRODUCTS - Continued
3,100 CML Group, Inc. . . . . . . . . . . . $ 16,663
5,400 * Designs, Inc. . . . . . . . . . . . . 35,100
2,000 * Donnkenny, Inc. . . . . . . . . . . . 38,000
9,400 * Dress Barn, Inc. . . . . . . . . . . 110,450
1,200 Fab Industries, Inc. . . . . . . . . 34,950
5,250 * Goody's Family Clothing, Inc. . . . . 52,500
6,400 * Gymboree Corp. . . . . . . . . . . . 217,600
2,300 Haggar Corp. . . . . . . . . . . . . 33,925
2,700 * Hartmarx Corp. . . . . . . . . . . . 16,875
400 * Johnson Worldwide Associates, Inc. . 6,950
5,550 Kellwood Co. . . . . . . . . . . . . 95,737
4,000 * Men's Wearhouse, Inc. . . . . . . . . 135,000
9,900 * Nautica Enterprises, Inc. . . . . . . 247,500
6,300 OshKosh B'Gosh, Inc. Class A . . . . 112,219
3,700 Oxford Industries, Inc. . . . . . . . 67,525
1,700 Phillips-Van Heusen Corp. . . . . . . 22,737
6,600 Ross Stores, Inc. . . . . . . . . . . 259,050
3,600 St. John Knits, Inc. . . . . . . . . 152,100
3,000 * Today's Man, Inc. . . . . . . . . . . 6,000
16,600 * Tultex Corp. . . . . . . . . . . . . 89,225
8,600 UniFirst Corp. . . . . . . . . . . . 195,650
1,000 * Urban Outfitters, Inc. . . . . . . . 42,250
--------------
2,699,545
--------------
APPLIANCES/FURNISHINGS - 0.98%
2,100 Aaron Rents, Inc. Class A . . . . . . 60,375
3,750 Bassett Furniture Industries, Inc. . 94,219
4,200 Crown Crafts, Inc. . . . . . . . . . 44,100
1,650 Falcon Products, Inc. . . . . . . . . 27,431
12,100 * Furniture Brands International, Inc. 131,587
13,653 * General Host Corp. . . . . . . . . . 46,079
11,697 * Griffon Corp. . . . . . . . . . . . . 106,735
5,000 Haverty Furniture Companies, Inc. . . 67,500
11,000 Hechinger Co. Class A . . . . . . . . 48,125
1,450 * Helen of Troy Limited . . . . . . . . 38,788
6,500 Herman Miller, Inc. . . . . . . . . . 200,687
6,000 Hunt Manufacturing Co. . . . . . . . 99,000
2,200 La-Z-Boy Chair Co. . . . . . . . . . 71,775
4,800 * Lechters, Inc. . . . . . . . . . . . 33,000
11,400 * Levitz Furniture, Inc. . . . . . . . 49,875
4,585 * Metromedia International Group . . . 64,190
1,500 National Presto Industries, Inc. . . 60,750
4,400 * O'Sullivan Industries Holdings, Inc. 33,550
4,600 Oneida Ltd. . . . . . . . . . . . . . 79,925
5,200 * Renters Choice, Inc. . . . . . . . . 140,400
4,400 Rival Co. . . . . . . . . . . . . . . 103,400
5,200 Sun Television and Appliances, Inc. . 26,000
4,900 Windmere Corp. . . . . . . . . . . . 63,700
5,423 * Zenith Electronics Corp. . . . . . . 78,634
--------------
1,769,825
--------------
AUTO - CARS - 0.10%
2,800 * Insurance Auto Auctions, Inc. . . . . 33,950
2,600 * Oxford Resources Corp. Class A . . . 66,625
6,200 * Roadmaster Industries, Inc. . . . . . 11,625
3,243 Varlen Corp. . . . . . . . . . . . . 70,941
--------------
183,141
--------------
</TABLE>
21
<PAGE> 24
SMALL CAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
AUTO - ORIGINAL EQUIPMENT - 0.67%
8,800 Allen Group Inc. . . . . . . . . . . $ 242,000
8,900 Arvin Industries, Inc. . . . . . . . 218,050
2,900 BREED Technologies, Inc. . . . . . . 65,250
2,500 Carlisle Cos Inc. . . . . . . . . . . 130,313
8,500 Donaldson Co., Inc. . . . . . . . . . 223,125
3,500 Excel Industries, Inc. . . . . . . . 52,500
7,100 Federal-Mogul Corp. . . . . . . . . . 130,462
4,500 Hayes Wheels International, Inc. . . 140,625
--------------
1,202,325
--------------
AUTO - REPLACEMENT PARTS - 1.12%
3,300 A.O. Smith Corp. . . . . . . . . . . 88,275
5,500 * APS Holding Corp. Class A . . . . . . 121,000
14,200 * Collins & Aikman Corp. . . . . . . . 95,850
1,075 Dart Group Corp. Class A . . . . . . 91,375
1,200 * Discount Auto Parts, Inc. . . . . . . 30,900
4,600 Furon Co. . . . . . . . . . . . . . . 109,825
6,300 Handy & Harman . . . . . . . . . . . 111,037
800 * Jason Inc. . . . . . . . . . . . . . 6,400
6,600 Kaydon Corp. . . . . . . . . . . . . 283,800
4,700 Masland Corp. . . . . . . . . . . . . 123,375
1,470 * Monro Muffler Brake, Inc. . . . . . . 27,930
943 Myers Industries, Inc. . . . . . . . 19,214
7,950 Simpson Industries, Inc. . . . . . . 76,519
6,400 SPX Corp. . . . . . . . . . . . . . . 171,200
2,100 Standard Motor Products, Inc.
Class A . . . . . . . . . . . . . 35,700
6,450 Standard Products Co. Class A . . . . 175,762
7,600 Stant Corp. . . . . . . . . . . . . . 84,550
11,200 * TBC Corp. . . . . . . . . . . . . . . 99,400
2,900 * Thomson PBE, Inc. . . . . . . . . . . 31,900
2,200 TransPro, Inc. . . . . . . . . . . . 16,500
3,300 Walbro Corp. . . . . . . . . . . . . 71,775
5,775 Wynn's International, Inc. . . . . . 158,091
--------------
2,030,378
--------------
BANKS - NEW YORK CITY - 0.07%
5,000 New York Bancorp Inc. . . . . . . . . 127,500
--------------
BANKS - REGIONAL - 5.92%
4,900 AMCORE Financial, Inc. . . . . . . . 98,613
2,625 Anchor BanCorp Wisconsin Inc. . . . . 89,250
3,918 Associated Banc-Corp. . . . . . . . . 150,843
7,800 BancorpSouth, Inc. . . . . . . . . . 175,500
590 Bank of Granite Corp. . . . . . . . . 22,494
3,150 BSB Bancorp, Inc. . . . . . . . . . . 80,719
259 BT Financial Corp. . . . . . . . . . 9,518
5,712 CCB Financial Corp. . . . . . . . . . 297,024
5,800 Center Financial Corp. . . . . . . . 122,525
8,100 Centura Banks, Inc. . . . . . . . . . 303,750
3,900 Chemical Financial Corp. . . . . . . 152,100
5,600 Citizens Bancorp . . . . . . . . . . 168,000
600 Citizens Bancshares, Inc. . . . . . . 19,050
600 Citizens Banking Corp. . . . . . . . 17,775
14,000 City National Corp. . . . . . . . . . 215,250
5,207 CNB Bancshares, Inc. . . . . . . . . 148,399
3,900 Cole Taylor Financial Group, Inc. . . 103,350
BANKS - REGIONAL - Continued
5,449 Collective Bancorp, Inc. . . . . . . $ 133,501
3,800 Colonial BancGroup, Inc. . . . . . . 133,000
2,112 Commerce Bancorp, Inc. . . . . . . . 51,216
5,100 Commercial Federal Corp. . . . . . . 197,625
5,300 Community First Bankshares, Inc. . . 123,888
4,120 Cullen/Frost Bankers, Inc. . . . . . 212,180
6,600 Deposit Guaranty Corp. . . . . . . . 298,650
1,742 F & M National Corp. . . . . . . . . 30,485
3,524 First American Financial Corp. . . . 107,923
3,550 First Citizens BancShares, Inc. . . . 225,425
225 First Commerce Bancshares, Inc. . . . 5,231
8,726 First Commercial Corp. . . . . . . . 266,143
9,400 First Commonwealth Financial Corp.
Pennsylvania . . . . . . . . . . . 178,600
3,200 First Financial Bancorp . . . . . . . 104,800
210 First Financial Corp. . . . . . . . . 6,405
7,700 First Financial Corp. . . . . . . . . 177,100
7,935 First Michigan Bank Corp. . . . . . . 240,029
3,900 First Midwest Bancorp, Inc. . . . . . 113,100
472 First Western Bancorp, Inc. . . . . . 12,508
337 Firstbank of Illinois Co. . . . . . . 10,279
7,500 FirstMerit Corp. . . . . . . . . . . 227,812
5,087 Fort Wayne National Corp. . . . . . . 161,512
8,525 Fulton Financial Corp. . . . . . . . 172,098
7,000 Great Financial Corp. . . . . . . . . 188,125
315 Harleysville National Corp. . . . . . 8,269
1,900 Heritage Financial Services, Inc. . . 38,950
5,925 HUBCO, Inc. . . . . . . . . . . . . . 124,610
5,120 * Imperial Bancorp . . . . . . . . . . 125,440
6,700 Jefferson Bankshares, Inc. . . . . . 147,400
4,500 Leader Financial Corp. . . . . . . . 204,750
3,100 Liberty Bancorp, Inc. . . . . . . . . 111,600
10,700 Magna Group, Inc. . . . . . . . . . . 256,800
3,300 Mark Twain Bancshares, Inc. . . . . . 120,450
4,727 Mid-Am, Inc. . . . . . . . . . . . . 87,450
1,825 National Bancorp of Alaska, Inc. . . 112,238
7,287 National Commerce Bancorporation . . 225,897
3,549 National Penn Bancshares, Inc. . . . 93,161
6,100 North Fork Bancorporation, Inc. . . . 148,687
3,012 North Side Savings Bank . . . . . . . 108,432
4,860 ONBANCorp, Inc. . . . . . . . . . . . 153,090
6,474 One Valley Bancorp of West
Virginia, Inc. . . . . . . . . . . 209,596
220 Peoples First Corp. . . . . . . . . . 4,950
600 Pikeville National Corp. . . . . . . 13,050
5,513 Provident Bancorp Inc. . . . . . . . 190,181
9,000 Riggs National Corp. . . . . . . . . 106,875
5,250 River Forest Bancorp, Inc. . . . . . 158,812
9,218 Roosevelt Financial Group, Inc. . . . 164,772
4,800 St. Paul Bancorp, Inc. . . . . . . . 111,000
5,475 Susquehanna Bancshares, Inc. . . . . 160,144
2,000 Trans Financial, Inc. . . . . . . . . 31,250
8,200 Trust Co. of New Jersey . . . . . . . 111,725
4,532 TrustCo Bank Corp. N Y . . . . . . . 100,837
9,650 Trustmark Corp. . . . . . . . . . . . 219,537
3,199 UMB Financial Corp. . . . . . . . . . 119,163
5,300 United Bankshares Inc. West Virginia 141,775
</TABLE>
22
<PAGE> 25
SMALL CAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
BANKS - REGIONAL - Continued
8,987 United Carolina Bancshares Corp. . . $ 202,207
8,000 UST Corp. . . . . . . . . . . . . . . 105,000
7,940 Valley National Bancorp . . . . . . . 231,252
4,000 Westamerica Bankcorporation . . . . . 193,000
694 Westcorp . . . . . . . . . . . . . . 12,493
4,000 Whitney Holding Corp. . . . . . . . . 124,000
5,000 Zions Bancorporation . . . . . . . . 370,000
--------------
10,700,638
--------------
BEVERAGE - BREWERS/
DISTRIBUTORS - 0.15%
10,000 Adolph Coors Class B . . . . . . . . 187,500
2,800 * Canandaigua Wine, Inc. Class B . . . 85,750
--------------
273,250
--------------
BEVERAGE - SOFT DRINKS - 0.06%
3,000 Coca-Cola Bottling Co. . . . . . . . 104,250
--------------
BROADCASTING - 1.28%
3,300 * Adelphia Communications Corp.
Class A . . . . . . . . . . . . . 23,925
5,300 * American Mobile Satellite Corp. . . . 97,388
5,100 * American Telecasting, Inc. . . . . . 72,038
6,300 * ANTEC Corp. . . . . . . . . . . . . . 107,887
200 * CAI Wireless Systems, Inc. . . . . . 2,150
6,500 Citicasters Inc. . . . . . . . . . . 202,312
4,500 * Cyrix Corp. . . . . . . . . . . . . . 138,937
4,800 * Evergreen Media Corp. . . . . . . . . 192,000
1,300 * EZ Communications, Inc. . . . . . . . 25,025
3,400 * Heritage Media Corp. Class A . . . . 135,150
8,250 * International Family
Entertainment, Inc. Class B . . . 148,500
800 * Jacor Communications, Inc. . . . . . 23,500
2,700 * Microtest, Inc. . . . . . . . . . . . 31,388
9,000 * Paxson Communications Corp. . . . . . 114,750
3,200 * People's Choice TV Corp. . . . . . . 54,400
6,700 * Renaissance Communication Corp. . . . 201,000
6,400 TCA Cable TV, Inc. . . . . . . . . . 180,800
13,300 * United International Holdings,
Inc. Class A . . . . . . . . . . . 189,525
1,100 United Television, Inc. . . . . . . . 96,250
5,600 * United Video Satellite Group, Inc.
Class A . . . . . . . . . . . . . 112,000
3,700 * WavePhore, Inc. . . . . . . . . . . . 37,000
3,600 * Young Broadcasting Inc. . . . . . . . 135,000
--------------
2,320,925
--------------
BUILDING MATERIALS - 0.85%
3,100 * ABT Building Products Corp. . . . . . 64,325
800 Ameron, Inc. . . . . . . . . . . . . 33,300
5,700 Apogee Enterprises, Inc. . . . . . . 152,475
2,850 Butler Manufacturing Co. . . . . . . 107,587
5,000 CalMat Co. . . . . . . . . . . . . . 91,875
3,200 Centex Construction Productions, Inc. 45,200
3,600 * Congoleum Corp. Class A . . . . . . . 39,150
2,100 Elcor Corp. . . . . . . . . . . . . . 46,463
9,500 Fedders USA Inc. . . . . . . . . . . 68,875
1,900 Florida Rock Industries, Inc. . . . . 48,450
BUILDING MATERIALS - Continued
5,000 Interface, Inc. Class A . . . . . . . $ 71,875
3,200 Lone Star Industries, Inc. . . . . . 106,400
4,200 Medusa Corp. . . . . . . . . . . . . 128,625
13,800 * Payless Cashways Inc. . . . . . . . . 65,550
1,000 Puerto Rican Cement Co. Inc. . . . . 32,875
3,500 Southdown, Inc. . . . . . . . . . . . 80,938
3,300 Texas Industries, Inc. . . . . . . . 206,662
7,100 * Triangle Pacific Corp. . . . . . . . 146,437
--------------
1,537,062
--------------
CHEMICAL - MAJOR - 0.23%
5,100 Borg-Warner Automotive, Inc. . . . . 201,450
3,800 Chemed Corp. . . . . . . . . . . . . 142,975
1,800 * Synetic, Inc. . . . . . . . . . . . . 62,100
--------------
406,525
--------------
CHEMICAL - MISCELLANEOUS - 1.56%
4,400 * Cytec Industries Inc. . . . . . . . . 393,800
4,300 Dexter Corp. . . . . . . . . . . . . 123,087
4,200 Fisher Scientific International Inc. 171,675
10,400 * Foamex International Inc. . . . . . . 127,400
5,100 Geon Co. . . . . . . . . . . . . . . 138,337
5,200 H.B. Fuller Co. . . . . . . . . . . . 175,500
14,300 Lawter International, Inc. . . . . . 164,450
500 LeaRonal, Inc. . . . . . . . . . . . 14,063
2,000 LESCO, Inc. . . . . . . . . . . . . . 32,500
6,400 * McWhorter Technologies, Inc. . . . . 118,400
4,900 Minerals Technologies Inc. . . . . . 178,237
7,000 * Mycogen Corp. . . . . . . . . . . . . 127,750
1,400 NCH Corp. . . . . . . . . . . . . . . 79,450
2,600 O'Sullivan Corp. . . . . . . . . . . 30,550
5,300 Om Group Inc. . . . . . . . . . . . . 214,650
375 PENWEST, LTD. . . . . . . . . . . . . 7,219
925 Petrolite Corp. . . . . . . . . . . . 30,525
1,700 Quaker Chemical Corp. . . . . . . . . 22,738
13,200 * Sterling Chemicals, Inc. . . . . . . 151,800
375 Tuscarora Inc. . . . . . . . . . . . 9,141
8,900 * Uniroyal Chemical Corp. . . . . . . . 142,400
600 Univar Corp. . . . . . . . . . . . . 7,425
3,450 VWR Scientific Products Corp. . . . . 58,650
6,150 W.H. Brady Co. Class A . . . . . . . 158,362
2,900 WD-40 Co. . . . . . . . . . . . . . . 137,750
--------------
2,815,859
--------------
COAL - 0.28% . . . . . . . . . . . .
1,900 * Addington Resources, Inc. . . . . . . 38,950
4,000 Ashland Inc. . . . . . . . . . . . . 94,500
7,500 Eastern Enterprises . . . . . . . . . 255,938
2,200 NACCO Industries, Inc. Class A . . . 123,200
--------------
512,588
--------------
CONGLOMERATES - 0.23%
2,300 * MAXXAM, Inc. . . . . . . . . . . . . 98,613
2,600 * PEC Israel Economic Corp. . . . . . . 50,050
4,700 PHH Corp. . . . . . . . . . . . . . . 260,262
--------------
408,925
--------------
</TABLE>
23
<PAGE> 26
SMALL CAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER FINANCE - 0.46%
10,200 * AmeriCredit Corp. . . . . . . . . . . $ 154,275
3,700 Eaton Vance Corp. . . . . . . . . . . 121,175
1,120 * Fleet Financial Group, Inc. . . . . . 13,440
1,100 Fund American Enterprises, Inc. . . . 89,100
6,930 * National Auto Credit, Inc. . . . . . 84,893
6,600 * Olympic Financial Limited . . . . . . 155,925
6,000 SEI Corp. . . . . . . . . . . . . . . 130,500
2,400 * TFC Enterprises, Inc. . . . . . . . . 6,300
9,100 * World Acceptance Corp. . . . . . . . 81,900
--------------
837,508
--------------
CONTAINERS - METAL/GLASS - 0.35%
2,200 * Alltrista Corp. . . . . . . . . . . . 50,050
4,700 AptarGroup, Inc. . . . . . . . . . . 199,162
2,800 CLARCOR Inc. . . . . . . . . . . . . 57,750
600 * CSS Industries, Inc. . . . . . . . . 15,375
5,800 Greif Brothers Corp. Class A . . . . 166,750
625 Liqui-Box Corp. . . . . . . . . . . . 19,219
9,900 * Omega Environmental, Inc. . . . . . . 29,700
5,700 * U. S. Can Corp. . . . . . . . . . . . 97,613
--------------
635,619
--------------
CONTAINERS - PAPER - 0.29%
5,800 Chesapeake Utilities Corp. . . . . . 154,425
12,600 * Gaylord Container Corp. Class A . . . 112,613
9,900 Rock-Tenn Co. Class A . . . . . . . . 195,525
3,600 * Shorewood Packaging Corp. . . . . . . 59,400
--------------
521,963
--------------
COSMETICS/TOILETRIES - 0.17%
2,300 * American Safety Razor Co. . . . . . . 27,025
4,100 * INBRAND Corp. . . . . . . . . . . . . 119,412
9,100 * Playtex Products, Inc. . . . . . . . 87,588
2,600 * Thermolase Corp. . . . . . . . . . . 77,350
--------------
311,375
--------------
DRUGS - 2.87%
3,500 A.L. Pharma Inc. Class A . . . . . . 85,750
3,400 * Agouron Pharmaceuticals, Inc. . . . . 146,200
9,100 * Alliance Pharmaceutical Corp. . . . . 196,787
5,100 * AmeriSource Health Corp. Class A . . 172,125
1,900 * Amylin Pharmaceuticals, Inc. . . . . 23,275
1,000 * Aphton Corp. . . . . . . . . . . . . 24,000
5,400 * Athena Neurosciences, Inc. . . . . . 99,900
5,300 Bindley Western Industries, Inc. . . 90,763
1,400 * Biocraft Laboratories, Inc. . . . . . 28,700
200 Carter-Wallace Inc. . . . . . . . . . 2,800
1,500 * CellPro, Inc. . . . . . . . . . . . . 27,375
6,800 * Cephalon, Inc. . . . . . . . . . . . 183,600
2,800 * Columbia Laboratories, Inc. . . . . . 38,150
2,698 * Copley Pharmaceutical, Inc. . . . . . 42,494
200 * COR Therapeutics, Inc. . . . . . . . 2,025
5,500 * Cygnus, Inc. . . . . . . . . . . . . 102,094
8,200 * Cytel Corp. . . . . . . . . . . . . . 65,600
3,300 * Dura Pharmaceuticals, Inc. . . . . . 203,362
2,400 * Duramed Pharmaceuticals, Inc. . . . . 42,900
4,400 * Faulding, Inc. . . . . . . . . . . . 28,600
DRUGS - Continued
6,700 * Gilead Sciences, Inc. . . . . . . . . $ 232,825
800 Herbalife International, Inc. . . . . 12,800
2,200 * Human Genome Sciences, Inc. . . . . . 80,575
7,165 ICN Pharmaceuticals, Inc. . . . . . . 189,872
10,300 * ICOS Corp. . . . . . . . . . . . . . 91,412
10,300 * IDEXX Laboratories, Inc. . . . . . . 448,050
6,200 * ImmuLogic Pharmaceutical Corp. . . . 57,350
7,500 * Immunex Corp. . . . . . . . . . . . . 116,250
2,600 * Incyte Pharmacuticals, Inc. . . . . . 89,050
7,200 * Interneuron Pharmaceuticals, Inc. . . 279,000
4,200 Life Technologies, Inc. . . . . . . . 129,675
3,458 * Ligand Pharmaceuticals Inc. Class B . 57,922
1,600 * Medco Research, Inc. . . . . . . . . 16,200
6,930 Natures Sunshine Products, Inc. . . . 195,772
7,100 * NeXstar Pharmaceuticals, Inc. . . . . 175,725
7,700 * Noven Pharmaceuticals, Inc. . . . . . 132,825
1,200 * PDT Inc. . . . . . . . . . . . . . . 57,900
3,600 * Pharmaceutical Resources, Inc. . . . 26,100
7,000 * Regeneron Pharmaceuticals Inc. . . . 121,625
2,700 * Roberts Pharmaceutical Corp. . . . . 56,700
6,400 * Sepracor Inc. . . . . . . . . . . . . 93,600
7,900 * SEQUUS Pharmaceuticals, Inc. . . . . 168,862
4,100 * Somatogen, Inc. . . . . . . . . . . . 69,188
12,100 * Systemed, Inc. . . . . . . . . . . . 34,788
800 * SyStemix, Inc. . . . . . . . . . . . 14,000
3,100 * Vertex Pharmaceuticals Inc. . . . . . 115,475
4,200 * Vivus Inc. . . . . . . . . . . . . . 124,425
8,930 * Watson Pharmaceuticals, Inc. . . . . 401,850
--------------
5,196,316
--------------
ELECTRICAL EQUIPMENT - 1.61%
200 * Acme Electric Corp. . . . . . . . . . 2,475
3,500 * Alpha Industries, Inc. . . . . . . . 33,688
5,100 * American Superconductor Corp. . . . . 71,400
7,200 AMETEK, Inc. . . . . . . . . . . . . 154,800
900 * Applied Digital Access, Inc. . . . . 13,725
3,800 * Applied Innovation Inc. . . . . . . . 47,500
8,157 * BancTec, Inc. . . . . . . . . . . . . 165,179
6,200 Belden Inc. . . . . . . . . . . . . . 198,400
3,950 * C-COR Electronics, Inc. . . . . . . . 92,331
9,400 * C-Cube Microsystems, Inc. . . . . . . 470,000
4,000 * Cable Design Technologies Corp . . . 182,000
4,700 * California Microwave, Inc. . . . . . 89,887
400 * Cherry Corp. Class B . . . . . . . . 5,000
4,900 * Digital Microwave Corp. . . . . . . . 77,175
4,775 * Electro Rent Corp. . . . . . . . . . 118,181
3,700 * Energy Conversion Devices, Inc. . . . 89,725
2,300 * Exide Electronics Group, Inc. . . . . 35,075
500 * Franklin Electronic Publishers, Inc. 12,313
3,000 * Holophane Corp. . . . . . . . . . . . 53,250
2,200 * Hutchinson Technology Inc. . . . . . 124,850
2,700 * Integrated Circuit Systems, Inc. . . 32,738
5,300 * Integrated Silicon Solution, Inc. . . 79,169
4,800 Juno Lighting, Inc. . . . . . . . . . 73,200
5,500 * Kent Electronics Corp. . . . . . . . 195,250
2,800 * Micrel, Inc. . . . . . . . . . . . . 46,200
5,400 * Sierra Semiconductor Corp. . . . . . 79,650
</TABLE>
24
<PAGE> 27
SMALL CAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
ELECTRICAL EQUIPMENT - Continued
3,300 Standex International Corp. . . . . . $ 87,862
1,000 * Summa Four, Inc. . . . . . . . . . . 18,000
2,800 * Thermo Ecotek Corp. . . . . . . . . . 67,550
900 Thomas Industries Inc. . . . . . . . 18,563
5,900 Woodhead Industries, Inc. . . . . . . 83,337
5,100 X-Rite, Inc. . . . . . . . . . . . . 88,612
--------------
2,907,085
--------------
ELECTRONIC INSTRUMENTS - 3.69%
4,850 Analogic Corp. . . . . . . . . . . . 123,675
8,600 * Applied Magnetics Corp. . . . . . . . 147,275
5,900 Augat Inc. . . . . . . . . . . . . . 127,587
2,045 * Bell Industries, Inc. . . . . . . . . 44,999
5,600 Bmc Inds Inc. Minnesota . . . . . . . 166,600
9,800 * Cognex Corp. . . . . . . . . . . . . 173,950
1,400 CTS Corp. . . . . . . . . . . . . . . 63,175
700 Daniel Industries, Inc. . . . . . . . 10,325
6,000 * Dionex Corp. . . . . . . . . . . . . 220,500
6,800 * Dynatech Corp. . . . . . . . . . . . 237,150
1,800 * Eltron International, Inc. . . . . . 49,950
4,000 * Evans & Sutherland Computer Corp. . . 94,000
4,600 * Exabyte Corp. . . . . . . . . . . . . 91,425
3,700 * Exar Corp. . . . . . . . . . . . . . 60,125
2,100 Fluke Corp. . . . . . . . . . . . . . 81,638
3,700 * Gentex Corp. . . . . . . . . . . . . 167,425
5,500 * Genus, Inc. . . . . . . . . . . . . . 59,813
8,300 Gerber Scientific, Inc. . . . . . . . 144,212
3,200 * HADCO Corp. . . . . . . . . . . . . . 75,200
3,675 Harman International Industries, Inc. 192,937
14,700 * InterDigital Communications Corp. . . 138,731
14,200 * Intergraph Corp. . . . . . . . . . . 186,375
31,000 * Iomega Corp. . . . . . . . . . . . . 1,367,875
1,000 * ITI Technologies, Inc. . . . . . . . 33,750
6,150 * Lattice Semiconductor Corp. . . . . . 212,944
8,300 * LoJack Corp. . . . . . . . . . . . . 109,975
10,200 * LTX Corp. . . . . . . . . . . . . . . 109,650
6,100 * MagneTek, Inc. . . . . . . . . . . . 59,475
6,400 * Marshall Industries . . . . . . . . . 200,800
11,050 Methode Electronics, Inc. Class A . . 196,137
2,500 Nashua Corp. . . . . . . . . . . . . 41,875
5,900 National Computer Systems, Inc. . . . 143,075
4,200 Park Electrochemical Corp. . . . . . 101,325
3,000 * Performance Food Group Co. . . . . . 94,500
8,737 Pioneer-Standard Electronics, Inc. . 132,147
3,800 * Robotic Vision Systems, Inc. . . . . 72,200
5,700 * Standard Microsystems Corp. . . . . . 89,063
6,200 Telxon Corp. . . . . . . . . . . . . 113,150
6,200 * 3DO Co. . . . . . . . . . . . . . . . 71,494
1,500 * Three-Five Systems, Inc. . . . . . . 20,625
900 * Union Switch & Signal . . . . . . . . 9,675
7,300 * VeriFone, Inc. . . . . . . . . . . . 367,737
3,100 Watkins-Johnson Co. . . . . . . . . . 94,938
4,400 Wyle Electronics . . . . . . . . . . 187,000
8,200 ZERO Corp. . . . . . . . . . . . . . 175,275
--------------
6,661,752
--------------
ENTERTAINMENT - 1.04%
3,300 * AMC Entertainment, Inc. . . . . . . . $ 109,725
8,100 * American Classic Voyages Co. . . . . 65,812
4,400 * Argosy Gaming Co. . . . . . . . . . . 34,650
6,900 * Autotote Corp. Class A . . . . . . . 21,994
15,400 * Aztar Corp. . . . . . . . . . . . . . 177,100
2,200 * BET Holdings, Inc. Class A . . . . . 58,575
1,100 * Carmike Cinemas, Inc. . . . . . . . . 30,663
12,200 * Discovery Zone, Inc. . . . . . . . . 6,863
3,400 * GC Companies, Inc. . . . . . . . . . 124,950
7,850 * Grand Casinos, Inc. . . . . . . . . . 274,750
3,200 * Griffin Gaming & Entertainment . . . 45,600
1,000 Harveys Casino Resorts . . . . . . . 21,500
7,000 * Hollywood Entertainment Corp. . . . . 108,500
6,700 * Musicland Stores Corp. . . . . . . . 29,313
1,800 NN Ball & Roller, Inc. . . . . . . . 42,300
3,000 * Primadonna Resorts, Inc. . . . . . . 69,375
2,100 * Recoton Corp. . . . . . . . . . . . . 36,225
4,350 * Regal Cinemas, Inc. . . . . . . . . . 201,731
1,050 * Shuffle Master, Inc. . . . . . . . . 15,750
3,300 * Sodak Gaming, Inc. . . . . . . . . . 100,650
4,500 * Sports & Recreation, Inc. . . . . . . 42,750
7,400 * StarSight Telecast, Inc. . . . . . . 73,884
6,300 * Toy Biz, Inc. Class A . . . . . . . . 137,812
8,200 * Tyco Toys, Inc. . . . . . . . . . . . 44,075
--------------
1,874,547
--------------
FERTILIZERS - 0.30%
6,449 Delta & Pine Land Co. . . . . . . . . 277,307
7,400 First Mississippi Corp. . . . . . . . 183,150
3,900 Mississippi Chemical Corp. . . . . . 86,775
--------------
547,232
--------------
FINANCE COMPANIES - 0.41%
3,267 * Imperial Credit Industries, Inc. . . 95,560
6,100 Keystone Financial, Inc. . . . . . . 204,350
7,625 Money Store Inc. . . . . . . . . . . 200,156
4,400 Phoenix Duff & Phelps Corp. . . . . . 31,900
440 Phoenix Duff & Phelps Corp.
(Preferred) . . . . . . . . . . . 11,385
3,600 U. S. Trust Corp. . . . . . . . . . . 193,050
--------------
736,401
--------------
FOODS - 0.81%
350 Bridgford Foods Corp. . . . . . . . . 2,844
800 Chiquita Brands International . . . . 10,700
3,200 Dreyer's Grand Ice Cream, Inc. . . . 108,000
15,450 Flowers Industries, Inc. . . . . . . 243,337
5,850 Hudson Foods, Inc. . . . . . . . . . 78,244
7,200 International Multifoods Corp. . . . 143,100
5,200 Interstate Bakeries Corp. . . . . . . 143,650
6,300 J.M. Smucker Co. Class A . . . . . . 128,362
4,200 Lance, Inc. . . . . . . . . . . . . . 69,825
7,700 Michaels Foods, Inc. . . . . . . . . 78,925
6,700 * Morningstar Group Inc. . . . . . . . 77,050
2,700 * NBTY, Inc. . . . . . . . . . . . . . 24,975
</TABLE>
25
<PAGE> 28
SMALL CAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
FOODS - Continued
8,000 * Ralcorp Holdings Inc. . . . . . . . . $ 199,000
2,250 Thorn Apple Valley, Inc. . . . . . . 32,063
3,285 Tootsie Roll Industries, Inc. . . . . 115,796
--------------
1,455,871
--------------
FOOTWEAR - 0.43%
4,400 Brown Group, Inc. . . . . . . . . . . 74,800
3,366 * Converse Inc. . . . . . . . . . . . . 15,568
4,600 Edison Brothers Stores, Inc. . . . . 12,075
4,400 J Baker Inc. . . . . . . . . . . . . 42,350
2,400 * Just For Feet Inc. . . . . . . . . . 128,700
7,100 Justin Industries, Inc. . . . . . . . 86,975
3,800 * Kenneth Cole Productions, Inc.
Class A . . . . . . . . . . . . . 68,400
9,700 Stride Rite Corp. . . . . . . . . . . 87,300
2,100 * Timberland Co. Class A . . . . . . . 47,775
6,150 * Wolverine World Wide, Inc. . . . . . 204,487
--------------
768,430
--------------
FREIGHT - 0.74%
6,100 Air Express International Corp. . . . 175,375
3,900 Airborne Freight Corp. . . . . . . . 98,475
7,800 American President Companies, Ltd. . 205,725
5,486 * Fritz Companies, Inc. . . . . . . . . 189,267
1,800 * Greyhound Lines, Inc. . . . . . . . . 8,213
500 International Shipholding Corp. . . . 9,625
5,500 Interpool, Inc. . . . . . . . . . . . 106,562
3,900 J.B. Hunt Transport Services, Inc. . 74,100
6,000 * Kirby Corp. . . . . . . . . . . . . . 105,750
14,900 * OMI Corp. . . . . . . . . . . . . . . 130,375
10,900 Overseas Shipholding Group Inc. . . . 204,375
800 * SEACOR Holdings, Inc. . . . . . . . . 38,400
--------------
1,346,242
--------------
GOLD MINING - 0.33%
12,800 * Amax Gold Inc. . . . . . . . . . . . 86,400
6,600 Coeur d'Alene Mines Corp. . . . . . . 146,025
6,630 * FirstMiss Gold Inc. . . . . . . . . . 259,399
2,600 FMC Gold Co. . . . . . . . . . . . . 14,950
65,500 * Sunshine Mining Co. . . . . . . . . . 98,250
--------------
605,024
--------------
HARDWARE & TOOLS - 0.07%
2,100 Brenco, Inc. . . . . . . . . . . . . 27,563
4,400 Lawson Products, Inc. . . . . . . . . 101,200
--------------
128,763
--------------
HEALTHCARE - 4.18%
2,800 * Access Health, Inc. . . . . . . . . . 152,600
12,200 * Advanced Tissue Sciences, Inc. . . . 222,650
4,900 * American Medical Response, Inc. . . . 178,237
12,990 * Apria Healthcare Group, Inc. . . . . 379,957
4,100 * Arbor Health Care Co. . . . . . . . . 114,800
2,163 Block Drug Co., Inc. Class A . . . . 93,009
5,100 Collagen Corp. . . . . . . . . . . . 109,650
8,300 * Coram Healthcare Corp. . . . . . . . 40,463
HEALTHCARE - Continued
5,102 * CYTOGEN Corp. . . . . . . . . . . . . $ 45,918
7,800 * Genesis Health Ventures, Inc. . . . . 246,675
4,300 * GranCare Inc. . . . . . . . . . . . . 79,013
12,462 * Horizon/CMS Healthcare Corp. . . . . 152,660
7,100 Integrated Health Services, Inc. . . 185,487
6,500 Invacare Corp. . . . . . . . . . . . 169,000
1,200 Kinetic Concepts, Inc. . . . . . . . 20,400
6,400 * Lincare Holdings Inc. . . . . . . . . 241,600
4,100 * Living Centers of America, Inc. . . . 154,775
8,600 * Mariner Health Group, Inc. . . . . . 152,650
7,000 * Maxicare Health Plans Inc. . . . . . 171,500
6,274 * MedPartners/Mullikin, Inc. . . . . . 146,655
7,600 Mentor Corp. . . . . . . . . . . . . 169,100
7,500 * Multicare Companies, Inc. . . . . . . 150,000
23,600 * NovaCare, Inc. . . . . . . . . . . . 153,400
6,500 Omnicare, Inc. . . . . . . . . . . . 362,375
13,100 * OrNda HealthCorp . . . . . . . . . . 329,137
5,050 * Patterson Dental Co. . . . . . . . . 162,862
3,600 * PHP Healthcare Corp. . . . . . . . . 119,250
9,600 * PhyCor, Inc. . . . . . . . . . . . . 520,800
2,800 * Physicians Health Services, Inc.
Class A . . . . . . . . . . . . . 77,000
5,000 * Quantum Health Resources Inc. . . . . 87,500
4,300 * Regency Health Services, Inc. . . . . 43,538
4,800 * Renal Treatment Centers Inc. . . . . 163,200
800 * Respironics Inc. . . . . . . . . . . 15,800
4,600 * RightCHOICE Managed Care, Inc.
Class A . . . . . . . . . . . . . 78,775
5,600 * RoTech Medical Corp. . . . . . . . . 120,400
3,500 * Rural/Metro Corp. . . . . . . . . . . 117,250
4,200 * Sierra Health Services, Inc. . . . . 135,450
5,000 * SpaceLabs Medical, Inc. . . . . . . . 121,250
10,086 * STERIS Corp. . . . . . . . . . . . . 345,445
3,100 * Summit Care Corp. . . . . . . . . . . 74,400
12,488 * Sun Healthcare Group, Inc. . . . . . 184,198
5,600 * Sunrise Medical Inc. . . . . . . . . 105,700
3,850 * TECNOL Medical Products, Inc. . . . . 76,038
4,500 * TheraTx, Inc. . . . . . . . . . . . . 66,375
10,000 * Universal Health Services, Inc.
