ANNUAL REPORT MAY 31, 1995
AMERICAN
GENERAL
SERIES
PORTFOLIO
COMPANY
<PAGE>
AMERICAN GENERAL SERIES PORTFOLIO COMPANY ANNUAL REPORT MAY 31, 1995
TABLE OF CONTENTS
President's Letter.................................................... 1
Stock Index Fund...................................................... 5
MidCap Index Fund..................................................... 13
Small Cap Index Fund.................................................. 20
International Equities Fund........................................... 38
Growth Fund........................................................... 45
Growth & Income Fund.................................................. 48
Science & Technology Fund............................................. 53
Social Awareness Fund................................................. 56
Timed Opportunity Fund................................................ 62
Capital Conservation Fund............................................. 70
Government Securities Fund............................................ 74
International Government Bond Fund.................................... 76
Money Market Fund..................................................... 80
Notes to Financial Statements......................................... 83
Financial Highlights.................................................. 87
Report of Independent Auditors........................................ 94
<PAGE>
AGSPC PRESIDENT'S LETTER
We are pleased to provide the May 31, 1995 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, 1995.
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 and bond returns for the fiscal year ended May 31, 1995 were very
positive. The Standard & Poor's 500 Index (S&P 500 Registration Mark) provided a
total return of 20.19% and the Merrill Lynch Corporate