Class B . . . . . . . . . . . . . 260,000
3,500 * VISX, Inc. . . . . . . . . . . . . . 113,750
2,300 Vital Signs, Inc. . . . . . . . . . . 55,200
7,725 * Vivra Inc. . . . . . . . . . . . . . 263,616
1,600 * Wellcare Management Group, Inc. . . . 20,200
--------------
7,549,708
--------------
HEAVY DUTY TRUCKS/PARTS - 0.20%
800 Cascade Corp. . . . . . . . . . . . . 11,800
4,300 * Detroit Diesel Corp. . . . . . . . . 81,162
3,900 Kysor Industrial Corp. . . . . . . . 102,862
1,700 Oshkosh Truck Corp. Class B . . . . . 24,863
577 Raymond Corp. . . . . . . . . . . . . 10,242
4,450 Spartan Motors, Inc. . . . . . . . . 35,044
4,450 Wabash National Corp. . . . . . . . . 90,669
--------------
356,642
--------------
</TABLE>
26
<PAGE> 29
SMALL CAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
HOME BUILDERS - 0.65%
3,100 Continental Homes Holding Corp. . . . $ 76,338
7,905 * D R Horton Inc. . . . . . . . . . . . 83,002
6,700 Del Webb Corp. . . . . . . . . . . . 118,925
4,050 * Hovnanian Enterprises, Inc. Class A . 28,350
350 * Hovnanian Enterprises, Inc. Class B . 2,450
7,000 * NVR Inc. . . . . . . . . . . . . . . 74,375
6,900 Pulte Corp. . . . . . . . . . . . . . 193,200
6,000 * Redman Industries Inc. . . . . . . . 131,250
7,000 Ryland Group, Inc. . . . . . . . . . 114,625
3,600 * Schuler Homes, Inc. . . . . . . . . . 25,200
10,200 Standard Pacific Corp. . . . . . . . 73,950
7,700 * Toll Brothers, Inc. . . . . . . . . . 128,975
5,170 * U. S. Home Corp. . . . . . . . . . . 133,127
--------------
1,183,767
--------------
HOSPITAL MANAGEMENT - 0.76%
2,250 * ABR Information Services, Inc. . . . 141,187
19,500 * CareAdvantage, Inc. . . . . . . . . . 4,680
800 * Champion Healthcare Corp. . . . . . . 9,100
1,700 * Coastal Physician Group Inc. . . . . 14,238
4,250 * Community Health Systems, Inc. . . . 184,344
11,400 * Community Psychiatric Centers . . . . 108,300
7,500 * Coventry Corp. . . . . . . . . . . . 137,812
3,200 * EmCare Holdings Inc. . . . . . . . . 100,000
5,700 * Health Management Systems, Inc. . . . 175,275
4,400 * Health Management, Inc. . . . . . . . 23,650
6,500 * Magellan Health Services, Inc. . . . 156,000
3,600 * Orthodontic Centers of America Inc. . 133,650
2,600 * Physician Reliance Network Inc. . . . 136,500
13,300 * Unilab Corp. . . . . . . . . . . . . 24,938
2,300 * United American Healthcare Corp. . . 26,450
--------------
1,376,124
--------------
HOSPITAL SUPPLIES - 1.67%
9,400 * Acuson Corp. . . . . . . . . . . . . 179,775
2,600 * Advanced Technology Laboratories,
Inc. . . . . . . . . . . . . . . . 91,650
9,900 Ballard Medical Products . . . . . . 196,762
10,200 * Bio-Technology General Corp. . . . . 74,588
15,900 * Biocontrol Technology, Inc. . . . . . 27,825
2,900 * Coherent, Inc. . . . . . . . . . . . 141,737
5,300 * Daig Corp. . . . . . . . . . . . . . 131,175
5,200 * Datascope Corp. . . . . . . . . . . . 92,300
4,100 Diagnostic Products Corp. . . . . . . 154,262
4,800 * Gulf South Medical Supply, Inc. . . . 229,200
4,750 * Healthdyne Technologies Inc. . . . . 62,938
7,300 * Isis Pharmaceuticals, Inc. . . . . . 132,312
600 Landauer, Inc. . . . . . . . . . . . 12,375
1,600 * Maxxim Medical, Inc. . . . . . . . . 29,200
900 * MediSense, Inc. . . . . . . . . . . . 40,050
8,224 * Nellcor Puritan Bennett Inc. . . . . 448,208
10,950 Owens & Minor, Inc. . . . . . . . . . 136,875
2,700 * Pharmaceutical Marketing Services,
Inc. . . . . . . . . . . . . . . . 28,013
6,500 * Physician Sales & Service Inc. . . . 209,625
1,000 * Safeskin Corp. . . . . . . . . . . . 35,875
1,800 Sullivan Dental Products, Inc. . . . 20,700
9,700 * Summit Technology, Inc. . . . . . . . 166,112
HOSPITAL SUPPLIES - Continued
3,200 * Target Therapeutics, Inc. . . . . . . $ 158,400
1,800 * TECHNE Corp. . . . . . . . . . . . . 52,200
6,500 * Uromed Corp . . . . . . . . . . . . . 78,813
3,800 West Co., Inc. . . . . . . . . . . . 94,525
--------------
3,025,495
--------------
HOUSEHOLD PRODUCTS - 0.57%
4,500 Armor All Products Corp. . . . . . . 69,750
3,700 * Blyth Industries, Inc. . . . . . . . 170,200
3,000 Ekco Group, Inc. . . . . . . . . . . 18,375
1,125 Fay's Inc. . . . . . . . . . . . . . 9,141
8,700 * First Alert, Inc. . . . . . . . . . . 56,550
6,100 Libbey Inc. . . . . . . . . . . . . . 147,925
2,312 * Midwest Grain Products, Inc. . . . . 28,900
4,225 Oil-Dri Corp. of America . . . . . . 57,566
4,050 Pittway Corp. Class A . . . . . . . . 195,412
3,250 Rykoff-Sexton, Inc. . . . . . . . . . 50,375
7,000 Stanhome Inc. . . . . . . . . . . . . 203,000
800 * Syratech Corp. . . . . . . . . . . . 21,100
--------------
1,028,294
--------------
INFORMATION PROCESSING - 8.68%
300 * Active Voice Corp. . . . . . . . . . 4,050
7,733 ADAC Laboratories . . . . . . . . . . 126,628
13,387 * American Management Systems, Inc. . . 381,529
3,900 Analysts International Corp. . . . . 167,700
3,500 * Applix, Inc. . . . . . . . . . . . . 114,625
3,300 * Artisoft, Inc. . . . . . . . . . . . 34,650
5,703 * AST Research, Inc. . . . . . . . . . 46,337
3,100 * Atria Software, Inc. . . . . . . . . 196,075
8,300 * Auspex Systems, Inc. . . . . . . . . 191,937
5,200 * Banyan Systems Inc. . . . . . . . . . 48,100
4,600 * BBN Corp. . . . . . . . . . . . . . . 120,750
5,800 * BISYS Group, Inc. . . . . . . . . . . 213,150
7,300 * Black Box Corp. . . . . . . . . . . . 151,475
4,650 * Boole & Babbage, Inc. . . . . . . . . 113,925
10,100 * Borland International, Inc. . . . . . 135,719
6,900 * Boston Technology, Inc. . . . . . . . 125,063
1,300 * Business Records Corp. Holding Co. . 47,775
1,400 * Caere Corp. . . . . . . . . . . . . . 18,725
2,900 * Cambridge Technology Partners, Inc. . 221,850
1,700 * CDW Computer Centers, Inc. . . . . . 139,825
9,500 * Cheyenne Software, Inc. . . . . . . . 205,437
10,800 * CompUSA Inc. . . . . . . . . . . . . 472,500
4,950 * Computer Horizons Corp. . . . . . . . 231,412
7,000 * Computer Network Technology Corp. . . 58,625
14,900 * Computervision Corp. . . . . . . . . 173,212
7,500 * Comverse Technology, Inc. . . . . . . 220,312
11,612 * Concord EFS, Inc. . . . . . . . . . . 400,614
7,668 * Continuum Co., Inc. . . . . . . . . . 471,582
5,800 * Control Data Systems, Inc. . . . . . 143,550
9,500 * CopyTele, Inc. . . . . . . . . . . . 176,937
1,430 * Cray Research, Inc. . . . . . . . . . 39,146
10,000 * Data General Corp. . . . . . . . . . 127,500
3,000 * Dialogic Corp. . . . . . . . . . . . 162,000
3,600 * DSP Group, Inc. . . . . . . . . . . . 42,300
2,300 * Edmark Corp. . . . . . . . . . . . . 66,700
7,100 * Egghead, Inc. . . . . . . . . . . . . 84,313
</TABLE>
27
<PAGE> 30
SMALL CAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION PROCESSING - Continued
7,600 * Electronic For Imaging, Inc. . . . . $ 608,000
2,600 * Emulux Corp. . . . . . . . . . . . . 49,075
3,800 * Epic Design Technology, Inc. . . . . 112,100
4,000 * FileNet Corp. . . . . . . . . . . . . 185,500
2,000 * Firefox Communications, Inc. . . . . 17,469
5,700 * FORE Systems, Inc. . . . . . . . . . 461,700
4,800 * FTP Software, Inc. . . . . . . . . . 56,100
5,400 * General DataComm Industries, Inc. . . 85,725
1,400 * Global Village Communications . . . . 13,825
3,200 * Gupta Corp. . . . . . . . . . . . . . 20,400
1,600 * HCIA, Inc. . . . . . . . . . . . . . 103,600
1,800 Henry Jack & Associates . . . . . . . 59,175
6,200 * Hyperion Software Corp. . . . . . . . 86,800
8,100 * IMO Industries Inc. . . . . . . . . . 57,713
3,200 * In Focus Systems, Inc. . . . . . . . 184,000
1,700 * Incomnet, Inc. . . . . . . . . . . . 9,138
10,200 * Information Resources, Inc. . . . . . 127,500
11,500 * Input/Output, Inc. . . . . . . . . . 464,312
3,000 * Inso Corp. . . . . . . . . . . . . . 170,250
5,900 * INTERSOLV, Inc. . . . . . . . . . . . 70,063
5,800 * Keane, Inc. . . . . . . . . . . . . . 231,275
5,800 * Landmark Graphics Corp. . . . . . . . 108,750
4,300 MacNeal-Schwendler Corp. . . . . . . 47,838
7,800 * Macromedia, Inc. . . . . . . . . . . 332,475
2,300 * MapInfo Corp. . . . . . . . . . . . . 40,250
4,400 * Marcam Corp. . . . . . . . . . . . . 55,550
6,600 * McAfee Associates, Inc. . . . . . . . 244,200
5,100 Measurex Corp. . . . . . . . . . . . 147,263
2,600 * Medic Computer Systems, Inc. . . . . 241,800
4,500 * Mercury Interactive Corp. . . . . . . 65,250
5,600 * Merisel, Inc. . . . . . . . . . . . . 23,800
3,500 * Microcom, Inc. . . . . . . . . . . . 67,813
2,400 * Microdyne Corp. . . . . . . . . . . . 19,050
2,300 * Micron Electronics, Inc. . . . . . . 36,800
800 * MICROS Systems Inc. . . . . . . . . . 23,800
6,100 MTS Systems Corp. . . . . . . . . . . 111,325
7,250 National Data Corp. . . . . . . . . . 273,687
7,800 * NetManage, Inc. . . . . . . . . . . . 131,625
8,800 * Network General Corp. . . . . . . . . 209,000
3,200 * Norand Corp. . . . . . . . . . . . . 65,600
4,000 * Oak Technology, Inc. . . . . . . . . 51,000
2,400 * Open Environment Corp. . . . . . . . 15,600
3,100 * Optical Data Systems, Inc. . . . . . 71,300
2,133 * Paxar Corp. . . . . . . . . . . . . . 35,728
5,100 * Platinum Software Corp. . . . . . . . 54,825
9,700 * PLATINUM technology, Inc. . . . . . 176,419
5,500 * Primark Corp. . . . . . . . . . . . . 193,875
4,400 * Progress Software Corp. . . . . . . . 69,850
6,600 * Quarterdeck Corp. . . . . . . . . . . 95,700
9,200 * Racoktek Inc. . . . . . . . . . . . . 55,200
4,500 * Rational Software Corp. . . . . . . . 279,562
1,800 * Remedy Corp. . . . . . . . . . . . . 140,850
13,800 * S3, Inc. . . . . . . . . . . . . . . 194,925
3,400 * Safeguard Scientifics, Inc. . . . . . 299,625
2,900 * Security Dynamics Technologies, Inc. 257,375
8,400 * Sequent Computer Systems, Inc. . . . 111,300
5,600 * Shiva Corp. . . . . . . . . . . . . . 418,600
INFORMATION PROCESSING - Continued
5,200 * Sierra On-Line, Inc. . . . . . . . . $ 234,000
6,100 * Softkey International, Inc. . . . . . 151,737
100 * Spectrum HoloByte, Inc. . . . . . . . 738
8,100 * Stac, Inc. . . . . . . . . . . . . . 103,275
5,400 * Stratus Computer, Inc. . . . . . . . 159,300
9,800 * Structural Dynamics Research Corp. . 279,300
4,500 * SyQuest Technology, Inc. . . . . . . 49,500
7,350 System Software Associates, Inc. . . 120,356
5,000 * Systems & Computer Technology Corp. . 87,500
11,100 * Tech Data Corp. . . . . . . . . . . . 258,075
3,400 * Trident Microsystems, Inc. . . . . . 50,150
5,100 * Tseng Labs, Inc. . . . . . . . . . . 58,650
6,600 * Viewlogic Systems, Inc. . . . . . . . 103,125
8,800 * Wang Laboratories, Inc. . . . . . . . 190,300
3,200 * Wonderware Corp. . . . . . . . . . . 64,000
3,300 * Xircom, Inc. . . . . . . . . . . . . 53,625
4,400 * Zebra Technologies Corp. Class A . . 111,100
--------------
15,692,089
--------------
INSURANCE - CASUALTY - 1.15%
2,050 * Arbatax International Inc. . . . . . 11,788
500 AVEMCO Corp. . . . . . . . . . . . . 7,813
900 Baldwin & Lyons, Inc. Class B . . . . 15,862
4,000 * Capsure Holdings Corp. . . . . . . . 73,500
5,700 Citizens Corp. . . . . . . . . . . . 104,025
8,800 Commerce Group, Inc. . . . . . . . . 192,500
4,600 E.W. Blanch Holdings, Inc. . . . . . 97,750
3,969 Frontier Insurance Group, Inc. . . . 136,434
1,473 GAINSCO, INC. . . . . . . . . . . . . 15,466
4,000 * HCC Insurance Holdings, Inc. . . . . 86,500
4,600 NAC Re Corp. . . . . . . . . . . . . 149,500
4,400 National Re Corp. . . . . . . . . . . 145,200
750 * Navigators Group, Inc. . . . . . . . 13,688
200 Nymagic, Inc. . . . . . . . . . . . . 3,750
3,081 Orion Capital Corp. . . . . . . . . . 145,577
17,700 Reliance Group Holdings Inc. . . . . 137,175
900 RLI Corp. . . . . . . . . . . . . . . 20,925
3,800 Selective Insurance Group, Inc. . . . 120,650
3,500 Transnational Re Corp. Class A . . . 84,000
2,800 Trenwick Group Inc. . . . . . . . . . 133,350
9,000 * 20th Century Industries . . . . . . . 148,500
505 United Fire & Casualty Co. . . . . . 18,685
6,100 Vesta Insurance Group, Inc. . . . . . 211,975
--------------
2,074,613
--------------
INSURANCE - LIFE - 0.69%
450 American Heritage Life Investment
Corp. . . . . . . . . . . . . . . 9,450
300 Kansas City Life Insurance Co. . . . 16,500
7,100 * Life USA Holding, Inc. . . . . . . . 56,800
500 * National Western Life Insurance
Co. Class A . . . . . . . . . . . 33,094
6,500 Presidential Life Corp. . . . . . . . 64,188
7,750 Protective Life Corp. . . . . . . . . 289,656
3,400 Reinsurance Group of America Inc. . . 135,575
435 Seafield Capital Corp. . . . . . . . 17,019
</TABLE>
28
<PAGE> 31
SMALL CAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
INSURANCE - LIFE - Continued
4,900 Security-Connecticut Corp. . . . . . $ 142,100
7,470 United Companies Financial Corp. . . 226,901
6,400 * United Insurance Companies, Inc. . . 138,400
2,800 W.R. Berkley Corp. . . . . . . . . . 121,800
--------------
1,251,483
--------------
INSURANCE - MISCELLANEOUS - 1.19%
3,600 Acordia, Inc. . . . . . . . . . . . . 114,300
3,450 ALLIED Group, Inc. . . . . . . . . . 137,137
3,600 Arthur J. Gallagher & Co. . . . . . . 115,650
5,000 Capital Re Corp. . . . . . . . . . . 182,500
4,300 CMAC Investment Corp. . . . . . . . . 234,350
9,500 Crawford & Co. . . . . . . . . . . . 156,750
5,500 Executive Risk Inc. . . . . . . . . . 193,875
4,125 Fidelity National Financial, Inc. . . 57,234
3,600 Foremost Corp. of America . . . . . . 207,000
5,212 Fremont General Corp. . . . . . . . . 124,436
1,300 Guaranty National Corp. . . . . . . . 22,100
600 Harleysville Group . . . . . . . . . 15,900
2,250 Hilb, Rogal & Hamilton Co. . . . . . 30,375
4,800 Integon Corp. . . . . . . . . . . . . 90,600
4,050 Lawyers Title Corp. . . . . . . . . . 67,838
5,100 Liberty Corp. . . . . . . . . . . . . 163,200
200 Midland Co. . . . . . . . . . . . . . 9,700
900 MMI Companies, Inc. . . . . . . . . . 26,663
525 Poe & Brown Inc. . . . . . . . . . . 12,469
3,600 Stewart Information Services Corp. . 73,350
4,100 Zenith National Insurance Corp. . . . 114,288
--------------
2,149,715
--------------
INSURANCE - MULTILINE - 0.96%
1,650 Alfa Corp. . . . . . . . . . . . . . 19,800
6,378 American Annuity Group, Inc. . . . . 82,914
6,600 American Bankers Insurance Group,
Inc. . . . . . . . . . . . . . . . 255,750
4,800 * American Travellers Corp. . . . . . . 103,800
6,600 AmVestors Financial Corp. . . . . . . 99,000
2,900 Argonaut Group, Inc. . . . . . . . . 93,525
400 Capitol American Financial Corp. . . 9,900
2,800 * Delphi Financial Group, Inc. . . . . 77,350
3,700 Home Beneficial Corp. Class B . . . . 92,500
4,800 Horace Mann Educators Corp. . . . . . 153,000
5,200 John Alden Financial Corp. . . . . . 116,350
5,300 Life Re Corp. . . . . . . . . . . . . 161,650
2,144 * Maic Holdings Inc. . . . . . . . . . 76,112
250 * Markel Corp. . . . . . . . . . . . . 22,750
7,700 PennCorp Financial Group, Inc. . . . 234,850
1,700 United Wisconsin Services, Inc. . . . 33,575
4,000 Washington National Corp. . . . . . . 106,000
--------------
1,738,826
--------------
LEISURE TIME - 0.84%
2,100 * Anchor Gaming . . . . . . . . . . . . $ 134,400
11,200 Bally Entertainment Corp. . . . . . . 268,800
2,600 * Bally Total Fitness Holding Corp. . . 13,163
1,500 * Casino America, Inc. . . . . . . . . 14,063
2,500 * First Team Sports, Inc. . . . . . . . 35,312
12,900 Handleman Co. . . . . . . . . . . . . 95,137
4,900 * Hollywood Park, Inc. . . . . . . . . 50,225
7,800 Huffy Corp. . . . . . . . . . . . . . 106,275
6,100 Outboard Marine Corp. . . . . . . . . 118,187
9,200 * Players International, Inc. . . . . . 88,550
7,100 * Rio Hotel & Casino Inc. . . . . . . . 127,800
7,400 * Scotts Co. Class A . . . . . . . . . 135,975
5,600 Showboat Inc. . . . . . . . . . . . . 156,100
1,900 Winnebago Industries, Inc. . . . . . 19,475
7,100 * WMS Industries Inc. . . . . . . . . . 156,200
--------------
1,519,662
--------------
LODGING - 0.13%
3,900 * Doubletree Corp. . . . . . . . . . . 138,450
3,393 Marcus Corp. . . . . . . . . . . . . 88,218
--------------
226,668
--------------
MACHINE TOOLS - 0.36%
300 Acme-Cleveland Corp. . . . . . . . . 8,888
7,000 Giddings & Lewis, Inc. . . . . . . . 116,375
2,100 Gleason Corp. . . . . . . . . . . . . 85,575
6,100 Greenfield Industries . . . . . . . . 230,275
800 * PRI Automation Inc. . . . . . . . . . 31,900
3,900 Roper Industries, Inc. . . . . . . . 183,300
--------------
656,313
--------------
MACHINERY - AGRICULTURE - 0.14%
1,200 * Central Tractor Farm & Country, Inc. 15,900
1,800 Lindsay Manufacturing Co. . . . . . . 68,850
5,400 Toro Co. . . . . . . . . . . . . . . 170,775
--------------
255,525
--------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.68%
2,900 * Astec Industries, Inc. . . . . . . . 28,638
2,700 Blount, Inc. Class A . . . . . . . . 89,775
4,600 * CDI Corp. . . . . . . . . . . . . . . 156,400
3,000 Granite Construction Inc. . . . . . . 66,375
6,645 * Insituform Technologies Class A . . . 63,127
3,900 * J. Ray McDermott, S.A. . . . . . . . 97,500
5,400 * Jacobs Engineering Group Inc. . . . . 145,125
9,600 Kaman Corp. Class A . . . . . . . . . 116,400
8,100 Lennar Corp. . . . . . . . . . . . . 201,487
1,300 M.D.C. Holdings, Inc. . . . . . . . . 9,100
9,000 * Morrison Knudsen Corp. . . . . . . . 11,250
3,900 Stone & Webster, Inc. . . . . . . . . 136,500
3,900 TJ International Inc. . . . . . . . . 73,125
3,500 * Washington Construction Group . . . . 36,313
--------------
1,231,115
--------------
</TABLE>
29
<PAGE> 32
SMALL CAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
MACHINERY - INDUSTRIAL/
SPECIALTY - 2.51%
7,700 AAR CORP. . . . . . . . . . . . . . . $ 170,362
1,300 * ABC Rail Products Corp. . . . . . . . 28,275
900 AEP Industries, Inc. . . . . . . . . 23,175
9,100 Albany International Corp. Class A . 183,137
4,325 Applied Power Inc. Class A . . . . . 127,588
6,780 Baldor Electric Co. . . . . . . . . . 150,007
5,850 Bearings, Inc. . . . . . . . . . . . 167,456
9,400 BW/IP, Inc. Class A . . . . . . . . . 185,650
1,800 * Central Sprinkler Corp. . . . . . . . 41,400
3,700 * DII Group, Inc. . . . . . . . . . . . 123,950
5,150 Duriron Co., Inc. . . . . . . . . . . 145,488
5,700 Exide Corp. . . . . . . . . . . . . . 133,950
3,000 * GaSonics International Corp. . . . . 39,750
475 General Binding Corp. . . . . . . . . 10,331
450 Gorman-Rupp Co. . . . . . . . . . . . 6,244
8,600 Goulds Pumps, Inc. . . . . . . . . . 204,250
900 Graco Inc. . . . . . . . . . . . . . 19,125
2,700 Helix Technology Corp. . . . . . . . 98,550
2,400 Hughes Supply Inc. . . . . . . . . . 96,600
8,100 * ICC Technologies Inc. . . . . . . . . 68,850
6,700 IDEX Corp. . . . . . . . . . . . . . 254,600
4,100 * Insilco Corp. . . . . . . . . . . . . 151,187
4,300 * Integrated Process Equipment Corp. . 125,775
3,300 * International Imaging Materials, Inc. 77,138
3,700 * Ionics, Inc. . . . . . . . . . . . . 183,150
4,500 JLG Industries, Inc. . . . . . . . . 356,062
10,200 * Kenetech Corp. . . . . . . . . . . . 7,013
6,000 * Kulicke & Soffa Industries Inc. . . . 105,000
4,950 Lilly Industries, Inc. Class A . . . 77,963
850 Lufkin Industries, Inc. . . . . . . . 17,956
4,300 Manitowoc Co., Inc. . . . . . . . . . 159,637
3,840 * Oak Industries Inc. . . . . . . . . . 120,000
3,500 * Ortel Corp. . . . . . . . . . . . . . 85,750
600 * Osmonics, Inc. . . . . . . . . . . . 14,250
3,500 * Park-Ohio Industries Inc. . . . . . . 78,750
7,000 Regal-Beloit Corp. . . . . . . . . . 145,250
350 Robbins & Myers, Inc. . . . . . . . . 15,663
2,125 Roto-Rooter, Inc. . . . . . . . . . . 85,000
800 Scotsman Industries Inc. . . . . . . 16,300
7,300 * Specialty Equipment Companies, Inc. . 101,288
2,700 * SPS Technologies, Inc. . . . . . . . 165,375
1,400 * Stimsonite Corp. . . . . . . . . . . 12,075
4,400 Tennant Co. . . . . . . . . . . . . . 112,750
2,900 * Thermo Power Corp. . . . . . . . . . 40,600
--------------
4,532,670
--------------
MEDICAL TECHNOLOGY - 1.42%
11,500 * Applied Bioscience International Inc. 104,937
2,600 * Bio-Rad Laboratories, Inc. Class A . 133,900
10,600 * Calgene, Inc. . . . . . . . . . . . . 63,600
6,200 * Enzo Biochem, Inc. . . . . . . . . . 108,500
5,800 * Epitope, Inc. . . . . . . . . . . . . 119,625
8,000 * Haemonetics Corp. . . . . . . . . . . 159,000
3,100 * i- STAT Corp. . . . . . . . . . . . . 63,550
5,600 * InControl, Inc. . . . . . . . . . . . 82,600
MEDICAL TECHNOLOGY - Continued
8,100 * Liposome Co., Inc. . . . . . . . . . $ 162,000
8,500 * NABI Inc. . . . . . . . . . . . . . . 115,281
3,700 * NeoPath, Inc. . . . . . . . . . . . . 95,275
3,100 * Northfield Laboratories Inc. . . . . 52,313
5,500 * Organogenesis Inc. . . . . . . . . . 123,062
5,300 * Protein Design Labs, Inc. . . . . . . 139,125
2,900 * Quintiles Transnational Corp. . . . . 220,400
5,900 * SciClone Pharmaceuticals, Inc. . . . 72,275
12,924 * Scios Nova Inc. . . . . . . . . . . . 94,507
3,600 * Sofamor Danek Group, Inc. . . . . . . 128,700
6,200 * Thermedics, Inc. . . . . . . . . . . 186,000
3,400 * ThermoTrex Corp. . . . . . . . . . . 180,200
100 * UniHolding Corp. . . . . . . . . . . 1,525
3,300 * US Bioscience, Inc. . . . . . . . . . 56,513
5,300 * Ventritex, Inc. . . . . . . . . . . . 106,000
--------------
2,568,888
--------------
MERCHANDISE - DRUG - 0.36%
7,050 Arbor Drugs, Inc. . . . . . . . . . . 133,069
6,000 Big B, Inc. . . . . . . . . . . . . . 57,750
3,800 * Express Scripts, Inc. Class A . . . . 190,000
4,439 * Foxmeyer Health Corp. . . . . . . . . 77,128
847 Genovese Drug Stores, Inc. Class A . 8,046
2,700 Longs Drug Stores Corp. . . . . . . . 115,762
3,800 * MedImmune, Inc. . . . . . . . . . . . 70,775
--------------
652,530
--------------
MERCHANDISE - SPECIALTY - 2.89%
578 Anthony Industries, Inc. . . . . . . 17,268
11,318 Arctco, Inc. . . . . . . . . . . . . 107,521
10,700 * Aura Systems, Inc. . . . . . . . . . 44,138
5,100 * Avid Technology, Inc. . . . . . . . . 115,387
1,919 * BEC Group, Inc. . . . . . . . . . . . 11,754
2,550 * BMC West Corp. . . . . . . . . . . . 44,625
9,600 * Bombay Co., Inc. . . . . . . . . . . 74,400
5,200 * Books-A-Million, Inc. . . . . . . . . 61,750
8,300 * Borders Group, Inc. . . . . . . . . . 271,825
3,400 * Bush Boake Allen Inc. . . . . . . . . 84,150
6,100 Casey's General Stores, Inc. . . . . 144,112
8,200 Cash America International, Inc. . . 47,150
30,900 Charming Shoppes, Inc. . . . . . . . 247,200
1,500 * Colonial Data Technologies Corp. . . 29,250
1,000 * Copart, Inc. . . . . . . . . . . . . 17,000
6,500 Cross (A.T.) Co. Class A . . . . . . 104,000
7,800 * Eagle Hardware & Garden, Inc. . . . . 107,250
4,600 * Empi, Inc. . . . . . . . . . . . . . 80,500
14,100 Fingerhut Companies, Inc. . . . . . . 216,787
3,000 * Fossil, Inc. . . . . . . . . . . . . 47,625
7,500 * Franklin Quest Co. . . . . . . . . . 163,125
4,900 * Friedman's Inc. Class A . . . . . . . 138,425
4,100 * Gibson Greetings, Inc. . . . . . . . 58,938
10,100 Hancock Fabrics, Inc. . . . . . . . . 114,887
12,200 * Home Shopping Network, Inc. . . . . . 175,375
3,000 Intelligent Electronics, Inc. . . . . 29,438
6,248 * Jenny Craig, Inc. . . . . . . . . . . 109,340
500 LabOne, Inc. . . . . . . . . . . . . 8,875
</TABLE>
30
<PAGE> 33
SMALL CAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
MERCHANDISE - SPECIALTY - Continued
9,600 * Mac Frugal's Bargains Close-outs Inc. $ 182,400
5,900 * Michaels Stores Inc. . . . . . . . . 98,088
2,200 * MicroAge Inc. . . . . . . . . . . . . 29,425
4,600 * Paragon Trade Brands, Inc. . . . . . 113,275
8,900 Price Enterprises Inc. . . . . . . . 139,062
3,600 * REX Stores Corp. . . . . . . . . . . 56,250
5,200 Russ Berrie and Co. Inc. . . . . . . 90,350
1,600 * Safety 1st, Inc. . . . . . . . . . . 24,000
3,200 * Seitel, Inc. . . . . . . . . . . . . 84,000
8,100 Sotheby's Holdings, Inc. . . . . . . 115,425
5,900 * Sportmart, Inc. . . . . . . . . . . . 28,394
2,700 * Sports Authority, Inc. . . . . . . . 80,325
2,600 Sturm, Ruger & Co. Inc. . . . . . . . 129,025
14,600 * Sunglass Hut International, Inc. . . 401,500
3,600 Tiffany & Co. . . . . . . . . . . . . 273,150
3,700 * Tractor Supply Co. . . . . . . . . . 91,575
4,100 Unitog Co. . . . . . . . . . . . . . 111,725
7,500 * Waban Inc. . . . . . . . . . . . . . 200,625
4,900 * Williams-Sonoma, Inc. . . . . . . . . 135,975
8,400 * Zale Corp. . . . . . . . . . . . . . 161,700
--------------
5,218,364
--------------
MERCHANDISING - DEPARTMENT - 0.55%
200 * Alexander's, Inc. . . . . . . . . . . 14,525
12,500 * Best Products Co., Inc. . . . . . . . 32,813
1,300 * Bon-Ton Stores, Inc. . . . . . . . . 8,288
6,100 * Carson Pirie Scott & Co. . . . . . . 169,275
7,500 * Neiman Marcus Group, Inc. . . . . . . 207,187
13,915 Pier 1 Imports, Inc.. . . . . . . . . 219,161
6,446 * Proffitt's Inc. . . . . . . . . . . . 236,890
4,150 * Stein Mart, Inc. . . . . . . . . . . 70,550
412 Strawbridge & Clothier . . . . . . . 7,442
3,700 * Venture Stores, Inc. . . . . . . . . 26,825
--------------
992,956
--------------
MERCHANDISING - FOOD - 0.85%
3,400 Delchamps, Inc. . . . . . . . . . . . 78,200
75 Farmer Bros. Co. . . . . . . . . . . 10,725
4,400 * IHOP Corp. . . . . . . . . . . . . . 124,300
5,600 Ingles Markets, Inc. . . . . . . . . 72,100
5,600 * J & J Snack Foods Corp. . . . . . . . 73,500
4,575 Nash Finch Co. . . . . . . . . . . . 76,631
1,800 * Penn Traffic Co. . . . . . . . . . . 22,950
1,234 * Quality Food Centers Inc. . . . . . . 33,010
5,818 Richfood Holdings Inc. . . . . . . . 194,903
3,800 Ruddick Corp. . . . . . . . . . . . . 51,300
3,300 Sanderson Farms, Inc. . . . . . . . . 44,550
10,300 Savannah Foods & Industries, Inc. . . 127,462
4,500 * ShowBiz Pizza Time, Inc. . . . . . . 72,000
5,500 Smart & Final Inc. . . . . . . . . . 134,062
3,500 Smith's Food & Drug Centers, Inc.
Class B . . . . . . . . . . . . . 80,938
4,900 * Smithfield Foods, Inc. . . . . . . . 127,400
1,900 Super Food Services, Inc. . . . . . . 23,275
4,300 * Whole Foods Market, Inc. . . . . . . 105,888
7,037 WLR Foods, Inc. . . . . . . . . . . . 91,481
--------------
1,544,675
--------------
MERCHANDISING - MASS - 0.48%
4,900 * Caldor Corp. . . . . . . . . . . . . $ 15,313
3,600 * Dollar Tree Stores, Inc. . . . . . . 153,000
7,800 Family Dollar Stores, Inc. . . . . . 132,600
5,700 * Fred Meyer, Inc. . . . . . . . . . . 164,587
5,400 * GoodGuys, Inc. . . . . . . . . . . . 50,625
5,470 * Hills Stores Co. . . . . . . . . . . 66,324
34,500 * Service Merchandise Co.,Inc. . . . . 185,437
6,700 ShopKo Stores, Inc. . . . . . . . . . 101,338
--------------
869,224
--------------
METALS - ALUMINUM - 0.26%
5,800 * ACX Technologies, Inc. . . . . . . . 118,900
4,700 IMCO Recycling Inc. . . . . . . . . . 109,275
5,200 * Kaiser Aluminum Corp. . . . . . . . . 66,300
5,206 Tredegar Industries, Inc. . . . . . . 166,592
--------------
461,067
--------------
METALS - COPPER - 0.11%
5,200 * Wolverine Tube, Inc. . . . . . . . . 189,800
--------------
METALS - MISCELLANEOUS - 0.44%
938 A.M. Castle & Co. . . . . . . . . . . 26,602
6,800 Brush Wellman Inc. . . . . . . . . . 127,500
5,633 Commercial Metals Co. . . . . . . . . 176,735
3,500 * Dravo Corp. . . . . . . . . . . . . . 45,500
12,600 * Hecla Mining Co. . . . . . . . . . . 100,800
900 * Intermagnetics General Corp. . . . . 14,512
6,650 * Material Sciences Corp. . . . . . . . 112,219
4,500 Precision Castparts Corp. . . . . . . 192,375
--------------
796,243
--------------
METALS - STEEL - 1.45%
5,000 * Acme Metals Inc. . . . . . . . . . . 85,000
6,400 AK Steel Holdings Corp. . . . . . . . 276,800
5,000 Amcast Industrial Corp. . . . . . . . 96,875
29,300 * Armco Inc. . . . . . . . . . . . . . 153,825
5,300 Birmingham Steel Corp. . . . . . . . 85,463
4,200 Carpenter Technology Corp. . . . . . 151,725
800 Chaparral Steel Co. . . . . . . . . . 11,700
3,400 * Citation Corp. . . . . . . . . . . . 50,150
3,100 Cleveland-Cliffs Inc. . . . . . . . . 124,387
1,350 Commercial Intertech Corp. . . . . . 28,181
1,500 * EnviroSource, Inc. . . . . . . . . . 5,906
5,100 * Geneva Steel Co. Class A . . . . . . 29,963
3,100 Huntco Inc. Class A . . . . . . . . . 58,900
8,900 * Intermet Corp. . . . . . . . . . . . 150,187
7,800 J & L Specialty Steel, Inc. . . . . . 135,525
2,600 Lukens Inc. . . . . . . . . . . . . . 69,875
5,600 * Mueller Industries, Inc. . . . . . . 242,900
11,100 * Northwestern Steel & Wire Co. . . . . 67,988
7,500 Oregon Steel Mills, Inc. . . . . . . 120,000
5,300 Quanex Corp. . . . . . . . . . . . . 123,225
1,850 Steel Technologies Inc. . . . . . . . 26,594
12,200 UNR Industries, Inc. . . . . . . . . 117,425
4,400 Valmont Industries, Inc. . . . . . . 136,950
7,000 WCI Steel, Inc. . . . . . . . . . . . 33,250
7,800 * Weirton Steel Corp. . . . . . . . . . 30,225
4,400 * WHX Corp. . . . . . . . . . . . . . . 44,000
10,000 * Wyman-Gordon Co. . . . . . . . . . . 171,250
--------------
2,628,269
--------------
</TABLE>
31
<PAGE> 34
SMALL CAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
MISCELLANEOUS - 2.20%
11,100 * AccuStaff, Inc. . . . . . . . . . . . $ 349,650
6,400 AMCOL International Corp. . . . . . . 92,000
1,800 * AMERCO Inc. . . . . . . . . . . . . . 39,150
1,100 Ampal-American Israel Corp. Class A . 6,050
1,962 * Atlantic Realty Trust, Inc. . . . . . 15,941
6,600 Barefoot Inc. . . . . . . . . . . . . 72,600
7,800 * Borg-Warner Security Corp. . . . . . 91,650
6,000 * Career Horizons, Inc. . . . . . . . . 237,750
9,400 * Corrections Corp. of America . . . . 695,600
5,600 * DeVry, Inc. . . . . . . . . . . . . . 222,600
2,800 * Equity Corp. International . . . . . 81,900
8,200 * Figgie International Inc. Class A . . 119,925
7,900 Ideon Group, Inc. . . . . . . . . . . 109,613
5,100 * Interim Services Inc. . . . . . . . . 242,250
3,750 * ITT Educational Services, Inc. . . . 113,437
3,400 * KinderCare Learning Centers, Inc. . . 50,575
1,091 LADD Furniture, Inc. . . . . . . . . 12,547
3,156 MAF Bancorp, Inc. . . . . . . . . . . 76,921
11,900 * National Education Corp. . . . . . . 221,637
412 * Patlex Corp. . . . . . . . . . . . . 22,042
3,000 * Pinkerton's, Inc. . . . . . . . . . . 72,938
7,800 * Prepaid Legal Services, Inc. . . . . 162,825
7,500 * Rexel, Inc. . . . . . . . . . . . . . 109,688
5,300 * Robert Half International Inc. . . . 297,462
5,500 * Sola International, Inc. . . . . . . 166,375
3,700 * Sylvan Learning Systems, Inc. . . . . 143,375
800 Wackenhut Corp. . . . . . . . . . . . 21,800
2,000 * Wackenhut Corrections Corp. . . . . . 132,000
--------------
3,980,301
--------------
MOBILE HOMES - 0.31%
5,200 * Champion Enterprises, Inc. . . . . . 210,600
400 McGrath RentCorp . . . . . . . . . . 8,400
5,450 Oakwood Homes Corp. . . . . . . . . . 264,325
2,500 Skyline Corp. . . . . . . . . . . . . 64,687
750 Thor Industries, Inc. . . . . . . . . 16,313
--------------
564,325
--------------
NATURAL GAS - DIVERSIFIED - 0.96%
3,150 Atmos Energy Corp. . . . . . . . . . 75,994
6,100 Bay State Gas Co. . . . . . . . . . . 160,887
300 Cascade Natural Gas Corp. . . . . . . 4,575
5,204 K N Energy, Inc. . . . . . . . . . . 175,635
7,900 Laclede Gas Co. . . . . . . . . . . . 180,712
7,600 New Jersey Resources Corp. . . . . . 209,000
8,100 * Seagull Energy Corp. . . . . . . . . 182,250
1,101 * Southern Union Co. . . . . . . . . . 25,874
6,400 Southwest Gas Corp. . . . . . . . . . 110,400
4,372 * Tejas Gas Corp. . . . . . . . . . . . 160,125
7,400 UGI Corp. . . . . . . . . . . . . . . 171,125
7,600 United Cities Gas Co. . . . . . . . . 112,100
4,400 WICOR, Inc. . . . . . . . . . . . . . 160,600
--------------
1,729,277
--------------
OIL - INTEGRATED DOMESTIC - 0.21%
4,600 * Crown Central Petroleum Corp.
Class A . . . . . . . . . . . . . $ 79,350
2,800 * Hondo Oil & Gas Co. . . . . . . . . . 38,500
12,600 Quaker State Corp. . . . . . . . . . 193,725
5,600 * Tesoro Petroleum Corp. . . . . . . . 63,000
--------------
374,575
--------------
OIL - SERVICE - PRODUCTS - 0.63%
4,275 * Energy Ventures, Inc. . . . . . . . . 142,678
3,600 Getty Petroleum Corp. . . . . . . . . 49,050
7,100 * Global Industrial Technologies, Inc. 131,350
3,900 * Global Industries Inc. . . . . . . . 120,900
7,100 * Kelley Oil & Gas Corp. . . . . . . . 22,188
9,700 * Lone Star Technologies, Inc. . . . . 105,487
12,100 * Parker Drilling Co. . . . . . . . . . 86,212
4,163 * Varco International, Inc. . . . . . . 69,210
12,832 * Weatherford Enterra, Inc. . . . . . . 404,208
--------------
1,131,283
--------------
OIL - SERVICES - 1.54%
6,400 * BJ Services Co. . . . . . . . . . . . 216,000
4,900 Camco International, Inc. . . . . . . 161,087
12,100 * Marine Drilling Companies, Inc. . . . 122,513
1,500 Mascotech, Inc. . . . . . . . . . . . 22,500
21,900 * Nabors Industries, Inc. . . . . . . . 336,712
17,200 * Noble Drilling Corp. . . . . . . . . 230,050
11,500 * Oceaneering International Inc. . . . 189,750
4,900 * Offshore Logistics, Inc. . . . . . . 71,050
3,575 Pennsylvania Enterprises Inc. . . . . 143,894
3,600 * Pool Energy Services Co. . . . . . . 49,950
3,200 Production Operators Corp. . . . . . 116,800
15,500 * Reading & Bates Corp. . . . . . . . . 341,000
20,800 * Rowan Companies, Inc. . . . . . . . . 314,600
12,700 * Smith International, Inc. . . . . . . 400,050
5,400 * Tuboscope Vetco International Corp. . 71,550
--------------
2,787,506
--------------
OIL/GAS PRODUCERS - 1.72%
1,800 Apache Corp. . . . . . . . . . . . . 51,525
160 * Aztec Energy Corp. . . . . . . . . . 3
6,650 * Barrett Resources Corp. . . . . . . . 173,731
9,300 * Benton Oil and Gas Co. . . . . . . . 165,075
3,400 Berry Petroleum Co. Class A . . . . . 36,975
7,800 * Box Energy Corp. Class B . . . . . . 78,000
5,900 Cabot Oil & Gas Corp. Class A . . . . 100,300
3,300 * Chesapeake Energy Corp. . . . . . . . 253,275
7,900 Devon Energy Corp. . . . . . . . . . 201,450
3,500 * Flores & Rucks, Inc. . . . . . . . . 104,562
6,100 * Global Natural Resources Inc. . . . . 98,363
3,100 * H S Resources, Inc. . . . . . . . . . 37,200
6,500 Helmerich & Payne, Inc. . . . . . . . 235,625
500 Holly Corp. . . . . . . . . . . . . . 13,500
4,600 KCS Energy, Inc. . . . . . . . . . . 115,575
2,600 * Louis Dreyfus Natural Gas Corp. . . . 36,400
22,400 * MESA Inc. . . . . . . . . . . . . . . 81,200
</TABLE>
32
<PAGE> 35
SMALL CAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
OIL/GAS PRODUCERS - Continued
3,300 * Newfield Exploration Co. . . . . . . $ 122,925
2,400 * Nuevo Energy Co. . . . . . . . . . . 74,400
11,300 Parker & Parsley Petroleum Co. . . . 275,437
6,900 Snyder Oil Corp. . . . . . . . . . . 68,138
2,400 St. Mary Land & Exploration Co. . . . 42,300
5,900 * Stone Energy Corp. . . . . . . . . . 109,887
6,100 * Texas Meridian Resources Corp. . . . 65,575
4,200 * Tide West Oil Co. . . . . . . . . . . 67,725
6,400 * Tom Brown, Inc. . . . . . . . . . . . 110,400
6,900 * United Meridian Corp. . . . . . . . . 196,650
6,200 USX-Delhi Group . . . . . . . . . . . 85,250
1,600 Vintage Petroleum, Inc. . . . . . . . 41,600
11,200 * Wainoco Oil Corp. . . . . . . . . . . 42,000
2,400 Wiser Oil Co. . . . . . . . . . . . . 31,500
--------------
3,116,546
--------------
PAPER/FOREST PRODUCTS - 0.47%
2,000 * Boise Cascade Office Products
Corp. . . . . . . . . . . . . . . . 83,000
8,000 Caraustar Industries, Inc. . . . . . 208,000
2,293 Mosinee Paper Corp. . . . . . . . . . 60,200
3,200 Ply Gem Industries Inc. . . . . . . . 47,600
5,500 Pope & Talbot, Inc. . . . . . . . . . 92,125
4,000 Republic Group Inc. . . . . . . . . . 56,500
3,600 Sealright Co., Inc. . . . . . . . . . 47,475
4,300 Standard Register Co. . . . . . . . . 120,400
1,700 Universal Forest Products, Inc. . . . 17,850
5,800 Wausau Paper Mills Co. . . . . . . . 123,250
--------------
856,400
--------------
PHOTOGRAPHY - 0.14%
6,400 CPI Corp. . . . . . . . . . . . . . . 104,800
1,950 * Photronics Inc. . . . . . . . . . . . 58,013
3,500 * Ultratech Stepper, Inc. . . . . . . . 87,500
--------------
250,313
--------------
POLLUTION CONTROL - 1.34%
700 * Air & Water Technologies Corp.
Class A . . . . . . . . . . . . . 4,463
4,000 * Allied Waste Industries, Inc. . . . . 40,500
5,700 * Allwaste, Inc. . . . . . . . . . . . 24,225
3,700 Calgon Carbon Corp. . . . . . . . . . 47,638
4,400 Dames & Moore, Inc. . . . . . . . . . 53,350
546 Heidemij NV . . . . . . . . . . . . . 5,460
4,200 * International Technology Corp. . . . 11,550
7,100 * Mid-American Waste Systems, Inc. . . 6,656
225 Mine Safety Appliances Co. . . . . . 10,800
3,900 * Molten Metal Technology, Inc. . . . . 118,950
5,250 * Newpark Resources, Inc. . . . . . . . 190,313
5,200 * OHM Corp. . . . . . . . . . . . . . . 46,150
4,400 * Prins Recycling Corp. . . . . . . . . 11,000
10,200 * Republic Industries Inc. . . . . . . 530,400
15,800 * Rollins Environmental Services, Inc. 55,300
5,900 * Sanifill, Inc. . . . . . . . . . . . 264,762
6,200 * TETRA Technologies, Inc. . . . . . . 128,650
POLLUTION CONTROL - Continued
5,000 * United States Filter Corp. . . . . . $ 174,375
4,400 * United Waste Systems, Inc. . . . . . 242,550
13,033 * USA Waste Services, Inc. . . . . . . 384,473
3,200 Zurn Industries, Inc. . . . . . . . . 65,200
--------------
2,416,765
--------------
PUBLISHING - NEWS - 0.21%
2,100 McClatchy Newspapers, Inc. Class A . 51,975
6,500 * Network Equipment Technologies, Inc. 182,000
2,500 Pulitzer Publishing Co. . . . . . . . 137,500
--------------
371,475
--------------
PUBLISHING/PRINTING - 1.23%
7,950 Banta Corp. . . . . . . . . . . . . . 190,800
2,200 Bowne & Co., Inc. . . . . . . . . . . 45,100
4,400 Ennis Business Forms, Inc. . . . . . 47,850
7,900 * Golden Books Family Entertainment,
Inc. . . . . . . . . . . . . . . . 108,625
3,800 Houghton Mifflin Co. . . . . . . . . 180,025
8,000 John H. Harland Co. . . . . . . . . . 217,000
5,800 John Wiley & Sons Inc. Class A . . . 183,425
8,700 Meredith Corp. . . . . . . . . . . . 399,112
4,000 Merrill Corp. . . . . . . . . . . . . 101,000
3,300 New England Business Service, Inc. . 60,638
5,700 * Nu-kote Holding, Inc. Class A . . . . 104,025
300 Plenum Publishing Corp. . . . . . . . 10,650
5,000 * Scientific Games Holdings Corp. . . . 167,500
5,809 Thomas Nelson, Inc. . . . . . . . . . 71,886
18,100 * Topps Co. Inc. . . . . . . . . . . . 113,125
8,900 * Valassis Communications, Inc. . . . . 157,975
9,000 * ValueVision International, Inc.
Class A . . . . . . . . . . . . . 64,125
100 Waverly, Inc. . . . . . . . . . . . . 4,250
--------------
2,227,111
--------------
RAILROAD - 0.06%
500 Florida East Coast Industries, Inc. . 43,938
6,300 * Johnstown America Industries, Inc. . 25,200
1,700 * RailTex, Inc. . . . . . . . . . . . . 42,075
--------------
111,213
--------------
REAL ESTATE - 0.65%
2,900 * Avatar Holdings Inc. . . . . . . . . 101,500
20,700 * Catellus Development Corp. . . . . . 191,475
200 * Christiana Companies . . . . . . . . 4,300
7,675 Cousins Properties Inc. . . . . . . . 149,662
9,500 * Insignia Financial Group, Inc. Class A 247,000
4,100 * Mercer International Inc. . . . . . . 80,463
8,800 Merry Land & Investment Co., Inc. . . 192,500
5,900 North American Mortgage Co. . . . . . 101,775
8,081 Republic Bancorp Inc. . . . . . . . . 91,416
500 Tejon Ranch Co. . . . . . . . . . . . 8,875
--------------
1,168,966
--------------
</TABLE>
33
<PAGE> 36
SMALL CAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE INVESTMENT TRUSTS - 5.42%
5,800 Alexander Haagen Properties, Inc. . . $ 68,875
3,600 Allied Capital Commercial Corp. . . . 71,550
6,800 American Health Properties, Inc. . . 144,500
4,500 Associated Estates Realty Corp. . . . 92,250
9,100 Avalon Properties, Inc. . . . . . . . 194,512
4,400 Bay Apartment Communities, Inc. . . . 112,750
6,800 Beacon Properties Corp. . . . . . . . 171,700
8,600 Berkshire Realty Co., Inc. . . . . . 94,600
7,973 Bradley Real Estate, Inc. . . . . . . 117,602
6,565 BRE Properties, Inc. . . . . . . . . 243,726
2,300 Burnham Pacific Properties, Inc. . . 25,588
7,800 Capstead Mortgage Corp. . . . . . . . 195,975
4,000 CenterPoint Properties Corp. . . . . 95,000
3,100 Chateau Properties, Inc. . . . . . . 72,075
2,400 Chelsea GCA Properties . . . . . . . 70,800
3,900 Columbus Realty Trust . . . . . . . . 75,563
8,200 Commercial Net Lease Realty, Inc. . . 109,675
4,500 Crescent Real Estate Equities, Inc. . 155,812
12,600 CRI Liquidating REIT, Inc. . . . . . 20,475
1,400 Criimi Mae, Inc. . . . . . . . . . . 15,225
10,200 Crown American Realty Trust . . . . . 77,775
13,400 CWM Mortgage Holdings, Inc. . . . . . 237,850
11,900 DeBartolo Realty Corp. . . . . . . . 193,375
6,300 Developers Diversified Realty Corp. . 196,875
7,400 Duke Realty Investments, Inc. . . . . 222,925
8,200 Equity Inns Inc. . . . . . . . . . . 97,375
3,400 Essex Property Trust, Inc. . . . . . 70,550
4,500 Excel Realty Trust, Inc. . . . . . . 84,937
2,700 Factory Stores America, Inc. . . . . 26,663
7,200 Federal Realty Investment Trust . . . 155,700
9,000 FelCor Suite Hotels, Inc. . . . . . . 277,875
6,100 First Industrial Realty Trust, Inc. . 144,112
9,900 First Union Real Estate Investments . 69,300
3,800 Gables Residential Trust . . . . . . 87,400
8,400 General Growth Properties, Inc. . . . 202,650
7,800 Glimcher Realty Trust . . . . . . . . 127,725
500 Health Care REIT, Inc. . . . . . . . 10,750
3,392 HGI Realty, Inc. . . . . . . . . . . 73,776
6,600 Highwoods Properties, Inc. . . . . . 193,875
10,300 IRT Property Co. . . . . . . . . . . 96,562
4,900 Irvine Apartment Communities, Inc. . 99,225
3,200 JDN Realty Corp. . . . . . . . . . . 67,200
4,700 JP Realty, Inc. . . . . . . . . . . . 97,525
8,500 * Koger Equity, Inc. . . . . . . . . . 107,312
4,400 Kranzco Realty Trust . . . . . . . . 68,200
6,100 Liberty Property Trust . . . . . . . 124,287
7,900 LTC Properties, Inc. . . . . . . . . 126,400
3,500 Macerich Co. . . . . . . . . . . . . 73,500
5,300 Manufactured Home Communities,
Inc. . . . . . . . . . . . . . . . 99,375
4,400 Mark Controls Trust . . . . . . . . . 47,300
5,400 MGI Properties . . . . . . . . . . . 92,475
2,800 Mid-America Apartment
Communities, Inc. . . . . . . . . 70,700
4,200 Mills Corp. . . . . . . . . . . . . . 75,600
4,500 National Golf Properties, Inc. . . . 110,250
4,900 National Health Investors, Inc. . . . 165,375
REAL ESTATE INVESTMENT
TRUSTS - Continued
11,800 Nationwide Health Properties, Inc. . $ 256,650
4,186 Omega Healthcare Investors,Inc. . . . 119,824
3,500 Pennsylvania Real Estate
Investment Trust . . . . . . . . . 69,125
4,800 Post Properties, Inc. . . . . . . . . 160,800
500 Price REIT, Inc. . . . . . . . . . . . 15,375
4,500 Prime Residential, Inc. . . . . . . . 78,750
8,900 Public Storage, Inc. . . . . . . . . 186,900
3,925 Ramco-Gershenson Properties . . . . . 63,781
7,000 Realty Income Corp. . . . . . . . . . 146,125
3,700 Regency Realty Corp. . . . . . . . . 69,838
5,500 Resource Mortgage Capital Inc. . . . 124,437
9,000 RFS Hotel Investors, Inc. . . . . . . 155,250
3,300 ROC Communities, Inc. . . . . . . . . 78,788
16,200 * Rockefeller Center Properties, Inc. . 127,575
5,200 Saul Centers, Inc. . . . . . . . . . 70,200
3,700 South West Property Trust Inc. . . . 51,338
6,500 Spieker Properties, Inc. . . . . . . 178,750
3,200 Storage Trust Realty . . . . . . . . 66,400
5,600 Storage USA, Inc. . . . . . . . . . . 188,300
3,100 Sun Communities, Inc. . . . . . . . . 82,925
3,400 Tanger Factory Outlet Centers, Inc. . 82,450
2,300 Taubman Centers, Inc. . . . . . . . . 24,150
5,600 Thornburg Mortgage Asset Corp. . . . 91,700
1,600 Town and Country Trust . . . . . . . 21,600
3,600 TriNet Corporate Realty Trust, Inc. . 108,000
15,800 United Dominion Realty Trust, Inc. . 231,075
4,300 Universal Health Realty Income Trust 83,313
1,600 Urban Shopping Centers, Inc. . . . . 38,000
3,500 Walden Residential Properties, Inc. . 72,625
11,000 Washington Real Estate Investment
Trust . . . . . . . . . . . . . . 181,500
3,300 Weeks Corp. . . . . . . . . . . . . . 84,975
7,700 Wellsford Residential Property Trust 175,175
7,200 Western Investment Real Estate Trust 88,200
--------------
9,794,921
--------------
RESTAURANTS - 1.27%
7,062 Apple South, Inc. . . . . . . . . . . 176,550
8,550 Applebee's International, Inc. . . . 242,606
5,600 * Au Bon Pain Co., Inc. Class A . . . . 48,913
10,100 * Buffets, Inc. . . . . . . . . . . . . 127,513
7,000 CKE Restaurants, Inc. . . . . . . . . 161,875
15,280 * Flagstar Companies, Inc. . . . . . . 53,480
7,000 * Foodmaker, Inc. . . . . . . . . . . . 56,875
4,000 * HomeTown Buffet, Inc. . . . . . . . . 59,500
3,200 * International Dairy Queen, Inc.
Class A . . . . . . . . . . . . . 67,200
4,100 * Landry's Seafood Restaurants, Inc. . 98,400
9,100 Luby's Cafeterias, Inc. . . . . . . . 224,087
1,350 Morrison Fresh Cooking, Inc. . . . . 9,956
1,800 Morrison Health Care, Inc. . . . . . 25,875
3,450 * Papa John's International, Inc. . . . 169,912
2,700 Ruby Tuesday, Inc. . . . . . . . . . 57,375
19,100 * Ryan's Family Steak Houses, Inc. . . 169,512
2,700 Sbarro, Inc. . . . . . . . . . . . . 71,888
</TABLE>
34
<PAGE> 37
SMALL CAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
RESTAURANTS - Continued
3,433 * ShoLodge, Inc. . . . . . . . . . . . $ 53,212
12,800 * Shoney's, Inc. . . . . . . . . . . . 156,800
7,800 Sizzler International, Inc. . . . . . 29,250
5,850 * Sonic Corp. . . . . . . . . . . . . . 140,400
3,000 TCBY Enterprises, Inc. . . . . . . . 13,125
3,900 * Triarc Companies Inc. Class A . . . . 47,775
2,400 * VICORP Restaurants, Inc. . . . . . . 31,800
--------------
2,293,879
--------------
SAVINGS & LOAN - 1.98%
6,720 ALBANK Financial Corp. . . . . . . . 183,960
2,800 Astoria Financial Corp. . . . . . . . 155,400
7,212 Bankers Corp. . . . . . . . . . . . . 124,407
3,700 Bay View Capital Corp. . . . . . . . 122,562
2,500 Bell Bancorp, Inc. . . . . . . . . . 93,750
3,250 Boston Bancorp . . . . . . . . . . . 136,500
16,720 Cal Fed Bancorp Inc. . . . . . . . . 307,230
10,590 Charter One Financial, Inc. . . . . . 385,211
2,000 CitFed Bancorp, Inc. . . . . . . . . 75,500
4,900 * Coast Savings Financial Inc. . . . . 164,150
1,785 Downey Financial Corp. . . . . . . . 38,824
2,310 Financial Trust Corp. . . . . . . . . 67,568
1,600 * FirstFed Financial Corp. . . . . . . 26,600
10,892 * Glendale Federal Bank FSB . . . . . . 194,694
3,600 * Greater New York Savings Bank . . . . 40,050
10,300 Home Financial Corp. . . . . . . . . 142,912
3,000 JSB Financial, Inc. . . . . . . . . . 99,562
5,200 Long Island Bancorp, Inc. . . . . . . 147,550
2,000 Peoples Bank of Bridgeport
Connecticut . . . . . . . . . . . 41,250
6,500 Peoples Heritage Financial Group, Inc. 129,187
3,759 Provident Bankshares Corp. . . . . . 124,517
1,100 Queens County Bancorp, Inc. . . . . . 52,663
6,200 RCSB Financial, Inc. . . . . . . . . 146,475
2,700 Security Capital Corp. . . . . . . . 166,050
11,700 Sovereign Bancorp, Inc. . . . . . . . 122,850
4,600 St. Francis Capital Corp. . . . . . . 118,450
1,300 Standard Financial, Inc. . . . . . . 19,663
2,400 TR Financial Corp. . . . . . . . . . 64,800
3,300 Webster Financial Corp. . . . . . . . 94,463
--------------
3,586,798
--------------
SECURITIES RELATED - 0.92%
3,100 Alex Brown Inc. . . . . . . . . . . . 179,025
2,650 BHC Financial, Inc. . . . . . . . . . 37,431
3,700 Enhance Financial Services Group Inc. 107,300
8,817 Financial Security Assurance
Holdings Ltd. . . . . . . . . . . 243,570
1,200 Inter-Regional Financial Group, Inc. 30,000
1,035 Investors Financial Services Corp. . 23,417
199 Investors Financial Services Corp.
Class A . . . . . . . . . . . . . 4,502
2,600 Jefferies Group, Inc. . . . . . . . . 85,150
3,250 Legg Mason, Inc. . . . . . . . . . . 108,063
1,206 Liberty Financial Companies, Inc. . . 38,441
900 Mc Donald & Co. Investments, Inc. . . 17,550
8,100 Morgan Keegan, Inc. . . . . . . . . . 107,325
SECURITIES RELATED - Continued
5,600 Pioneer Group, Inc. . . . . . . . . . $ 155,400
4,400 Piper Jaffray Companies, Inc. . . . 58,850
5,321 Quick & Reilly Group Inc. . . . . . . 180,249
3,600 Raymond James Financial Inc. . . . . 81,900
3,983 Waterhouse Investor Services, Inc. . 145,877
1,400 * White River Corp. . . . . . . . . . . 57,750
--------------
1,661,800
--------------
SEMICONDUCTORS - 1.12%
7,100 * Actel Corp. . . . . . . . . . . . . . 139,337
6,200 * Brooktree Corp. . . . . . . . . . . . 74,400
5,100 * Burr Brown Corp. . . . . . . . . . . 107,100
5,750 * Credence Systems Corp. . . . . . . . 116,438
3,300 * Cree Research, Inc. . . . . . . . . . 55,275
8,300 Dallas Semiconductor Corp. . . . . . 174,300
6,200 * Electroglas, Inc. . . . . . . . . . . 120,900
6,000 * FSI International, Inc. . . . . . . . 78,750
1,900 * Fusion Systems Corp. . . . . . . . . 56,525
11,100 * International Rectifier Corp. . . . . 288,600
5,000 * Level One Communications, Inc. . . . 130,000
3,400 * Quickturn Design System, Inc. . . . . 49,938
1,700 * SDL, Inc. . . . . . . . . . . . . . . 72,250
3,200 * Siliconix, Inc. . . . . . . . . . . . 88,000
4,500 * Unitrode Corp. . . . . . . . . . . . 128,812
4,900 * Vitesse Semiconductor Corp. . . . . . 137,200
5,850 * Zilog, Inc. . . . . . . . . . . . . . 215,719
--------------
2,033,544
--------------
TELECOMMUNICATIONS - 2.77%
1,400 ABM Industries Inc. . . . . . . . . . 53,375
6,100 * Apertus Technologies, Inc. . . . . . 24,781
4,600 * Arch Communications Group, Inc. . . . 105,800
6,000 * Aspect Telecommunications Corp. . . . 340,500
3,600 * BroadBand Technologies, Inc. . . . . 110,250
400 * CellStar Corp. . . . . . . . . . . . 4,050
3,500 * Cellular Communications
International, Inc. . . . . . . . 119,000
3,700 * Cellular Communications of Puerto
Rico, Inc. . . . . . . . . . . . . 113,775
4,190 * Cellular Technical Services Inc. . . 145,341
4,800 * Centennial Cellular Corp. Class A . . 81,600
6,600 * Checkpoint Systems, Inc. . . . . . . 256,575
3,800 * Cidco, Inc. . . . . . . . . . . . . . 149,625
2,600 * Coherent, Inc. . . . . . . . . . . . 68,250
4,900 * CommNet Cellular Inc. . . . . . . . . 168,437
4,400 Communications Systems, Inc. . . . . 69,300
7,300 * Compression Laboratories, Inc. . . . 56,575
5,300 * CrossCom Corp. . . . . . . . . . . . 60,950
5,100 * Digi International Inc. . . . . . . . 143,438
5,800 * DSP Communications, Inc. . . . . . . 218,950
1,500 Harmon Industries, Inc. . . . . . . . 25,500
9,066 * International CableTel Inc. . . . . . 284,446
5,400 * InterVoice, Inc. . . . . . . . . . . 120,150
3,100 * IPC Information Systems, Inc. . . . . 65,875
3,600 * Itron, Inc. . . . . . . . . . . . . . 122,400
3,800 * Metricom, Inc. . . . . . . . . . . . 70,300
2,794 * Millicom International Cellular S.A. 134,461
</TABLE>
35
<PAGE> 38
SMALL CAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS - Continued
14,680 * Octel Communications Corp. . . . . . $ 359,660
2,600 * Pairgain Technologies Inc. . . . . . 264,550
9,600 * PictureTel Corp. . . . . . . . . . . 376,800
3,700 * Plantronics, Inc. . . . . . . . . . 130,888
2,200 * Premisys Communications, Inc. . . . 125,400
5,312 * PriCellular Corp. Class A . . . . . . 74,368
2,800 * ProNet, Inc. . . . . . . . . . . . . 70,000
4,400 * Sanmina Corp. . . . . . . . . . . . . 162,250
4,700 * Symmetricom, Inc. . . . . . . . . . . 63,450
5,300 * U. S. Long Distance Corp. . . . . . . 190,137
2,900 * Xpedite Systems, Inc. . . . . . . . . 79,025
--------------
5,010,232
--------------
TEXTILE - PRODUCTS - 0.59%
13,900 * Burlington Industries, Inc. . . . . . 177,225
5,000 * Cone Mills Corp. . . . . . . . . . . 58,125
3,100 Delta Woodside Industries, Inc. . . . 17,825
600 * Fabri-Centers of America, Inc.
Class A . . . . . . . . . . . . . 8,850
3,600 * Fieldcrest Cannon, Inc. . . . . . . . 75,600
7,550 G&K Services, Inc. Class A . . . . . 228,387
3,100 * Galey & Lord, Inc. . . . . . . . . . 35,263
2,900 Guilford Mills, Inc. . . . . . . . . 70,687
2,800 * Lydall, Inc. . . . . . . . . . . . . 65,100
7,300 * Mohawk Industries, Inc. . . . . . . . 122,275
4,500 * Norton McNaughton Inc. . . . . . . . 46,688
6,900 * WestPoint Stevens Inc. Class A . . . 160,425
--------------
1,066,450
--------------
TOBACCO - 0.11%
10,400 DIMON Inc. . . . . . . . . . . . . . 187,200
1,600 * Standard Commercial Corp. . . . . . . 14,599
--------------
201,799
--------------
TRUCKERS - 0.52%
6,300 * American Freightways Corp. . . . . . 80,325
7,350 Arnold Industries, Inc. . . . . . . . 113,006
221 Frozen Food Express Industries, Inc. 2,542
1,088 * Heartland Express, Inc. . . . . . . . 31,552
800 * Knight Transportation, Inc. . . . . . 14,450
4,200 * Landstar System Inc. . . . . . . . . 123,900
3,200 * M.S. Carriers, Inc. . . . . . . . . . 61,600
16,375 Rollins Truck Leasing Corp. . . . . . 178,078
5,700 * Swift Transportation Co., Inc. . . . 105,450
4,500 * US Xpress Enterprises, Inc. Class A . 32,062
4,900 USFreightways Corp. . . . . . . . . . 106,575
800 Werner Enterprises, Inc. . . . . . . 19,600
5,900 * Yellow Corp. . . . . . . . . . . . . 76,700
--------------
945,840
--------------
UTILITIES - COMMUNICATION - 0.22%
4,200 * C-Tec Corp. . . . . . . . . . . . . . 118,650
12,100 Lincoln Telecommunications Co. . . . 199,650
3,300 PXRE Corp. . . . . . . . . . . . . . 82,500
--------------
400,800
--------------
UTILITIES - ELECTRIC - 1.46%
6,700 Black Hills Corp. . . . . . . . . . . $ 161,637
5,900 Central Louisiana Electric Co., Inc. 157,088
6,250 Central Vermont Public Service Corp. 86,719
5,500 CILCORP, Inc. . . . . . . . . . . . . 234,437
4,200 Commonwealth Energy System
Companies . . . . . . . . . . . . 203,175
5,200 Eastern Utilities Associates . . . . 98,800
800 Empire District Electric Co. . . . . 14,600
1,400 Green Mountain Power Corp. . . . . . 37,100
8,200 Indiana Energy, Inc. . . . . . . . . 194,750
5,300 Interstate Power Co. . . . . . . . . 169,600
7,425 Madison Gas & Electric Co. . . . . . 180,984
4,575 Otter Tail Power Co. . . . . . . . . 152,119
15,700 Public Service Co. of New Mexico . . 294,375
6,600 SIG Corp, Inc. . . . . . . . . . . . 220,275
400 St. Joseph Light & Power Co. . . . . 13,050
4,500 TNP Enterprises, Inc. . . . . . . . . 120,375
10,720 * Tuscon Electric Power Co. . . . . . . 158,120
3,800 United Illuminating Co. . . . . . . . 140,125
--------------
2,637,329
--------------
UTILITIES - GAS, DISTRIBUTION - 0.62%
1,000 Colonial Gas Co. . . . . . . . . . . 23,000
1,800 Connecticut Energy Corp. . . . . . . 36,675
1,200 Connecticut Natural Gas Corp. . . . . 28,200
4,100 Energen Corp. . . . . . . . . . . . . 96,350
234 NGC Corp . . . . . . . . . . . . . . 3,627
3,800 Northwest Natural Gas Co. . . . . . . 130,150
1,200 NUI Corp. . . . . . . . . . . . . . . 21,600
7,400 Piedmont Natural Gas Co., Inc. . . . 160,025
4,800 Public Service Co. of North
Carolina, Inc. . . . . . . . . . . 77,400
714 South Jersey Industries, Inc. . . . . 16,244
7,800 Southwestern Energy Co. . . . . . . . 111,150
3,451 Tosco Corp. . . . . . . . . . . . . . 170,811
10,500 Washington Energy Co. . . . . . . . . 196,875
9 World Fuel Services Corp. . . . . . . 161
2,150 Yankee Energy System, Inc. . . . . . 47,837
--------------
1,120,105
--------------
UTILITIES - GAS, PIPELINE - 0.15%
9,900 ONEOK Inc. . . . . . . . . . . . . . 269,775
--------------
UTILITIES - MISCELLANEOUS - 0.61%
5,200 Central Hudson Gas & Electric Corp . 155,350
15,242 * Citizens Utilities Co. Class B . . . 179,094
5,500 IES Industries Inc. . . . . . . . . . 156,062
4,650 MDU Resources Group, Inc. . . . . . . 97,650
400 Northwestern Public Service Co. . . . 11,100
3,600 Orange and Rockland Utilities, Inc. 125,550
7,700 Sierra Pacific Resources . . . . . . 182,875
2,900 Trigen Energy Corp. . . . . . . . . . 56,550
4,300 WPS Resources Corp. . . . . . . . . . 133,300
--------------
1,097,531
--------------
</TABLE>
36
<PAGE> 39
SMALL CAP INDEX FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
WATER SERVICES - 0.24%
3,000 Aquarion Co. . . . . . . . . . . . . $ 72,750
400 California Water Service Co. . . . . 13,800
1,200 Consumers Water Co. . . . . . . . . . 21,000
1,300 E'Town Corp. . . . . . . . . . . . . 36,238
1,050 IWC Resources Corp. . . . . . . . . . 20,213
2,100 Philadelphia Suburban Corp. . . . . . 51,187
1,600 SJW Corp. . . . . . . . . . . . . . . 59,200
2,150 Southern California Water Co. . . . . 47,837
8,400 United Water Resources . . . . . . . 112,350
--------------
434,575
--------------
TOTAL COMMON STOCKS
(Cost $132,321,923) . . . . . . . . . 172,354,035
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
- ----------
<S> <C> <C>
CORPORATE SHORT TERM
COMMERCIAL PAPER - 4.45%
FINANCE COMPANIES - 1.59%
$2,887,000 Ford Motor Credit Co.,
5.16% due 6/3/96 . . . . . . . . . 2,886,172
--------------
SECURITIES RELATED - 2.86%
5,168,000 Merrill Lynch & Co., Inc.,
5.35% due 6/4/96 . . . . . . . . . 5,165,696
--------------
TOTAL CORPORATE SHORT
TERM COMMERCIAL PAPER
(Cost $8,051,868) . . . . . . . . . . 8,051,868
--------------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.14%
U.S. TREASURY BILLS - 0.14%
United States Treasury Bills:
100,000 5.04% due 6/20/96 . . . . . . . . . 99,734
150,000 4.93% due 6/20/96 . . . . . . . . . 149,610
--------------
249,344
--------------
TOTAL UNITED STATES
GOVERNMENT - SHORT TERM
(Cost $249,344) . . . . . . . . . . . 249,344
--------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
VALUE
- --------------------------------------------------------------------------------
<S> <C>
TOTAL INVESTMENTS
(Cost $140,623,135) - 99.93% . . . . $ 180,655,247
Other assets and liabilities,
net - 0.07% . . . . . . . . . . . 130,235
--------------
NET ASSETS (equivalent
to $16.25 per share on
11,128,632 shares
outstanding) - 100% . . . . . . . $ 180,785,482
--------------
</TABLE>
* Non-income producing
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
CONTRACTS (DEPRECIATION)
- --------------------------------------------------------------------------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 5/31/96)
43 (2) Russell 2000 Index Futures
(June/$361.75) . . . . . . . . . . $ 342,650
1 (2) Russell 2000 Index Futures
(September/$366.25) . . . . . . . . (2,875)
--------------
$ 339,775
--------------
</TABLE>
(1) U.S.Treasury Bills with a market value of approximately
$250,000 were maintained in a segregated account with a
portion placed as collateral for futures contracts.
(2) Per 500
<TABLE>
<S> <C> <C>
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
11,128,632 shares outstanding . . . . . . . . . . $ 111,286
Additional paid in capital . . . . . . . . . . . . 129,491,129
Undistributed net realized gain on securities . . . 10,795,064
Undistributed net investment income . . . . . . . . 16,116
Unrealized appreciation of:
Investments . . . . . . . . . . . . . $40,032,112
Futures . . . . . . . . . . . . . . . 339,775 40,371,887
----------- --------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING . . . . . . . . . . . . . . . . . $ 180,785,482
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<PAGE> 40
SMALL CAP INDEX FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1996
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,212,097
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 457,052
-------------
Total investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,669,149
-------------
EXPENSES:
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 523,833
Custodian and accounting services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61,065
Reports to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,855
Audit fees and tax services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,669
Directors' fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,280
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,202
-------------
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 617,904
-------------
NET INVESTMENT INCOME . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,051,245
-------------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 10,088,072
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 861,590 10,949,662
-------------
Net unrealized appreciation during the year:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,386,370
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 308,600 31,694,970
------------- -------------
Net realized and unrealized gain on securities during the year . . . . . . . . . . . . . . . 42,644,632
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 44,695,877
-------------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1996 1995
----------------------------
<S> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,051,245 $ 1,728,509
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,949,662 2,796,349
Net unrealized appreciation of securities during the period . . . . . . . . . . . . . . 31,694,970 7,291,771
----------------------------
Increase in net assets resulting from operations . . . . . . . . . . . . . . . . . 44,695,877 11,816,629
----------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,050,531) (1,724,116)
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,945,819) -
----------------------------
Decrease in net assets resulting from capital stock transactions . . . . . . . . . (4,996,350) (1,724,116)
----------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,328,751 27,773,025
Proceeds from capital stock issued for distributions reinvested . . . . . . . . . . . . 4,996,350 1,724,116
----------------------------
31,325,101 29,497,141
Cost of capital stock repurchased . . . . . . . . . . . . . . . . . . . . . . . . . . . (16,806,251) (21,072,208)
----------------------------
Increase in net assets resulting from capital stock transactions . . . . . . . . . 14,518,850 8,424,933
----------------------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54,218,377 18,517,446
NET ASSETS:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126,567,105 108,049,659
----------------------------
End of year (including undistributed net investment income of $16,116 and $15,402) . . $ 180,785,482 $ 126,567,105
----------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,827,343 2,410,176
Shares issued for distributions reinvested . . . . . . . . . . . . . . . . . . . . . . 350,648 147,801
Shares of capital stock repurchased . . . . . . . . . . . . . . . . . . . . . . . . . (1,185,615) (1,802,417)
----------------------------
Increase in shares outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . 992,376 755,560
Shares outstanding:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,136,256 9,380,696
----------------------------
End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,128,632 10,136,256
----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<PAGE> 41
INTERNATIONAL EQUITIES FUND MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 98.52%
AIRLINES - 0.61%
4,100 British Airways plc - ADR . . . . . . $ 355,675
40,000 * Japan Air Lines Co. Ltd. . . . . . . 322,593
2,500 Lufthansa AG . . . . . . . . . . . . 387,451
60,000 Malay Airline System Bhd . . . . . . 188,664
--------------
1,254,383
--------------
APPAREL & PRODUCTS - 0.47%
4,000 Hennes & Mauritz AB - Series B . . . 294,718
20,000 Onward Kashiyama Co., Ltd. . . . . . 325,926
163,039 Pacific Dunlop Ltd. . . . . . . . . . 352,650
--------------
973,294
--------------
APPLIANCES/FURNISHINGS - 2.05%
50,000 Brother Industries . . . . . . . . . 306,481
22,000 Matsushita Electric Industrial Co. Ltd. 378,889
4,200 Matsushita Electric Industrial
Co. Ltd. - ADR . . . . . . . . . . 722,400
15,000 Philips Electronics NV . . . . . . . 532,357
133,000 Sanyo Electric Co. Ltd. . . . . . . . 791,843
3,400 Sanyo Electric Co. Ltd. - ADR . . . . 102,425
30,000 Sharp Corp. . . . . . . . . . . . . . 488,889
13,970 Sony Corp - ADR . . . . . . . . . . . 895,826
--------------
4,219,110
--------------
AUTO - CARS - 3.79%
27,500 Daimler-Benz AG - ADR . . . . . . . . 1,498,750
100,000 Fiat S.p.A. . . . . . . . . . . . . . 353,037
15,000 Fiat S.p.A. - ADR . . . . . . . . . . 258,750
12,500 Honda Motor Co., Ltd. - ADR . . . . . 596,875
18,000 Nissan Motor Co., Ltd. - ADR . . . . . 297,000
35,000 Nissan Motor Co., Ltd. . . . . . . . 288,102
500 Peugeot Citroen SA . . . . . . . . . 69,639
13,200 Peugeot Citroen SA - ADR . . . . . . 458,993
98,000 Toyota Motor Corp. . . . . . . . . . 2,241,296
23,519 Toyota Motor Corp. - ADR . . . . . . 1,075,994
32,000 Volvo AB . . . . . . . . . . . . . . 678,743
--------------
7,817,179
--------------
AUTO - REPLACEMENT PARTS - 1.06%
36,000 Bridgestone Corp. . . . . . . . . . . 626,667
1,600 Bridgestone Corp. - ADR . . . . . . . 278,260
10,000 Michelin (CGDE) Class B . . . . . . . 503,917
5,550 Nippondenso Ltd. - ADR . . . . . . . 478,501
2,000 Phoenix AG . . . . . . . . . . . . . 293,447
--------------
2,180,792
--------------
BANKS - OTHER - 15.52%
15,007 ABN Amro Holdings NV . . . . . . . . 827,912
30,000 AMMB Holdings BHD . . . . . . . . . . 405,568
50,000 Asahi Bank Ltd. . . . . . . . . . . . 601,852
6,190 Asahi Bank Ltd. - ADR . . . . . . . . 744,402
10,000 Banco de Santander SA . . . . . . . . 456,224
5,700 Banco de Santander SA - ADR . . . . . 257,925
136,000 Bank of Tokyo - Mitsubishi . . . . . 3,223,703
BANKS - OTHER - Continued
4,180 Bank of Tokyo Ltd. - ADR . . . . . . $ 792,652
68,000 Bank of Yokohama Ltd. . . . . . . . . 582,407
2,296 Bank of Yokohama Ltd. - ADR . . . . . 196,466
36,785 Barclays plc . . . . . . . . . . . . 428,104
15,840 Barclays plc - ADR . . . . . . . . . 746,460
40,000 Chiba Bank Ltd. . . . . . . . . . . . 347,778
275,000 Credito Italiano . . . . . . . . . . 342,024
250,000 * DCB Holdings BHD . . . . . . . . . . 831,164
50,000 * DCB Holdings BHD (Warrants) . . . . . 63,689
13,300 Den Danske Bank AF 1871 - ADR . . . . 831,444
42,500 Deutsche Bank AG - ADR . . . . . . . 1,993,620
10,000 Development Bank of Singapore Ltd. . 118,566
13,625 Development Bank of
Singapore Ltd. - ADR . . . . . . . 645,629
10,000 Dresdner Bank AG . . . . . . . . . . 250,655
52,000 Dresdner Bank AG - ADR . . . . . . . 1,302,184
60,000 Fuji Bank Ltd. . . . . . . . . . . . 1,305,556
4,830 Fuji Bank Ltd. - ADR . . . . . . . . 1,049,999
6,180 HSBC Holdings plc - ADR . . . . . . . 934,486
53,000 Industrial Bank of Japan Ltd. . . . . 1,364,259
13,500 Istituto Mobiliare Italiano S.p.A. - ADR 335,813
48,000 Joyo Bank . . . . . . . . . . . . . . 376,889
277,744 Lloyds TSB Group plc . . . . . . . . 1,342,881
30,000 Mitsui Trust & Banking Co. Ltd. . . . 330,556
28,014 National Australia Bank Ltd. . . . . 262,722
9,319 National Australia Bank Ltd. - ADR . 435,663
10,000 National Westminster Bank plc . . . . 96,699
9,100 National Westminster Bank plc - ADR . 525,525
98,000 Sakura Bank Ltd. . . . . . . . . . . 1,070,741
3,290 Sakura Bank Ltd. - ADR . . . . . . . 359,130
30,000 Shizuoka Bank . . . . . . . . . . . . 388,889
89,000 Sumitomo Bank . . . . . . . . . . . . 1,755,278
3,410 Sumitomo Bank - ADR . . . . . . . . . 671,905
46,000 Tokai Bank . . . . . . . . . . . . . 575,000
2,225 Tokai Bank - ADR . . . . . . . . . . 555,735
10,000 Tokyo Trust & Banking . . . . . . . . 95,370
1,800 Union Bank of Switzerland AG . . . . 1,685,657
21,300 Westpac Banking Corp. Ltd. - ADR . . 492,562
--------------
32,001,743
--------------
BEVERAGE - BREWERS/
DISTRIBUTORS - 1.81%
58,800 Bass plc . . . . . . . . . . . . . . 742,176
96,100 Guinness plc . . . . . . . . . . . . 693,236
16,000 Kirin Brewery Co., Ltd. . . . . . . . 198,519
4,995 Kirin Brewery Co., Ltd. - ADR . . . . 626,872
12,000 LVMH (Moet Hennessy Louis
Vuitton) - ADR . . . . . . . . . . 585,000
45,000 Sapporo Breweries . . . . . . . . . . 429,167
40,000 Whitbread plc . . . . . . . . . . . . 452,503
--------------
3,727,473
--------------
BROADCASTING - 0.19%
30,000 British Sky Broadcasting Group plc . 208,740
750 Canal Plus . . . . . . . . . . . . . 183,819
--------------
392,559
--------------
</TABLE>
39
<PAGE> 42
INTERNATIONAL EQUITIES FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
BUILDING MATERIALS - 2.85%
20,000 Asahi Glass Co. Ltd. . . . . . . . . $ 240,741
5,400 Asahi Glass Co. Ltd. - ADR . . . . . 649,398
30,190 CRH plc . . . . . . . . . . . . . . . 287,752
2,505 * Fletcher Challenge Building Division 51,352
4,700 Glaverbel SA . . . . . . . . . . . . 548,533
725 Holderbank Finance Glarus . . . . . . 556,133
40,000 Inax Corp . . . . . . . . . . . . . . 407,407
4,000 Lafarge SA . . . . . . . . . . . . . 263,391
79,487 Redland plc . . . . . . . . . . . . . 494,561
24,642 Redland plc - ADR . . . . . . . . . . 153,483
2,400 Taisei Construction Ltd. - ADR . . . 180,943
110,000 Taisei Corp. . . . . . . . . . . . . 830,093
15,000 Tostem Corp. . . . . . . . . . . . . 438,889
24,000 Toto Ltd. . . . . . . . . . . . . . . 353,333
525 Toto Ltd. - ADR . . . . . . . . . . . 77,220
38,000 Uralita, SA . . . . . . . . . . . . . 335,212
--------------
5,868,441
--------------
CHEMICAL - MAJOR - 1.18%
2,000 Ciba Geigy AG . . . . . . . . . . . . 2,200,559
20,000 Sekisui Chemical . . . . . . . . . . 237,037
--------------
2,437,596
--------------
CHEMICAL - MISCELLANEOUS - 3.37%
12,367 Air Liquide - ADR . . . . . . . . . . 429,552
5,100 Akzo Nobel N V- ADR . . . . . . . . . 309,188
8,500 Asahi Chemical Co. Ltd. - ADR . . . . 616,466
2,500 BASF AG . . . . . . . . . . . . . . . 694,626
1,000 Bayer A G . . . . . . . . . . . . . . 334,207
18,000 Bayer A G - ADR . . . . . . . . . . . 601,009
41,962 BOC Group plc . . . . . . . . . . . . 604,752
11,000 Imperial Chemical Industries plc - ADR 584,375
20,000 Mitsubishi Chemical Corp. . . . . . . 98,889
8,040 Mitsubishi Chemical Corp. - ADR . . . 397,165
56,515 * Montedison S.p.A. - ADR . . . . . . . 339,090
195,000 Nylex (Malaysia) Bhd . . . . . . . . 773,283
23,100 Shin Etsu Chemical Co. . . . . . . . 462,000
50,000 Toray Industries Inc. . . . . . . . . 337,963
5,500 Toray Industries Inc. - ADR . . . . . 371,414
--------------
6,953,979
--------------
CONGLOMERATES - 3.45%
27,195 Broken Hill Proprietary Co. Ltd. - ADR 1,641,898
41,825 BTR plc . . . . . . . . . . . . . . . 182,130
37,426 BTR plc - ADR . . . . . . . . . . . . 651,781
75,000 Halma plc . . . . . . . . . . . . . . 209,205
3,300 Itochu Corp. - ADR . . . . . . . . . 236,891
57,000 Keppel Corp. Ltd. . . . . . . . . . . 477,529
21,500 Keppel Corp. Ltd. - ADR . . . . . . . 359,929
18,000 Lagardere Groupe . . . . . . . . . . 488,519
70,000 Marubeni Corp. . . . . . . . . . . . 381,759
3,200 Marubeni Corp. - ADR . . . . . . . . 174,357
27,000 Mitsubishi Corp. . . . . . . . . . . 370,000
50,000 Mitsui & Co. . . . . . . . . . . . . 460,648
CONGLOMERATES - Continued
2,200 Mitsui & Co. - ADR . . . . . . . . . $ 404,250
60,000 Sime Darby Holdings Ltd. . . . . . . 161,026
194,400 Sime Darby Holdings Ltd. - ADR . . . 521,284
101,741 Tomkins plc . . . . . . . . . . . . . 402,833
--------------
7,124,039
--------------
CONSUMER FINANCE - 0.13%
37,000 Nippon Shinpan Co. . . . . . . . . . 274,074
--------------
COSMETICS/TOILETRIES - 0.77%
1,000 Loreal Co. . . . . . . . . . . . . . 304,285
14,000 Loreal Co. - ADR . . . . . . . . . . 850,840
34,490 Shiseido Ltd. - ADR . . . . . . . . . 427,531
--------------
1,582,656
--------------
DRUGS - 5.03%
20,000 Astra AB Series A . . . . . . . . . . 915,410
80,400 Glaxo Wellcome plc - ADR . . . . . . 2,100,450
30,000 Kaken Pharmaceutical . . . . . . . . 253,889
7,700 Kissei Pharmaceutical Co. . . . . . . 222,444
5,000 Ono Pharmaceutical . . . . . . . . . 174,537
300 Roche Holdings AG . . . . . . . . . . 2,301,239
1,500 Sandoz AG . . . . . . . . . . . . . . 1,555,733
37,000 Sankyo Co. Ltd. . . . . . . . . . . . 877,037
3,000 Sanofi SA . . . . . . . . . . . . . . 230,854
65,000 Takeda Chemical Industries Ltd. . . . 1,077,315
10,300 Zeneca Group plc - ADR . . . . . . . 660,487
--------------
10,369,395
--------------
ELECTRICAL EQUIPMENT - 1.27%
58,000 Delta plc . . . . . . . . . . . . . . 377,499
15,000 Fanuc . . . . . . . . . . . . . . . . 586,111
134,000 General Electric plc . . . . . . . . 772,478
10,400 General Electric plc - ADR . . . . . 60,022
10,000 Murata Manufacturing Co. . . . . . . 366,667
3,400 Sumitomo Electric Industries
Ltd. - ADR . . . . . . . . . . . . 462,349
--------------
2,625,126
--------------
ELECTRONIC INSTRUMENTS - 3.11%
50,000 Hitachi Ltd. . . . . . . . . . . . . 462,963
8,550 Hitachi Ltd. - ADR . . . . . . . . . 801,562
6,000 Kyocera Corp . . . . . . . . . . . . 411,111
144,000 Mitsubishi Electric Corp. . . . . . . 986,667
600 Mitsubishi Electric Corp. - ADR . . . 41,073
25,000 NEC Corp. . . . . . . . . . . . . . . 275,463
5,100 NEC Corp. - ADR . . . . . . . . . . . 281,775
50,000 Racal Electronics plc . . . . . . . . 244,847
7,000 Schneider SA . . . . . . . . . . . . 323,900
8,000 Siemens AG . . . . . . . . . . . . . 448,650
28,000 Siemens AG - ADR . . . . . . . . . . 1,568,804
55,000 Yokogawa Electric . . . . . . . . . . 560,185
--------------
6,407,000
--------------
</TABLE>
40
<PAGE> 43
INTERNATIONAL EQUITIES FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
ENTERTAINMENT - 0.33%
85,000 Rank Organisation . . . . . . . . . . $ 673,756
--------------
FINANCE COMPANIES - 0.92%
4,000 Compagnie Bancaire SA . . . . . . . . 437,954
126 Credit Local de France . . . . . . . 10,322
7,747 Internationale Nederlanden
Groep NV . . . . . . . . . . . . . 637,908
7,554 Societe Generale . . . . . . . . . . 803,695
--------------
1,889,879
--------------
FOODS - 3.19%
25,000 Ajinomoto Inc. . . . . . . . . . . . 300,926
1,900 Ajinomoto Inc. - ADR . . . . . . . . 228,492
21,113 Cadbury Schweppes plc . . . . . . . . 158,356
13,634 Cadbury Schweppes plc - ADR . . . . . 412,428
31,077 Coca Cola Amatil Ltd. . . . . . . . . 338,575
10,000 Daiei, Inc. . . . . . . . . . . . . . 122,222
11,500 Daiei, Inc. - ADR . . . . . . . . . . 273,125
122,569 Grand Metropolitan . . . . . . . . . 828,143
750 Groupe Danone . . . . . . . . . . . . 109,682
20,060 Groupe Danone - ADR . . . . . . . . . 585,928
5,346 KAO Corp - ADR . . . . . . . . . . . 712,140
38,000 Nestle S A - ADR . . . . . . . . . . 2,139,385
54,322 Northern Foods plc . . . . . . . . . 155,735
30,000 Tate & Lyle plc . . . . . . . . . . . 211,530
--------------
6,576,667
--------------
FOOTWEAR - 0.33%
4,500 Adidas AG . . . . . . . . . . . . . . 337,795
50,000 Church & Co. plc . . . . . . . . . . 344,801
--------------
682,596
--------------
FREIGHT - 0.64%
98,000 * Mitsui Osk Lines Ltd. . . . . . . . . 336,648
40,000 Nippon Yusen Kabushiki Kaish . . . . 234,815
8,570 Nippon Yusen Kabushiki
Kaish - ADR . . . . . . . . . . . . 502,624
30,000 P & O Steam Navigation . . . . . . . 243,608
--------------
1,317,695
--------------
HARDWARE & TOOLS - 0.13%
12,000 SKF AB . . . . . . . . . . . . . . . 270,604
--------------
HEALTHCARE - 0.29%
33,159 Eisai Ltd. . . . . . . . . . . . . . 607,347
--------------
HOME BUILDERS - 0.24%
15,000 Daiwa House Industry Co. Ltd. . . . . 229,167
214 Sekisui Homes Ltd. - ADR . . . . . . 25,141
20,000 Sekisui House Hokuriku, Ltd. . . . . 235,185
--------------
489,493
--------------
HOSPITAL SUPPLIES - 0.28%
1,000 Novo-Nordisk A/S . . . . . . . . . . 137,463
12,800 Novo-Nordisk A/S - ADR . . . . . . . 443,200
--------------
580,663
--------------
HOUSEHOLD PRODUCTS - 0.77%
7,000 Katokichi Co . . . . . . . . . . . . $ 165,278
10,600 Unilever N V-ADR . . . . . . . . . . . 1,429,675
--------------
1,594,953
--------------
INFORMATION PROCESSING - 0.82%
5,000 CSK Corp. . . . . . . . . . . . . . . 146,759
3,700 CSK Corp. - ADR . . . . . . . . . . . 107,300
14,000 Fujitsu Ltd. . . . . . . . . . . . . 127,037
15,200 Fujitsu Ltd. - ADR . . . . . . . . . 688,989
500,000 * Ing C. Olivetti & C. S.p.A. . . . . . 313,199
2,250 SAP AG . . . . . . . . . . . . . . . 307,421
--------------
1,690,705
--------------
INSURANCE - CASUALTY - 0.90%
25,000 Mitsui Marine & Fire . . . . . . . . 193,287
50,000 Nippon Fire & Marine Insurance . . . 330,556
25,000 Sumitomo Marine & Fire . . . . . . . 226,389
20,000 Tokio Marine & Fire Insurance Co. . . 259,259
13,100 Tokio Marine & Fire Insurance
Co. - ADR . . . . . . . . . . . . 851,500
--------------
1,860,991
--------------
INSURANCE - LIFE - 0.61%
62,758 Irish Life plc . . . . . . . . . . . 253,833
30,240 Prudential plc - ADR . . . . . . . . 1,006,184
--------------
1,260,017
--------------
INSURANCE - MULTILINE - 2.89%
39,590 Assic Generali . . . . . . . . . . . 941,184
22,500 AXA . . . . . . . . . . . . . . . . . 1,275,704
200 Baloise Holding Ltd. . . . . . . . . 433,080
15,690 Fortis Amev NV . . . . . . . . . . . 1,223,039
7,000 * Gan Group . . . . . . . . . . . . . . 199,052
40,525 General Accident . . . . . . . . . . 417,936
98,280 Royal Insurance Holdings plc . . . . 644,996
150,000 Sedgwick Group plc . . . . . . . . . 346,350
500 * Swiss Reinsurance AG . . . . . . . . 482,621
--------------
5,963,962
--------------
LEISURE TIME - 1.18%
8,000 Canon, Inc. - ADR . . . . . . . . . . 784,000
20,000 Fuji Photo . . . . . . . . . . . . . 622,222
9,601 Fuji Photo - ADR . . . . . . . . . . 595,262
150,000 Ladbroke Group plc . . . . . . . . . 440,493
--------------
2,441,977
--------------
LODGING - 0.52%
275,000 Hong Kong & Shang Hai Hotels . . . . 485,150
180,000 Hotel Properties . . . . . . . . . . 318,211
200,000 Shangri La Asia Ltd. . . . . . . . . 276,582
--------------
1,079,943
--------------
MACHINE TOOLS - 0.46%
35,000 Amada Co., Ltd. . . . . . . . . . . . 362,963
16,000 Makita Corp. - ADR . . . . . . . . . 248,000
40,000 Minebea Co. Ltd. . . . . . . . . . . 332,963
--------------
943,926
--------------
</TABLE>
41
<PAGE> 44
INTERNATIONAL EQUITIES FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
MACHINERY - CONSTRUCTION &
CONTRACTS - 1.72%
200 BBC Brown Boveri Limited-ADR . . . . $ 239,073
1,500 Bilfinger & Berger Bau AG . . . . . . 624,181
2,000 Jean Lefebvre SA . . . . . . . . . . 120,321
52,000 Kajima Corp. . . . . . . . . . . . . 544,074
2,340 Kajima Corp. - ADR . . . . . . . . . 244,607
80,000 Kumagai Gumi (Hong Kong) Ltd. . . . . 79,614
70,000 Shimizu Corp. . . . . . . . . . . . . 803,704
5,200 Volker Stevin . . . . . . . . . . . . 387,983
1,500 Vossloh AG . . . . . . . . . . . . . 511,140
--------------
3,554,697
--------------
MACHINERY - INDUSTRIAL/SPECIALTY - 3.19%
10,000 Atlas Copco AB Series A . . . . . . . 186,059
20,000 Atlas Copco AB Series B . . . . . . . 373,606
125 Bobst SA . . . . . . . . . . . . . . 179,784
10,250 CNIM . . . . . . . . . . . . . . . . 385,651
8,000 Ebara Corp. . . . . . . . . . . . . . 121,482
2,530 Ebara Corp. - ADR . . . . . . . . . . 383,830
325,000 Johan Holdings Berhad . . . . . . . . 304,627
50,000 * Kawasaki Heavy Industries . . . . . . 261,574
54,000 Komatsu Ltd. . . . . . . . . . . . . 515,000
400 Komatsu Ltd. - ADR . . . . . . . . . 76,226
70,000 Kubota Corp. . . . . . . . . . . . . 467,963
1,350 Kubota Corp. - ADR . . . . . . . . . 176,850
140,000 Mitsubishi Hvy Industries . . . . . . 1,204,259
4,000 Oyo Corp. . . . . . . . . . . . . . . 251,852
2,000 Rieter Holdings AG . . . . . . . . . 559,329
78,595 Rolls Royce . . . . . . . . . . . . . 275,259
70,000 SASIB S.p.A. . . . . . . . . . . . . 290,202
25,000 Siebe plc . . . . . . . . . . . . . . 335,115
350 Sulzer AG . . . . . . . . . . . . . . 222,333
--------------
6,571,001
--------------
MERCHANDISE - SPECIALTY - 0.88%
40,487 BAA plc . . . . . . . . . . . . . . . 305,550
450,000 Dickson Concepts International Ltd. . 514,715
10,000 Esselte AB Series B . . . . . . . . . 190,524
35,000 Great Universal Stores . . . . . . . 368,550
1,500 Herlitz AG . . . . . . . . . . . . . 199,836
15,000 Takashimaya Co. . . . . . . . . . . . 244,444
--------------
1,823,619
--------------
MERCHANDISING - DEPARTMENT - 1.25%
40,000 Hankyu Department Store . . . . . . . 540,741
500 Karstadt AG . . . . . . . . . . . . . 196,920
15,000 Marks & Spencer plc . . . . . . . . . 107,508
25,033 Marks & Spencer plc - ADR . . . . . . 1,076,314
32,000 Marui Co., Ltd. . . . . . . . . . . . 657,778
--------------
2,579,261
--------------
MERCHANDISING - FOOD - 1.65%
1,700 * Carrefour SA . . . . . . . . . . . . 930,651
1,700 * Carrefour SA (Rights) . . . . . . . . 466,970
15,000 Delhaize-Le Lion, S.A. . . . . . . . 760,523
100,000 J. Sainsbury plc . . . . . . . . . . 614,443
5,000 Koninklijke Ahold NV . . . . . . . . 268,228
MERCHANDISING - FOOD - Continued
20,000 Kwik Save Group plc . . . . . . . . . $ 141,019
15,000 Melco International Development Ltd. 4,653
10,000 Uny Company Ltd. . . . . . . . . . . 211,111
--------------
3,397,598
--------------
MERCHANDISING - MASS - 1.08%
10,000 Centros Com Pryca . . . . . . . . . . 235,107
3,960 Familymart Co. . . . . . . . . . . . 181,133
4,050 Ito-Yokado Co. Ltd. - ADR . . . . . . 912,262
56,000 Mitsukoshi Ltd. . . . . . . . . . . . 617,037
200 Mitsukoshi Ltd. - ADR . . . . . . . . 22,017
20,000 Seiyu Ltd. . . . . . . . . . . . . . 259,265
--------------
2,226,821
--------------
METALS - COPPER - 0.50%
22,379 RTZ Corp. plc . . . . . . . . . . . . 348,534
10,700 RTZ Corp. plc - ADR . . . . . . . . . 676,775
--------------
1,025,309
--------------
METALS - MISCELLANEOUS - 0.81%
400 Alusuisse Lonza Holdings . . . . . . 314,183
8,062 CRA Ltd. - ADR . . . . . . . . . . . 522,952
102,458 North Ltd. . . . . . . . . . . . . . 295,214
70,000 Western Mining . . . . . . . . . . . 530,210
--------------
1,662,559
--------------
METALS - STEEL - 2.08%
500 Bekaert SA . . . . . . . . . . . . . 419,324
36,700 British Steel plc . . . . . . . . . . 96,826
2,000 British Steel plc - ADR . . . . . . . 53,750
50,000 Cockerill Sambre . . . . . . . . . . 261,480
60,000 Kawasaki Steel . . . . . . . . . . . 222,222
15,420 Kawasaki Steel - ADR . . . . . . . . 570,582
200,000 Nippon Steel Co. . . . . . . . . . . 679,630
255,000 * NKK Corp. . . . . . . . . . . . . . . 746,111
178,000 Sumitomo Metal Industries Ltd. . . . 548,833
7,400 Sumitomo Metal Industries
Ltd. - ADR . . . . . . . . . . . . 227,955
50,000 Sumitomo Metal Mining . . . . . . . . 467,592
--------------
4,294,305
--------------
MISCELLANEOUS - 0.97%
32,667 Argos . . . . . . . . . . . . . . . . 370,050
1,250 Preussag AG . . . . . . . . . . . . . 319,053
8,000 Secom Co. . . . . . . . . . . . . . . 518,519
76,819 Smithkline Beecham plc . . . . . . . 782,118
--------------
1,989,740
--------------
OIL - INTEGRATED
INTERNATIONAL - 3.30%
19,713 British Petroleum Co. plc - ADR . . . 2,077,258
20,946 Elf Aquitaine SA - ADR . . . . . . . 767,147
18,000 Repsol S A - ADR . . . . . . . . . . 612,000
17,098 Royal Dutch Petroleum Co. - ADR . . . 2,564,700
10,961 Total . . . . . . . . . . . . . . . . 792,364
--------------
6,813,469
--------------
</TABLE>
42
<PAGE> 45
INTERNATIONAL EQUITIES FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
OIL - SERVICE - PRODUCTS - 0.13%
30,000 Mitsubishi Oil Co. . . . . . . . . . $ 261,389
--------------
OIL/GAS PRODUCERS - 1.03%
60,000 Eni Spa . . . . . . . . . . . . . . . 284,891
2,505 * Fletcher Challenge Energy Division . 52,605
23,500 Norsk Hydro A/S - ADR . . . . . . . . 1,101,562
5,000 OMV AG . . . . . . . . . . . . . . . 516,736
50,000 Santos Limited . . . . . . . . . . . 176,391
--------------
2,132,185
--------------
PAPER/FOREST PRODUCTS - 0.95%
147,000 Fletcher Challenge Forest Ltd. . . . 188,859
3,926 Fletcher Challenge Ltd. - ADR . . . . 51,038
5,010 * Fletcher Challenge Paper Division . . 91,432
37,000 Honshu Paper Co. Ltd. . . . . . . . . 262,083
22,000 New Oji Paper Co., Ltd. . . . . . . . 192,093
300 New Oji Paper Co., Ltd. - ADR . . . . 26,170
60,000 Nippon Paper Industries . . . . . . . 402,778
15,000 Sumitomo Forestry Co. . . . . . . . . 233,333
27,000 * UPM - Kymmene Corp. . . . . . . . . . 520,366
--------------
1,968,152
--------------
PUBLISHING - NEWS - 1.11%
63,069 Independent Newspapers plc . . . . . 500,945
17,500 News Corp Ltd. - ADR . . . . . . . . 391,562
80,000 Reuters Holdings plc . . . . . . . . 929,800
40,952 United News & Media plc . . . . . . . 471,840
--------------
2,294,147
--------------
PUBLISHING/PRINTING - 0.89%
30,000 Dai Nippon Printing Co. Ltd. . . . . 555,555
1,000 Dai Nippon Printing Co. Ltd. - ADR . 185,014
81,380 Pearson plc . . . . . . . . . . . . . 875,216
2,000 Wolters Kluwer NV . . . . . . . . . . 223,602
--------------
1,839,387
--------------
RAILROAD - 1.07%
30,000 Fukuyama Transporting Co. . . . . . . 291,667
90,000 Nagoya Railroad Co. Ltd. . . . . . . 465,833
9,218 Nagoya Railroad Co. Ltd. - ADR . . . 476,675
101,970 Odakyu Electric Railway Co. Ltd. . . 681,688
40,000 Tokyu Corp. . . . . . . . . . . . . . 299,630
--------------
2,215,493
--------------
REAL ESTATE - 2.48%
179,441 Great Eagle Holdings Ltd. . . . . . . 549,643
40,000 * Hammerson plc . . . . . . . . . . . . 233,070
240,000 Hang Lung Development Co. . . . . . . 466,830
83,000 Mitsubishi Estate Co. Ltd. . . . . . 1,160,463
35,000 Mitsui Fudosan . . . . . . . . . . . 443,981
172,600 Sun Hung Kai Properties Ltd. . . . . 1,762,294
128,000 Wharf (Holdings) Ltd. . . . . . . . . 493,816
--------------
5,110,097
--------------
SECURITIES RELATED - 1.88%
25,000 Daiwa Securities Co. Ltd. . . . . . . $ 335,648
61,000 Mitsubishi Trust & Banking Corp. . . 1,016,667
35,000 Nomura Securities Co. Ltd. . . . . . 661,111
3,800 Nomura Securities Co. Ltd. - ADR . . 717,113
160,000 Peregrine Investment Holdings Ltd. . 248,148
16,000 Peregrine Investment Holdings
Ltd. (warrants) . . . . . . . . . . 6,204
6,000 Yamaichi Securities Co. Ltd. - ADR . 432,932
20,000 Yasuda Trust & Banking . . . . . . . 121,111
5,670 Yasuda Trust & Banking - ADR . . . . 343,032
--------------
3,881,966
--------------
TELECOMMUNICATIONS - 4.15%
35,000 British Telecommunications plc . . . 192,817
16,379 British Telecommunications plc - ADR 896,750
61,982 Hong Kong Telecommunications
Ltd.- ADR . . . . . . . . . . . . 1,146,667
15,395 Kon Ptt Nederland . . . . . . . . . . 557,195
12,000 Nokia AB OY . . . . . . . . . . . . . 522,149
100,000 Stet Societa' Finanziaria
Telefonica S.p.A. . . . . . . . . . 358,543
4,800 Telecom Corp. of New Zealand
Ltd. - ADR . . . . . . . . . . . . 315,000
135,000 Telecom Italia Mobile . . . . . . . . 288,583
335,000 Telecom Italia S.p.A. . . . . . . . . 670,543
40,200 Telefonaktiebolage & LM Ericsson
Class B - ADR . . . . . . . . . . 927,113
14,000 Telefonica de Espana . . . . . . . . 251,350
14,600 Telefonica de Espana - ADR . . . . . 764,675
110,000 Telekom Malaysia Bhd . . . . . . . . 1,004,606
16,500 Vodafone Group plc - ADR . . . . . . 653,813
--------------
8,549,804
--------------
TEXTILE - PRODUCTS - 0.35%
20,000 Courtaulds Textiles plc . . . . . . . 116,690
4,000 DMC Dollfus Mieg . . . . . . . . . . 190,734
30,000 Marzotto & Figli S.p.A. . . . . . . . 202,105
15,000 Wacoal Corp. . . . . . . . . . . . . 209,722
--------------
719,251
--------------
TOBACCO - 0.66%
74,376 B.A.T. Industries plc . . . . . . . . 599,342
40,100 B.A.T. Industries plc - ADR . . . . . 656,637
32,000 * Swedish Match AB . . . . . . . . . . 106,694
--------------
1,362,673
--------------
UTILITIES - ELECTRIC - 4.01%
205,000 China Light & Power . . . . . . . . . 975,017
12,000 Empresa Nacional de Electridad
SA - ADR . . . . . . . . . . . . . 747,000
30,000 Iberdrola SA . . . . . . . . . . . . 304,279
36,600 Kansai Electric Power Co. Inc. . . . 843,833
80,000 National Power . . . . . . . . . . . 645,281
4,000 Oesterreichisch Elektrizitatswirt
Schafts - AG Class A . . . . . . . 305,759
30,000 RWE AG - ADR . . . . . . . . . . . . 1,183,356
44,000 Scottish Power plc . . . . . . . . . 216,489
</TABLE>
43
<PAGE> 46
INTERNATIONAL EQUITIES FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES - ELECTRIC - Continued
10,000 Sydkraft AB . . . . . . . . . . . . . $ 217,317
145,000 Tenaga Nasional Bhd . . . . . . . . . 615,662
25,200 Tokyo Electric Power . . . . . . . . 646,333
30,000 VEBA AG . . . . . . . . . . . . . . . 1,569,790
--------------
8,270,116
--------------
UTILITIES - GAS, DISTRIBUTION - 0.24%
127,000 Osaka Gas Co. . . . . . . . . . . . . 495,065
--------------
WATER SERVICES - 0.98%
10,196 Eaux (Cie Generale) . . . . . . . . . 1,090,703
20,000 Hyder . . . . . . . . . . . . . . . . 232,760
25,000 Thames Water plc . . . . . . . . . . 229,157
52,602 United Utilities plc . . . . . . . . 476,866
--------------
2,029,486
--------------
TOTAL COMMON STOCKS
(Cost $171,289,294) . . . . . . . . . 203,201,603
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
- ----------
<S> <C> <C>
UNITED STATES GOVERNMENT -
SHORT TERM - 0.17%
U.S. TREASURY BILLS - 0.17%
United States Treasury Bills:
$ 50,000 4.90% due 6/20/96 . . . . . . . . . 49,871
300,000 4.81% due 6/20/96 . . . . . . . . . 299,238
--------------
349,109
--------------
TOTAL UNITED STATES
GOVERNMENT - SHORT TERM
(Cost $349,109) . . . . . . . . . . . 349,109
--------------
TOTAL INVESTMENTS
(Cost $171,638,403) - 98.69% . . . . 203,550,712
Other assets and liabilities,
net - 1.31% . . . . . . . . . . . 2,708,624
--------------
NET ASSETS (equivalent
to $11.15 per share
on 18,496,532 shares
outstanding) - 100% . . . . . . . $ 206,259,336
--------------
</TABLE>
* Non-income producing
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
- --------------------------------------------------------------------------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 5/31/96)
30 (2) Nikkei 225 Futures
(June/$203.47) . . . . . . . . . . $ 165,259
5 (2) Nikkei 225 Futures
(September/$204.26) . . . . . . . . 5,977
--------------
$ 171,236
--------------
</TABLE>
(1) U.S.Treasury Bills with a market value of approximately
$350,000 were maintained in a segregated account with a
portion placed as collateral for futures contracts.
(2) Per 500
<TABLE>
<S> <C> <C>
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
18,496,532 shares outstanding . . . . . . . . . . . $ 184,965
Additional paid in capital . . . . . . . . . . . . 169,231,172
Undistributed net realized gain on securities and
foreign currency transactions. . . . . . . . . . . 4,495,627
Undistributed net investment income . . . . . . . . 262,279
Unrealized appreciation of:
Investments . . . . . . . . . . . . . $31,912,309
Futures . . . . . . . . . . . . . . 171,236
Foreign currency translation . . . . 1,748 32,085,293
----------- --------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING . . . . . . . . . . . . . . . . . $ 206,259,336
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<PAGE> 47
INTERNATINAL EQUITY FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1996
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes of $591,929) . . . . . . . . . . . . . . . . . . . . . . $ 3,929,354
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 316,983
-------------
Total investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,246,337
-------------
EXPENSES:
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 715,452
Custodian and accounting services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87,184
Reports to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,703
Audit fees and tax services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,362
Directors' fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,723
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,711
-------------
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 865,135
-------------
NET INVESTMENT INCOME . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,381,202
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 7,624,523
Foreign currency transactions . . . . . . . . . . . . . . . . . . . . . . . . . . (164,304)
Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 362,198 7,822,417
-------------
Net unrealized appreciation during the year:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,279,781
Foreign currency translation . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,463
Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 242,461 10,529,705
------------- -------------
Net realized and unrealized gain on securities and foreign currencies during the year . . . . 18,352,122
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 21,733,324
-------------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1996 1995
----------------------------
<S> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,381,202 $ 2,935,676
Net realized gain on securities and foreign currency transactions . . . . . . . . . . . 7,822,417 1,612,508
Net unrealized appreciation of securities and translation of foreign currencies
during the year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,529,705 4,179,750
----------------------------
Increase in net assets resulting from operations . . . . . . . . . . . . . . . . . 21,733,324 8,727,934
----------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,224,568) (2,923,253)
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,471,011) (1,262,696)
----------------------------
Decrease in net assets resulting from distributions to shareholders . . . . . . . (7,695,579) (4,185,949)
----------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . . . . 67,168,258 70,844,488
Proceeds from capital stock issued for distributions reinvested . . . . . . . . . . . . 7,695,579 4,185,949
----------------------------
74,863,837 75,030,437
Cost of capital stock repurchased . . . . . . . . . . . . . . . . . . . . . . . . . . . (91,733,125) (45,664,455)
----------------------------
Increase (decrease) in net assets resulting from capital stock transactions . . . (16,869,288) 29,365,982
----------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . (2,831,543) 33,907,967
NET ASSETS:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 209,090,879 175,182,912
----------------------------
End of year (including undistributed net investment income of $262,279 and $82,048) . . $ 206,259,336 $ 209,090,879
----------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,277,440 6,923,001
Shares issued for distributions reinvested . . . . . . . . . . . . . . . . . . . . . . 721,434 410,419
Shares of capital stock repurchased . . . . . . . . . . . . . . . . . . . . . . . . . (8,576,096) (4,532,670)
----------------------------
Increase (decrease) in shares outstanding . . . . . . . . . . . . . . . . . . . . (1,577,222) 2,800,750
Shares outstanding:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,073,754 17,273,004
----------------------------
End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,496,532 20,073,754
----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<PAGE> 48
GROWTH FUND MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 94.61%
ADVERTISING - 1.99%
175,000 ADVO, Inc. . . . . . . . . . . . . . $ 1,903,125
85,000 * Catalina Marketing Corp. . . . . . . 6,587,500
--------------
8,490,625
--------------
APPAREL & PRODUCTS - 1.29%
100,000 * Tommy Hilfiger Corp. . . . . . . . . 5,500,000
--------------
AUTO - REPLACEMENT PARTS - 0.33%
40,000 * AutoZone, Inc. . . . . . . . . . . . 1,405,000
--------------
BANKS - REGIONAL - 1.23%
150,000 Norwest Corp. . . . . . . . . . . . . 5,231,250
--------------
BROADCASTING - 4.63%
100,000 Comcast Corp. Class A . . . . . . . . 1,737,500
250,000 Comcast Corp. Class A Special . . . . 4,343,750
50,000 * Cox Communications, Inc. Class A . . 1,125,000
236,250 Gaylord Entertainment Co. Class A . . 6,172,031
150,000 * Viacom Inc. Class B . . . . . . . . . 6,356,250
--------------
19,734,531
--------------
CHEMICAL - MISCELLANEOUS - 0.53%
107,800 * Airgas, Inc. . . . . . . . . . . . . 2,250,325
--------------
CONSUMER FINANCE - 1.15%
50,000 ADVANTA Corp. . . . . . . . . . . . . 2,600,000
185,000 Mercury Finance Co. . . . . . . . . . 2,312,500
--------------
4,912,500
--------------
ENTERTAINMENT - 0.93%
65,000 Walt Disney Co. . . . . . . . . . . . 3,948,750
--------------
FINANCE COMPANIES - 3.65%
18,000 * Associates First Capital Corp. . . . 666,000
175,000 Green Tree Financial Corp. . . . . . 5,731,250
75,000 Household International, Inc. . . . . 5,193,750
150,000 Money Store Inc. . . . . . . . . . . 3,937,500
--------------
15,528,500
--------------
GOVERNMENT SPONSORED - 2.26%
70,000 Federal Home Loan Mortgage Corp. . . 5,783,750
125,000 Federal National Mortgage
Association . . . . . . . . . . . 3,859,375
--------------
9,643,125
--------------
HEALTHCARE - 10.97%
220,000 * Apria Healthcare Group, Inc. . . . . 6,435,000
110,000 Cardinal Health, Inc. . . . . . . . . 7,026,250
30,000 * Oxford Health Plans, Inc. . . . . . . 1,417,500
75,000 * PacifiCare Health System, Inc.
Class B . . . . . . . . . . . . . 6,206,250
150,000 * Patterson Dental Co. . . . . . . . . 4,837,500
275,000 * Quorum Health Group Inc. . . . . . . 7,046,875
250,000 United HealthCare Corp. . . . . . . . 13,718,750
--------------
46,688,125
--------------
HOSPITAL MANAGEMENT - 2.89%
135,000 Columbia/HCA Healthcare Corp. . . . . $ 7,273,125
159,600 * Vencor, Inc. . . . . . . . . . . . . 5,047,350
--------------
12,320,475
--------------
INFORMATION PROCESSING - 5.37%
27,700 * America Online, Inc. . . . . . . . . 1,565,050
125,000 * BISYS Group, Inc. . . . . . . . . . . 4,593,750
82,500 * Ceridian Corp. . . . . . . . . . . . 4,362,187
75,000 First Data Corp. . . . . . . . . . . 5,981,250
168,000 * SunGard Data Systems, Inc. . . . . . 6,342,000
--------------
22,844,237
--------------
INSURANCE - MISCELLANEOUS - 6.65%
175,000 Ace Limited . . . . . . . . . . . . . 8,575,000
125,000 MGIC Investment Corp. . . . . . . . . 7,343,750
150,000 PMI Group Inc. . . . . . . . . . . . 6,487,500
100,000 UNUM Corp. . . . . . . . . . . . . . 5,900,000
--------------
28,306,250
--------------
LODGING - 3.85%
187,000 * HFS Inc. . . . . . . . . . . . . . . 11,664,125
150,000 La Quinta Inns, Inc. . . . . . . . . 4,725,000
--------------
16,389,125
--------------
MERCHANDISE - DRUG - 3.37%
225,000 * Eckerd Corp. . . . . . . . . . . . . 5,118,750
290,000 * Revco D.S., Inc. . . . . . . . . . . 6,887,500
80,000 Rite Aid Corp. . . . . . . . . . . . 2,350,000
--------------
14,356,250
--------------
MERCHANDISE - SPECIALTY - 10.48%
200,000 Circuit City Stores, Inc. . . . . . . 6,525,000
222,900 * Cole National Corp. Class A . . . . . 4,513,725
184,700 * Corporate Express, Inc. . . . . . . . 7,757,400
500,000 * General Nutrition Companies, Inc. . . 7,750,000
61,800 * Global DirectMail Corp. . . . . . . . 2,773,275
125,000 Home Depot, Inc. . . . . . . . . . . 6,390,625
125,000 * Kohl's Corp. . . . . . . . . . . . . 4,140,625
110,000 * Micro Warehouse, Inc. . . . . . . . . 4,290,000
10,400 * PetSmart, Inc. . . . . . . . . . . . 462,800
--------------
44,603,450
--------------
MERCHANDISING - MASS - 1.53%
325,000 * Price/Costco, Inc. . . . . . . . . . 6,500,000
--------------
MISCELLANEOUS - 8.95%
625,000 * ADT Ltd. . . . . . . . . . . . . . . 12,031,250
250,000 * CUC International Inc. . . . . . . . 9,250,000
275,000 Olsten Corp. . . . . . . . . . . . . 8,456,250
150,000 Service Corp. International . . . . . 8,381,250
--------------
38,118,750
--------------
</TABLE>
46
<PAGE> 49
GROWTH FUND -- CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
OIL - SERVICES - 5.24%
110,000 * BJ Services Co. . . . . . . . . . . . $ 3,712,500
105,000 Camco International, Inc. . . . . . . 3,451,875
70,000 Schlumberger Ltd . . . . . . . . . . 5,836,250
150,000 * Smith International, Inc. . . . . . . 4,725,000
75,000 * Western Atlas Inc. . . . . . . . . . 4,593,750
--------------
22,319,375
--------------
PAPER/FOREST PRODUCTS - 1.83%
125,000 Alco Standard Corp. . . . . . . . . . 7,812,500
--------------
POLLUTION CONTROL - 4.23%
85,200 * Republic Industries Inc. . . . . . . 4,430,400
40,000 * Republic Industries Inc. (Restricted) 1,996,800
110,000 * Sanifill, Inc. . . . . . . . . . . . 4,936,250
225,000 * USA Waste Services, Inc. . . . . . . 6,637,500
--------------
18,000,950
--------------
PUBLISHING/PRINTING - 1.24%
85,000 * Scholastic Corp. . . . . . . . . . . 5,291,250
--------------
RESTAURANTS - 2.78%
275,000 * Boston Chicken, Inc. . . . . . . . . 8,971,875
43,100 * Lone Star Steakhouse & Saloon, Inc. . 1,740,163
30,000 * Outback Steakhouse Inc. . . . . . . . 1,136,250
--------------
11,848,288
--------------
SECURITIES RELATED - 2.07%
150,000 Franklin Resources, Inc. . . . . . . 8,793,750
--------------
TELECOMMUNICATIONS - 5.17%
200,000 * Airtouch Communications, Inc. . . . . 6,375,000
291,900 * Paging Network, Inc. . . . . . . . . 6,567,750
40,000 * PanAmSat Corp. . . . . . . . . . . . 1,130,000
200,000 Vodafone Group plc - ADR . . . . . . 7,925,000
--------------
21,997,750
--------------
TOTAL COMMON STOCKS
(Cost $328,224,987) . . . . . . . . . 402,835,131
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT TERM
COMMERCIAL PAPER - 4.78%
CONSUMER FINANCE - 2.35%
$1,991,000 Beneficial Corp., 5.24% due 6/3/96 . $ 1,990,420
8,000,000 Commercial Credit Corp.,
5.16% due 6/3/96 . . . . . . . . . 7,997,707
--------------
9,988,127
--------------
FINANCE COMPANIES - 1.36%
5,804,000 Ford Motor Credit Co.,
5.27% due 6/4/96 . . . . . . . . . 5,801,450
--------------
SECURITIES RELATED - 1.07%
4,555,000 Merrill Lynch & Co., Inc.,
5.35% due 6/4/96 . . . . . . . . . 4,552,970
--------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $20,342,547) . . . . . . . . . 20,342,547
--------------
TOTAL INVESTMENTS
(Cost $348,567,534) - 99.39% . . . . 423,177,678
Other assets and liabilities,
net - 0.61% . . . . . . . . . . . 2,609,389
--------------
NET ASSETS (equivalent
to $16.49 per share on
25,825,647 shares
outstanding) - 100% . . . . . . . $ 425,787,067
--------------
</TABLE>
* Non-income producing
<TABLE>
<S> <C>
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
25,825,647 shares outstanding . . . . . . . . . . $ 258,256
Additional paid in capital . . . . . . . . . . . . 341,228,199
Undistributed net realized gain on securities . . . 9,436,450
Undistributed net investment income . . . . . . . . 254,018
Unrealized appreciation of securities . . . . . . . 74,610,144
--------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING . . . . . . . . . . . . . . . . . $ 425,787,067
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<PAGE> 50
GROWTH FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,643,749
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,468,131
-------------
Total investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,111,880
-------------
EXPENSES:
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,871,756
Custodian and accounting services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84,200
Directors' fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,634
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,880
-------------
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,986,470
-------------
NET INVESTMENT INCOME . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,125,410
-------------
REALIZED AND UNREALIZED GAINON SECURITIES:
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,920,523
Net unrealized appreciation of securities during the year . . . . . . . . . . . . . . . . . . . . . . 65,916,187
-------------
Net realized and unrealized gain on securities during the year . . . . . . . . . . . . . . . . . 78,836,710
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 80,962,120
--------------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1996 1995
----------------------------
<S> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,125,410 $ 175,040
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,920,523 273,762
Net unrealized appreciation of securities during the year . . . . . . . . . . . . . . . 65,916,187 8,820,861
----------------------------
Increase in net assets resulting from operations . . . . . . . . . . . . . . . . . 80,962,120 9,269,663
----------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,871,667) (175,491)
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,757,835) -
----------------------------
Decrease in net assets resulting from distributions to shareholders . . . . . . . (5,629,502) (175,491)
----------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . . . . 258,993,562 81,516,869
Proceeds from capital stock issued for distributions reinvested . . . . . . . . . . . . 5,629,502 175,491
----------------------------
264,623,064 81,692,360
Cost of capital stock repurchased . . . . . . . . . . . . . . . . . . . . . . . . . . . (14,782,740) (57,829)
----------------------------
Increase in net assets resulting from capital stock transactions . . . . . . . . . 249,840,324 81,634,531
----------------------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 325,172,942 90,728,703
NET ASSETS:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100,614,125 9,885,422
----------------------------
End of year (including undistributed net investment income of $254,018 and $275) . . . $ 425,787,067 $ 100,614,125
----------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,658,112 7,787,173
Shares issued for distributions reinvested . . . . . . . . . . . . . . . . . . . . . . 382,244 16,615
Shares of capital stock repurchased . . . . . . . . . . . . . . . . . . . . . . . . . (1,014,547) (5,125)
----------------------------
Increase in shares outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . 17,025,809 7,798,663
Shares outstanding:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,799,838 1,001,175
----------------------------
End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,825,647 8,799,838
----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<PAGE> 51
GROWTH & INCOME FUND May 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 87.69%
ADVERTISING - 1.15%
30,000 Omnicom Group, Inc. . . . . . . . . . . . . . $ 1,308,750
---------------
AEROSPACE/DEFENSE - 3.71%
6,700 Logicon, Inc. . . . . . . . . . . . . . . . . 194,300
10,600 * Loral Space & Communications Limited . . . . 169,600
17,600 McDonnell Douglas Corp. . . . . . . . . . . . 1,777,600
13,000 * SCI Systems, Inc. . . . . . . . . . . . . . . 585,000
8,000 Sundstrand Corp. . . . . . . . . . . . . . . 282,000
11,000 United Technologies Corp. . . . . . . . . . . 1,203,125
---------------
4,211,625
---------------
APPAREL & PRODUCTS - 1.35%
39,000 Ross Stores, Inc. . . . . . . . . . . . . . . 1,530,750
---------------
AUTO - ORIGINAL EQUIPMENT - 1.08%
29,600 Danaher Corp. . . . . . . . . . . . . . . . . 1,228,400
---------------
AUTO - OTHER - 0.84%
20,000 Harley-Davidson, Inc. . . . . . . . . . . . . 957,500
---------------
BANKS - OTHER - 0.80%
12,000 BankAmerica Corp. . . . . . . . . . . . . . . 903,000
---------------
BANKS - REGIONAL - 0.43%
7,000 Star Banc Corp. . . . . . . . . . . . . . . . 486,500
---------------
BEVERAGE - BREWERS/
DISTRIBUTORS - 0.46%
17,500 * Robert Mondavi Corp. Class A . . . . . . . . 520,625
---------------
BEVERAGE - SOFT DRINKS - 1.70%
42,000 Coca-Cola Co. . . . . . . . . . . . . . . . . 1,932,000
---------------
BROADCASTING - 1.53%
17,000 * Evergreen Media Corp. . . . . . . . . . . . . 680,000
9,000 * Heritage Media Corp. Class A . . . . . . . . 357,750
16,464 * Viacom Inc. Class B . . . . . . . . . . . . . 697,662
---------------
1,735,412
---------------
BUILDING MATERIALS - 0.33%
6,000 Texas Industries, Inc. . . . . . . . . . . . 375,750
---------------
CHEMICAL - MAJOR - 1.58%
26,000 Goodrich (B.F.) Co. . . . . . . . . . . . . . 1,030,250
13,400 Hercules Inc. . . . . . . . . . . . . . . . . 760,450
---------------
1,790,700
---------------
CHEMICAL - MISCELLANEOUS - 2.67%
20,000 * Airgas, Inc. . . . . . . . . . . . . . . . . 417,500
22,000 Millipore Corp. . . . . . . . . . . . . . . . 965,250
20,000 Praxair, Inc. . . . . . . . . . . . . . . . . 812,500
15,000 Sigma Aldrich Corp. . . . . . . . . . . . . . 840,000
---------------
3,035,250
---------------
CONGLOMERATES - 0.76%
2,500 ITT Inds, Inc. . . . . . . . . . . . . . . . $ 68,438
5,200 Loews Corp. . . . . . . . . . . . . . . . . . 414,700
7,000 Tenneco Inc. . . . . . . . . . . . . . . . . 376,250
---------------
859,388
---------------
CONTAINERS - PAPER - 0.47%
15,000 * Sealed Air Corp. . . . . . . . . . . . . . . 532,500
---------------
DRUGS - 2.22%
27,000 * ALZA Corp. . . . . . . . . . . . . . . . . . 769,500
24,800 Pfizer Inc. . . . . . . . . . . . . . . . . . 1,754,600
---------------
2,524,100
---------------
ELECTRONIC INSTRUMENTS - 1.87%
4,200 * Dionex Corp. . . . . . . . . . . . . . . . . 154,350
9,600 * Dynatech Corp. . . . . . . . . . . . . . . . 334,800
8,700 Perkin-Elmer Corp. . . . . . . . . . . . . . 461,100
27,000 * Symbol Technologies, Inc. . . . . . . . . . . 1,167,750
---------------
2,118,000
---------------
ENTERTAINMENT - 0.41%
3,500 * GTECH Holdings Corp. . . . . . . . . . . . . 105,000
10,800 Harrah's Entertainment, Inc. . . . . . . . . 363,150
---------------
468,150
---------------
FERTILIZERS - 0.89%
18,200 IMC Global Inc. . . . . . . . . . . . . . . . 666,575
25,100 Terra Industries Inc. . . . . . . . . . . . . 338,850
---------------
1,005,425
---------------
FINANCE COMPANIES - 1.74%
15,000 Green Tree Financial Corp. . . . . . . . . . 491,250
4,700 Household International, Inc. . . . . . . . . 325,475
14,250 Money Store Inc. . . . . . . . . . . . . . . 374,062
14,000 SunAmerica, Inc. . . . . . . . . . . . . . . 784,000
---------------
1,974,787
---------------
FOOTWEAR - 0.79%
8,900 NIKE Inc. Class B . . . . . . . . . . . . . . 893,337
---------------
FREIGHT - 0.03%
1,500 Stolt Nielsen S A . . . . . . . . . . . . . . 30,188
---------------
HARDWARE & TOOLS - 0.87%
24,000 Black & Decker Corp. . . . . . . . . . . . . 987,000
---------------
HEALTHCARE - 3.50%
21,800 Cardinal Health, Inc. . . . . . . . . . . . . 1,392,475
12,000 * Healthcare COMPARE Corp. . . . . . . . . . . 580,500
22,162 * HealthSouth Corp. . . . . . . . . . . . . . . 775,670
22,000 Omnicare, Inc. . . . . . . . . . . . . . . . 1,226,500
---------------
3,975,145
---------------
HOME BUILDERS - 0.51%
30,000 Clayton Homes, Inc. . . . . . . . . . . . . . 577,500
---------------
</TABLE>
49
<PAGE> 52
GROWTH & INCOME FUND - CONTINUED May 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
HOSPITAL SUPPLIES - 4.16%
20,000 * Advanced Technology Laboratories, Inc. . . . $ 705,000
13,100 Becton, Dickinson and Co. . . . . . . . . . . 1,113,500
17,000 Johnson & Johnson . . . . . . . . . . . . . . 1,655,375
11,856 * Nellcor Puritan Bennett Inc. . . . . . . . . 646,152
16,000 * St. Jude Medical, Inc. . . . . . . . . . . . 608,000
---------------
4,728,027
---------------
INFORMATION PROCESSING - 12.40%
15,000 * Adaptec, Inc. . . . . . . . . . . . . . . . . 898,125
29,000 * BMC Software, Inc. . . . . . . . . . . . . . 1,827,000
20,000 * Ceridian Corp. . . . . . . . . . . . . . . . 1,057,500
32,000 * Cisco Systems, Inc. . . . . . . . . . . . . . 1,752,000
17,350 Computer Associates International, Inc. . . 1,262,212
8,000 Danka Business Systems - ADR . . . . . . . . 396,000
12,000 First Data Corp. . . . . . . . . . . . . . . 957,000
20,000 * Gateway 2000, Inc. . . . . . . . . . . . . . 757,500
9,600 HBO & Co. . . . . . . . . . . . . . . . . . . 1,198,800
7,000 Hewlett-Packard Co. . . . . . . . . . . . . . 747,250
30,000 Paychex Inc. . . . . . . . . . . . . . . . . 1,320,000
22,000 Reynolds and Reynolds Co. Class A . . . . . . 1,097,250
10,000 * Sterling Software, Inc. . . . . . . . . . . . 805,000
---------------
14,075,637
---------------
INSURANCE - CASUALTY - 0.56%
38,200 * 20th Century Industries . . . . . . . . . . . 630,300
---------------
INSURANCE - MULTILINE - 2.21%
12,000 Allstate Corp. . . . . . . . . . . . . . . . 507,000
8,200 American Bankers Insurance Group, Inc. . . . 317,750
4,000 * CNA Financial Corp. . . . . . . . . . . . . . 400,000
30,900 Travelers Group, Inc. . . . . . . . . . . . . 1,282,350
---------------
2,507,100
---------------
LEISURE TIME - 1.19%
23,700 * Mirage Resorts Inc. . . . . . . . . . . . . . 1,347,937
---------------
LODGING - 0.38%
7,000 * HFS Inc. . . . . . . . . . . . . . . . . . . 436,625
---------------
MACHINERY - INDUSTRIAL/SPECIALTY - 2.24%
14,900 Dover Corp. . . . . . . . . . . . . . . . . . 707,750
24,000 IDEX Corp. . . . . . . . . . . . . . . . . . 912,000
6,600 Pall Corp. . . . . . . . . . . . . . . . . . 176,550
18,400 Parker Hannifin Corp. . . . . . . . . . . . . 749,800
---------------
2,546,100
---------------
MEDICAL TECHNOLOGY - 0.78%
5,500 * Bio-Rad Laboratories, Inc. Class A . . . . . 283,250
8,000 * Quintiles Transnational Corp. . . . . . . . . 608,000
---------------
891,250
---------------
MERCHANDISE - SPECIALTY - 2.86%
21,900 * Consolidated Stores Corp. . . . . . . . . . . $ 829,463
21,875 Dollar General Corp. . . . . . . . . . . . . 607,031
10,000 * Micro Warehouse, Inc. . . . . . . . . . . . . 390,000
60,375 * Staples, Inc. . . . . . . . . . . . . . . . . 1,207,500
8,000 * Waban Inc. . . . . . . . . . . . . . . . . . 214,000
---------------
3,247,994
---------------
MERCHANDISING - FOOD - 2.09%
14,500 * Kroger Co. . . . . . . . . . . . . . . . . . 569,125
53,600 * Safeway Inc. . . . . . . . . . . . . . . . . 1,809,000
---------------
2,378,125
---------------
METALS - MISCELLANEOUS - 0.99%
8,800 * Oregon Metallurgical Corp. . . . . . . . . . 272,800
20,000 Precision Castparts Corp. . . . . . . . . . . 855,000
---------------
1,127,800
---------------
MISCELLANEOUS - 2.29%
48,400 Equifax Inc. . . . . . . . . . . . . . . . . 1,197,900
19,000 Manpower Inc. . . . . . . . . . . . . . . . . 731,500
12,000 * Robert Half International Inc. . . . . . . . 673,500
---------------
2,602,900
---------------
MOBILE HOMES - 1.30%
30,400 Oakwood Homes Corp. . . . . . . . . . . . . . 1,474,400
---------------
NATURAL GAS - DIVERSIFIED - 0.48%
17,000 PanEnergy Corp. . . . . . . . . . . . . . . . 546,125
---------------
OIL - INTEGRATED DOMESTIC - 1.20%
13,600 Occidental Petroleum Corp. . . . . . . . . . 351,900
30,000 * Oryx Energy Co. . . . . . . . . . . . . . . . 487,500
8,000 Phillips Petroleum Co. . . . . . . . . . . . 332,000
9,000 USX-Marathon Group . . . . . . . . . . . . . 196,875
---------------
1,368,275
---------------
OIL - INTEGRATED INTERNATIONAL - 0.67%
5,190 British Petroleum Co. plc - ADR . . . . . . . 546,896
1,900 Mobil Corp. . . . . . . . . . . . . . . . . . 214,463
---------------
761,359
---------------
OIL - SERVICES - 4.58%
40,000 Baker Hughes Inc. . . . . . . . . . . . . . . 1,255,000
7,000 * BJ Services Co. . . . . . . . . . . . . . . . 236,250
18,400 Halliburton Co. . . . . . . . . . . . . . . . 1,023,500
40,000 * Rowan Companies, Inc. . . . . . . . . . . . . 605,000
24,000 * Smith International, Inc. . . . . . . . . . . 756,000
25,000 Sonat Offshore Drilling Co. . . . . . . . . . 1,325,000
---------------
5,200,750
---------------
OIL/GAS PRODUCERS - 2.39%
17,000 Helmerich & Payne, Inc. . . . . . . . . . . . 616,250
39,000 Louisiana Land & Exploration Co. . . . . . . 2,101,125
---------------
2,717,375
---------------
</TABLE>
50
<PAGE> 53
GROWTH & INCOME FUND - CONTINUED May 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
PAPER/FOREST PRODUCTS - 0.75%
15,000 Avery Dennison Corp. . . . . . . . . . . . . $ 855,000
---------------
POLLUTION CONTROL - 0.99%
19,000 * Sanifill, Inc. . . . . . . . . . . . . . . . 852,625
5,000 * United Waste Systems, Inc. . . . . . . . . . 275,625
---------------
1,128,250
---------------
PUBLISHING - NEWS - 0.80%
18,900 New York Times Co. Class A . . . . . . . . . 621,337
4,100 Reuters Holdings Plc - ADR . . . . . . . . . 285,463
---------------
906,800
---------------
RESTAURANTS - 0.27%
10,900 Applebee's International, Inc. . . . . . . . 309,288
---------------
SECURITIES RELATED - 0.43%
10,600 American Express Co. . . . . . . . . . . . . 484,950
---------------
SEMICONDUCTORS - 0.41%
15,000 * LSI Logic Corp. . . . . . . . . . . . . . . . 466,875
---------------
TELECOMMUNICATIONS - 6.16%
16,000 * ADC Telecommunications, Inc. . . . . . . . . 736,000
20,475 * Andrew Corp. . . . . . . . . . . . . . . . . 1,110,769
18,000 * Inter-Tel, Inc. . . . . . . . . . . . . . . . 501,750
40,000 * Newbridge Networks Corp. . . . . . . . . . . 2,845,000
15,000 * Tellabs, Inc. . . . . . . . . . . . . . . . . 967,500
17,000 * WorldCom, Inc. . . . . . . . . . . . . . . . 830,875
---------------
6,991,894
---------------
TOBACCO - 1.23%
14,000 Philip Morris Cos Inc. . . . . . . . . . . . 1,391,250
---------------
UTILITIES - COMMUNICATION - 1.00%
8,300 Century Telephone Enterprises, Inc. . . . . . 269,750
16,300 Cincinnati Bell, Inc. . . . . . . . . . . . . 865,937
---------------
1,135,687
---------------
UTILITIES - ELECTRIC - 0.53%
17,000 * AES Corp. . . . . . . . . . . . . . . . . . . 471,750
4,800 Illinova Corp. . . . . . . . . . . . . . . . 126,000
---------------
597,750
---------------
UTILITIES - GAS, PIPELINE - 0.66%
15,000 Williams Companies, Inc. . . . . . . . . . . 753,750
---------------
TOTAL COMMON STOCKS
(Cost $78,147,943) . . . . . . . . . . . . . 99,571,355
---------------
PAR
VALUE
- -----------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 10.49%
CONSUMER FINANCE - 5.72%
$ 2,992,000 Beneficial Corp.,
5.26% due 6/4/96 . . . . . . . . . . . . . . $ 2,990,688
3,500,000 Commercial Credit Corp.,
5.16% due 6/3/96 . . . . . . . . . . . . . . 3,498,997
---------------
6,489,685
---------------
FINANCE COMPANIES - 0.37%
423,000 Ford Motor Credit Co.,
5.30% due 6/5/96 . . . . . . . . . . . . . . . 422,751
---------------
SECURITIES RELATED - 4.40%
5,000,000 Merrill Lynch & Co., Inc.,
5.35% due 6/4/96 . . . . . . . . . . . . . . . 4,997,771
---------------
TOTAL CORPORATE SHORT
TERM COMMERCIAL PAPER
(Cost $11,910,207) . . . . . . . . . . . . . . 11,910,207
---------------
TOTAL INVESTMENTS
(Cost $90,058,150) - 98.18% . . . . . . . . . . 111,481,562
Other assets and liabilities, net - 1.82% . . 2,064,717
---------------
NET ASSETS (equivalent to $14.78 per share on
7,684,624 shares outstanding) - 100% . . . . . $ 113,546,279
===============
</TABLE>
* Non-income producing
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
7,684,624 shares outstanding . . . . . . . . . . . . . . . . . $ 76,846
Additional paid in capital . . . . . . . . . . . . . . . . . . . 88,838,818
Accumulated net realized gain on securities . . . . . . . . . . . 3,121,927
Undistributed net investment income . . . . . . . . . . . . . . . 85,276
Unrealized appreciation of securities . . . . . . . . . . . . . . 21,423,412
---------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING . . . . . . . . . . . $ 113,546,279
===============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<PAGE> 54
GROWTH & INCOME FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 647,133
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 422,436
-------------
Total investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,069,569
-------------
EXPENSES:
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 557,628
Custodian and accounting fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,170
Directors' fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,358
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,080
-------------
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 594,236
-------------
NET INVESTMENT INCOME . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 475,333
-------------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,151,221
Net unrealized appreciation on securities during the year . . . . . . . . . . . . . . . . . . . . . 17,414,828
Net realized and unrealized gain on securities during the year . . . . . . . . . . . . . . . 21,566,049
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . $ 22,041,382
-------------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1996 1995
---------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 475,333 $ 202,114
Net realized gain (loss) on securities . . . . . . . . . . . . . . . . . . . 4,151,221 (401,877)
Net unrealized appreciation of securities during the year . . . . . . . . . . 17,414,828 4,070,674
---------------------------------
Increase in net assets resulting from operations . . . . . . . . . . . . . 22,041,382 3,870,911
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . (392,678) (202,618)
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . (556,363) --
---------------------------------
Decrease in net assets resulting from distributions to shareholders . . . (949,041) (202,618)
---------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold . . . . . . . . . . . . . . . . . . . . . . 62,680,575 29,191,427
Proceeds from capital stock issued for distributions reinvested . . . . . . . 949,041 202,618
---------------------------------
63,629,616 29,394,045
Cost of capital stock repurchased . . . . . . . . . . . . . . . . . . . . . . (14,042,186) (85,788)
---------------------------------
Increase in net assets resulting from capital stock transactions . . . . . 49,587,430 29,308,257
---------------------------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . 70,679,771 32,976,550
NET ASSETS:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42,866,508 9,889,958
---------------------------------
End of year (including undistributed net investment
income of $85,276 and $2,621) . . . . . . . . . . . . . . . . . . . . . . . $ 113,546,279 $ 42,866,508
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . 4,772,881 2,853,051
Shares issued for distributions reinvested . . . . . . . . . . . . . . . . . 73,503 19,591
Shares of capital stock repurchased . . . . . . . . . . . . . . . . . . . . (1,028,347) (8,074)
---------------------------------
Increase in shares outstanding . . . . . . . . . . . . . . . . . . . . . . 3,818,037 2,864,568
Shares outstanding:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,866,587 1,002,019
---------------------------------
End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,684,624 3,866,587
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<PAGE> 55
SCIENCE & TECHNOLOGY FUND May 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 91.86%
AEROSPACE/DEFENSE - 1.81%
250,000 OEA, Inc. . . . . . . . . . . . . . . . . . . $ 10,250,000
---------------
DRUGS - 6.48%
275,000 * ALZA Corp. . . . . . . . . . . . . . . . . . 7,837,500
150,000 * Amgen Inc. . . . . . . . . . . . . . . . . . 8,925,000
170,000 Astra AB . . . . . . . . . . . . . . . . . . 7,679,770
125,000 * Biogen, Inc. . . . . . . . . . . . . . . . . 7,562,500
250,000 Mylan Laboratories Inc. . . . . . . . . . . . 4,750,000
---------------
36,754,770
---------------
ELECTRICAL EQUIPMENT - 1.88%
200,000 * Quantum Corp. . . . . . . . . . . . . . . . . 4,775,000
100,000 * Seagate Technology . . . . . . . . . . . . . 5,875,000
---------------
10,650,000
---------------
HEALTHCARE - 0.77%
150,000 * Apria Healthcare Group, Inc. . . . . . . . . 4,387,500
---------------
HOSPITAL SUPPLIES - 1.12%
174,900 * CardioThoracic Systems, Inc. . . . . . . . . 3,804,075
75,000 United States Surgical Corp. . . . . . . . . 2,568,750
---------------
6,372,825
---------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 22.63%
350,000 Adobe Systems Inc. . . . . . . . . . . . . . 12,993,750
250,000 * BMC Software, Inc. . . . . . . . . . . . . . 15,750,000
180,000 * C ATS Software Inc. . . . . . . . . . . . . . 1,192,500
100,000 * Cadence Design Systems, Inc. . . . . . . . . 5,675,000
143,000 * Cerner Corp. . . . . . . . . . . . . . . . . 3,575,000
200,000 * Epic Design Technology, Inc. . . . . . . . . 5,900,000
250,000 * Informix Corp. . . . . . . . . . . . . . . . 5,687,500
225,000 Intel Corp. . . . . . . . . . . . . . . . . . 16,987,500
30,000 * Medic Computer Systems, Inc. . . . . . . . . 2,790,000
85,000 * Microsoft Corp. . . . . . . . . . . . . . . . 10,093,750
300,000 * Oracle Corp. . . . . . . . . . . . . . . . . 9,937,500
80,000 * Peoplesoft Inc. . . . . . . . . . . . . . . . 5,660,000
500,000 * PLATINUM technology, Inc. . . . . . . . . . . 9,093,750
267,400 * Sybase Inc. . . . . . . . . . . . . . . . . . 6,183,625
250,000 * Synopsys Inc. . . . . . . . . . . . . . . . . 11,187,500
50,000 * Verity Inc. . . . . . . . . . . . . . . . . . 1,962,500
65,000 * Visio Corp. . . . . . . . . . . . . . . . . . 2,656,875
71,200 * Xcellenet Inc. . . . . . . . . . . . . . . . 1,014,600
---------------
128,341,350
---------------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 4.44%
100,000 Hewlett-Packard Co. . . . . . . . . . . . . . 10,675,000
300,000 * Silicon Graphics, Inc. . . . . . . . . . . . 8,250,000
100,000 * Sun Microsystems, Inc. . . . . . . . . . . . 6,262,500
---------------
25,187,500
---------------
INFORMATION PROCESSING -
COMPUTER SERVICES - 8.65%
90,000 * America Online, Inc. . . . . . . . . . . . . 5,085,000
143,300 Automatic Data Processing, Inc. . . . . . . . 5,499,138
180,000 First Data Corp. . . . . . . . . . . . . . . 14,355,000
120,000 National Data Corp. . . . . . . . . . . . . . 4,530,000
234,400 * Premenos Technology Corp. . . . . . . . . . . 4,688,000
60,000 * Security Dynamics Technologies, Inc. . . . . 5,325,000
7,000 SS & C Technologies, Inc. . . . . . . . . . . 138,250
250,000 * SunGard Data Systems, Inc. . . . . . . . . . 9,437,500
---------------
49,057,888
---------------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 5.89%
180,000 * Broderbund Software Inc. . . . . . . . . . . 7,582,500
200,000 * Electronic Arts . . . . . . . . . . . . . . . 6,325,000
375,000 * Expert Software Inc. . . . . . . . . . . . . 5,062,500
150,000 * Intuit . . . . . . . . . . . . . . . . . . . 7,800,000
100,000 * Macromedia, Inc. . . . . . . . . . . . . . . 4,262,500
100,000 * Maxis, Inc. . . . . . . . . . . . . . . . . . 2,350,000
---------------
33,382,500
---------------
INFORMATION PROCESSING -
NETWORKING - 12.22%
120,000 * Ascend Communications Inc. . . . . . . . . . 8,025,000
500,000 * Bay Networks, Inc. . . . . . . . . . . . . . 14,500,000
95,000 * Cascade Communications Corp. . . . . . . . . 5,355,625
200,000 * Cisco Systems, Inc. . . . . . . . . . . . . . 10,950,000
125,000 * FORE Systems, Inc. . . . . . . . . . . . . . 10,125,000
75,000 * Shiva Corp. . . . . . . . . . . . . . . . . . 5,606,250
300,000 * 3Com Corp. . . . . . . . . . . . . . . . . . 14,775,000
---------------
69,336,875
---------------
SECURITIES RELATED - 0.35%
125,000 * Investment Technology Group Inc. . . . . . . 2,000,000
---------------
SEMICONDUCTORS - 12.25%
200,000 * Actel Corp. . . . . . . . . . . . . . . . . . 3,925,000
200,000 * Altera Corp. . . . . . . . . . . . . . . . . 9,675,000
492,700 * Analog Devices, Inc. . . . . . . . . . . . . 13,610,837
150,000 Linear Technology Corp. . . . . . . . . . . . 5,175,000
500,000 * Maxim Integrated Products, Inc. . . . . . . . 17,000,000
250,000 * Micro Linear Corp. . . . . . . . . . . . . . 2,718,750
500,000 * Xilinx, Inc. . . . . . . . . . . . . . . . . 17,375,000
---------------
69,479,587
---------------
TELECOMMUNICATIONS - 13.37%
325,000 * Airtouch Communications, Inc. . . . . . . . . 10,359,375
350,000 * Centennial Cellular Corp. Class A . . . . . . 5,950,000
100,000 * EchoStar Communications Corp. . . . . . . . 3,450,000
250,000 * Intercel, Inc. . . . . . . . . . . . . . . . 6,062,500
52,000 * Millicom International Cellular S.A. . . . . 2,502,500
350,000 * Mobile Telecommunications Technologies Corp. 5,075,000
130,000 Nokia Corp - ADR . . . . . . . . . . . . . . 5,655,000
154,000 * Omnipoint Corp. . . . . . . . . . . . . . . . 4,735,500
200,000 * PanAmSat Corp. . . . . . . . . . . . . . . . 5,650,000
450,000 Vodafone Group plc - ADR . . . . . . . . . . 17,831,250
175,000 * WorldCom, Inc. . . . . . . . . . . . . . . . 8,553,125
---------------
75,824,250
---------------
</TABLE>
53
<PAGE> 56
SCIENCE & TECHNOLOGY FUND - CONTINUED May 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
TOTAL COMMON STOCKS
(Cost $427,422,796) . . . . . . . . . . . . . $ 521,025,045
---------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 7.34%
FINANCE COMPANIES - 3.52%
$ 19,988,000 Ford Motor Credit Co.,
5.27% due 6/4/96 . . . . . . . . . . . . . . 19,979,222
---------------
SECURITIES RELATED - 3.82%
21,646,000 Merrill Lynch & Co., Inc.,
5.35% due 6/3/96 . . . . . . . . . . . . . . 21,639,566
---------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $41,618,788) . . . . . . . . . . . . . 41,618,788
---------------
TOTAL INVESTMENTS
(Cost $469,041,584) - 99.20% . . . . . . . . 562,643,833
Other assets and liabilities, net - 0.80% . 4,542,778
---------------
NET ASSETS (equivalent to $20.48 per share on
27,695,873 shares outstanding) - 100% . . . $ 567,186,611
===============
</TABLE>
* Non-income producing
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
27,695,873 shares outstanding . . . . . . . . . . . . . . . . $ 276,959
Additional paid in capital . . . . . . . . . . . . . . . . . . . 444,572,797
Undistributed net realized gain on securities . . . . . . . . . . 28,733,458
Unrealized appreciation of securities and
foreign currency translation . . . . . . . . . . . . . . . . 93,603,397
---------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING . . . . . . . . . . . . . . . . . . . . . . . . . $ 567,186,611
===============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<PAGE> 57
SCIENCE & TECHNOLOGY FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1996
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes of $47,234) . . . . . . . . . . . . . . . . . . . . . . . . $ 510,485
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,644,199
------------
Total investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,154,684
------------
EXPENSES:
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,228,500
Custodian and accounting services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 132,370
Directors' fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,861
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,044
------------
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,404,775
------------
NET INVESTMENT LOSS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (250,091)
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 59,410,161
Foreign currency transactions . . . . . . . . . . . . . . . . . . . . . . (30,175) 59,379,986
--------------
Net unrealized appreciation of securities during the year . . . . . . . . . . . . . . . . . . . . . . . 79,262,122
------------
Net realized and unrealized gain on securities during the year . . . . . . . . . . . . . . . . . . . 138,642,108
------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . $138,392,017
============
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1996 1995
---------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . $ (250,091) $ 231,664
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . 59,379,986 9,293,121
Net unrealized appreciation of securities during the year . . . . . . . . . . 79,262,122 14,512,577
---------------------------------
Increase in net assets resulting from operations . . . . . . . . . . . . . 138,392,017 24,037,362
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . (30,219) (194,344)
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . (39,016,725) (680,121)
---------------------------------
Decrease in net assets resulting from distributions to shareholders . . . (39,046,944) (874,465)
---------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold . . . . . . . . . . . . . . . . . . . . . . 310,357,765 138,322,673
Proceeds from capital stock issued for distributions reinvested . . . . . . . 39,046,944 874,465
---------------------------------
349,404,709 139,197,138
Cost of capital stock repurchased . . . . . . . . . . . . . . . . . . . . . . (48,246,211) (5,510,922)
---------------------------------
Increase in net assets resulting from capital stock transactions . . . . . 301,158,498 133,686,216
---------------------------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . 400,503,571 156,849,113
---------------------------------
NET ASSETS:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166,683,040 9,833,927
---------------------------------
End of year (including undistributed net investment income of $0 and $30,219) $ 567,186,611 $ 166,683,040
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . 16,506,873 10,904,305
Shares issued for distributions reinvested . . . . . . . . . . . . . . . . . 2,210,100 69,381
Shares of capital stock repurchased . . . . . . . . . . . . . . . . . . . . (2,571,296) (424,004)
---------------------------------
Increase in shares outstanding . . . . . . . . . . . . . . . . . . . . . . 16,145,677 10,549,682
Shares outstanding:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,550,196 1,000,514
---------------------------------
End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,695,873 11,550,196
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<PAGE> 58
SOCIAL AWARENESS FUND MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 98.62%
ADVERTISING - 0.03%
532 Interpublic Group of Companies, Inc. . . . . $ 24,672
---------------
AIRLINES - 0.46%
2,770 * AMR Corp. . . . . . . . . . . . . . . . . . . 261,419
576 Delta Air Lines, Inc. . . . . . . . . . . . . 47,736
2,208 Southwest Airlines Co. . . . . . . . . . . . 60,444
---------------
369,599
---------------
APPLIANCES/FURNISHINGS - 0.22%
3,171 Whirlpool Corp. . . . . . . . . . . . . . . . 180,351
---------------
AUTO - CARS - 1.06%
12,901 Chrysler Corp. . . . . . . . . . . . . . . . 859,529
---------------
AUTO - REPLACEMENT PARTS - 0.97%
3,887 Echlin Inc. . . . . . . . . . . . . . . . . . 133,616
6,256 Genuine Parts Co. . . . . . . . . . . . . . . 284,648
7,178 Goodyear Tire & Rubber Co. . . . . . . . . . 362,489
---------------
780,753
---------------
BANKS - NEW YORK CITY - 3.08%
5,079 Bank of New York Co., Inc. . . . . . . . . . 263,473
12,406 Chase Manhattan Corp. . . . . . . . . . . . . 868,420
10,577 CitiCorp. . . . . . . . . . . . . . . . . . . 888,468
5,395 J.P. Morgan & Co. Inc. . . . . . . . . . . . 468,691
---------------
2,489,052
---------------
BANKS - OTHER - 3.09%
1,769 Bank of Boston Corp. . . . . . . . . . . . . 88,229
11,217 BankAmerica Corp. . . . . . . . . . . . . . . 844,079
8,195 First Chicago Corp. . . . . . . . . . . . . . 357,507
7,215 First Union Corp. . . . . . . . . . . . . . . 441,017
3,878 Fleet Financial Group, Inc. . . . . . . . . . 171,117
1,906 Mellon Bank Corp. . . . . . . . . . . . . . . 108,880
2,013 Wells Fargo & Co. . . . . . . . . . . . . . . 485,133
---------------
2,495,962
---------------
BANKS - REGIONAL - 2.99%
14,198 Banc One Corp. . . . . . . . . . . . . . . . 525,326
7,284 CoreStates Financial Corp. . . . . . . . . . 286,808
5,092 KeyCorp. . . . . . . . . . . . . . . . . . . 197,315
8,628 NationsBank Corp. . . . . . . . . . . . . . . 699,946
7,128 Norwest Corp. . . . . . . . . . . . . . . . . 248,589
11,155 PNC Bank Corp. . . . . . . . . . . . . . . . 338,833
2,895 Wachovia Corp. . . . . . . . . . . . . . . . 124,123
---------------
2,420,940
---------------
BEVERAGE - BREWERS/
DISTRIBUTORS - 0.89%
6,335 Anheuser-Busch Companies, Inc. . . . . . . . 451,368
7,806 Seagram Co. Ltd . . . . . . . . . . . . . . . 270,283
---------------
721,651
---------------
BEVERAGE - SOFT DRINKS - 4.42%
52,324 Coca-Cola Co. . . . . . . . . . . . . . . . . $ 2,406,904
35,088 PepsiCo, Inc. . . . . . . . . . . . . . . . . 1,166,676
---------------
3,573,580
---------------
BROADCASTING - 0.91%
11,706 Tele-Communications, Inc. Class A . . . . . . 220,951
11,235 * U S West Media Group . . . . . . . . . . . . 212,061
7,222 * Viacom Inc. Class B . . . . . . . . . . . . . 306,032
---------------
739,044
---------------
BUILDING MATERIALS - 0.27%
574 Armstrong World Industries, Inc. . . . . . . 33,794
2,366 Lowe's Companies, Inc. . . . . . . . . . . . 81,035
3,291 Masco Corp. . . . . . . . . . . . . . . . . . 102,844
---------------
217,673
---------------
CHEMICAL - MAJOR - 1.49%
3,486 Goodrich (B.F.) Co. . . . . . . . . . . . . . 138,133
6,362 Morton International, Inc. . . . . . . . . . 241,756
8,655 PPG Industries Inc. . . . . . . . . . . . . . 447,896
3,550 Rohm and Haas Co. . . . . . . . . . . . . . . 240,512
1,783 W.R. Grace & Co. . . . . . . . . . . . . . . 132,834
---------------
1,201,131
---------------
CHEMICAL - MISCELLANEOUS - 1.36%
4,725 Air Products and Chemicals, Inc. . . . . . . 281,137
8,517 Ethyl Corp. . . . . . . . . . . . . . . . . . 88,364
3,212 Great Lakes Chemical Corp. . . . . . . . . . 207,174
2,640 Lubrizol Corp. . . . . . . . . . . . . . . . 80,190
2,460 Lyondell Petrochemical Co. . . . . . . . . . 63,653
3,454 Nalco Chemical Co. . . . . . . . . . . . . . 109,664
4,534 Praxair, Inc. . . . . . . . . . . . . . . . . 184,194
1,575 Sigma Aldrich Corp. . . . . . . . . . . . . . 88,200
---------------
1,102,576
---------------
CONGLOMERATES - 0.19%
383 Dial Corp. . . . . . . . . . . . . . . . . . 11,011
1,133 * ITT Corp. . . . . . . . . . . . . . . . . . . 69,680
638 Ogden Corp. . . . . . . . . . . . . . . . . . 12,361
1,510 Tyco International Ltd . . . . . . . . . . . 59,645
---------------
152,697
---------------
CONSUMER FINANCE - 0.07%
1,947 MBNA Corp. . . . . . . . . . . . . . . . . . 59,627
---------------
CONTAINERS - METAL/GLASS - 0.28%
4,847 Crown Cork & Seal Co., Inc. . . . . . . . . . 226,597
---------------
CONTAINERS - PAPER - 0.06%
1,057 Temple-Inland Inc. . . . . . . . . . . . . . 52,057
---------------
COSMETICS/TOILETRIES - 1.15%
1,524 Avon Products, Inc. . . . . . . . . . . . . . 140,970
11,064 Gillette Co. . . . . . . . . . . . . . . . . 654,159
2,821 International Flavors & Fragrances, Inc. . . 137,171
---------------
932,300
---------------
</TABLE>
56
<PAGE> 59
SOCIAL AWARENESS FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
DRUGS - 6.96%
15,512 American Home Products Corp. . . . . . . . . $ 829,892
2,801 * Amgen Inc. . . . . . . . . . . . . . . . . . 166,659
15,274 Bristol Myers Squibb Co. . . . . . . . . . . 1,304,018
26,147 Merck & Co., Inc. . . . . . . . . . . . . . . 1,689,750
12,601 Pfizer Inc. . . . . . . . . . . . . . . . . . 891,521
7,863 Schering-Plough Corp. . . . . . . . . . . . . 460,968
5,152 Warner-Lambert Co. . . . . . . . . . . . . . 288,512
---------------
5,631,320
---------------
ELECTRICAL EQUIPMENT - 1.92%
13,402 AMP Inc. . . . . . . . . . . . . . . . . . . 564,559
9,494 Emerson Electric Co. . . . . . . . . . . . . 812,924
3,045 Molex Inc. . . . . . . . . . . . . . . . . . 97,059
719 * Seagate Technology . . . . . . . . . . . . . 42,241
885 Thomas & Betts Corp. . . . . . . . . . . . . 34,073
---------------
1,550,856
---------------
ELECTRONIC INSTRUMENTS - 0.02%
1,079 Sensormatic Electronics Corp. . . . . . . . . 19,287
---------------
ENTERTAINMENT - 1.96%
881 Hasbro, Inc. . . . . . . . . . . . . . . . . 33,258
6,506 Mattel, Inc. . . . . . . . . . . . . . . . . 177,288
8,968 Time Warner Inc. . . . . . . . . . . . . . . 362,083
16,736 Walt Disney Co. . . . . . . . . . . . . . . . 1,016,712
---------------
1,589,341
---------------
FINANCE COMPANIES - 0.16%
1,918 Household International, Inc. . . . . . . . . 132,822
---------------
FOODS - 2.85%
9,129 Archer Daniels Midland Co. . . . . . . . . . 178,016
4,991 Campbell Soup Co. . . . . . . . . . . . . . . 321,920
6,171 ConAgra, Inc. . . . . . . . . . . . . . . . . 263,039
3,611 CPC International Inc. . . . . . . . . . . . 249,611
2,214 General Mills, Inc. . . . . . . . . . . . . . 127,028
10,769 H J Heinz Co. . . . . . . . . . . . . . . . . 358,069
5,519 Kellogg Co. . . . . . . . . . . . . . . . . . 401,507
5,085 Ralston Purina Co. . . . . . . . . . . . . . 311,456
1,729 Wm. Wrigley Jr. Co. . . . . . . . . . . . . . 90,556
---------------
2,301,202
---------------
FOOTWEAR - 0.31%
2,291 NIKE Inc. Class B . . . . . . . . . . . . . . 229,959
804 * Payless ShoeSource Inc. . . . . . . . . . . . 22,613
---------------
252,572
---------------
GOLD MINING - 0.69%
12,314 Barrick Gold Corp. . . . . . . . . . . . . . 387,891
5,844 Placer Dome Inc. . . . . . . . . . . . . . . 173,128
---------------
561,019
---------------
GOVERNMENT SPONSORED - 1.38%
2,825 Federal Home Loan Mortgage Corp. . . . . . . 233,416
28,499 Federal National Mortgage Association . . . 879,906
---------------
1,113,322
---------------
HARDWARE & TOOLS - 0.08%
1,595 Black & Decker Corp. . . . . . . . . . . . . $ 65,594
---------------
HEALTHCARE - 0.29%
1,744 U.S. Healthcare, Inc. . . . . . . . . . . . . 94,612
2,550 United HealthCare Corp. . . . . . . . . . . . 139,931
---------------
234,543
---------------
HEAVY DUTY TRUCKS/PARTS - 0.41%
6,110 Dana Corp. . . . . . . . . . . . . . . . . . 204,685
2,553 PACCAR Inc. . . . . . . . . . . . . . . . . . 125,735
---------------
330,420
---------------
HOME BUILDERS - 0.01%
556 Kaufman & Broad Home Corp. . . . . . . . . . 8,271
---------------
HOSPITAL MANAGEMENT - 0.60%
7,952 Columbia/HCA Healthcare Corp. . . . . . . . . 428,414
2,807 * Tenet Healthcare Corp. . . . . . . . . . . . 60,350
---------------
488,764
---------------
HOSPITAL SUPPLIES - 3.87%
19,740 Abbott Laboratories . . . . . . . . . . . . . 851,287
9,012 Baxter International Inc. . . . . . . . . . . 398,781
587 Becton, Dickinson and Co. . . . . . . . . . . 49,895
308 * Boston Scientific Corp. . . . . . . . . . . . 13,206
15,802 Johnson & Johnson . . . . . . . . . . . . . . 1,538,720
4,961 Medtronic, Inc. . . . . . . . . . . . . . . . 279,056
---------------
3,130,945
---------------
HOUSEHOLD PRODUCTS - 1.84%
188 Clorox Co. . . . . . . . . . . . . . . . . . 16,004
6,174 Colgate-Palmolive Co. . . . . . . . . . . . . 486,203
2,275 Premark International Inc. . . . . . . . . . 36,684
642 Rubbermaid, Inc. . . . . . . . . . . . . . . 17,976
2,275 * Tupperware Corp. . . . . . . . . . . . . . . 104,081
6,125 Unilever N V-ADR . . . . . . . . . . . . . . 826,109
---------------
1,487,057
---------------
INFORMATION PROCESSING - 10.42%
1,862 Apple Computer, Inc. . . . . . . . . . . . . 48,645
6,544 Automatic Data Processing, Inc. . . . . . . . 251,126
353 * Bay Networks, Inc. . . . . . . . . . . . . . 10,237
9,571 * Cisco Systems, Inc. . . . . . . . . . . . . . 524,012
3,676 * Compaq Computer Corp. . . . . . . . . . . . . 178,746
4,338 Computer Associates International, Inc. . . . 315,589
3,246 * Digital Equipment Corp. . . . . . . . . . . . 169,198
3,979 * EMC Corp. . . . . . . . . . . . . . . . . . . 88,035
2,399 First Data Corp. . . . . . . . . . . . . . . 191,320
10,965 Hewlett-Packard Co. . . . . . . . . . . . . . 1,170,514
16,403 Intel Corp. . . . . . . . . . . . . . . . . . 1,238,426
14,779 International Business Machines Corp. . . . 1,577,658
10,828 * Microsoft Corp. . . . . . . . . . . . . . . . 1,285,825
314 * Novell, Inc. . . . . . . . . . . . . . . . . 4,475
9,145 * Oracle Corp. . . . . . . . . . . . . . . . . 302,928
7,819 Pitney Bowes Inc. . . . . . . . . . . . . . . 388,018
501 * Silicon Graphics, Inc. . . . . . . . . . . . 13,778
</TABLE>
57
<PAGE> 60
SOCIAL AWARENESS FUND - CONTINUED MAY 31, 1996 STATEMENTS OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION PROCESSING - Continued
263 * Solectron Corp. . . . . . . . . . . . . . . . $ 11,408
2,086 * Sun Microsystems, Inc. . . . . . . . . . . . 130,636
145 * 3Com Corp. . . . . . . . . . . . . . . . . . 7,141
3,299 Xerox Corp. . . . . . . . . . . . . . . . . . 519,180
---------------
8,426,895
---------------
INSURANCE - CASUALTY - 0.11%
1,262 Chubb Corp. . . . . . . . . . . . . . . . . . 58,841
813 Safeco Corp. . . . . . . . . . . . . . . . . 27,388
---------------
86,229
---------------
INSURANCE - LIFE - 0.59%
3,955 Lincoln National Corp. . . . . . . . . . . . 185,885
3,618 Transamerica Corp. . . . . . . . . . . . . . 293,058
---------------
478,943
---------------
INSURANCE - MULTILINE - 3.09%
4,142 Aetna Life and Casualty Co. . . . . . . . . . 305,473
8,392 Allstate Corp. . . . . . . . . . . . . . . . 354,562
11,382 American International Group, Inc. . . . . . 1,072,753
1,722 CIGNA Corp. . . . . . . . . . . . . . . . . . 197,815
636 ITT Hartford Group, Inc. . . . . . . . . . . 32,913
12,957 Travelers Group, Inc. . . . . . . . . . . . . 537,715
---------------
2,501,231
---------------
LEISURE TIME - 0.08%
2,725 Brunswick Corp. . . . . . . . . . . . . . . . 60,972
---------------
MACHINERY - AGRICULTURE - 0.60%
1,830 Case Corp. . . . . . . . . . . . . . . . . . 91,729
9,422 Deere & Co. . . . . . . . . . . . . . . . . . 392,190
---------------
483,919
---------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.68%
8,413 Caterpillar Inc. . . . . . . . . . . . . . . 552,103
---------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 1.48%
7,406 Cooper Industries, Inc. . . . . . . . . . . . 315,681
396 Dover Corp. . . . . . . . . . . . . . . . . . 18,810
2,548 Illinois Tool Works Inc. . . . . . . . . . . 170,716
6,361 Ingersoll-Rand Co. . . . . . . . . . . . . . 267,957
3,162 Johnson Controls, Inc. . . . . . . . . . . . 220,549
4,066 Pall Corp. . . . . . . . . . . . . . . . . . 108,766
2,405 Timken Co. . . . . . . . . . . . . . . . . . 94,697
---------------
1,197,176
---------------
MERCHANDISE - DRUG - 0.23%
5,886 Walgreen Co. . . . . . . . . . . . . . . . . 187,616
---------------
MERCHANDISE - SPECIALTY - 0.76%
1,586 Gap, Inc. . . . . . . . . . . . . . . . . . . 53,329
8,812 Home Depot, Inc. . . . . . . . . . . . . . . 450,514
2,024 Limited, Inc. . . . . . . . . . . . . . . . . 41,998
2,261 * Toys "R" Us, Inc. . . . . . . . . . . . . . . 65,569
---------------
611,410
---------------
MERCHANDISING - DEPARTMENT - 0.33%
266 Dayton Hudson Corp. . . . . . . . . . . . . . $ 27,132
5,029 May Department Stores Co. . . . . . . . . . . 238,249
---------------
265,381
---------------
MERCHANDISING - FOOD - 0.40%
3,538 Albertsons, Inc. . . . . . . . . . . . . . . 141,078
3,009 American Stores Co. . . . . . . . . . . . . . 112,461
1,274 SYSCO Corp. . . . . . . . . . . . . . . . . . 43,475
662 Winn-Dixie Stores, Inc. . . . . . . . . . . . 22,839
---------------
319,853
---------------
MERCHANDISING - MASS - 2.80%
9,123 J.C. Penney Co., Inc. . . . . . . . . . . . . 473,256
2,696 KMart Corp. . . . . . . . . . . . . . . . . . 31,341
10,339 Sears Roebuck and Co. . . . . . . . . . . . . 525,996
47,654 Wal-Mart Stores, Inc. . . . . . . . . . . . . 1,233,047
---------------
2,263,640
---------------
METALS - ALUMINUM - 0.89%
11,039 Alcan Aluminium Ltd . . . . . . . . . . . . . 361,527
5,826 Aluminum Co. of America . . . . . . . . . . . 359,027
---------------
720,554
---------------
METALS - COPPER - 0.02%
206 Newmont Mining Corp. . . . . . . . . . . . . 12,412
---------------
METALS - MISCELLANEOUS - 0.37%
2,317 Cyprus Amax Minerals Co. . . . . . . . . . . 55,608
5,370 Freeport-McMoRan Copper & Gold Inc. Class B 178,552
1,958 Inco Limited . . . . . . . . . . . . . . . . 63,880
---------------
298,040
---------------
METALS - STEEL - 0.17%
487 Nucor Corp. . . . . . . . . . . . . . . . . . 26,785
3,460 USX-US Steel Group, Inc. . . . . . . . . . . 107,260
---------------
134,045
---------------
MISCELLANEOUS - 0.20%
4,318 Corning Inc. . . . . . . . . . . . . . . . . 165,164
---------------
NATURAL GAS - DIVERSIFIED - 0.22%
5,580 PanEnergy Corp. . . . . . . . . . . . . . . . 179,258
---------------
OIL - INTEGRATED DOMESTIC - 2.37%
5,005 Amerada Hess Corp. . . . . . . . . . . . . . 285,285
3,013 Ashland Oil, Inc. . . . . . . . . . . . . . . 128,806
5,874 Burlington Resources Inc. . . . . . . . . . . 223,212
1,478 MAPCO Inc. . . . . . . . . . . . . . . . . . 85,355
4,653 * Oryx Energy Co. . . . . . . . . . . . . . . . 75,611
488 Pennzoil Co. . . . . . . . . . . . . . . . . 21,106
14,403 Phillips Petroleum Co. . . . . . . . . . . . 597,724
5,629 Sun Co., Inc. . . . . . . . . . . . . . . . . 172,388
14,989 USX-Marathon Group . . . . . . . . . . . . . 327,884
---------------
1,917,371
---------------
</TABLE>
58
<PAGE> 61
SOCIAL AWARENESS FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
OIL - INTEGRATED
INTERNATIONAL - 2.23%
2,390 Murphy Oil Corp. . . . . . . . . . . . . . . $ 105,459
20,301 Texaco Inc. . . . . . . . . . . . . . . . . . 1,700,208
---------------
1,805,667
---------------
OIL - SERVICES - 1.47%
1,348 Baker Hughes Inc. . . . . . . . . . . . . . . 42,294
6,973 Dresser Industries, Inc. . . . . . . . . . . 203,960
3,231 Halliburton Co. . . . . . . . . . . . . . . . 179,724
1,934 McDermott International, Inc. . . . . . . . . 42,065
8,667 Schlumberger Ltd . . . . . . . . . . . . . . 722,611
---------------
1,190,654
---------------
PAPER/FOREST PRODUCTS - 1.46%
1,684 Alco Standard Corp. . . . . . . . . . . . . . 105,250
501 Avery Dennison Corp. . . . . . . . . . . . . 28,557
1,701 James River Corp. of Virginia . . . . . . . . 42,312
11,337 Kimberly-Clark Corp. . . . . . . . . . . . . 826,184
1,286 Louisiana Pacific Corp. . . . . . . . . . . . 31,668
1,225 Mead Corp. . . . . . . . . . . . . . . . . . 65,844
1,201 Potlatch Corp. . . . . . . . . . . . . . . . 49,541
535 Willamette Industries, Inc. . . . . . . . . . 32,100
---------------
1,181,456
---------------
PHOTOGRAPHY - 0.03%
597 Polaroid Corp. . . . . . . . . . . . . . . . 26,865
---------------
POLLUTION CONTROL - 1.08%
8,463 Browning-Ferris Industries, Inc. . . . . . . 258,122
14,089 Laidlaw Inc Class B . . . . . . . . . . . . . 142,651
13,416 WMX Technologies, Inc. . . . . . . . . . . . 472,914
---------------
873,687
---------------
PUBLISHING - NEWS - 0.42%
2,158 Dow Jones & Co., Inc. . . . . . . . . . . . . 84,432
3,698 Gannett Co., Inc. . . . . . . . . . . . . . . 257,935
---------------
342,367
---------------
PUBLISHING/PRINTING - 0.97%
9,906 Dun & Bradstreet Corp. . . . . . . . . . . . 632,746
116 Harcourt General, Inc. . . . . . . . . . . . 5,887
7,672 Moore Corp. Ltd . . . . . . . . . . . . . . . 142,891
---------------
781,524
---------------
RAILROAD - 1.84%
2,495 Burlington Northern Inc. . . . . . . . . . . 211,451
2,444 Conrail Inc. . . . . . . . . . . . . . . . . 171,691
3,214 CSX Corp. . . . . . . . . . . . . . . . . . . 159,093
4,182 Norfolk Southern Corp. . . . . . . . . . . . 360,698
8,312 Union Pacific Corp. . . . . . . . . . . . . . 582,879
---------------
1,485,812
---------------
RESTAURANTS - 0.99%
16,652 McDonald's Corp. . . . . . . . . . . . . . . 801,377
---------------
SAVINGS & LOAN - 0.06%
1,639 Great Western Financial Corp. . . . . . . . . $ 37,697
482 H.F. Ahmanson & Co. . . . . . . . . . . . . . 12,412
---------------
50,109
---------------
SECURITIES RELATED - 1.99%
12,859 American Express Co. . . . . . . . . . . . . 588,299
813 Bear Stearns Co. Inc. . . . . . . . . . . . . 19,607
3,117 Dean Witter, Discover & Co. . . . . . . . . . 184,682
5,967 Merrill Lynch & Co., Inc. . . . . . . . . . . 386,363
5,390 Morgan Stanley Group Inc. . . . . . . . . . . 266,805
3,818 Salomon Inc. . . . . . . . . . . . . . . . . 159,879
---------------
1,605,635
---------------
SEMICONDUCTORS - 0.34%
2,048 * Advanced Micro Devices, Inc. . . . . . . . . 36,096
2,497 * Applied Materials, Inc. . . . . . . . . . . . 93,013
834 * LSI Logic Corp. . . . . . . . . . . . . . . . 25,958
3,113 Micron Technology, Inc. . . . . . . . . . . . 100,395
1,028 * National Semiconductor Corp. . . . . . . . . 16,705
---------------
272,167
---------------
TELECOMMUNICATIONS - 0.67%
2,479 ALLTEL Corp. . . . . . . . . . . . . . . . . 78,088
252 * DSC Communications Corp. . . . . . . . . . . 7,592
8,197 Northern Telecommunications Corp. . . . . . . 444,687
209 Tellabs, Inc. . . . . . . . . . . . . . . . . 13,481
---------------
543,848
---------------
TRUCKERS - 0.05%
1,150 Caliber System, Inc. . . . . . . . . . . . . 42,694
---------------
UTILITIES - COMMUNICATION - 9.42%
12,485 Ameritech Corp. . . . . . . . . . . . . . . . 705,402
37,225 AT & T Corp. . . . . . . . . . . . . . . . . 2,321,909
11,596 Bell Atlantic Corp. . . . . . . . . . . . . . 723,300
20,950 BellSouth Corp. . . . . . . . . . . . . . . . 851,094
10,627 MCI Communications Corp. . . . . . . . . . . 309,511
16,437 NYNEX Corp. . . . . . . . . . . . . . . . . . 758,157
12,399 Pacific Telesis Group . . . . . . . . . . . . 413,817
15,329 SBC Communications, Inc. . . . . . . . . . . 756,869
4,788 Sprint Corp. . . . . . . . . . . . . . . . . 202,892
17,750 US West Communications Group . . . . . . . . 579,094
---------------
7,622,045
---------------
UTILITIES - ELECTRIC - 1.99%
5,389 Allegheny Power System, Inc. . . . . . . . . 158,302
11,950 Cinergy Corp. . . . . . . . . . . . . . . . . 354,019
290 Montana Power Co. . . . . . . . . . . . . . . 6,307
639 NIPSCO Industries, Inc. . . . . . . . . . . . 23,803
1,099 Oklahoma Gas and Electric Co. . . . . . . . . 41,899
20,855 PacifiCorp . . . . . . . . . . . . . . . . . 419,707
9,108 Potomac Electric Power Co. . . . . . . . . . 232,254
4,372 Public Service Co. of Colorado . . . . . . . 144,822
4,892 Puget Sound Power & Light Co. . . . . . . . . 114,962
873 TECO Energy, Inc. . . . . . . . . . . . . . . 20,625
3,358 Utilicorp United Inc. . . . . . . . . . . . . 91,925
---------------
1,608,625
---------------
</TABLE>
59
<PAGE> 62
SOCIAL AWARENESS FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES - GAS, DISTRIBUTION - 0.24%
3,639 Brooklyn Union Gas Co. . . . . . . . . . . . $ 97,343
2,471 National Fuel Gas Co. . . . . . . . . . . . . 84,941
206 Tosco Corp. . . . . . . . . . . . . . . . . . 10,197
---------------
192,481
---------------
UTILITIES - GAS, PIPELINE - 1.22%
5,134 Consolidated Natural Gas Co. . . . . . . . . 248,357
8,239 Enron Corp. . . . . . . . . . . . . . . . . . 329,560
6,509 Pacific Enterprises . . . . . . . . . . . . . 171,675
1,520 Peoples Energy Corp. . . . . . . . . . . . . 48,830
3,755 Williams Companies, Inc. . . . . . . . . . . 188,689
---------------
987,111
---------------
TOTAL COMMON STOCKS
(Cost $67,643,539) . . . . . . . . . . . . . 79,773,462
---------------
PAR
VALUE
- --------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 1.13%
MACHINERY - INDUSTRIAL/
SPECIALTY - 1.13%
$ 914,000 Cooper Industries, Inc.,
5.40% due 6/3/96 . . . . . . . . . . . . . 913,726
---------------
TOTAL CORPORATE SHORT
TERM COMMERCIAL PAPER
(Cost $913,726) . . . . . . . . . . . . . . . 913,726
---------------
TOTAL INVESTMENTS
(Cost $68,557,265) - 99.75% . . . . . . . . . $ 80,687,188
Other assets and liabilities, net - 0.25% . 200,252
---------------
NET ASSETS (equivalent to $15.49 per share on
5,220,445 shares outstanding) - 100% . . . . $ 80,887,440
---------------
</TABLE>
* Non-income producing
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
5,220,445 shares outstanding . . . . . . . . . . . . . . . . . $ 52,204
Additional paid in capital . . . . . . . . . . . . . . . . . . . 62,521,902
Undistributed net realized gain on securities . . . . . . . . . . 6,132,739
Undistributed net investment income . . . . . . . . . . . . . . . 50,672
Unrealized appreciation of investments . . . . . . . . . . . . . 12,129,923
---------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING . . . . . . . . . . . . . . . . . . . . . . . . . $ 80,887,440
---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
60
<PAGE> 63
SOCIAL AWARENESS FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1996
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,542,542
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42,429
-------------
Total investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,584,971
-------------
EXPENSES:
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 333,783
Custodian and accounting services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,479
Reports to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,019
Audit fees and tax services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,512
Directors' fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,320
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,748
-------------
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 377,861
-------------
NET INVESTMENT INCOME . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,207,110
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain (loss) on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9,243,435
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46,405 9,289,840
-------------
Net unrealized appreciation (depreciation) of securities during the year:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,277,027
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . (17,950) 6,259,077
------------- -------------
Net realized and unrealized gain on securities during the year . . . . . . . . . . . . . . . . . 15,548,917
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . $ 16,756,027
-------------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1996 1995
---------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,207,110 $ 1,063,220
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . 9,289,840 2,356,297
Net unrealized appreciation of securities during the year . . . . . . . . . . 6,259,077 4,816,175
---------------------------------
Increase in net assets resulting from operations . . . . . . . . . . . . . 16,756,027 8,235,692
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,156,438) (1,067,168)
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . (4,173,232) (2,755,148)
---------------------------------
Decrease in net assets resulting from distributions to shareholders . . . (5,329,670) (3,822,316)
---------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold . . . . . . . . . . . . . . . . . . . . . . 17,740,343 6,436,649
Proceeds from capital stock issued for distributions reinvested . . . . . . . 5,329,670 3,822,316
---------------------------------
23,070,013 10,258,965
Cost of capital stock repurchased . . . . . . . . . . . . . . . . . . . . . . (7,536,021) (6,474,724)
---------------------------------
Increase in net assets resulting from capital stock transactions . . . . . 15,533,992 3,784,241
---------------------------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . 26,960,349 8,197,617
NET ASSETS:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53,927,091 45,729,474
---------------------------------
End of year (including undistributed net investment income of $50,672 and $0) $ 80,887,440 $ 53,927,091
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . 1,209,065 537,130
Shares issued for distributions reinvested . . . . . . . . . . . . . . . . . 376,165 336,272
Shares of capital stock repurchased . . . . . . . . . . . . . . . . . . . . (507,806) (547,073)
---------------------------------
Increase in shares outstanding . . . . . . . . . . . . . . . . . . . . . . 1,077,424 326,329
Shares outstanding:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,143,021 3,816,692
---------------------------------
End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,220,445 4,143,021
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
61
<PAGE> 64
TIMED OPPORTUNITY FUND May 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 60.76%
AEROSPACE/DEFENSE - 0.67%
5,457 Boeing Co. . . . . . . . . . . . . . . . . . $ 465,209
2,335 Lockheed Martin Corp. . . . . . . . . . . . . 195,848
2,166 McDonnell Douglas Corp. . . . . . . . . . . . 218,766
3,681 Northrop Grumman Corp. . . . . . . . . . . . 230,523
1,449 Raytheon Co. . . . . . . . . . . . . . . . . 77,159
922 TRW Inc. . . . . . . . . . . . . . . . . . . 86,899
---------------
1,274,404
---------------
AUTO - CARS - 1.11%
12,149 Chrysler Corp. . . . . . . . . . . . . . . . 809,427
23,653 General Motors Corp. . . . . . . . . . . . . 1,303,872
---------------
2,113,299
---------------
AUTO - REPLACEMENT PARTS - 0.48%
6,943 Cooper Tire & Rubber Co. . . . . . . . . . . 167,500
1,156 Echlin Inc. . . . . . . . . . . . . . . . . . 39,738
6,266 Genuine Parts Co. . . . . . . . . . . . . . . 285,103
8,283 Goodyear Tire & Rubber Co. . . . . . . . . . 418,291
---------------
910,632
---------------
BANKS - NEW YORK CITY - 0.38%
5,705 Bank of New York Co., Inc. . . . . . . . . . 295,947
4,961 J.P. Morgan & Co. Inc. . . . . . . . . . . . 430,987
---------------
726,934
---------------
BANKS - OTHER - 1.46%
187 Bank of Boston Corp. . . . . . . . . . . . . 9,327
4,288 First Union Corp. . . . . . . . . . . . . . . 262,104
8,287 Fleet Financial Group, Inc. . . . . . . . . . 365,664
3,748 National City Corp. . . . . . . . . . . . . . 133,522
56,443 US Bancorp . . . . . . . . . . . . . . . . . 2,010,782
---------------
2,781,399
---------------
BANKS - REGIONAL - 2.01%
11,514 Barnett Banks, Inc. . . . . . . . . . . . . . 719,625
791 Boatmen's Bancshares, Inc. . . . . . . . . . 31,986
39,639 Comerica Inc. . . . . . . . . . . . . . . . . 1,734,206
1,418 CoreStates Financial Corp. . . . . . . . . . 55,834
15,204 Norwest Corp. . . . . . . . . . . . . . . . . 530,240
10,389 PNC Bank Corp. . . . . . . . . . . . . . . . 315,566
7,174 SunTrust Banks, Inc. . . . . . . . . . . . . 261,851
3,943 Wachovia Corp. . . . . . . . . . . . . . . . 169,056
---------------
3,818,364
---------------
BEVERAGE - BREWERS/
DISTRIBUTORS - 0.46%
8,517 Anheuser- Busch Companies, Inc. . . . . . . . 606,836
7,704 Seagram Co. Ltd . . . . . . . . . . . . . . . 266,751
---------------
873,587
---------------
BEVERAGE - SOFT DRINKS - 1.78%
43,326 Coca-Cola Co. . . . . . . . . . . . . . . . . 1,992,996
41,840 PepsiCo, Inc. . . . . . . . . . . . . . . . . 1,391,180
---------------
3,384,176
---------------
BROADCASTING - 0.46%
20,280 Tele-Communications, Inc. Class A . . . . . . $ 382,785
6,602 * U S West Media Group . . . . . . . . . . . . 124,613
8,560 * Viacom Inc. Class B . . . . . . . . . . . . . 362,730
---------------
870,128
---------------
BUILDING MATERIALS - 1.18%
957 Armstrong World Industries, Inc. . . . . . . 56,343
60,091 Lowe's Companies, Inc. . . . . . . . . . . . 2,058,117
4,048 Masco Corp. . . . . . . . . . . . . . . . . . 126,500
---------------
2,240,960
---------------
CHEMICAL - MAJOR - 1.63%
16,887 E.I. du Pont de Nemours and Co. . . . . . . . 1,346,738
562 Hercules Inc. . . . . . . . . . . . . . . . . 31,894
7,663 Morton International, Inc. . . . . . . . . . 291,194
9,998 PPG Industries Inc. . . . . . . . . . . . . . 517,396
3,354 Rohm and Haas Co. . . . . . . . . . . . . . . 227,234
16,027 Union Carbide Corp. . . . . . . . . . . . . . 691,164
---------------
3,105,620
---------------
CHEMICAL - MISCELLANEOUS - 1.03%
721 Air Products and Chemicals, Inc. . . . . . . 42,900
3,316 Ecolab Inc. . . . . . . . . . . . . . . . . . 107,770
4,091 * FMC Corp. . . . . . . . . . . . . . . . . . . 275,120
4,172 Great Lakes Chemical Corp. . . . . . . . . . 269,094
191 Mallinckrodt Group Inc. . . . . . . . . . . . 7,186
1,651 Nalco Chemical Co. . . . . . . . . . . . . . 52,419
21,596 Sigma Aldrich Corp. . . . . . . . . . . . . . 1,209,376
---------------
1,963,865
---------------
COAL - 0.34%
19,203 Eastern Enterprises . . . . . . . . . . . . . 655,302
---------------
CONGLOMERATES - 0.32%
4,920 * ITT Corp. . . . . . . . . . . . . . . . . . . 302,580
2,936 Loews Corp. . . . . . . . . . . . . . . . . . 234,146
1,407 Tenneco Inc. . . . . . . . . . . . . . . . . 75,626
---------------
612,352
---------------
CONTAINERS - PAPER - 0.89%
34,197 Temple-Inland Inc. . . . . . . . . . . . . . 1,684,202
---------------
COSMETICS/TOILETRIES - 0.55%
1,086 Alberto-Culver Co. Class B . . . . . . . . . 43,033
10,161 Gillette Co. . . . . . . . . . . . . . . . . 600,769
8,426 International Flavors & Fragrances, Inc. . . 409,714
---------------
1,053,516
---------------
DRUGS - 3.12%
19,968 American Home Products Corp. . . . . . . . . 1,068,288
6,727 * Amgen Inc. . . . . . . . . . . . . . . . . . 400,257
12,065 Bristol Myers Squibb Co. . . . . . . . . . . 1,030,049
26,436 Merck & Co., Inc. . . . . . . . . . . . . . . 1,708,427
12,548 Pfizer Inc. . . . . . . . . . . . . . . . . . 887,771
6,527 Schering-Plough Corp. . . . . . . . . . . . . 382,645
11,095 Upjohn Co. . . . . . . . . . . . . . . . . . 453,508
---------------
5,930,945
---------------
</TABLE>
62
<PAGE> 65
TIMED OPPORTUNITY FUND - CONTINUED May 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
ELECTRICAL EQUIPMENT - 1.35%
450 * Cabletron Systems, Inc. . . . . . . . . . . . $ 32,738
3,691 Emerson Electric Co. . . . . . . . . . . . . 316,042
23,274 General Electric Co. . . . . . . . . . . . . 1,925,923
4,372 W. W. Grainger Inc. . . . . . . . . . . . . . 292,377
---------------
2,567,080
---------------
ELECTRONIC INSTRUMENTS - 0.30%
43,103 * Intergraph Corp. . . . . . . . . . . . . . . 565,727
---------------
ENTERTAINMENT - 0.76%
8,339 Harrah's Entertainment, Inc. . . . . . . . . 280,399
3,343 * King World Productions, Inc. . . . . . . . . 139,570
6,685 Mattel, Inc. . . . . . . . . . . . . . . . . 182,166
13,934 Walt Disney Co. . . . . . . . . . . . . . . . 846,491
---------------
1,448,626
---------------
FOODS - 1.60%
7,612 Campbell Soup Co. . . . . . . . . . . . . . . 490,974
1,587 ConAgra, Inc. . . . . . . . . . . . . . . . . 67,646
4,725 CPC International Inc. . . . . . . . . . . . 326,616
340 * Earthgrains Co. . . . . . . . . . . . . . . . 12,240
7,402 H J Heinz Co. . . . . . . . . . . . . . . . . 246,117
4,906 Kellogg Co. . . . . . . . . . . . . . . . . . 356,911
5,983 Quaker Oats Co. . . . . . . . . . . . . . . . 210,153
2,549 Ralston Purina Co. . . . . . . . . . . . . . 156,126
14,194 Sara Lee Corp. . . . . . . . . . . . . . . . 473,725
13,553 Wm. Wrigley Jr. Co. . . . . . . . . . . . . . 709,838
---------------
3,050,346
---------------
FOOTWEAR - 0.31%
34,042 Brown Group, Inc. . . . . . . . . . . . . . . 578,714
400 Stride Rite Corp. . . . . . . . . . . . . . . 3,600
---------------
582,314
---------------
GOLD MINING - 0.26%
9,191 Barrick Gold Corp. . . . . . . . . . . . . . 289,517
6,786 Placer Dome Inc. . . . . . . . . . . . . . . 201,035
---------------
490,552
---------------
GOVERNMENT SPONSORED - 0.12%
2,783 Federal Home Loan Mortgage Corp. . . . . . . 229,945
---------------
HARDWARE & TOOLS - 0.07%
3,264 Black & Decker Corp. . . . . . . . . . . . . 134,232
---------------
HEALTHCARE - 0.05%
1,655 United HealthCare Corp. . . . . . . . . . . . 90,818
---------------
HOME BUILDERS - 0.05%
1,595 Centex Corp. . . . . . . . . . . . . . . . . 48,049
1,683 Pulte Corp. . . . . . . . . . . . . . . . . . 47,124
---------------
95,173
---------------
HOSPITAL MANAGEMENT - 0.73%
11,032 Columbia/HCA Healthcare Corp. . . . . . . . . $ 594,349
29,500 * Humana Inc. . . . . . . . . . . . . . . . . . 649,000
3,354 Manor Care, Inc. . . . . . . . . . . . . . . 130,806
307 * Tenet Healthcare Corp. . . . . . . . . . . . 6,600
---------------
1,380,755
---------------
HOSPITAL SUPPLIES - 2.28%
22,292 Abbott Laboratories . . . . . . . . . . . . . 961,342
716 Bard (C. R.), Inc. . . . . . . . . . . . . . 23,539
19,220 Becton, Dickinson and Co. . . . . . . . . . . 1,633,700
6,577 * Biomet, Inc. . . . . . . . . . . . . . . . . 92,078
2,254 * Boston Scientific Corp. . . . . . . . . . . . 96,640
13,518 Johnson & Johnson . . . . . . . . . . . . . . 1,316,315
2,955 Medtronic, Inc. . . . . . . . . . . . . . . . 166,219
1,147 * St. Jude Medical, Inc. . . . . . . . . . . . 43,586
---------------
4,333,419
---------------
HOUSEHOLD PRODUCTS - 1.39%
5,084 Minnesota Mining & Manufacturing Co. . . . . 346,983
1,951 Premark International Inc. . . . . . . . . . 31,460
14,540 Procter & Gamble Co. . . . . . . . . . . . . 1,277,702
8,683 Rubbermaid, Inc. . . . . . . . . . . . . . . 243,124
1,951 * Tupperware Corp. . . . . . . . . . . . . . . 89,258
4,803 Unilever N V-ADR . . . . . . . . . . . . . . 647,805
---------------
2,636,332
---------------
INFORMATION PROCESSING - 6.32%
125 Apple Computer, Inc. . . . . . . . . . . . . 3,266
12,776 Automatic Data Processing, Inc. . . . . . . . 490,279
8,740 * Bay Networks, Inc. . . . . . . . . . . . . . 253,460
7,795 * Ceridian Corp. . . . . . . . . . . . . . . . 412,161
5,705 * Data General Corp. . . . . . . . . . . . . . 72,739
27,705 * Digital Equipment Corp. . . . . . . . . . . . 1,444,123
34,806 * EMC Corp. . . . . . . . . . . . . . . . . . . 770,083
1,235 First Data Corp. . . . . . . . . . . . . . . 98,491
48,320 H&R Block Inc. . . . . . . . . . . . . . . . 1,685,160
39,215 Honeywell Inc. . . . . . . . . . . . . . . . 1,990,161
7,000 Intel Corp. . . . . . . . . . . . . . . . . . 528,500
18,659 International Business Machines Corp. . . . 1,991,848
13,504 * Microsoft Corp. . . . . . . . . . . . . . . . 1,603,600
46,706 * Novell, Inc. . . . . . . . . . . . . . . . . 665,560
---------------
12,009,431
---------------
INSURANCE - CASUALTY - 0.15%
1,674 Chubb Corp. . . . . . . . . . . . . . . . . . 78,050
348 * Highlands Insurance Company . . . . . . . . . 6,743
2,678 SAFECO Corp. . . . . . . . . . . . . . . . . 90,215
6,510 USF & G Corp. . . . . . . . . . . . . . . . . 104,160
---------------
279,168
---------------
INSURANCE - LIFE - 0.79%
2,860 Lincoln National Corp. . . . . . . . . . . . 134,420
45,712 USLIFE Corp. . . . . . . . . . . . . . . . . 1,371,360
---------------
1,505,780
---------------
</TABLE>
63
<PAGE> 66
TIMED OPPORTUNITY FUND - CONTINUED May 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INSURANCE - MISCELLANEOUS - 0.18%
8,107 Alexander & Alexander Services Inc. . . . . . $ 161,127
1,284 General Reinsurance Corp. . . . . . . . . . . 187,464
---------------
348,591
---------------
INSURANCE - MULTILINE - 0.73%
7,038 Aetna Life and Casualty Co. . . . . . . . . . 519,052
6,104 Allstate Corp. . . . . . . . . . . . . . . . 257,894
4,920 ITT Hartford Group, Inc. . . . . . . . . . . 254,610
8,597 Travelers Group, Inc. . . . . . . . . . . . . 356,755
---------------
1,388,311
---------------
LEISURE TIME - 0.50%
13,292 Bally Entertainment Corp. . . . . . . . . . . 319,008
3,323 * Bally Total Fitness Holding Corp. . . . . . . 16,823
67,683 Handleman Co. . . . . . . . . . . . . . . . . 499,162
5,891 Outboard Marine Corp. . . . . . . . . . . . . 114,138
---------------
949,131
---------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.03%
1,123 Foster Wheeler Corp. . . . . . . . . . . . . 49,974
---------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 1.09%
285 Illinois Tool Works Inc. . . . . . . . . . . 19,095
870 Johnson Controls, Inc. . . . . . . . . . . . 60,683
50,492 Timken Co. . . . . . . . . . . . . . . . . . 1,988,122
---------------
2,067,900
---------------
MERCHANDISE - DRUG - 1.18%
10,997 Longs Drug Stores Corp. . . . . . . . . . . . 471,496
2,500 Rite Aid Corp. . . . . . . . . . . . . . . . 73,438
53,093 Walgreen Co. . . . . . . . . . . . . . . . . 1,692,339
---------------
2,237,273
---------------
MERCHANDISE - SPECIALTY - 0.48%
4,211 American Greetings Corp. Class A . . . . . . 114,223
10,075 Home Depot, Inc. . . . . . . . . . . . . . . 515,084
394 Jostens Inc. . . . . . . . . . . . . . . . . 8,914
3,014 Limited, Inc. . . . . . . . . . . . . . . . . 62,541
3,942 Tandy Corp. . . . . . . . . . . . . . . . . . 212,868
---------------
913,630
---------------
MERCHANDISING -
DEPARTMENT - 0.07%
1,940 Mercantile Stores Co., Inc. . . . . . . . . . 125,130
---------------
MERCHANDISING - FOOD - 0.50%
10,467 Albertsons, Inc. . . . . . . . . . . . . . . 417,371
3,855 * Kroger Co. . . . . . . . . . . . . . . . . . 151,309
1,702 Supervalu Inc. . . . . . . . . . . . . . . . 52,762
9,117 SYSCO Corp. . . . . . . . . . . . . . . . . . 311,118
616 Winn-Dixie Stores, Inc. . . . . . . . . . . . 21,252
---------------
953,812
---------------
MERCHANDISING - MASS - 0.97%
7,442 J.C. Penney Co., Inc. . . . . . . . . . . . . $ 386,054
56,612 Wal-Mart Stores, Inc. . . . . . . . . . . . . 1,464,835
---------------
1,850,889
---------------
METALS - ALUMINUM - 0.98%
52,638 Alcan Aluminium Ltd . . . . . . . . . . . . . 1,723,894
2,302 Aluminum Co. of America . . . . . . . . . . . 141,861
---------------
1,865,755
---------------
METALS - COPPER - 1.05%
2,744 Newmont Mining Corp. . . . . . . . . . . . . 165,326
26,606 Phelps Dodge Corp. . . . . . . . . . . . . . 1,822,511
---------------
1,987,837
---------------
METALS - MISCELLANEOUS - 0.87%
50,494 Inco Limited . . . . . . . . . . . . . . . . 1,647,367
---------------
METALS - STEEL - 0.01%
294 Nucor Corp. . . . . . . . . . . . . . . . . . 16,170
---------------
MISCELLANEOUS - 0.12%
3,212 Corning Inc. . . . . . . . . . . . . . . . . 122,859
2,709 * Owens Corning . . . . . . . . . . . . . . . . 109,037
---------------
231,896
---------------
NATURAL GAS - DIVERSIFIED - 0.14%
3,047 Coastal Corp. . . . . . . . . . . . . . . . . 124,927
4,153 PanEnergy Corp. . . . . . . . . . . . . . . . 133,415
---------------
258,342
---------------
OIL - INTEGRATED DOMESTIC - 2.06%
12,253 Amoco Corp. . . . . . . . . . . . . . . . . . 888,342
5,469 Atlantic Richfield Co. . . . . . . . . . . . 654,229
845 Burlington Resources Inc. . . . . . . . . . . 32,110
28,335 Kerr-McGee Corp. . . . . . . . . . . . . . . 1,664,681
6,100 Pennzoil Co. . . . . . . . . . . . . . . . . 263,825
9,003 Unocal Corp. . . . . . . . . . . . . . . . . 292,598
5,111 USX-Marathon Group . . . . . . . . . . . . . 111,803
---------------
3,907,588
---------------
OIL - INTEGRATED
INTERNATIONAL - 2.82%
21,476 Exxon Corp. . . . . . . . . . . . . . . . . . 1,820,091
8,787 Mobil Corp. . . . . . . . . . . . . . . . . . 991,833
12,579 Royal Dutch Petroleum Co. - ADR . . . . . . . 1,886,850
7,828 Texaco Inc. . . . . . . . . . . . . . . . . . 655,595
---------------
5,354,369
---------------
OIL - SERVICES - 0.69%
5,592 Baker Hughes Inc. . . . . . . . . . . . . . . 175,449
18,580 * Rowan Companies, Inc. . . . . . . . . . . . . 281,023
9,064 Schlumberger Ltd . . . . . . . . . . . . . . 755,711
1,572 * Western Atlas Inc. . . . . . . . . . . . . . 96,285
---------------
1,308,468
---------------
</TABLE>
64
<PAGE> 67
TIMED OPPORTUNITY FUND - CONTINUED May 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
PAPER/FOREST PRODUCTS - 0.36%
13,142 International Paper Co. . . . . . . . . . . . $ 524,037
2,057 Kimberly-Clark Corp. . . . . . . . . . . . . 149,904
193 Schweitzer-Mauduit International, Inc. . . . 5,404
---------------
679,345
---------------
PHOTOGRAPHY - 0.24%
6,189 Eastman Kodak Co. . . . . . . . . . . . . . . 460,307
---------------
POLLUTION CONTROL - 0.37%
30,059 Laidlaw Inc Class B . . . . . . . . . . . . . 304,347
11,355 WMX Technologies, Inc. . . . . . . . . . . . 400,264
---------------
704,611
---------------
PUBLISHING - NEWS - 0.09%
4,260 Dow Jones & Co., Inc. . . . . . . . . . . . . 166,673
---------------
PUBLISHING/PRINTING - 0.49%
2,360 McGraw-Hill, Inc. . . . . . . . . . . . . . . 110,625
14,507 Meredith Corp. . . . . . . . . . . . . . . . 665,509
4,080 R R Donnelley & Sons Co. . . . . . . . . . . 149,940
---------------
926,074
---------------
RAILROAD - 0.35%
6,319 Burlington Northern Inc. . . . . . . . . . . 535,535
1,892 Union Pacific Corp. . . . . . . . . . . . . . 132,677
---------------
668,212
---------------
RESTAURANTS - 0.98%
4,937 Darden Restaurants, Inc. . . . . . . . . . . 58,627
31,883 Luby's Cafeterias, Inc. . . . . . . . . . . . 785,119
12,591 McDonald's Corp. . . . . . . . . . . . . . . 605,942
10,922 * Ryan's Family Steak Houses, Inc. . . . . . . 96,932
17,695 Wendy's International, Inc. . . . . . . . . . 318,510
---------------
1,865,130
---------------
SAVINGS & LOAN - 0.10%
3,500 Great Western Financial Corp. . . . . . . . . 80,500
3,904 H.F. Ahmanson & Co. . . . . . . . . . . . . . 100,528
---------------
181,028
---------------
SECURITIES RELATED - 0.62%
10,578 American Express Co. . . . . . . . . . . . . 483,943
9,153 Dean Witter, Discover & Co. . . . . . . . . . 542,315
2,466 Merrill Lynch & Co., Inc. . . . . . . . . . . 159,674
---------------
1,185,932
---------------
SEMICONDUCTORS - 0.86%
2,820 * Applied Materials, Inc. . . . . . . . . . . . 105,045
4,874 Micron Technology, Inc. . . . . . . . . . . . 157,187
60,792 * National Semiconductor Corp. . . . . . . . . 987,870
7,006 Texas Instruments Inc. . . . . . . . . . . . 394,087
---------------
1,644,189
---------------
TELECOMMUNICATIONS - 0.12%
2,730 * DSC Communications Corp. . . . . . . . . . . $ 82,241
6,494 Scientific-Atlanta, Inc. . . . . . . . . . . 122,575
1,210 * 360 Communications Co. . . . . . . . . . . . 27,981
---------------
232,797
---------------
TOBACCO - 1.04%
17,549 Philip Morris Cos Inc. . . . . . . . . . . . 1,743,932
6,822 UST Corp. . . . . . . . . . . . . . . . . . . 225,126
---------------
1,969,058
---------------
UTILITIES - COMMUNICATION - 4.08%
13,648 Ameritech Corp. . . . . . . . . . . . . . . . 771,112
26,775 AT & T Corp. . . . . . . . . . . . . . . . . 1,670,091
8,979 Bell Atlantic Corp. . . . . . . . . . . . . . 560,065
20,844 BellSouth Corp. . . . . . . . . . . . . . . . 846,788
28,484 GTE Corp. . . . . . . . . . . . . . . . . . . 1,217,691
9,025 NYNEX Corp. . . . . . . . . . . . . . . . . . 416,278
13,762 Pacific Telesis Group . . . . . . . . . . . . 459,307
24,953 SBC Communications, Inc. . . . . . . . . . . 1,232,054
17,773 US West Communications Group . . . . . . . . 579,844
---------------
7,753,230
---------------
UTILITIES - ELECTRIC - 1.79%
134 American Electric Power, Inc. . . . . . . . . 5,377
2,698 Baltimore Gas and Electric Co. . . . . . . . 73,858
3,046 Central & South West Corp. . . . . . . . . . 84,146
4,373 Cinergy Corp. . . . . . . . . . . . . . . . . 129,550
10,006 Consolidated Edison Co. of
New York, Inc. . . . . . . . . . . . . . 278,917
8,484 Dominion Resources, Inc. . . . . . . . . . . 321,331
7,258 Duke Power Co. . . . . . . . . . . . . . . . 350,198
18,204 Edison International . . . . . . . . . . . . 300,366
8,674 Entergy Corp. . . . . . . . . . . . . . . . . 227,693
1,629 FPL Group, Inc. . . . . . . . . . . . . . . . 69,640
3,022 Houston Industries, Inc. . . . . . . . . . . 66,106
8,919 Pacific Gas and Electric Co. . . . . . . . . 207,367
4,945 PacifiCorp . . . . . . . . . . . . . . . . . 99,518
11,817 Public Service Enterprise Group, Inc. . . . 313,151
24,239 Southern Co. . . . . . . . . . . . . . . . . 560,527
2,037 Unicom Corp. . . . . . . . . . . . . . . . . 56,272
6,649 Union Electric Co. . . . . . . . . . . . . . 261,804
---------------
3,405,821
---------------
UTILITIES - GAS, PIPELINE - 0.40%
459 Consolidated Natural Gas Co. . . . . . . . . 22,204
14,934 Enron Corp. . . . . . . . . . . . . . . . . . 597,360
3,777 NICOR Inc. . . . . . . . . . . . . . . . . . 104,812
1,400 Pacific Enterprises . . . . . . . . . . . . . 36,925
---------------
761,301
---------------
TOTAL COMMON STOCKS
(Cost $98,143,627) . . . . . . . . . . . . . 115,465,524
---------------
</TABLE>
65
<PAGE> 68
TIMED OPPORTUNITY FUND - CONTINUED May 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE BONDS - 14.59%
AEROSPACE/DEFENSE - 0.87%
$ 1,750,000 Raytheon Co., 6.50% due 7/15/05 . . . . . . . $ 1,658,685
---------------
BANKS - OTHER - 0.52%
1,000,000 BankAmerica Corp.,
6.625% due 5/30/01 . . . . . . . . . . . . 990,950
---------------
BANKS - REGIONAL - 1.04%
2,000,000 NationsBank Corp.,
7.75% due 8/15/15 . . . . . . . . . . . . . 1,984,780
---------------
CONGLOMERATES - 0.74%
1,500,000 ITT Corp.,
6.75% due 11/15/05 . . . . . . . . . . . . 1,411,980
---------------
CONSUMER FINANCE - 2.82%
1,700,000 Associates Corp. of North America,
6.00% due 6/15/00 . . . . . . . . . . . . . 1,638,783
2,000,000 Commercial Credit Corp.,
6.125% due 12/1/05 . . . . . . . . . . . . 1,821,660
2,000,000 Sears Roebuck Acceptance Corp.,
6.75% due 9/15/05 . . . . . . . . . . . . . 1,902,960
---------------
5,363,403
---------------
ENTERTAINMENT - 0.51%
1,000,000 Walt Disney Co., 6.375% due 3/30/01 . . . . . 975,190
---------------
FINANCE COMPANIES - 1.51%
Ford Motor Credit Co.:
1,000,000 6.25% due 11/8/00 . . . . . . . . . . . . . 971,550
2,000,000 5.75% due 1/25/01 . . . . . . . . . . . . . 1,894,440
---------------
2,865,990
---------------
MERCHANDISING - MASS - 0.53%
1,000,000 Sears Roebuck and Co.,
7.35% due 3/23/00 . . . . . . . . . . . . . 1,012,250
---------------
OIL - INTEGRATED DOMESTIC - 1.03%
2,000,000 Union Oil Co. California,
7.20% due 5/15/05 . . . . . . . . . . . . . 1,953,820
---------------
PUBLISHING/PRINTING - 0.98%
2,000,000 Time Warner Inc.,
7.25% due 9/1/08 . . . . . . . . . . . . . 1,855,060
---------------
SECURITIES RELATED - 1.04%
2,000,000 Bear Stearns Co. Inc.,
6.75% due 5/1/01 . . . . . . . . . . . . . 1,966,020
---------------
UTILITIES - COMMUNICATION - 2.00%
2,000,000 Bellsouth Telecommunications,
7.00% due 10/1/25 . . . . . . . . . . . . . 1,864,940
2,000,000 GTE California Inc.,
7.00% due 5/1/08 . . . . . . . . . . . . . 1,935,220
---------------
3,800,160
---------------
UTILITIES - ELECTRIC - 1.00%
$ 2,000,000 Texas Utilities Electric Co.,
6.75% due 7/1/05 . . . . . . . . . . . . . $ 1,898,320
---------------
TOTAL CORPORATE BONDS
(Cost $28,697,483) . . . . . . . . . . . . . 27,736,608
---------------
UNITED STATES GOVERNMENT -
LONG TERM - 12.19%
GOVERNMENT SPONSORED - 2.87%
Federal Home Loan Mortgage Corp.
(Pools/REMICS):
193,866 7.50% due 9/1/25 . . . . . . . . . . . . . 189,989
502,328 7.50% due 9/1/25 . . . . . . . . . . . . . 492,281
390,024 7.50% due 9/1/25 . . . . . . . . . . . . . 382,223
569,427 7.50% due 9/1/25 . . . . . . . . . . . . . 558,039
Federal National Mortgage
Association:
2,000,000 7.00% due 5/10/01 . . . . . . . . . . . . 1,992,820
2,000,000 5.875% due 2/2/06 . . . . . . . . . . . . 1,831,880
---------------
5,447,232
---------------
UNITED STATES TREASURY NOTES - 9.32%
United States Treasury Notes:
1,000,000 8.50% due 7/15/97 . . . . . . . . . . . . . 1,027,810
1,000,000 8.00% due 8/15/99 . . . . . . . . . . . . . 1,042,810
1,000,000 6.75% due 5/31/99 . . . . . . . . . . . . . 1,007,810
2,000,000 6.375% due 3/31/01 . . . . . . . . . . . . 1,977,180
2,000,000 6.25% due 2/15/03 . . . . . . . . . . . . . 1,946,560
4,000,000 6.125% due 5/15/98 . . . . . . . . . . . . 3,992,480
1,000,000 5.875% due 7/31/97 . . . . . . . . . . . . 998,910
3,000,000 5.75% due 8/15/03 . . . . . . . . . . . . . 2,825,160
3,000,000 5.50% due 4/15/00 . . . . . . . . . . . . . 2,893,590
---------------
17,712,310
---------------
TOTAL UNITED STATES
GOVERNMENT - LONG TERM
(Cost $23,539,163) . . . . . . . . . . . . . 23,159,542
---------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 11.39%
BEVERAGE - SOFT DRINKS - 1.57%
Coca-Cola Enterprises Inc.:
1,000,000 5.28% due 8/2/96 . . . . . . . . . . . . . 990,907
1,000,000 5.27% due 7/3/96 . . . . . . . . . . . . . 995,315
1,000,000 5.26% due 6/7/96 . . . . . . . . . . . . . 999,123
---------------
2,985,345
---------------
CONSUMER FINANCE - 1.18%
748,000 Commercial Credit Corp.,
5.16% due 6/3/96 . . . . . . . . . . . . . 747,786
1,500,000 Sears Roebuck Acceptance Corp.,
5.30% due 6/10/96 . . . . . . . . . . . . . 1,498,012
---------------
2,245,798
---------------
</TABLE>
66
<PAGE> 69
TIMED OPPORTUNITY FUND - CONTINUED May 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
ENTERTAINMENT - 1.73%
Mattel, Inc.:
$ 400,000 5.50% due 7/18/96 . . . . . . . . . . . . . $ 397,128
912,000 5.48% due 8/1/96 . . . . . . . . . . . . . 903,531
2,000,000 Walt Disney Co., 5.28% due 8/1/96 . . . . . . 1,982,107
---------------
3,282,766
---------------
FINANCE COMPANIES - 3.87%
2,710,000 Ford Motor Credit Co.,
5.28% due 6/13/96 . . . . . . . . . . . . . 2,705,230
Transamerica Finance Corp.:
1,656,000 5.31% due 8/14/96 . . . . . . . . . . . . . 1,637,925
3,000,000 5.29% due 6/4/96 . . . . . . . . . . . . . 2,998,678
---------------
7,341,833
---------------
OIL - INTEGRATED DOMESTIC - 0.52%
1,000,000 Atlantic Richfield Co.,
5.24% due 7/23/96 . . . . . . . . . . . . . 992,431
---------------
SECURITIES RELATED - 2.52%
Merrill Lynch & Co., Inc.:
2,173,000 5.28% due 6/3/96 . . . . . . . . . . . . . 2,172,363
1,605,000 5.27% due 6/5/96 . . . . . . . . . . . . . 1,604,060
1,015,000 5.27% due 6/6/96 . . . . . . . . . . . . . 1,014,257
---------------
4,790,680
---------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $21,638,853) . . . . . . . . . . . . . 21,638,853
---------------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.60%
U.S. TREASURY BILLS - 0.60%
United States Treasury Bills:
1,000,000 4.96% due 9/5/96 . . . . . . . . . . . . . 986,773
150,000 4.93% due 6/20/96 . . . . . . . . . . . . . 149,610
---------------
1,136,383
---------------
TOTAL UNITED STATES
GOVERNMENT - SHORT TERM
(Cost $1,136,383) . . . . . . . . . . . . . . 1,136,383
---------------
TOTAL INVESTMENTS
(Cost $173,155,509) - 99.53% . . . . . . . . $ 189,136,910
Other assets and liabilities, net - 0.47% . 886,961
---------------
NET ASSETS (equivalent to $12.55 per share on
15,142,265 shares outstanding) - 100% . . . $ 190,023,871
---------------
</TABLE>
* Non-income producing
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
- -------------------------------------------------------------------------------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 5/31/96)
19 (2) U.S. Treasury Bond Futures
(September/$107.53) . . . . . . . . . . . . . $ 1,500
---------------
</TABLE>
(1) U.S. Treasury Bills with a market value of approximately
$150,000 were maintained in a segregated account with a
portion placed as collateral for futures contracts.
(2) Per 1,000
<TABLE>
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
15,142,265 shares outstanding . . . . . . . . . . . . . . . . $ 151,423
Additional paid in capital . . . . . . . . . . . . . . . . . . . 154,719,088
Undistributed net realized gain on securities . . . . . . . . . . 19,115,224
Undistributed net investment income . . . . . . . . . . . . . . . 55,235
Unrealized appreciation of:
Investments . . . . . . . . . . . . . . . . . $ 15,981,401
Futures . . . . . . . . . . . . . . . . . . . 1,500 15,982,901
------------ ---------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING . . . . . . . . . . . . . . . . . . . . . . . . . $ 190,023,871
---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
67
<PAGE> 70
TIMED OPPORTUNITY FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1996
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,451,195
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,408,737
-------------
Total investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,859,932
-------------
EXPENSES:
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 939,313
Custodian and accounting services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80,697
Reports to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,533
Audit fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,045
Directors' fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,023
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,035
-------------
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,077,646
-------------
NET INVESTMENT INCOME . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,782,286
-------------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 18,945,867
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,233,270 20,179,137
-------------
Net unrealized appreciation (depreciation) of securities during the year:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,218,717
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . (293,100) 3,925,617
-------------- -------------
Net realized and unrealized gain during the year . . . . . . . . . . . . . . . . . . . . . . . . 24,104,754
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . $ 30,887,040
-------------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1996 1995
---------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,782,286 $ 7,512,913
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . 20,179,137 3,400,944
Net unrealized appreciation of securities during the year . . . . . . . . . . 3,925,617 10,353,911
---------------------------------
Increase in net assets resulting from operations . . . . . . . . . . . . . 30,887,040 21,267,768
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . (6,883,971) (7,558,597)
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . (3,314,027) (7,068,460)
---------------------------------
Decrease in net assets resulting from distributions to shareholders . . . (10,197,998) (14,627,057)
---------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold . . . . . . . . . . . . . . . . . . . . . . 4,919,015 6,307,925
Proceeds from capital stock issued for distributions reinvested . . . . . . . 10,197,998 14,627,057
---------------------------------
15,117,013 20,934,982
Cost of capital stock repurchased . . . . . . . . . . . . . . . . . . . . . . (29,175,524) (38,758,320)
---------------------------------
Decrease in net assets resulting from capital stock transactions . . . . . (14,058,511) (17,823,338)
---------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS . . . . . . . . . . . . . . . . . . . 6,630,531 (11,182,627)
NET ASSETS:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 183,393,340 194,575,967
---------------------------------
End of year (including undistributed net investment
income of $55,235 and $156,920) . . . . . . . . . . . . . . . . . . . . . . . $ 190,023,871 $ 183,393,340
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . 406,767 585,687
Shares issued for distributions reinvested . . . . . . . . . . . . . . . . . 849,188 1,389,056
Shares of capital stock repurchased . . . . . . . . . . . . . . . . . . . . (2,433,033) (3,610,925)
---------------------------------
Decrease in shares outstanding . . . . . . . . . . . . . . . . . . . . . . (1,177,078) (1,636,182)
Shares outstanding:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,319,343 17,955,525
---------------------------------
End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,142,265 16,319,343
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
68
<PAGE> 71
CAPITAL CONSERVATION FUND May 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE BONDS - 72.52%
AEROSPACE/DEFENSE - 0.76%
$ 500,000 Boeing Co., 8.10% due 11/15/06 . . . . . . . $ 531,095
---------------
AIRLINES - 3.04%
2,000,000 Southwest Airlines Co.,
8.75% due 10/15/03 . . . . . . . . . . . . 2,135,480
---------------
BANKS - OTHER - 4.65%
1,000,000 BankAmerica Corp.,
7.20% due 4/15/06 . . . . . . . . . . . . . 975,670
1,500,000 Santander Finance Issuances,
7.25% due 11/1/15 . . . . . . . . . . . . . 1,403,100
1,000,000 Toronto Dominion Bank Ont,
6.125% due 11/1/08 . . . . . . . . . . . . 886,260
---------------
3,265,030
---------------
BANKS - REGIONAL - 9.79%
Barnett Banks Inc.:
500,000 10.875% due 3/15/03 . . . . . . . . . . . . 586,220
1,000,000 6.90% due 9/1/05 . . . . . . . . . . . . . 960,850
2,000,000 First Bank System, Inc.,
6.875% due 9/15/07 . . . . . . . . . . . . 1,905,340
NationsBank Corp.:
1,500,000 7.75% due 8/15/15 . . . . . . . . . . . . . 1,488,585
1,000,000 6.50% due 3/15/06 . . . . . . . . . . . . . 930,600
1,000,000 SouthTrust Corp.,
7.625% due 5/1/04 . . . . . . . . . . . . . 1,004,160
---------------
6,875,755
---------------
BUILDING MATERIALS - 2.73%
2,000,000 CSR America Inc.,
6.875% due 7/21/05 . . . . . . . . . . . . 1,915,360
---------------
CONSUMER FINANCE - 1.41%
1,000,000 Commercial Credit Corp.,
6.875% due 5/1/02 . . . . . . . . . . . . . 986,700
---------------
CONTAINERS - METAL/GLASS - 1.42%
1,000,000 Crown Cork & Seal Co., Inc.,
7.00% due 6/15/99 . . . . . . . . . . . . . 1,000,130
---------------
ENTERTAINMENT - 2.78%
2,000,000 News America Holdings Inc.,
8.25% due 8/10/18 . . . . . . . . . . . . . 1,950,940
---------------
FINANCE COMPANIES - 10.80%
2,000,000 Capital One Bank,
8.125% due 3/1/00 . . . . . . . . . . . . . 2,057,660
1,000,000 CIT Group Holdings, Inc.,
8.375% due 11/1/01 . . . . . . . . . . . . 1,056,590
2,000,000 Finova Capital Corp.,
9.125% due 2/27/02 . . . . . . . . . . . . 2,167,080
Ford Motor Credit Co.:
1,000,000 8.20% due 2/15/02 . . . . . . . . . . . . . 1,047,150
500,000 6.375% due 11/5/08 . . . . . . . . . . . . 451,200
750,000 General Electric Capital Corp.,
8.125% due 5/15/12 . . . . . . . . . . . . 801,420
---------------
7,581,100
---------------
LODGING - 1.99%
$ 1,500,000 ITT Corp., 7.375% due 11/15/15 . . . . . . . $ 1,400,475
---------------
MERCHANDISE - DRUG - 0.64%
500,000 IMCERA Group Inc.,
6.00% due 10/15/03 . . . . . . . . . . . . 447,610
---------------
MERCHANDISING - DEPARTMENT - 3.88%
2,000,000 Associated Dry Goods Corp.,
8.85% due 3/1/06 . . . . . . . . . . . . . 2,201,260
500,000 Dillard Department Stores, Inc.,
8.75% due 6/15/98 . . . . . . . . . . . . . 519,355
---------------
2,720,615
---------------
MERCHANDISING - FOOD - 0.72%
500,000 SUPERVALU INC.,
7.25% due 7/15/99 . . . . . . . . . . . . . 504,590
---------------
MERCHANDISING - MASS - 1.33%
1,000,000 Sears Roebuck and Co.,
6.25% due 1/15/04 . . . . . . . . . . . . . 935,410
---------------
METALS - STEEL - 2.87%
2,000,000 Pohang Iron & Steel Limited,
7.50% due 8/1/02 . . . . . . . . . . . . . 2,013,640
---------------
MISCELLANEOUS - 1.98%
1,500,000 Hertz Corp., 6.00% due 1/15/03 . . . . . . . 1,392,750
---------------
OIL - INTEGRATED DOMESTIC - 0.74%
500,000 Texaco Inc., 9.00% due 11/15/97 . . . . . . . 517,700
---------------
PAPER/FOREST PRODUCTS - 3.21%
2,000,000 Georgia-Pacific Corp.,
9.50% due 12/1/11 . . . . . . . . . . . . . 2,253,560
---------------
PUBLISHING/PRINTING - 1.32%
1,000,000 Time Warner Inc.,
7.25% due 9/1/08 . . . . . . . . . . . . . 927,530
---------------
SECURITIES RELATED - 2.08%
1,500,000 Lehman Brothers Holdings Inc.,
7.125% due 9/15/03 . . . . . . . . . . . . 1,461,405
---------------
TRUCKERS - 1.39%
1,000,000 Ryder System, Inc.,
6.77% due 4/20/01 . . . . . . . . . . . . . 979,020
---------------
UTILITIES - COMMUNICATION - 6.16%
2,500,000 Century Telephone Enterprises, Inc.,
7.20% due 12/1/25 . . . . . . . . . . . . . 2,270,900
2,000,000 Southern Bell Telephone &
Telegraph Co., 7.625% due 3/15/13 . . . . . 2,053,320
---------------
4,324,220
---------------
UTILITIES - ELECTRIC - 4.17%
1,000,000 Georgia Power Co.,
6.125% due 9/1/99 . . . . . . . . . . . . . 978,380
1,000,000 PSI Energy Inc., 5.35% due 9/23/98 . . . . . 968,800
1,000,000 West Penn Power Co.,
5.50% due 6/1/98 . . . . . . . . . . . . . 982,430
---------------
2,929,610
---------------
</TABLE>
69
<PAGE> 72
CAPITAL CONSERVATION FUND - CONTINUED May 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES - GAS, DISTRIBUTION - 2.66%
$ 2,000,000 Columbia Gas System, Inc.,
7.62% due 11/28/25 . . . . . . . . . . . . . $ 1,866,940
---------------
TOTAL CORPORATE BONDS
(Cost $52,604,811) . . . . . . . . . . . . . 50,916,665
---------------
UNITED STATES GOVERNMENT -
LONG TERM - 21.55%
FEDERAL AGENCIES - 1.06%
Government National Mortgage
Association:
133,944 Pool #233862, 9.50% due 5/15/18 . . . . . . 144,012
9,159 Pool #248341, 9.50% due 6/15/18 . . . . . . 9,847
4,278 Pool #252064, 9.50% due 6/15/18 . . . . . . 4,600
186,838 Pool #247397, 9.50% due 7/15/18 . . . . . . 200,883
48,907 Pool #256190, 9.50% due 8/15/18 . . . . . . 52,583
15,755 Pool #253172, 9.50% due 10/15/18 . . . . . 16,939
316,946 Pool #185210, 8.00% due 1/15/22 . . . . . . 319,431
---------------
748,295
---------------
GOVERNMENT SPONSORED - 11.79%
1,000,000 Federal Home Loan Mortgage,
5.75% due 12/15/16 . . . . . . . . . . . . 971,560
Federal National Mortgage
Association:
1,000,000 7.50% due 7/1/26 . . . . . . . . . . . . . 978,438
2,000,000 7.23% due 3/30/06 . . . . . . . . . . . . . 1,946,880
1,010,000 7.00% due 5/1/11 . . . . . . . . . . . . . 990,740
1,010,000 7.00% due 5/1/11 . . . . . . . . . . . . . 990,431
1,010,000 7.00% due 6/1/11 . . . . . . . . . . . . . 990,431
1,500,000 Federal National Mortgage
Association REMIC,
6.75% due 6/25/21 . . . . . . . . . . . . . 1,408,590
---------------
8,277,070
---------------
UNITED STATES NOTES - 8.70%
United States Treasury Notes:
1,000,000 6.875% due 2/28/97 . . . . . . . . . . . . 1,008,280
4,500,000 6.875% due 5/15/06 . . . . . . . . . . . . 4,507,020
600,000 5.25% due 12/31/97 . . . . . . . . . . . . 592,218
---------------
6,107,518
---------------
TOTAL UNITED STATES
GOVERNMENT - LONG TERM
(Cost $15,271,447) . . . . . . . . . . . . . 15,132,883
---------------
FOREIGN GOVERNMENT BOND - 0.71%
CANADA - 0.71%
500,000 New Brunswick Province,
7.125% due 10/1/02
(Cost $498,872) . . . . . . . . . . . . . . 498,625
---------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 5.23%
CONSUMER FINANCE - 1.71%
1,200,000 Commercial Credit Corp.,
5.27% due 6/13/96 . . . . . . . . . . . . . 1,197,892
---------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 3.52%
$ 2,476,000 Cooper Industries, Inc.,
5.40% due 6/3/96 . . . . . . . . . . . . . $ 2,475,257
---------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $3,673,149) . . . . . . . . . . . . . . 3,673,149
---------------
TOTAL INVESTMENTS
(Cost $72,048,279) - 100.01% . . . . . . . . 70,221,322
Other assets and liabilities, net - (0.01%) (9,482)
----------------
NET ASSETS (equivalent to $9.23 per share on
7,604,489 shares outstanding) -100% . . . . $ 70,211,840
---------------
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
- -------------------------------------------------------------------------------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 5/31/96)
5(2) U.S. Treasury Bond Futures
(September/$107.53) . . . . . . . . . . . . . $ (7,969)
20(2) U.S. Treasury 10 Year Notes
(September/$106.06) . . . . . . . . . . . . . (24,375)
4(2) U.S. Treasury 5 Year Notes
(September/$104.77) . . . . . . . . . . . . . (3,750)
---------------
$ (36,094)
---------------
</TABLE>
(1) U.S.Treasury Notes with a market value of approximately
$100,000 were maintained in a segregated account with a
portion placed as collateral for futures contracts.
(2) Per 1,000
<TABLE>
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
7,604,489 shares outstanding . . . . . . . . . . . . . . . . . $ 76,045
Additional paid in capital . . . . . . . . . . . . . . . . . . . 72,633,728
Accumulated net realized loss on securities . . . . . . . . . . . (648,688)
Undistributed net investment income . . . . . . . . . . . . . . . 13,806
Unrealized depreciation of:
Investments . . . . . . . . . . . . . . . . . . $ (1,826,957)
Futures . . . . . . . . . . . . . . . . . . . . (36,094) (1,863,051)
------------ ---------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING . . . . . . . . . . . . . . . . . . . . . . . . . $ 70,211,840
---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
70
<PAGE> 73
CAPITAL CONSERVATION FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1996
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,943,537
-------------
EXPENSES:
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 352,058
Custodian and accounting services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,777
Reports to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,521
Audit fees and tax services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,299
Directors' fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,578
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,781
-------------
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 400,014
-------------
NET INVESTMENT INCOME . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,543,523
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain (loss) on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,265,730
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . (17,628) 2,248,102
-------------
Net unrealized depreciation during the year:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,505,267)
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . (36,657) (4,541,924)
------------- -------------
Net realized and unrealized loss on securities during the year . . . . . . . . . . . . . . . . . (2,293,822)
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,249,701
-------------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1996 1995
---------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,543,523 $ 4,244,789
Net realized gain (loss) on securities . . . . . . . . . . . . . . . . . . . 2,248,102 (2,788,646)
Net unrealized appreciation (depreciation) of securities during the year . . (4,541,924) 5,470,987
---------------------------------
Increase in net assets resulting from operations . . . . . . . . . . . . . 2,249,701 6,927,130
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,530,909) (4,277,330)
---------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold . . . . . . . . . . . . . . . . . . . . . . 14,391,888 11,988,687
Proceeds from capital stock issued for distributions reinvested . . . . . . . 4,530,909 4,277,330
---------------------------------
18,922,797 16,266,017
Cost of capital stock repurchased . . . . . . . . . . . . . . . . . . . . . . (12,460,655) (14,190,188)
---------------------------------
Increase in net assets resulting from capital stock transactions . . . . . 6,462,142 2,075,829
---------------------------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . 4,180,934 4,725,629
NET ASSETS:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66,030,906 61,305,277
---------------------------------
End of year (including undistributed net investment
income of $13,806 and $1,192) . . . . . . . . . . . . . . . . . . . . . . . $ 70,211,840 $ 66,030,906
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . 1,491,047 1,308,761
Shares issued for distributions reinvested . . . . . . . . . . . . . . . . . 474,239 474,405
Shares of capital stock repurchased . . . . . . . . . . . . . . . . . . . . (1,296,137) (1,560,060)
---------------------------------
Increase in shares outstanding . . . . . . . . . . . . . . . . . . . . . . 669,149 223,106
Shares outstanding:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,935,340 6,712,234
---------------------------------
End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,604,489 6,935,340
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
71
<PAGE> 74
GOVERNMENT SECURITIES FUND MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
UNITED STATES GOVERNMENT -
LONG TERM - 85.04%
FEDERAL AGENCIES - 5.26%
$ 316,946 Government National Mortgage
Association Pool #185210,
8.00% due 1/15/22 . . . . . . . . . . . . . $ 319,431
4,000,000 Tennessee Valley Authority,
6.375% due 6/15/05 . . . . . . . . . . . . 3,805,000
---------------
4,124,431
---------------
GOVERNMENT SPONSORED - 59.49%
Federal Farm Credit Banks:
2,000,000 7.16% due 5/19/10 . . . . . . . . . . . . . 1,980,140
1,150,000 7.10% due 11/2/02 . . . . . . . . . . . . . 1,159,165
1,500,000 6.92% due 5/13/02 . . . . . . . . . . . . . 1,500,240
Federal Home Loan Banks:
3,700,000 7.93% due 1/20/98 . . . . . . . . . . . . . 3,794,239
1,155,000 7.26% due 9/6/01 . . . . . . . . . . . . . 1,173,041
3,000,000 5.695% due 12/19/00 . . . . . . . . . . . . 2,871,570
Federal Home Loan Mortgage Corp.:
1,500,000 7.86% due 1/15/97 . . . . . . . . . . . . . 1,518,750
1,500,000 7.09% due 6/1/05 . . . . . . . . . . . . . 1,455,705
1,500,000 6.90% due 3/26/03 . . . . . . . . . . . . . 1,470,465
3,500,000 6.705% due 11/9/05 . . . . . . . . . . . . 3,341,415
1,500,000 6.37% due 1/23/06 . . . . . . . . . . . . . 1,401,330
Federal Home Loan Mortgage Corp.
(Pools/REMICS):
1,570,851 8.50% due 3/1/25 . . . . . . . . . . . . . 1,604,719
1,276,756 8.00% due 2/1/25 . . . . . . . . . . . . . 1,279,540
128,498 7.50% due 9/1/25 . . . . . . . . . . . . . 125,928
470,333 7.50% due 9/1/25 . . . . . . . . . . . . . 460,926
232,155 7.50% due 9/1/25 . . . . . . . . . . . . . 227,512
1,500,000 7.30% due 4/15/21 . . . . . . . . . . . . . 1,464,375
2,000,000 7.00% due 9/15/23 . . . . . . . . . . . . . 1,941,860
175,000 5.50% due 2/25/19 . . . . . . . . . . . . . 161,710
Federal National Mortgage Association:
1,000,000 9.05% due 4/10/00 . . . . . . . . . . . . . 1,077,810
2,000,000 7.27% due 8/24/05 . . . . . . . . . . . . . 1,976,560
2,000,000 6.85% due 9/12/05 . . . . . . . . . . . . . 1,920,940
2,000,000 6.82% due 3/27/01 . . . . . . . . . . . . . 1,971,880
1,000,000 6.78% due 7/28/00 . . . . . . . . . . . . . 990,620
2,000,000 6.70% due 11/10/05 . . . . . . . . . . . . 1,896,880
2,000,000 6.41% due 3/8/06 . . . . . . . . . . . . . 1,907,500
Student Loan Marketing Association:
1,000,000 7.50% due 3/8/00 . . . . . . . . . . . . . 1,025,310
3,000,000 7.00% due 3/3/98 . . . . . . . . . . . . . 3,033,750
2,000,000 5.88% due 2/6/01 . . . . . . . . . . . . . 1,918,120
---------------
46,652,000
---------------
UNITED STATES BONDS & NOTES - 20.29%
United States Treasury Bonds:
2,000,000 8.75% due 8/15/20 . . . . . . . . . . . . . 2,354,380
3,500,000 8.50% due 2/15/20 . . . . . . . . . . . . . 4,016,810
United States Treasury Notes:
1,000,000 8.25% due 7/15/98 . . . . . . . . . . . . . 1,038,440
2,000,000 8.125% due 2/15/98 . . . . . . . . . . . . 2,060,620
2,500,000 6.75% due 4/30/00 . . . . . . . . . . . . . 2,514,850
1,000,000 6.50% due 5/15/97 . . . . . . . . . . . . . 1,005,940
1,000,000 6.375% due 1/15/00 . . . . . . . . . . . . 994,690
1,000,000 5.75% due 8/15/03 . . . . . . . . . . . . . 941,720
1,000,000 5.25% due 12/31/97 . . . . . . . . . . . . 987,030
---------------
15,914,480
---------------
TOTAL UNITED STATES
GOVERNMENT - LONG TERM
(Cost $67,576,847) . . . . . . . . . . . . . 66,690,911
---------------
SUPRANATIONAL - 2.72%
1,800,000 International Bank for
Reconstruction & Development,
9.25% due 7/15/17
(Cost $1,965,099) . . . . . . . . . . . . . 2,134,674
---------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 10.81%
CONSUMER FINANCE - 8.52%
3,500,000 Commercial Credit Corp.,
5.16% due 6/3/96 . . . . . . . . . . . . . 3,498,997
3,188,000 Sears Roebuck Acceptance Corp.,
5.30% due 6/7/96 . . . . . . . . . . . . . 3,185,184
---------------
6,684,181
---------------
SECURITIES RELATED - 2.29%
1,794,000 Merrill Lynch & Co., Inc.,
5.30% due 6/5/96 . . . . . . . . . . . . . 1,792,943
---------------
TOTAL CORPORATE SHORT
TERM COMMERCIAL PAPER
(Cost $8,477,124) . . . . . . . . . . . . . . 8,477,124
---------------
TOTAL INVESTMENTS
(Cost $78,019,070) - 98.57% . . . . . . . . . 77,302,709
Other assets and liabilities,
net - 1.43% . . . . . . . . . . . . . . . 1,120,340
---------------
NET ASSETS (equivalent to $9.61 per share on
8,163,674 shares outstanding) - 100% . . . $ 78,423,049
---------------
</TABLE>
72
<PAGE> 75
GOVERNMENT SECURITIES FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
- -------------------------------------------------------------------------------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 5/31/96)
8 (2) U.S. Treasury Bond Futures
(September/$107.53) . . . . . . . . . . . . $ (12,124)
5 (2) U.S. Treasury 10 Year Notes
(September/$106.06) . . . . . . . . . . . . (6,094)
----------------
$ (18,218)
----------------
</TABLE>
(1) U.S.Treasury Notes with a market value of
approximately $35,000 were maintained in a segregated
account with a portion placed as collateral
for futures contracts.
(2) Per 1,000
<TABLE>
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
8,163,674 shares outstanding . . . . . . . . . . . . . . . . . . $ 81,637
Additional paid in capital . . . . . . . . . . . . . . . . . . . 81,156,490
Accumulated net realized loss on securities . . . . . . . . . . (2,096,740)
Undistributed net investment income . . . . . . . . . . . . . . . 16,241
Unrealized depreciation of:
Investments . . . . . . . . . . . . . . . . . . $ (716,361)
Futures . . . . . . . . . . . . . . . . . . . . (18,218) (734,579)
----------- ---------------
NET ASSETS APPLICABLE TO
SHARES OUTSTANDING. . . . . . . . . . . . . . . . . . . . . . . . $ 78,423,049
---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
73
<PAGE> 76
GOVERNMENT SECURITIES FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1996
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,610,882
-------------
EXPENSES:
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 340,148
Custodian and accounting services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,918
Reports to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,642
Audit fees and tax services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,798
Directors' fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,367
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,196
-------------
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 384,069
-------------
NET INVESTMENT INCOME . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,226,813
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain (loss) on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 801,569
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . (13,498) 788,071
-------------
Net unrealized depreciation during the year:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,218,748)
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . (25,718) (3,244,466)
------------- -------------
Net realized and unrealized loss on securities during the year . . . . . . . . . . . . . . . . . (2,456,395)
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,770,418
-------------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1996 1995
---------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,226,813 $ 2,881,198
Net realized gain (loss) on securities . . . . . . . . . . . . . . . . . . . 788,071 (2,249,712)
Net unrealized appreciation (depreciation) of securities during the year . . (3,244,466) 4,099,486
---------------------------------
Increase in net assets resulting from operations . . . . . . . . . . . . . 1,770,418 4,730,972
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,221,098) (2,899,817)
---------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold . . . . . . . . . . . . . . . . . . . . . . 29,935,878 12,735,273
Proceeds from capital stock issued for distributions reinvested . . . . . . . 4,221,098 2,899,817
---------------------------------
34,156,976 15,635,090
Cost of capital stock repurchased . . . . . . . . . . . . . . . . . . . . . . (7,457,426) (6,693,122)
---------------------------------
Increase in net assets resulting from capital stock transactions . . . . . 26,699,550 8,941,968
---------------------------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . 24,248,870 10,773,123
NET ASSETS:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54,174,179 43,401,056
---------------------------------
End of year (including undistributed net investment
income of $16,241 and $10,526) . . . . . . . . . . . . . . . . . . . . . . $ 78,423,049 $ 54,174,179
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . 3,005,467 1,337,149
Shares issued for distributions reinvested . . . . . . . . . . . . . . . . . 426,047 306,305
Shares of capital stock repurchased . . . . . . . . . . . . . . . . . . . . (745,798) (709,711)
---------------------------------
Increase in shares outstanding . . . . . . . . . . . . . . . . . . . . . . 2,685,716 933,743
Shares outstanding:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,477,958 4,544,215
---------------------------------
End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,163,674 5,477,958
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
74
<PAGE> 77
INTERNATIONAL
GOVERNMENT BOND FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
GOVERNMENT BONDS - 84.70%
AUSTRALIA - 2.69%
Commonwealth:
A$ 1,000,000 12.00% due 7/15/99 . . . . . . . . . . . . $ 875,265
A$ 400,000 10.00% due 10/15/07 . . . . . . . . . . . . 343,980
A$ 500,000 9.75% due 3/15/02 . . . . . . . . . . . . . 418,537
A$ 500,000 8.75% due 1/15/01 . . . . . . . . . . . . . 401,704
A$ 750,000 7.50% due 7/15/05 . . . . . . . . . . . . . 549,693
A$ 500,000 7.00% due 4/15/00 . . . . . . . . . . . . . 379,667
A$ 300,000 South Australia Finance Authority,
12.50% due 5/8/01 . . . . . . . . . . . . . 270,722
A$ 400,000 South Australian Government,
7.75% due 4/15/98 . . . . . . . . . . . . . 315,618
A$ 200,000 State Bank of New South Wales,
7.00% due 6/30/99 . . . . . . . . . . . . . 153,344
A$ 150,000 State Bank of South Australia,
7.25% due 6/15/00 . . . . . . . . . . . . . 113,661
---------------
3,822,191
---------------
AUSTRIA - 2.23%
Republic of Austria:
As 2,500,000 8.50% due 2/21/01 . . . . . . . . . . . . . 261,045
As 2,000,000 7.125% due 7/12/04 . . . . . . . . . . . . 195,056
As 1,500,000 7.00% due 2/14/00 . . . . . . . . . . . . . 149,015
As 2,200,000 7.00% due 1/20/03 . . . . . . . . . . . . . 215,279
As 2,000,000 7.00% due 5/16/05 . . . . . . . . . . . . . 192,356
As 2,000,000 6.875% due 4/19/02 . . . . . . . . . . . . 197,104
As 2,000,000 6.50% due 11/17/05 . . . . . . . . . . . . 186,397
As 1,000,000 5.75% due 3/22/99 . . . . . . . . . . . . . 96,225
As 1,500,000 5.375% due 11/23/98 . . . . . . . . . . . . 143,080
Y. 100MM 4.75% due 12/20/04 . . . . . . . . . . . . 1,030,912
Y. 50MM 4.50% due 9/28/05 . . . . . . . . . . . . . 510,498
---------------
3,176,967
---------------
BELGIUM - 3.90%
Kingdom of Belgium:
Bf 10,000,000 10.00% due 8/2/00 . . . . . . . . . . . . . 376,467
Bf 4,000,000 9.25% due 8/29/97 . . . . . . . . . . . . . 136,505
Bf 15,000,000 9.00% due 7/30/98 . . . . . . . . . . . . . 527,391
Bf 25,000,000 8.75% due 6/25/02 . . . . . . . . . . . . . 914,302
Bf 10,000,000 8.00% due 12/24/12 . . . . . . . . . . . . 337,564
Bf 10,000,000 8.00% due 3/28/15 . . . . . . . . . . . . . 335,491
Bf 10,000,000 7.75% due 12/22/00 . . . . . . . . . . . . 350,383
Bf 25,000,000 7.75% due 10/15/04 . . . . . . . . . . . . 863,201
Bf 10,000,000 7.50% due 7/29/08 . . . . . . . . . . . . . 331,951
Bf 22,000,000 7.00% due 4/29/99 . . . . . . . . . . . . . 749,656
Bf 20,000,000 6.50% due 3/31/05 . . . . . . . . . . . . . 635,332
---------------
5,558,243
---------------
CANADA - 4.70%
C$ 800,000 British Columbia Province,
9.85% due 5/1/98 . . . . . . . . . . . . . 621,848
Government of Canada:
C$ 550,000 9.50% due 6/1/10 . . . . . . . . . . . . . 452,627
C$ 500,000 9.00% due 12/1/04 . . . . . . . . . . . . . 395,495
C$ 500,000 9.00% due 6/1/25 . . . . . . . . . . . . . 399,511
C$ 500,000 8.75% due 12/1/05 . . . . . . . . . . . . . 390,586
C$ 500,000 8.50% due 3/1/00 . . . . . . . . . . . . . 384,709
C$ 1,000,000 8.50% due 4/1/02 . . . . . . . . . . . . . 771,075
C$ 1,000,000 8.00% due 6/1/23 . . . . . . . . . . . . . 719,813
C$ 1,000,000 7.75% due 9/1/99 . . . . . . . . . . . . . 752,007
C$ 1,000,000 7.50% due 3/1/01 . . . . . . . . . . . . . 742,079
C$ 1,000,000 7.25% due 6/1/03 . . . . . . . . . . . . . 721,316
C$ 500,000 6.50% due 6/1/04 . . . . . . . . . . . . . 340,768
---------------
6,691,834
---------------
DENMARK - 3.66%
Kingdom of Denmark:
DK 2,500,000 9.00% due 11/15/98 . . . . . . . . . . . . 462,240
DK 2,500,000 9.00% due 11/15/00 . . . . . . . . . . . . 470,683
DK 5,000,000 8.00% due 11/15/01 . . . . . . . . . . . . 904,964
DK 2,500,000 8.00% due 5/15/03 . . . . . . . . . . . . . 449,257
DK 3,000,000 8.00% due 3/15/06 . . . . . . . . . . . . . 527,145
DK 3,000,000 7.00% due 12/15/04 . . . . . . . . . . . . 502,808
DK 1,250,000 7.00% due 11/10/24 . . . . . . . . . . . . 181,587
L. 250,000 6.75% due 8/24/98 . . . . . . . . . . . . . 385,722
DK 2,000,000 6.00% due 12/10/99 . . . . . . . . . . . . 343,996
Ff 5,000,000 5.50% due 10/26/99 . . . . . . . . . . . . 980,511
---------------
5,208,913
---------------
FINLAND - 1.73%
Republic of Finland:
L. 250,000 8.00% due 4/7/03 . . . . . . . . . . . . . 384,995
Ff 5,000,000 7.00% due 6/15/04 . . . . . . . . . . . . . 998,646
Y. 100MM 6.00% due 1/29/02 . . . . . . . . . . . . . 1,082,176
---------------
2,465,817
---------------
FRANCE - 4.43%
Government of France:
Ff 4,600,000 9.50% due 1/25/01 . . . . . . . . . . . . . 1,033,632
Ff 3,500,000 8.50% due 11/25/02 . . . . . . . . . . . . 768,111
Ff 1,500,000 8.50% due 12/26/12 . . . . . . . . . . . . 335,284
Ff 6,000,000 7.75% due 4/12/00 . . . . . . . . . . . . . 1,260,470
Ff 7,000,000 6.75% due 10/25/03 . . . . . . . . . . . . 1,400,135
Ff 7,000,000 6.00% due 10/25/25 . . . . . . . . . . . . 1,143,128
Ff 2,000,000 5.50% due 4/25/04 . . . . . . . . . . . . . 368,895
---------------
6,309,655
---------------
GERMANY - 12.62%
Federal Republic of Germany:
DM 2,000,000 7.50% due 9/9/04 . . . . . . . . . . . . . 1,408,519
DM 3,100,000 7.125% due 12/20/02 . . . . . . . . . . . . 2,163,093
DM 1,500,000 7.00% due 1/13/00 . . . . . . . . . . . . . 1,055,111
DM 3,000,000 6.875% due 2/24/99 . . . . . . . . . . . . 2,092,136
DM 3,000,000 6.50% due 3/15/00 . . . . . . . . . . . . . 2,074,836
DM 3,000,000 6.50% due 7/15/03 . . . . . . . . . . . . . 2,012,713
DM 2,000,000 6.50% due 10/14/05 . . . . . . . . . . . . 1,315,990
DM 2,000,000 6.25% due 1/4/24 . . . . . . . . . . . . . 1,156,488
DM 2,500,000 6.00% due 2/20/98 . . . . . . . . . . . . . 1,697,246
DM 4,000,000 6.00% due 6/20/16 . . . . . . . . . . . . . 2,320,052
DM 1,000,000 5.00% due 1/14/99 . . . . . . . . . . . . . 668,218
---------------
17,964,402
---------------
</TABLE>
75
<PAGE> 78
INTERNATIONAL
GOVERNMENT BOND FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
ITALY - 7.55%
Republic of Italy:
Lit 1,500MM 12.00% due 9/18/98 . . . . . . . . . . . . $ 1,034,915
Lit 1,000MM 12.00% due 6/1/01 . . . . . . . . . . . . . 724,146
Lit 500MM 12.00% due 1/1/02 . . . . . . . . . . . . . 363,498
Lit 2,000MM 10.50% due 4/1/00 . . . . . . . . . . . . . 1,365,117
Lit 500MM 10.50% due 4/1/05 . . . . . . . . . . . . . 345,231
Lit 500MM 10.50% due 9/1/05 . . . . . . . . . . . . . 345,101
Lit 900MM 10.00% due 8/1/03 . . . . . . . . . . . . . 606,374
Lit 2,000MM 9.50% due 12/1/97 . . . . . . . . . . . . . 1,309,279
Lit 500MM 9.50% due 1/1/05 . . . . . . . . . . . . . 326,640
Lit 2,000MM 9.00% due 11/1/23 . . . . . . . . . . . . . 1,208,745
Lit 1,400MM 8.50% due 1/1/99 . . . . . . . . . . . . . 907,880
Lit 1,000MM 8.50% due 4/1/99 . . . . . . . . . . . . . 649,393
Lit 500MM 8.50% due 8/1/99 . . . . . . . . . . . . . 322,785
Lit 1,000MM 8.50% due 4/1/04 . . . . . . . . . . . . . 623,935
Lit 1,000MM 8.50% due 8/1/04 . . . . . . . . . . . . . 619,903
---------------
10,752,942
---------------
JAPAN - 20.58%
Government of Japan:
Y. 250MM 6.60% due 6/20/01 . . . . . . . . . . . . . 2,772,454
Y. 320MM 6.40% due 3/20/00 . . . . . . . . . . . . . 3,445,333
Y. 105MM 6.00% due 12/20/01 . . . . . . . . . . . . 1,142,944
Y. 365MM 5.50% due 3/20/02 . . . . . . . . . . . . . 3,896,375
Y. 30MM 5.00% due 12/22/97 . . . . . . . . . . . . 295,361
Y. 120MM 5.00% due 12/20/02 . . . . . . . . . . . . 1,254,444
Y. 100MM 5.00% due 9/21/09 . . . . . . . . . . . . . 1,068,519
Y. 100MM 5.00% due 3/20/15 . . . . . . . . . . . . . 1,082,130
Y. 250MM 4.90% due 9/20/99 . . . . . . . . . . . . . 2,551,852
Y. 130MM 4.80% due 6/21/99 . . . . . . . . . . . . . 1,318,657
Y. 170MM 4.60% due 6/22/98 . . . . . . . . . . . . . 1,683,000
Y. 127MM 4.50% due 6/20/03 . . . . . . . . . . . . . 1,292,460
Y. 75MM 4.50% due 12/20/04 . . . . . . . . . . . . 765,625
Y. 150MM 4.40% due 9/22/03 . . . . . . . . . . . . . 1,520,000
Y. 200MM 4.20% due 9/21/15 . . . . . . . . . . . . . 1,959,445
Y. 100MM 3.90% due 6/21/04 . . . . . . . . . . . . . 980,000
Y. 100MM 3.00% due 9/20/05 . . . . . . . . . . . . . 915,185
Y. 150MM 2.90% due 12/20/05 . . . . . . . . . . . . 1,350,972
---------------
29,294,756
---------------
NETHERLANDS - 4.52%
Government of the Netherlands:
NG 1,050,000 9.00% due 10/16/00 . . . . . . . . . . . . 707,789
NG 500,000 8.50% due 3/15/01 . . . . . . . . . . . . . 332,064
NG 500,000 8.25% due 2/15/02 . . . . . . . . . . . . . 330,015
NG 500,000 8.25% due 6/15/02 . . . . . . . . . . . . . 330,893
NG 500,000 8.25% due 2/15/07 . . . . . . . . . . . . . 331,332
NG 1,000,000 7.75% due 3/1/05 . . . . . . . . . . . . . 641,874
NG 500,000 7.50% due 6/15/99 . . . . . . . . . . . . . 317,716
NG 500,000 7.50% due 4/15/10 . . . . . . . . . . . . . 314,349
NG 750,000 7.50% due 1/15/23 . . . . . . . . . . . . . 464,275
NG 1,250,000 6.50% due 7/15/98 . . . . . . . . . . . . . 770,498
NG 1,250,000 6.50% due 4/15/03 . . . . . . . . . . . . . 756,223
NG 2,000,000 5.75% due 1/15/04 . . . . . . . . . . . . . 1,144,949
---------------
6,441,977
---------------
SPAIN - 4.15%
Government of Spain:
Pst 40MM 12.25% due 3/25/00 . . . . . . . . . . . . $ 350,585
Pst 55MM 11.45% due 8/30/98 . . . . . . . . . . . . 458,501
Pst 70MM 11.00% due 6/15/97 . . . . . . . . . . . . 562,437
Pst 50MM 10.50% due 10/30/03 . . . . . . . . . . . . 419,271
Pst 50MM 10.30% due 6/15/02 . . . . . . . . . . . . 416,784
Pst 100MM 10.15% due 1/31/06 . . . . . . . . . . . . 823,852
Pst 100MM 10.10% due 2/28/01 . . . . . . . . . . . . 824,078
Pst 50MM 10.00% due 2/28/05 . . . . . . . . . . . . 409,089
Pst 50MM 8.30% due 12/15/98 . . . . . . . . . . . . 391,715
Pst 70MM 8.20% due 2/28/09 . . . . . . . . . . . . . 504,333
Pst 50MM 8.00% due 5/30/04 . . . . . . . . . . . . . 366,145
Pst 50MM 7.40% due 7/30/99 . . . . . . . . . . . . . 382,583
---------------
5,909,373
---------------
SWEDEN - 3.45%
Kingdom of Sweden:
SK 2,000,000 13.00% due 6/15/01 . . . . . . . . . . . . 361,693
SK 3,500,000 11.00% due 1/21/99 . . . . . . . . . . . . 570,874
SK 3,000,000 10.25% due 5/5/00 . . . . . . . . . . . . . 489,811
SK 6,000,000 10.25% due 5/5/03 . . . . . . . . . . . . . 991,090
SK 5,000,000 9.00% due 4/20/09 . . . . . . . . . . . . . 760,267
SK 6,000,000 6.00% due 2/9/05 . . . . . . . . . . . . . 761,728
Y. 100MM 3.875% due 6/21/99 . . . . . . . . . . . . 982,639
---------------
4,918,102
---------------
SWITZERLAND - 0.57%
Government of Switzerland:
Chf 500,000 4.50% due 4/8/06 . . . . . . . . . . . . . 398,921
Chf 500,000 4.00% due 3/10/99 . . . . . . . . . . . . . 409,709
---------------
808,630
---------------
UNITED KINGDOM - 6.11%
Government of United Kingdom:
L. 250,000 10.00% due 2/26/01 . . . . . . . . . . . . 423,132
L. 325,000 9.00% due 3/3/00 . . . . . . . . . . . . . 529,139
L. 400,000 9.00% due 10/13/08 . . . . . . . . . . . . 655,702
L. 400,000 9.00% due 8/6/12 . . . . . . . . . . . . . 654,540
L. 750,000 8.75% due 8/25/17 . . . . . . . . . . . . . 1,199,659
L. 250,000 8.50% due 12/7/05 . . . . . . . . . . . . . 397,344
L. 250,000 8.00% due 12/7/00 . . . . . . . . . . . . . 394,802
L. 550,000 8.00% due 6/10/03 . . . . . . . . . . . . . 857,111
L. 500,000 8.00% due 9/25/09 . . . . . . . . . . . . . 759,337
L. 250,000 8.00% due 12/7/15 . . . . . . . . . . . . . 373,736
L. 100,000 7.25% due 3/30/98 . . . . . . . . . . . . . 156,274
L. 500,000 7.00% due 11/6/01 . . . . . . . . . . . . . 753,041
L. 300,000 6.75% due 11/26/04 . . . . . . . . . . . . 428,144
L. 750,000 6.00% due 8/10/99 . . . . . . . . . . . . . 1,122,660
---------------
8,704,621
---------------
UNITED STATES - 1.81%
DM 4,000,000 Federal National Mortgage Association,
5.00% due 2/16/01 . . . . . . . . . . . . . 2,576,540
---------------
TOTAL GOVERNMENT BONDS
(Cost $119,739,850) . . . . . . . . . . . . . 120,604,963
---------------
</TABLE>
76
<PAGE> 79
INTERNATIONAL
GOVERNMENT BOND FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
SUPRANATIONAL - 7.86%
Asian Development Bank:
Y. 50MM 5.00% due 2/5/03 . . . . . . . . . . . . . $ 520,509
Y. 150MM 3.125% due 6/29/05 . . . . . . . . . . . . 1,376,736
Eurofima:
Ff 1,600,000 9.25% due 12/18/03 . . . . . . . . . . . . 362,317
L. 250,000 7.50% due 2/5/98 . . . . . . . . . . . . . 391,291
European Investment Bank:
Lit 400MM 10.50% due 4/30/98 . . . . . . . . . . . . 269,150
Lit 1,100MM 10.50% due 2/7/02 . . . . . . . . . . . . . 816,761
L. 250,000 9.00% due 5/14/02 . . . . . . . . . . . . . 408,240
Ff 5,000,000 6.75% due 5/14/98 . . . . . . . . . . . . . 1,005,900
Ff 2,000,000 6.125% due 10/8/04 . . . . . . . . . . . . 382,049
Y. 25MM 6.625% due 3/15/00 . . . . . . . . . . . . 269,387
Y. 100MM 4.625% due 2/26/03 . . . . . . . . . . . . 1,020,833
Y. 55MM Inter America Development Bank,
6.75% due 2/20/01 . . . . . . . . . . . . . 606,655
International Bank for
Reconstruction & Development:
Lit 150MM 10.80% due 11/13/01 . . . . . . . . . . . . 112,227
Lit 1,000MM 10.625% due 11/25/97 . . . . . . . . . . . 667,118
Lit 1,000MM 10.625% due 3/27/98 . . . . . . . . . . . . 672,208
Lit 200MM 9.45% due 8/11/03 . . . . . . . . . . . . . 133,441
L. 400,000 9.25% due 7/20/07 . . . . . . . . . . . . . 650,860
Y. 100MM 4.50% due 3/20/03 . . . . . . . . . . . . . 1,018,519
Y. 50MM 4.50% due 6/20/00 . . . . . . . . . . . . . 506,655
---------------
TOTAL SUPRANATIONAL
(Cost $11,587,770) . . . . . . . . . . . . . 11,190,856
---------------
CORPORATE BONDS - 4.09%
FRANCE - 3.52%
Credit Local de France:
FF 2,500,000 9.25% due 12/7/99 . . . . . . . . . . . . . 544,057
FF 5,000,000 8.875% due 6/10/02 . . . . . . . . . . . . 1,105,039
FF 3,000,000 6.25% due 9/27/05 . . . . . . . . . . . . . 566,907
FF 4,000,000 6.00% due 11/15/01 . . . . . . . . . . . . 783,441
FF 10,000,000 Elf Aquitaine SA - ADR,
7.125% due 8/11/03 . . . . . . . . . . . . 2,017,845
---------------
5,017,289
---------------
NETHERLANDS - 0.33%
NG 750,000 Aegon NV,
7.125% due 9/1/98 . . . . . . . . . . . . . $ 467,630
--------------
SWITZERLAND - 0.24%
Lit 500MM Union Bank of Switzerland AG,
9.25% due 8/23/00 . . . . . . . . . . . . . 334,413
---------------
TOTAL CORPORATE BONDS
(Cost $5,629,755) . . . . . . . . . . . . . . 5,819,332
---------------
TOTAL INVESTMENTS
(Cost $136,957,375) - 96.65% . . . . . . . . 137,615,151
Other assets and liabilities, net - 3.35% . 4,768,114
---------------
NET ASSETS (equivalent to $11.79 per share on
12,072,675 shares outstanding) - 100% . . $ 142,383,265
---------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
12,072,675 shares outstanding . . . . . . . . . . . . . . . . $ 120,727
Additional paid in capital . . . . . . . . . . . . . . . . . . . 141,222,238
Undistributed net realized gain on securities and
foreign currency transactions . . . . . . . . . . . . . . . . 284,453
Undistributed net investment income . . . . . . . . . . . . . . . 151,884
Unrealized appreciation of securities and
foreign currency translation . . . . . . . . . . . . . . . . . 603,963
---------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING . . . . . . . . . . . . . . . . . . . . . . . . . $ 142,383,265
---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
77
<PAGE> 80
INTERNATIONAL GOVERNMENT BOND FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest (net of foreign withholding taxes of $263,811) . . . . . . . . . . . . . . . . . . . . . . $ 6,898,596
-------------
EXPENSES:
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 573,962
Custodian and accounting services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,876
Reports to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,624
Audit fees and tax services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,934
Directors' fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,824
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 372
-------------
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 643,592
-------------
NET INVESTMENT INCOME . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,255,004
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 971,930
Foreign currency transactions . . . . . . . . . . . . . . . . . . . . . . (176,695) 795,235
--------------
Net unrealized depreciation during the year:
Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (8,542,937)
Foreign currency translation . . . . . . . . . . . . . . . . . . . . . . . (107,034) (8,649,971)
-------------- --------------
Net realized and unrealized loss on securities and foreign currencies during the year . . . . (7,854,736)
--------------
DECREASE IN NET ASSETS RESULTING FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . $ (1,599,732)
--------------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1996 1995
---------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,255,004 $ 3,002,824
Net realized gain on securities and foreign currency transactions . . . . . . 795,235 194,660
Net unrealized appreciation (depreciation) of securities and translation
of foreign currencies during the year . . . . . . . . . . . . . . . . . . (8,649,971) 8,491,114
---------------------------------
Increase (decrease) in net assets resulting from operations . . . . . . (1,599,732) 11,688,598
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . (6,585,664) (3,173,182)
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . (127,626) -
---------------------------------
Decrease in net assets resulting from distributions to shareholders . . . (6,713,290) (3,173,182)
---------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold . . . . . . . . . . . . . . . . . . . . . . 95,539,705 34,640,967
Proceeds from capital stock issued for distributions reinvested . . . . . . . 6,713,290 3,173,182
---------------------------------
102,252,995 37,814,149
Cost of capital stock repurchased . . . . . . . . . . . . . . . . . . . . . . (29,290,511) (9,623,857)
---------------------------------
Increase in net assets resulting from capital stock transactions . . . . . 72,962,484 28,190,292
---------------------------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . 64,649,462 36,705,708
NET ASSETS:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77,733,803 41,028,095
---------------------------------
End of year (including undistributed net investment
income of $151,884 and $28,252) . . . . . . . . . . . . . . . . . . . . . . $ 142,383,265 $ 77,733,803
---------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . 7,828,955 2,933,943
Shares issued for distributions reinvested . . . . . . . . . . . . . . . . . 556,598 274,556
Shares of capital stock repurchased . . . . . . . . . . . . . . . . . . . . (2,423,786) (838,751)
---------------------------------
Increase in shares outstanding . . . . . . . . . . . . . . . . . . . . . . 5,961,767 2,369,748
Shares outstanding:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,110,908 3,741,160
---------------------------------
End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,072,675 6,110,908
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
78
<PAGE> 81
MONEY MARKET FUND MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT TERM
COMMERCIAL PAPER - 85.31%
BANKS - REGIONAL - 3.57%
BANC ONE CORP.:
$ 1,500,000 5.27% due 7/22/96 . . . . . . . . . . . . . $ 1,488,801
1,500,000 5.22% due 6/14/96 . . . . . . . . . . . . . 1,497,173
---------------
2,985,974
---------------
BEVERAGE - SOFT DRINKS - 7.68%
Coca-Cola Enterprises Inc.:
1,000,000 5.28% due 8/2/96 . . . . . . . . . . . . . 990,907
1,000,000 5.27% due 7/3/96 . . . . . . . . . . . . . 995,316
1,000,000 5.26% due 6/7/96 . . . . . . . . . . . . . 999,123
Pepsico Inc.:
1,962,000 5.25% due 7/15/96 . . . . . . . . . . . . . 1,949,410
1,500,000 5.25% due 8/8/96 . . . . . . . . . . . . . 1,485,125
---------------
6,419,881
---------------
CHEMICAL - MAJOR - 2.98%
E. I. du Pont de Nemours and Co.:
1,000,000 5.28% due 7/30/96 . . . . . . . . . . . . . 991,347
1,500,000 5.23% due 6/25/96 . . . . . . . . . . . . . 1,494,770
---------------
2,486,117
---------------
CONSUMER FINANCE - 12.05%
Associates Corp. of North America:
562,000 5.22% due 7/8/96 . . . . . . . . . . . . . 558,985
1,900,000 5.18% due 6/28/96 . . . . . . . . . . . . . 1,892,619
Beneficial Corp.:
830,000 5.28% due 7/29/96 . . . . . . . . . . . . . 822,939
1,128,000 5.27% due 8/28/96 . . . . . . . . . . . . . 1,113,469
1,338,000 5.25% due 8/14/96 . . . . . . . . . . . . . 1,323,561
550,000 5.23% due 7/19/96 . . . . . . . . . . . . . 546,165
Sears Roebuck Acceptance Corp.:
1,500,000 5.32% due 9/4/96 . . . . . . . . . . . . . 1,478,942
1,000,000 5.30% due 8/19/96 . . . . . . . . . . . . . 988,369
500,000 5.28% due 7/1/96 . . . . . . . . . . . . . 497,800
856,000 5.24% due 6/17/96 . . . . . . . . . . . . . 854,006
---------------
10,076,855
---------------
DRUGS - 3.11%
Schering Corp.:
630,000 5.27% due 7/16/96 . . . . . . . . . . . . . 625,850
2,000,000 5.25% due 8/27/96 . . . . . . . . . . . . . 1,974,625
---------------
2,600,475
---------------
ELECTRICAL EQUIPMENT - 3.11%
General Electric Co.:
1,700,000 5.28% due 8/7/96 . . . . . . . . . . . . . 1,683,294
920,000 5.09% due 6/3/96 . . . . . . . . . . . . . 919,740
---------------
2,603,034
---------------
ENTERTAINMENT - 5.68%
$ 1,000,000 Mattel, Inc., 5.48% due 8/1/96 . . . . . . . $ 990,715
Walt Disney Co.:
1,200,000 5.28% due 8/1/96 . . . . . . . . . . . . . 1,189,264
1,000,000 5.26% due 7/22/96 . . . . . . . . . . . . . 992,548
1,600,000 5.20% due 8/30/96 . . . . . . . . . . . . . 1,579,200
---------------
4,751,727
---------------
FINANCE COMPANIES - 19.70%
CIESCO L P:
1,200,000 5.27% due 7/19/96 . . . . . . . . . . . . . 1,191,568
1,200,000 5.25% due 8/6/96 . . . . . . . . . . . . . 1,188,450
CIT Group Holdings, Inc.:
2,000,000 5.25% due 8/23/96 . . . . . . . . . . . . . 1,975,792
1,250,000 5.23% due 7/26/96 . . . . . . . . . . . . . 1,240,012
1,300,000 General Electric Capital Services Inc.,
5.31% due 8/21/96 . . . . . . . . . . . . . 1,284,468
International Lease Finance Corp.:
1,200,000 5.27% due 9/12/96 . . . . . . . . . . . . . 1,181,906
1,500,000 5.26% due 7/9/96 . . . . . . . . . . . . . 1,491,672
1,100,000 5.22% due 7/18/96 . . . . . . . . . . . . . 1,092,504
J.C. Penney Funding Corp.:
1,000,000 5.29% due 7/11/96 . . . . . . . . . . . . . 994,122
1,192,000 5.28% due 6/6/96 . . . . . . . . . . . . . 1,191,126
Transamerica Finance Corp.:
975,000 5.33% due 11/1/96 . . . . . . . . . . . . . 952,914
1,858,000 5.27% due 6/27/96 . . . . . . . . . . . . . 1,850,928
845,000 5.27% due 8/20/96 . . . . . . . . . . . . . 835,104
---------------
16,470,566
---------------
INFORMATION PROCESSING - 7.59%
Hewlett-Packard Co.:
1,000,000 5.18% due 7/17/96 . . . . . . . . . . . . . 993,381
1,200,000 5.17% due 7/11/96 . . . . . . . . . . . . . 1,193,107
428,000 5.02% due 6/20/96 . . . . . . . . . . . . . 426,866
International Business Machines Corp.:
1,000,000 5.27% due 8/15/96 . . . . . . . . . . . . . 989,021
950,000 5.25% due 6/19/96 . . . . . . . . . . . . . 947,506
1,800,000 5.24% due 6/21/96 . . . . . . . . . . . . . 1,794,760
---------------
6,344,641
---------------
INSURANCE - MULTILINE - 1.19%
1,000,000 Marsh & McLennan Companies, Inc.,
5.32% due 7/12/96 . . . . . . . . . . . . . 993,941
---------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 2.02%
1,686,000 Cooper Industries, Inc.,
5.40% due 6/3/96 . . . . . . . . . . . . . 1,685,494
---------------
MERCHANDISING - MASS - 2.38%
2,000,000 Wal-Mart Stores, Inc.,
5.27% due 7/10/96 . . . . . . . . . . . . . 1,988,582
---------------
</TABLE>
79
<PAGE> 82
MONEY MARKET FUND - CONTINUED MAY 31, 1996 STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
OIL - INTEGRATED DOMESTIC - 1.78%
$ 1,500,000 Atlantic Richfield Co.,
5.24% due 7/23/96 . . . . . . . . . . . . . $ 1,488,647
---------------
SECURITIES RELATED - 4.52%
Merrill Lynch & Co., Inc.:
1,500,000 5.33% due 8/12/96 . . . . . . . . . . . . . 1,484,010
600,000 5.25% due 6/10/96 . . . . . . . . . . . . . 599,212
700,000 5.25% due 6/26/96 . . . . . . . . . . . . . 697,448
1,000,000 4.75% due 6/24/96 . . . . . . . . . . . . . 999,298
---------------
3,779,968
---------------
TOBACCO - 4.65%
1,000,000 American Brands, Inc.,
5.29% due 6/12/96 . . . . . . . . . . . . . 998,383
Philip Morris Companies Inc.:
974,000 5.27% due 7/25/96 . . . . . . . . . . . . . 966,300
948,000 5.26% due 9/9/96 . . . . . . . . . . . . . 934,149
1,000,000 5.25% due 8/5/96 . . . . . . . . . . . . . 990,521
---------------
3,889,353
---------------
UTILITIES - COMMUNICATION - 0.69%
582,000 GTE Corp., 5.37% due 6/12/96 . . . . . . . . 581,045
---------------
UTILITIES - ELECTRIC - 2.61%
1,000,000 Central & South West,
5.50% due 6/5/96 . . . . . . . . . . . . . 999,389
1,200,000 Southern California Edison Co.,
5.25% due 8/26/96 . . . . . . . . . . . . . 1,184,950
---------------
2,184,339
---------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $71,330,639) . . . . . . . . . . . . . 71,330,639
---------------
CORPORATE SHORT TERM
OBLIGATIONS - 4.78%
FINANCE COMPANIES - 1.19%
1,000,000 Ford Motor Credit Co,
Floating rate note due 2/18/97,
5.63828% at 5/31/96 . . . . . . . . . . . . 1,001,590
---------------
SECURITIES RELATED - 3.59%
Bear Stearns Co. Inc.:
1,000,000 Floating rate note due 5/14/97,
5.4875% at 5/31/96 . . . . . . . . . . . 1,000,000
2,000,000 Floating rate note due 1/22/97,
5.4875% at 5/31/96 . . . . . . . . . . . 2,000,000
---------------
3,000,000
---------------
TOTAL CORPORATE SHORT TERM
OBLIGATIONS
(Cost $4,001,590) . . . . . . . . . . . . . . 4,001,590
---------------
UNITED STATES GOVERNMENT -
SHORT TERM - 10.95%
GOVERNMENT SPONSORED - 9.77%
Federal Farm Credit Banks:
$ 1,000,000 5.875% due 9/3/96 . . . . . . . . . . . . . $ 1,000,000
1,000,000 5.60% due 7/1/96 . . . . . . . . . . . . . 999,893
1,000,000 5.40% due 4/1/97 . . . . . . . . . . . . . 1,000,000
1,000,000 Federal Home Loan Banks,
5.705% due 5/1/97 . . . . . . . . . . . . . 1,000,000
1,000,000 Federal Home Loan Mortgage Corp.,
7.86% due 1/15/97 . . . . . . . . . . . . . 1,017,854
Federal National Mortgage Association:
1,000,000 7.88% due 12/20/96 . . . . . . . . . . . . 1,013,144
1,000,000 5.50% due 9/23/96 . . . . . . . . . . . . . 1,000,329
1,150,000 5.15% due 9/13/96 . . . . . . . . . . . . . 1,132,890
---------------
8,164,110
---------------
U.S. TREASURY BILLS - 1.18%
1,000,000 United States Treasury Bills,
4.96% due 9/5/96 . . . . . . . . . . . . . 986,773
---------------
TOTAL UNITED STATES
GOVERNMENT - SHORT TERM
(Cost $9,150,883) . . . . . . . . . . . . . . 9,150,883
---------------
TOTAL INVESTMENTS
(Cost $84,483,112) - 101.04% . . . . . . . . 84,483,112
Other assets and liabilities, net - (1.04%) (865,467)
----------------
NET ASSETS (equivalent to $1.00 per share on
83,617,645 shares outstanding) - 100% . . $ 83,617,645
---------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
83,617,645 shares outstanding . . . . . . . . . . . . . . . . $ 836,176
Additional paid in capital . . . . . . . . . . . . . . . . . . . 82,781,469
---------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING . . . . . . . . . . . . . . . . . . . . . . . . . $ 83,617,645
---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
80
<PAGE> 83
MONEY MARKET FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,810,801
-------------
EXPENSES:
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 421,853
Custodian and accounting services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,294
Reports to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,432
Audit fees and tax services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,794
Directors' fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,127
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,409
-------------
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 478,909
-------------
NET INVESTMENT INCOME . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,331,892
-------------
REALIZED GAIN ON SECURITIES:
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,796
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,333,688
-------------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1996 1995
---------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,331,892 $ 3,186,812
Net realized gain on securities . . . . . . . . . . . . . . . . . . . . . . . 1,796 -
---------------------------------
Increase in net assets resulting from operations . . . . . . . . . . . . . 4,333,688 3,186,812
---------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,331,892) (3,186,812)
---------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold . . . . . . . . . . . . . . . . . . . . . . 150,153,912 133,137,958
Proceeds from capital stock issued for distributions reinvested . . . . . . . 4,331,892 3,186,812
---------------------------------
154,485,804 136,324,770
Cost of capital stock repurchased . . . . . . . . . . . . . . . . . . . . . . (153,123,752) (104,603,566)
---------------------------------
Increase in net assets resulting from capital stock transactions . . . . . 1,362,052 31,721,204
---------------------------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . 1,363,848 31,721,204
NET ASSETS:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82,253,797 50,532,593
---------------------------------
End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 83,617,645 $ 82,253,797
---------------------------------
CHANGE IN SHARES OUTSTANDING
Shares of capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . 150,153,912 133,137,958
Shares issued for distributions reinvested . . . . . . . . . . . . . . . . . 4,331,892 3,186,812
Shares of capital stock repurchased . . . . . . . . . . . . . . . . . . . . (153,123,752) (104,603,566)
---------------------------------
Increase in shares outstanding . . . . . . . . . . . . . . . . . . . . . . 1,362,052 31,721,204
Shares outstanding:
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82,255,593 50,534,389
---------------------------------
End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83,617,645 82,255,593
---------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
81
<PAGE> 84
NOTES TO FINANCIAL STATEMENTS
NOTE 1 -- ORGANIZATION
The American General Series Portfolio Company (the "Series") consists of
thirteen separate investment portfolios (the "Funds"):
Stock Index Fund
MidCap Index Fund
Small Cap Index Fund
International Equities Fund
Growth Fund
Growth & Income Fund
Science & Technology Fund
Social Awareness Fund
Timed Opportunity Fund
Capital Conservation Fund
Government Securities Fund
International Government Bond Fund
Money Market Fund
The Series is registered under the Investment Company Act of 1940 (the
"1940 Act"), as amended, as an open-end management investment company. Each
Fund is diversified with the exception of International Government Bond Fund
which is non-diversified as defined by the 1940 Act.
NOTE 2 -- SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in accordance with generally
accepted accounting principles ("GAAP"). GAAP requires accruals which
occasionally are based upon management estimates. The following is a summary of
significant accounting policies consistently followed by each Fund in the
preparation of its financial statements.
A. INVESTMENT VALUATION
Securities listed or traded on a national exchange are valued daily at
their last reported sale price. In the absence of any exchange sales on that
day and for unlisted issues, securities are valued at the last sale price on
the NASDAQ National Market System. In the absence of any National Market System
sales on that day, securities are valued at the last reported bid price.
However, options written for which other over-the-counter market quotations are
readily available are valued at the last reported asked price, in the absence
of any National Market System sales on that day. Futures contracts, options
thereon, and options on stock indexes are valued at the amount which would be
received upon a current disposition of such investments (i.e., their fair
market value), in the absence of any sales on that day. Short term debt
securities for which market quotations are readily available are valued at the
last reported bid price. However, any short term security with a remaining
maturity of 60 days or less and all investments of the Money Market Fund are
valued by the amortized cost method which approximates fair market value.
Investments for which market quotations are not readily available are valued at
fair value as determined in good faith by, or under authority delegated by, the
Series' Board of Directors.
B. OPTIONS AND FUTURES
CALL AND PUT OPTIONS. When a Fund writes a call or a put option, an amount
equal to the premium received is recorded as a liability. The liability is
"marked to market" daily to reflect the current market value of the option
written. When a written option expires, the Fund realizes a gain in the amount
of the premium originally received. If the Fund enters into a closing purchase
transaction, the Fund realizes a gain or loss in the amount of the original
premium less the cost of the closing transaction. If a written call option is
exercised, the Fund realizes a gain or loss from the sale of the underlying
security, and the proceeds from such sale are increased by the premium
originally received. If a written put option is exercised, the amount of the
premium originally received reduces the cost of the security which the Fund
purchases upon exercise of the option.
Purchased options are recorded as investments. If a purchased option
expires, the Fund realizes a loss in the amount of the cost of the option. If
the Fund enters into a closing transaction, it realizes a gain (or loss), to
the extent that the proceeds from the sale are greater (or less) than the cost
of the option. If the Fund exercises a put option, it realizes a gain or loss
from the sale of the underlying security by adjusting the proceeds from such
sale by the amount of the premium originally paid. If the Fund exercises a call
option, the cost of the security purchased upon exercise is increased by the
premium originally paid.
FUTURES CONTRACTS. The initial margin deposit made upon entering into a
futures contract is held by the custodian, in a segregated account, in the name
of the broker (the Fund's agent in acquiring the futures position). During the
period the futures contract is open, changes in the value of the contract are
recognized as unrealized gains or losses by "marking to market" on a daily
basis to reflect the market value of the contract at the end of each day's
trading. Variation margin payments are received or made daily, as unrealized
gains or losses are incurred. When the contract is closed, the Fund realizes a
gain or loss in the amount of the cost of or proceeds from the closing
transaction less the Fund's basis in the contract.
C. REPURCHASE AGREEMENTS
The seller of a repurchase agreement collateralizes the agreement with
securities delivered to the Fund's custodian bank. The Adviser determines, on a
daily basis, that the seller maintains collateral of at least 100% of the
repurchase proceeds due to the Fund at maturity.
82
<PAGE> 85
NOTES TO FINANCIAL STATEMENTS - CONTINUED
D. FOREIGN CURRENCY TRANSLATION
The accounting records of each Fund are maintained in U.S. dollars.
Transactions denominated in foreign currencies ("local currencies") are
translated into U.S. dollars at prevailing exchange rates on transaction date.
Net realized gains or losses on foreign currency transactions include
exchange rate gains and losses from disposition of foreign currencies, currency
gains and losses realized between trade and settlement dates of security
transactions, and currency gains and losses realized on settlement of other
assets and liabilities settled in local currencies.
In determining realized and unrealized gains or losses on foreign
securities for the period, the Funds do not isolate exchange rate fluctuations
from local security price fluctuations. Foreign currencies and other assets and
liabilities denominated in local currencies are marked-to-market daily to
reflect fluctuations in foreign exchange rates.
E. FEDERAL INCOME TAXES
Each Fund intends to qualify as a "regulated investment company" under
Subchapter M of the Internal Revenue Code and to distribute all of its taxable
net investment income and taxable net realized capital gains, in excess of any
available capital loss carryovers. Therefore no federal income tax provision is
required.
F. INVESTMENT TRANSACTIONS AND RELATED INVESTMENT INCOME
Investment transactions are accounted for on the trade date. Realized gains
and losses are determined on the basis of identified cost. Dividend income is
recorded on the ex-dividend date, except for dividend income on certain foreign
securities which is recorded when the Fund becomes aware of the dividend.
Interest income on investments is accrued daily.
G. DISTRIBUTIONS TO SHAREHOLDERS
Distributions to shareholders are recorded on the record date. The Funds
declare distributions from net investment income monthly, except for the Money
Market Fund, which declares daily. Capital gains distributions are declared
annually.
Investment income and capital gains and losses are recognized in accordance
with generally accepted accounting principles ("book"). Distributions from net
investment income and realized capital gains are based on earnings as
determined in accordance with federal tax regulations ("tax") which may differ
from book basis earnings. At the end of the year, offsetting adjustments to
undistributed net investment income and undistributed net realized gains
(losses) are made to eliminate permanent book/tax differences arising in the
current year.
NOTE 3 -- ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
VALIC (the "Adviser") serves as investment adviser to the Series. VALIC is
an indirect wholly-owned subsidiary of American General Corporation, Houston,
Texas. On May 1, 1992, the Adviser entered into a sub-advisory agreement with
Bankers Trust Company ("Bankers Trust"), a wholly-owned subsidiary of Bankers
Trust New York Corporation, to serve as investment sub-adviser to Stock Index
Fund, MidCap Index Fund, and Small Cap Index Fund. On April 29, 1994, the
Adviser entered into sub-advisory agreements with T. Rowe Price Associates,
Inc. to serve as investment sub-adviser to Growth Fund and Science & Technology
Fund, and with Value Line, Inc., to serve as investment sub-adviser to Growth &
Income Fund. Sub-advisers are compensated for such services by the Adviser.
The Adviser receives from the Series a monthly fee based on each Fund's
average daily net asset value at the following annual rates: for Stock Index
Fund, MidCap Index Fund, Small Cap Index Fund and International Equities Fund
.35% on the first $500 million and .25% on the excess over $500 million; for
Social Awareness Fund, Timed Opportunity Fund, Capital Conservation Fund,
Government Securities Fund, International Government Bond Fund, and Money
Market Fund, .50%; for Growth & Income Fund, .75%; for Growth Fund, .80%; for
Science & Technology Fund, .90%.
To the extent that any Fund's accrued expenses for a given month exceed, on
an annualized basis, 2% of the Fund's average daily net assets, the Adviser
will voluntarily reduce expenses of any such Fund by the amount of the excess.
The Adviser may withdraw this voluntary undertaking upon 30 days written notice
to the Series.
The Adviser provided to the Series, at cost, certain services associated
with the printing of reports to shareholders. During the fiscal year ended May
31, 1996, the Series paid $11,346 for such services.
83
<PAGE> 86
NOTES TO FINANCIAL STATEMENTS - CONTINUED
During the fiscal year ended May 31, 1996, security transactions were
affected between the following Funds at the then current market price with no
brokerage commissions incurred:
<TABLE>
<CAPTION>
SELLER PURCHASER COST TO PURCHASER NET GAIN TO SELLER
- -------------------- ------------------ ----------------- ------------------
<S> <C> <C> <C>
MidCap Index Fund Stock Index Fund $28,226,166 $12,399,050
Small Cap Index Fund Stock Index Fund 504,002 226,144
Stock Index Fund MidCap Index Fund 1,366,776 305,069
</TABLE>
At May 31, 1996, VALIC Separate Account A (a registered separate account of
VALIC) and VALIC owned over five percent of the outstanding shares of the
following Funds:
<TABLE>
<CAPTION>
VALIC
SEPARATE
ACCOUNT A VALIC
-------------------------------
<S> <C> <C>
Stock Index Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96.71%
MidCap Index Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99.99
Small Cap Index Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100.00
International Equities Fund . . . . . . . . . . . . . . . . . . . . . . . . . 99.79
Growth Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100.00
Growth & Income Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100.00
Science & Technology Fund . . . . . . . . . . . . . . . . . . . . . . . . . . 100.00
Social Awareness Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93.75 6.15
Timed Opportunity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . 95.80
Capital Conservation Fund . . . . . . . . . . . . . . . . . . . . . . . . . . 86.46 13.53
Government Securities Fund . . . . . . . . . . . . . . . . . . . . . . . . . 99.99
International Government Bond Fund . . . . . . . . . . . . . . . . . . . . . 100.00
Money Market Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99.99
</TABLE>
Certain officers and directors of the Series are officers and directors of
VALIC or American General Corporation.
NOTE 4 -- INVESTMENT ACTIVITY
The information in the following table is presented on the basis of cost for
federal income tax purposes at May 31, 1996.
<TABLE>
<CAPTION>
IDENTIFIED COST GROSS GROSS NET UNREALIZED
OF INVESTMENTS UNREALIZED UNREALIZED APPRECIATION
OWNED APPRECIATION DEPRECIATION (DEPRECIATION)
-----------------------------------------------------------------
<S> <C> <C> <C> <C>
Stock Index Fund . . . . . . . . . . . . . . . . . $ 1,174,279,541 $600,372,776 $ 18,484,892 $ 581,887,884
MidCap Index Fund . . . . . . . . . . . . . . . . . 425,520,351 134,570,016 20,008,235 114,561,781
Small Cap Index Fund . . . . . . . . . . . . . . . 141,045,064 50,440,203 10,490,245 39,949,958
International Equities Fund . . . . . . . . . . . . 171,638,403 37,477,950 5,565,641 31,912,309
Growth Fund . . . . . . . . . . . . . . . . . . . . 348,568,897 79,476,648 4,867,867 74,608,781
Growth & Income Fund . . . . . . . . . . . . . . . 90,067,864 22,074,119 660,421 21,413,698
Science & Technology Fund . . . . . . . . . . . . . 472,425,328 99,960,251 9,741,746 90,218,505
Social Awareness Fund . . . . . . . . . . . . . . . 68,762,614 12,225,726 301,152 11,924,574
Timed Opportunity Fund . . . . . . . . . . . . . . 173,704,456 18,686,247 3,252,293 15,433,954
Capital Conservation Fund . . . . . . . . . . . . . 72,012,185 503,613 2,330,570 (1,826,957)
Government Securities Fund . . . . . . . . . . . . 78,006,868 877,603 1,599,981 (722,378)
International Government Bond Fund . . . . . . . . 136,957,375 5,668,394 5,010,618 657,776
Money Market Fund . . . . . . . . . . . . . . . . . 84,483,112 - - -
</TABLE>
The following net realized capital loss carryforwards at May 31, 1996, may
be utilized to offset future capital gains.
<TABLE>
<CAPTION>
Capital Loss Expiration
Carryforward through:
------------------------------
<S> <C> <C>
Capital Conservation Fund . . . . . . . . . . . . . $ 684,782 May 31, 2003
Government Securities Fund . . . . . . . . . . . . 2,108,943 May 31, 2003
Money Market Fund . . . . . . . . . . . . . . . . . 3,089 May 31, 2004
</TABLE>
84
<PAGE> 87
NOTES TO FINANCIAL STATEMENTS - CONTINUED
During the period, the cost of purchases and proceeds from sales of securities,
excluding short term securities were:
<TABLE>
<CAPTION>
COST OF PROCEEDS FROM
SECURITIES SECURITIES SOLD
PURCHASED OR MATURED
-------------------------------
<S> <C> <C>
Stock Index Fund . . . . . . . . . . . . . . . . . $ 185,755,541 $ 48,056,029
MidCap Index Fund . . . . . . . . . . . . . . . . . 121,059,415 99,926,017
Small Cap Index Fund . . . . . . . . . . . . . . . 51,734,809 45,235,038
International Equities Fund . . . . . . . . . . . . 41,054,511 60,995,970
Growth Fund . . . . . . . . . . . . . . . . . . . . 309,740,347 78,243,468
Growth & Income Fund . . . . . . . . . . . . . . . 80,614,303 43,570,790
Science &Technology Fund . . . . . . . . . . . . . 599,767,616 371,663,283
Social Awareness Fund . . . . . . . . . . . . . . . 88,654,719 77,415,553
Timed Opportunity Fund . . . . . . . . . . . . . . 210,212,347 189,984,026
Capital Conservation Fund . . . . . . . . . . . . . 58,210,552 54,266,155
Government Securities Fund . . . . . . . . . . . . 41,904,685 23,090,632
International Government Bond Fund . . . . . . . . 83,031,737 12,191,448
</TABLE>
NOTE 5 -- PORTFOLIO SECURITIES LOANED
To realize additional income, a Fund may lend portfolio securities with a
value of up to 30% (33 1/3% in the case of Growth Fund and Science & Technology
Fund) of its total assets. Any such loans will be continuously secured by
collateral consisting of cash or U.S. Government securities, maintained in a
segregated account, at least equal to the market value of the securities
loaned. The risks in lending portfolio securities, as with other extensions of
secured credit, consist of possible delays in receiving additional required
collateral or in the recovery of the securities or possible loss of rights in
the collateral should the borrower fail financially. Loans by a Fund will only
be made to broker-dealers deemed by the Adviser to be creditworthy and will not
be made unless, in the judgment of the Adviser, the consideration to be earned
from such loans would justify the risk. Each Fund receives income earned on the
securities loaned during the lending period and a portion of the interest or
rebate earned on the collateral received.
Portfolio securities on loan at May 31, 1996 are summarized as follows:
<TABLE>
<CAPTION>
MARKET VALUE COLLATERAL VALUE
-------------------------------
<S> <C> <C>
Stock Index Fund . . . . . . . . . . . . . . . . . . $ 6,372,938 $ 6,544,600
MidCap Index Fund . . . . . . . . . . . . . . . . . . 15,123,225 15,626,308
Small Cap Index Fund . . . . . . . . . . . . . . . . 10,518,612 11,363,511
International Equities Fund . . . . . . . . . . . . . 10,459,357 10,748,363
Growth Fund . . . . . . . . . . . . . . . . . . . . . 29,632,062 30,100,020
Growth & Income Fund . . . . . . . . . . . . . . . . 3,411,700 3,580,400
Science & Technology Fund . . . . . . . . . . . . . . 19,788,864 20,277,108
Social Awareness Fund . . . . . . . . . . . . . . . . 527,112 540,518
Timed Opportunity Fund . . . . . . . . . . . . . . . 802,267 832,575
Capital Conservation Fund . . . . . . . . . . . . . . 890,484 909,290
Government Securities Fund . . . . . . . . . . . . . 494,575 510,813
----------------------------
Total . . . . . . . . . . . . . . . . . . . . . . $ 98,021,196 $101,033,506
----------------------------
</TABLE>
NOTE 6 -- INVESTMENT CONCENTRATION
A significant portion of Government Securities Fund's investments may be in
U.S. Government sponsored securities. No assurance can be given that the U.S.
Government will provide support to such U.S. Government sponsored agencies or
instrumentalities in the future since it is not required to do so by law. As a
result of the Fund's concentration in such investments, it may be subject to
risks associated with U.S. Government sponsored securities. At May 31, 1996,
Government Securities Fund had 59% of its net assets invested in such
securities.
At May 31, 1996, International Government Bond Fund had 21% of its net
assets invested in securities issued by the Government of Japan and an
additional 6% in issues of companies located in Japan and/or denominated in
Japanese Yen. Future economic and political developments in a foreign country
could adversely affect the liquidity and value of foreign securities or the
currency exchange rates from which foreign currencies are translated.
85
<PAGE> 88
FINANCIAL HIGHLIGHTS
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
annualized.
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
------------------------------------------------------------
1996 1995 1994 1993 1992
------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
STOCK INDEX FUND
PER SHARE DATA
Net asset value at beginning of period . . . . . . . . . $16.81 $14.39 $14.36 $13.34 $12.60
------------------------------------------------------------
Income from investment operations:
Net investment income . . . . . . . . . . . . . . . 0.39 0.37 0.35 0.34 0.32
Net realized and unrealized gain on securities . . . 4.26 2.45 0.12 1.20 0.74
------------------------------------------------------------
Total income from investment operations . . . . . . 4.65 2.82 0.47 1.54 1.06
------------------------------------------------------------
Distributions:
Distributions from net investment income . . . . . . (0.38) (0.37) (0.35) (0.34) (0.32)
Distributions from net realized gain on securities . (0.39) (0.03) (0.09) (0.18)
------------------------------------------------------------
Total distributions . . . . . . . . . . . . . . . . (0.77) (0.40) (0.44) (0.52) (0.32)
------------------------------------------------------------
Net asset value at end of period . . . . . . . . . . . . $20.69 $16.81 $14.39 $14.36 $13.34
------------------------------------------------------------
TOTAL RETURN . . . . . . . . . . . . . . . . . . . . . . 28.17% 19.98% 3.29% 11.74% 8.57%
------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets . . . . . . . 0.35% 0.38% 0.39% 0.43% 0.50%
Ratio of net investment income to average net assets . 2.05% 2.44% 2.44% 2.52% 3.12%
Portfolio turnover rate . . . . . . . . . . . . . . . 3% 14% 3% 1% 45%
Number of shares outstanding at end of period (000's). 85,117 75,451 75,494 66,224 55,598
Net assets at end of period (000's) . . . . . . . . . $1,760,786 $1,267,992 $1,086,459 $951,200 $741,667
Average net assets during the period (000's) . . . . . $1,498,398 $1,140,085 $1,030,581 $836,510 $167,262
</TABLE>
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
------------------------------------------------------------
1996 1995 1994 1993 1992
------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MIDCAP INDEX FUND(1)
PER SHARE DATA
Net asset value at beginning of period . . . . . . . . . $15.68 $14.54 $14.38 $12.86 $12.51
------------------------------------------------------------
Income from investment operations:
Net investment income . . . . . . . . . . . . . . . 0.24 0.26 0.23 0.24 0.23
Net realized and unrealized gain on securities . . . 4.06 1.59 0.28 1.93 0.39
------------------------------------------------------------
Total income from investment operations . . . . . . 4.30 1.85 0.51 2.17 0.62
------------------------------------------------------------
Distributions:
Distributions from net investment income . . . . . . (0.24) (0.26) (0.23) (0.24) (0.23)
Distributions from net realized gain on securities . (0.65) (0.45) (0.12) (0.41) (0.04)
------------------------------------------------------------
Total distributions . . . . . . . . . . . . . . . . (0.89) (0.71) (0.35) (0.65) (0.27)
------------------------------------------------------------
Net asset value at end of period . . . . . . . . . . . . $19.09 $15.68 $14.54 $14.38 $12.86
------------------------------------------------------------
TOTAL RETURN . . . . . . . . . . . . . . . . . . . . . . 28.10% 13.26% 3.52% 17.21% 5.01%
------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets . . . . . . . 0.41% 0.44% 0.46% 0.47% 0.54%
Ratio of net investment income to average net assets . 1.36% 1.73% 1.62% 1.79% 1.82%
Portfolio turnover rate . . . . . . . . . . . . . . . 21% 23% 17% 5% 112%
Number of shares outstanding at end of period (000's) 28,322 25,988 24,001 14,673 8,862
Net assets at end of period (000's) . . . . . . . . . $540,688 $407,557 $349,041 $210,931 $113,992
Average net assets during the period (000's) . . . . . $477,372 $376,486 $285,247 $154,979 $ 88,456
</TABLE>
(1) Effective October 1, 1991, the Fund's name was changed from Capital
Accumulation Fund to MidCap Index Fund. Additionally, on October 1, 1991,
the investment objectives and investment program for the Fund were changed.
SEE NOTES TO FINANCIAL STATEMENTS.
86
<PAGE> 89
FINANCIAL HIGHLIGHTS - CONTINUED
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
annualized.
<TABLE>
<CAPTION>
PERIOD FROM
FISCAL YEAR ENDED MAY 31, MAY 1, 1992
------------------------------------------------- TO
1996 1995 1994 1993 MAY 31,1992
------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SMALL CAP INDEX FUND
PER SHARE DATA
Net asset value at beginning of period . . . . . . . . . $ 12.49 $ 11.52 $ 11.28 $ 9.93 10.00(1)
------------------------------------------------------------
Income (loss) from investment operations:
Net investment income . . . . . . . . . . . . . . . 0.20 0.17 0.13 0.15 0.02
Net realized and unrealized gain (loss) on securities 4.04 0.97 0.58 1.48 (0.07)
------------------------------------------------------------
Total income (loss) from investment operations . . . 4.24 1.14 0.71 1.63 (0.05)
------------------------------------------------------------
Distributions:
Distributions from net investment income . . . . . . (0.20) (0.17) (0.13) (0.15) (0.02)
Distributions from net realized gain on securities . (0.28) (0.34) (0.13)
------------------------------------------------------------
Total distributions . . . . . . . . . . . . . . . . (0.48) (0.17) (0.47) (0.28) (0.02)
------------------------------------------------------------
Net asset value at end of period . . . . . . . . . . . . $16.25 $ 12.49 $ 11.52 $ 11.28 $ 9.93
------------------------------------------------------------
TOTAL RETURN . . . . . . . . . . . . . . . . . . . . . . 34.50% 9.98% 6.18% 16.64% (0.50)%
------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets . . . . . . . 0.41% 0.44% 0.47% 0.47% 0.04%
Ratio of net investment income to average net assets . 1.36% 1.44% 1.10% 1.40% 0.21%
Portfolio turnover rate . . . . . . . . . . . . . . . 31% 34% 16% 20% 0%
Number of shares outstanding at end of period (000's) 11,129 10,136 9,381 3,687 1,107
Net assets at end of period (000's) . . . . . . . . . $180,785 $126,567 $108,050 $41,581 $10,989
Average net assets during the period (000's) . . . . . $150,448 $120,298 $ 70,690 $22,142 $10,989
</TABLE>
(1) The net asset value at the beginning of the period is as of commencement of
operations on May 1, 1992.
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
------------------------------------------------------------
1996 1995 1994 1993 1992
------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INTERNATIONAL EQUITIES FUND
PER SHARE DATA
Net asset value at beginning of period . . . . . . . . . $10.42 $10.14 $ 8.99 $ 8.03 $ 8.58
------------------------------------------------------------
Income (loss) from investment operations:
Net investment income . . . . . . . . . . . . . . . 0.17 0.15 0.11 0.18 0.15
Net realized and unrealized gain (loss) on securities
and foreign currencies . . . . . . . . . . . . . . 0.97 0.34 1.17 0.93 (0.55)
------------------------------------------------------------
Total income (loss) from investment operations . . . 1.14 0.49 1.28 1.11 (0.40)
------------------------------------------------------------
Distributions:
Distributions from net investment income . . . . . . (0.17) (0.15) (0.11) (0.15) (0.15)
Distributions from net realized gain on securities . (0.24) (0.06) (0.02)
------------------------------------------------------------
Total distributions . . . . . . . . . . . . . . . . (0.41) (0.21) (0.13) (0.15) (0.15)
------------------------------------------------------------
Net asset value at end of period . . . . . . . . . . . . $11.15 $10.42 $10.14 $ 8.99 $ 8.03
------------------------------------------------------------
TOTAL RETURN . . . . . . . . . . . . . . . . . . . . . . 11.14% 4.92% 14.31% 14.18% (4.69)%
------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets . . . . . . . 0.42% 0.45% 0.47% 0.53% 0.65%
Ratio of net investment income to average net assets . 1.65% 1.47% 1.43% 2.33% 1.84%
Portfolio turnover rate . . . . . . . . . . . . . . . 20% 14% 7% 9% 5%
Number of shares outstanding at end of period (000's) 18,497 20,074 17,273 7,429 4,256
Net assets at end of period (000's) . . . . . . . . . $206,259 $209,091 $175,183 $66,809 $34,182
Average net assets during the period (000's) . . . . . $204,792 $199,235 $117,264 $45,509 $26,542
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
87
<PAGE> 90
FINANCIAL HIGHLIGHTS - CONTINUED
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
Annualized.
<TABLE>
<CAPTION>
PERIOD FROM
FISCAL YEAR ENDED MAY 31, APRIL 29, 1994
--------------------------- TO
GROWTH FUND 1996 1995 MAY 31, 1994
--------------------------------------------
<S> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period . . . . . . . . . . . . . . . . . . $ 11.43 $ 9.87 $ 10.00(1)
--------------------------------------------
Income (loss) from investment operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . 0.11 0.04 0.01
Net realized and unrealized gain (loss) on securities . . . . . 5.27 1.56 (0.13)
--------------------------------------------
Total income (loss) from investment operations . . . . . . . . . 5.38 1.60 (0.12)
--------------------------------------------
Distributions:
Distributions from net investment income . . . . . . . . . . . . (0.09) (0.04) (0.01)
Distributions from net realized gain (loss) on securities . . . (0.23)
--------------------------------------------
Total distributions . . . . . . . . . . . . . . . . . . . . . . (0.32) (0.04) (0.01)
--------------------------------------------
Net asset value at end of period . . . . . . . . . . . . . . . . . . . . . $ 16.49 $ 11.43 $ 9.87
--------------------------------------------
TOTAL RETURN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47.46% 16.25% (1.19)%
--------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets . . . . . . . . . . . . . 0.83% 0.91% 0.08%
Ratio of net investment income to average net assets . . . . . . . 0.89% 0.41% 0.11%
Portfolio turnover rate . . . . . . . . . . . . . . . . . . . . . 36% 61% 0%
Number of shares outstanding at end of period (000's) . . . . . . 25,826 8,800 1,001
Net assets at end of period (000's) . . . . . . . . . . . . . . . $ 425,787 $ 100,614 $ 9,885
Average net assets during the period (000's) . . . . . . . . . . . $ 238,228 $ 42,232 $ 9,944
</TABLE>
(1) The net asset value at the beginning of the period is as of
commencement of operations on April 29, 1994.
<TABLE>
<CAPTION>
PERIOD FROM
FISCAL YEAR ENDED MAY 31, APRIL 29, 1994
--------------------------- TO
1996 1995 MAY 31, 1994
GROWTH & INCOME FUND --------------------------------------------
<S> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period . . . . . . . . . . . . . . . . . . $ 11.09 $ 9.87 $ 10.00(1)
--------------------------------------------
Income (loss) from investment operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . 0.08 0.09 0.02
Net realized and unrealized gain (loss) on securities . . . . . 3.77 1.22 (0.13)
--------------------------------------------
Total income (loss) from investment operations . . . . . . . . . 3.85 1.31 (0.11)
--------------------------------------------
Distributions:
Distributions from net investment income . . . . . . . . . . . . (0.07) (0.09) (0.02)
Distributions from net realized gain (loss) on securities . . . (0.09)
--------------------------------------------
Total distributions . . . . . . . . . . . . . . . . . . . . . . (0.16) (0.09) (0.02)
--------------------------------------------
Net asset value at end of period . . . . . . . . . . . . . . . . . . . . . $ 14.78 $ 11.09 $ 9.87
--------------------------------------------
TOTAL RETURN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34.85% 13.35% (1.11)%
--------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets . . . . . . . . . . . . . 0.79% 0.86% 0.07%
Ratio of net investment income to average net assets . . . . . . . 0.63% 0.93% 0.22%
Portfolio turnover rate . . . . . . . . . . . . . . . . . . . . . 64% 97% 11%
Number of shares outstanding at end of period (000's) . . . . . . 7,685 3,867 1,002
Net assets at end of period (000's) . . . . . . . . . . . . . . . $ 113,546 $ 42,867 $ 9,890
Average net assets during the period (000's) . . . . . . . . . . . $ 75,158 $ 21,910 $ 9,946
</TABLE>
(1) The net asset value at the beginning of the period is as of
commencement of operations on April 29, 1994.
SEE NOTES TO FINANCIAL STATEMENTS.
88
<PAGE> 91
FINANCIAL HIGHLIGHTS - CONTINUED
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
annualized.
<TABLE>
<CAPTION>
PERIOD FROM
FISCAL YEAR ENDED MAY 31, APRIL 29, 1994
--------------------------- TO
1996 1995 MAY 31, 1994
SCIENCE & TECHNOLOGY FUND --------------------------------------------
<S> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period . . . . . . . . . . . . . . . . . . $ 14.43 $ 9.83 $ 10.00(1)
--------------------------------------------
Income (loss) from investment operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . 0.00 0.03 0.00
Net realized and unrealized gain (loss) on securities and
foreign currencies . . . . . . . . . . . . . . . . . . . . 8.08 4.72 (0.17)
--------------------------------------------
Total income (loss) from investment operations . . . . . . . . . 8.08 4.75 (0.17)
--------------------------------------------
Distributions:
Distributions from net investment income . . . . . . . . . . . . (0.00) (0.02) 0.00
Distributions from net realized gain on securities . . . . . . . (2.03) (0.13) 0.00
--------------------------------------------
Total distributions . . . . . . . . . . . . . . . . . . . . . . (2.03) (0.15) 0.00
--------------------------------------------
Net asset value at end of period . . . . . . . . . . . . . . . . . . . . . $20.48 $ 14.43 $ 9.83
--------------------------------------------
TOTAL RETURN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58.28% 48.61% (1.66)%
--------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets . . . . . . . . . . . . . 0.94% 1.00% 0.08%
Ratio of net investment income to average net assets . . . . . . . (0.07)% 0.36% 0.04%
Portfolio turnover rate . . . . . . . . . . . . . . . . . . . . . 116% 121% 0%
Number of shares outstanding at end of period (000's) . . . . . . 27,696 11,550 1,001
Net assets at end of period (000's) . . . . . . . . . . . . . . . $ 567,187 $166,683 $ 9,834
Average net assets during the period (000's) . . . . . . . . . . . $ 363,087 $ 64,974 $ 9,918
</TABLE>
(1) The net asset value at the beginning of the period is as of
commencement of operations on April 29, 1994.
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
---------------------------------------------
SOCIAL AWARENESS FUND 1996 1995 1994 1993 1992
---------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period . . . . . . . . . . . . . . . . $ 13.02 $ 11.98 $ 12.12 $ 11.43 $ 11.13
---------------------------------------------
Income from investment operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . 0.26 0.27 0.26 0.24 0.26
Net realized and unrealized gain (loss) on securities . . . . . . . 3.37 1.75 (0.02) 1.22 0.30
---------------------------------------------
Total income from investment operations . . . . . . . . . . . . . . 3.63 2.02 0.24 1.46 0.56
---------------------------------------------
Distributions:
Distributions from net investment income . . . . . . . . . . . . . (0.25) (0.27) (0.26) (0.24) (0.26)
Distributions from net realized gain on securities . . . . . . . . (0.91) (0.71) (0.12) (0.53)
---------------------------------------------
Total distributions . . . . . . . . . . . . . . . . . . . . . . . . (1.16) (0.98) (0.38) (0.77) (0.26)
---------------------------------------------
Net asset value at end of period . . . . . . . . . . . . . . . . . . . $ 15.49 $ 13.02 $ 11.98 $ 12.12 $ 11.43
---------------------------------------------
TOTAL RETURN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28.85% 18.19% 1.97% 13.08% 5.08%
---------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets . . . . . . . . . . . . . . . 0.56% 0.58% 0.60% 0.63% 0.16%
Ratio of net investment income to average net assets . . . . . . . . 1.80% 2.22% 2.19% 2.14% 2.34%
Portfolio turnover rate . . . . . . . . . . . . . . . . . . . . . . . 117% 148% 83% 106% 203%
Number of shares outstanding at end of period (000's) . . . . . . . . 5,220 4,143 3,817 2,819 1,799
Total net assets at end of period (000's) . . . . . . . . . . . . . . $80,887 $53,927 $ 45,729 $34,166 $ 20,570
Average net assets during the period (000's) . . . . . . . . . . . . $66,888 $47,942 $ 41,002 $26,920 $ 15,365
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
89
<PAGE> 92
FINANCIAL HIGHLIGHTS - CONTINUED
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
annualized.
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
----------------------------------------------
TIMED OPPORTUNITY FUND 1996 1995 1994 1993 1992
----------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period . . . . . . . . . . . . . . . . $ 11.24 $ 10.84 $ 11.18 $ 10.66 $ 11.05
----------------------------------------------
Income from investment operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . 0.44 0.44 0.37 0.35 0.30
Net realized and unrealized gain (loss) on securities . . . . . . . 1.53 0.82 (0.15) 0.61 (0.19)
----------------------------------------------
Total income from investment operations . . . . . . . . . . . . . . 1.97 1.26 0.22 0.96 0.11
----------------------------------------------
Distributions:
Distributions from net investment income . . . . . . . . . . . . . (0.44) (0.44) (0.37) (0.35) (0.30)
Distributions from net realized gain on securities . . . . . . . . (0.22) (0.42) (0.19) (0.09) (0.20)
----------------------------------------------
Total distributions . . . . . . . . . . . . . . . . . . . . . . . . (0.66) (0.86) (0.56) (0.44) (0.50)
----------------------------------------------
Net asset value at end of period . . . . . . . . . . . . . . . . . . . $ 12.55 $ 11.24 $ 10.84 $ 11.18 $ 10.66
----------------------------------------------
TOTAL RETURN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17.90% 12.43% 1.86% 9.17% 0.87%
----------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets . . . . . . . . . . . . . . . 0.57% 0.58% 0.59% 0.70% 0.90%
Ratio of net investment income to
average net assets . . . . . . . . . . . . . . . . . . . . . . . . 3.62% 4.03% 3.24% 3.28% 2.72%
Portfolio turnover rate . . . . . . . . . . . . . . . . . . . . . . . 119% 133% 76% 78% 111%
Number of shares outstanding at end of period (000's) . . . . . . . . 15,142 16,319 17,956 14,758 13,341
Total net assets at end of period (000's) . . . . . . . . . . . . . . $190,024 183,393 $194,576 165,002 $142,213
Average net assets during the period (000's) . . . . . . . . . . . . $187,576 186,487 $185,036 151,450 $137,179
</TABLE>
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
----------------------------------------------
CAPITAL CONSERVATION FUND 1996 1995 1994 1993 1992
----------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period . . . . . . . . . . . . . . . . $ 9.52 $ 9.13 $ 9.87 $ 9.29 $ 8.81
----------------------------------------------
Income (loss) from investment operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . 0.62 0.63 0.61 0.65 0.69
Net realized and unrealized gain (loss) on securities . . . . . . . (0.29) 0.39 (0.69) 0.58 0.48
----------------------------------------------
Total income (loss) from investment operations . . . . . . . . . . 0.33 1.02 (0.08) 1.23 1.17
----------------------------------------------
Distributions:
Distributions from net investment income . . . . . . . . . . . . . (0.62) (0.63) (0.61) (0.65) (0.69)
Distributions from net realized gain on securities . . . . . . . . (0.05)
----------------------------------------------
Total distributions . . . . . . . . . . . . . . . . . . . . . . . . (0.62) (0.63) (0.66) (0.65) (0.69)
----------------------------------------------
Net asset value at end of period . . . . . . . . . . . . . . . . . . . $ 9.23 $ 9.52 $ 9.13 $ 9.87 $ 9.29
----------------------------------------------
TOTAL RETURN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.41% 11.80% (1.13)% 13.60% 13.72%
----------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets . . . . . . . . . . . . . . . 0.57% 0.58% 0.59% 0.67% 0.77%
Ratio of net investment income to average net assets . . . . . . . . 6.47% 6.88% 6.24% 6.77% 7.80%
Portfolio turnover rate . . . . . . . . . . . . . . . . . . . . . . . 80% 100% 55% 58% 121%
Number of shares outstanding at end of period (000's) . . . . . . . . 7,604 6,935 6,712 5,095 3,939
Total net assets at end of period (000's) . . . . . . . . . . . . . . $ 70,212 $66,031 $ 61,305 $50,290 $ 36,609
Average net assets during the period (000's) . . . . . . . . . . . . $ 70,271 $61,568 $ 59,210 $43,316 $ 29,793
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
90
<PAGE> 93
FINANCIAL HIGHLIGHTS - CONTINUED
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
annualized.
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
----------------------------------------------
GOVERNMENT SECURITIES FUND 1996 1995 1994 1993 1992
----------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period . . . . . . . . . . . . . . . . $ 9.89 $ 9.55 $ 10.30 $ 9.84 $ 9.34
----------------------------------------------
Income (loss) from investment operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . 0.61 0.60 0.55 0.61 0.65
Net realized and unrealized gain (loss) on securities . . . . . . . (0.28) 0.35 (0.59) 0.59 0.49
----------------------------------------------
Total income (loss) from investment operations . . . . . . . . . . 0.33 0.95 (0.04) 1.20 1.14
----------------------------------------------
Distributions:
Distributions from net investment income . . . . . . . . . . . . . (0.61) (0.61) (0.55) (0.61) (0.64)
Distributions from net realized gain on securities . . . . . . . . (0.16) (0.13)
----------------------------------------------
Total distributions . . . . . . . . . . . . . . . . . . . . . . . . (0.61) (0.61) (0.71) (0.74) (0.64)
----------------------------------------------
Net asset value at end of period . . . . . . . . . . . . . . . . . . . $ 9.61 $ 9.89 $ 9.55 $ 10.30 $ 9.84
----------------------------------------------
TOTAL RETURN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.32% 10.43% (0.66)% 12.56% 12.60%
----------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets . . . . . . . . . . . . . . . 0.56% 0.58% 0.59% 0.67% 0.76%
Ratio of net investment income to average net assets . . . . . . . . 6.21% 6.36% 5.44% 6.08% 6.77%
Portfolio turnover rate . . . . . . . . . . . . . . . . . . . . . . . 36% 229% 85% 105% 78%
Number of shares outstanding at end of period (000's) . . . . . . . . 8,164 5,478 4,544 3,110 2,090
Total net assets at end of period (000's) . . . . . . . . . . . . . . $ 78,423 $54,174 $ 43,401 $32,023 $ 20,559
Average net assets during the period (000's) . . . . . . . . . . . . $ 68,017 $45,200 $ 41,596 $26,145 $1 7,069
</TABLE>
<TABLE>
<CAPTION>
PERIOD FROM
OCTOBER 1,
FISCAL YEAR ENDED MAY 31, 1991 TO
------------------------------------ MAY 31,
INTERNATIONAL GOVERNMENT BOND FUND 1996 1995 1994 1993 1992
------------------------------------------------
<S> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period . . . . . . . . . . . . . . . . $ 12.72 $ 10.97 $ 11.16 $ 10.43 $ 10.00(1)
----------------------------------------------
Income (loss) from investment operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . 0.65 0.65 0.62 0.76 0.48
Net realized and unrealized gain (loss) on securities
and foreign currencies . . . . . . . . . . . . . . . . . . . . . (0.89) 1.80 (0.20) 0.70 0.42
----------------------------------------------
Total income (loss) from investment operations . . . . . . . . . . (0.24) 2.45 0.42 1.46 0.90
----------------------------------------------
Distributions:
Distributions from net investment income . . . . . . . . . . . . . (0.68) (0.70) (0.60) (0.73) (0.47)
Distributions from net realized gain on securities . . . . . . . . (0.01) (0.01)
----------------------------------------------
Total distributions . . . . . . . . . . . . . . . . . . . . . . . (0.69) (0.70) (0.61) (0.73) (0.47)
----------------------------------------------
Net asset value at end of period . . . . . . . . . . . . . . . . . . . $11.79 $ 12.72 $ 10.97 $ 11.16 $ 10.43
----------------------------------------------
TOTAL RETURN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1.91)% 23.23% 3.87% 14.50% 9.18%
----------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets . . . . . . . . . . . . . . . 0.56% 0.59% 0.48% 0.14% 0.08%
Ratio of net investment income to average net assets . . . . . . . . 5.45% 5.83% 5.87% 7.02% 4.62%
Portfolio turnover rate . . . . . . . . . . . . . . . . . . . . . . . 11% 6% 3% 26% 12%
Number of shares outstanding at end of period (000's) . . . . . . . . 12,073 6,111 3,741 2,062 1,259
Total net assets at end of period (000's) . . . . . . . . . . . . . . $142,383 $77,734 $ 41,028 $23,009 $ 13,126
Average net assets during the period (000's) . . . . . . . . . . . . $114,693 $51,451 $ 33,561 $18,135 $ 11,938
</TABLE>
(1) The net asset value at the beginning of the period is as of
commencement of operations on October 1, 1991.
SEE NOTES TO FINANCIAL STATEMENTS.
91
<PAGE> 94
FINANCIAL HIGHLIGHTS - CONTINUED
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
annualized.
<TABLE>
<CAPTION>
FISCAL YEAR ENDED May 31,
----------------------------------------------
MONEY MARKET FUND 1996 1995 1994 1993 1992
----------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period . . . . . . . . . . . . . . . . $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------------------------------------------
Income from investment operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . 0.05 0.05 0.03 0.03 0.05
----------------------------------------------
Distributions:
Distributions from net investment income . . . . . . . . . . . . . (0.05) (0.05) (0.03) (0.03) (0.05)
----------------------------------------------
Net asset value at end of period . . . . . . . . . . . . . . . . . . . $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------------------------------------------
TOTAL RETURN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.26% 4.90% 2.83% 2.85% 4.47%
----------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets . . . . . . . . . . . . . . . 0.57% 0.57% 0.58% 0.63% 0.67%
Ratio of net investment income to average net assets . . . . . . . . 5.14% 4.75% 2.78% 2.81% 4.42%
Number of shares outstanding at end of period (000's) . . . . . . . . 83,618 82,256 50,534 45,323 48,355
Total net assets at end of period (000's) . . . . . . . . . . . . . . $ 83,618 $82,254 $ 50,533 $45,322 $ 48,353
Average net assets during the period (000's) . . . . . . . . . . . . $ 84,271 $67,021 $ 46,222 $45,562 $ 46,305
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
92
<PAGE> 95
REPORT OF INDEPENDENT AUDITORS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
AMERICAN GENERAL SERIES PORTFOLIO COMPANY
We have audited the accompanying statements of net assets of Stock Index Fund,
MidCap Index Fund, Small Cap Index Fund, International Equities Fund, Growth
Fund, Growth & Income Fund, Science & Technology Fund, Social Awareness Fund,
Timed Opportunity Fund, Capital Conservation Fund, Government Securities Fund,
International Government Bond Fund, and Money Market Fund (such "Funds"
comprising the American General Series Portfolio Company) as of May 31, 1996.
We have also audited for each of the Funds the related statement of operations
for the year ended May 31, 1996, the statement of changes in net assets for
each of the two years in the period ended May 31, 1996, and the financial
highlights for each of the periods indicated therein. These financial
statements and financial highlights are the responsibility of the Company's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of May
31, 1996, by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective Funds comprising the American General Series Portfolio
Company at May 31, 1996, the results of their operations and the changes in
their net assets for the periods identified above, and the financial highlights
for each of the periods indicated therein, in conformity with generally
accepted accounting principles.
ERNST & YOUNG LLP
Houston, Texas
July 12, 1996
93
<PAGE> 96
AMERICAN GENERAL SERIES PORTFOLIO COMPANY
BOARD OF DIRECTORS SHAREHOLDER SERVICE AGENT
Stephen D. Bickel The Variable Annuity Life
Norman Hackerman Insurance Company (VALIC)
John W. Lancaster 2929 Allen Parkway
Ben H. Love Houston, Texas 77019
Joe C. Osborne
F. Robert Paulsen OFFICERS
Peter V. Tuters Stephen D. Bickel,
R. Miller Upton Chairman and President
Thomas L. West, Jr. Thomas L. West, Jr.,
Executive Vice President
DISTRIBUTOR Norman Jaskol,
The Variable Annuity Marketing Vice President and
Company (VAMCO) Senior Investment Officer
2929 Allen Parkway Brent C. Nelson,
Houston, Texas 77019 Vice President
Teresa S. Moro,
CUSTODIAN Vice President and
State Street Bank and Trust Company Investment Officer
225 Franklin Street John W. Mossbarger,
Boston, Massachusetts 02110 Vice President and
Investment Officer
INVESTMENT ADVISER Leon A. Olver,
The Variable Annuity Life Vice President and
Insurance Company (VALIC) Investment Officer
2929 Allen Parkway William Trimbur, Jr.,
Houston, Texas 77019 Vice President and
Investment Officer
INVESTMENT SUB-ADVISERS Cynthia A. Toles,
Bankers Trust Company General Counsel
280 Park Avenue and Secretary
New York, New York 10017 Gregory R. Seward,
Treasurer and Controller
T. Rowe Price Associates, Inc. Betty J. North,
100 East Pratt Street Assistant Vice President
Baltimore, Maryland 21202 David H. den Boer,
Assistant Secretary
Value Line, Inc. Debra A. Yeang,
220 East 42nd Street Assistant Treasurer
New York, New York 10017-5891 Kay Kramer,
Assistant Controller
INDEPENDENT AUDITORS
Ernst & Young LLP
1221 McKinney
Houston, Texas 77010
This report is for the information of the shareholders and variable
contract owners participating in the American General Series Portfolio Company.
It is authorized for distribution to other persons only when preceded or
accompanied by an effective prospectus which contains information on how to
purchase shares and other pertinent information.
If you would like further information about this material or products
issued by VALIC or American General Life Insurance Company, please contact your
account representative.
"Standard & Poor's(R)", "Standard & Poor's MidCap 400 Index" and "S&P 500(R)"
are trademarks of Standard & Poor's Corporation. The Stock Index Fund and
MidCap Index Fund are not sponsored, endorsed, sold or promoted by S&P and S&P
makes no representation regarding the advisability of investing in the funds.
The Russell 2000(R) Index is a trademark / service mark of the Frank Russell
Company. Russell(TM) is a trademark of the Frank Russell Company.
[VALIC LOGO]
(C)1996 The Variable Annuity Life Insurance Company, Houston, Texas
VALIC is a registered service mark of The Variable Annuity Life Insurance
Company
VA 9530 VER 5/96
<PAGE> 97
AMERICAN GENERAL SERIES PORTFOLIO COMPANY -----------------
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P.O. Box 3206 U.S. Postage
Houston, Texas 772-3206 PAID
Permit No. 6748
Houston, Texas
-----------------
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VA 9530 VER 5/96
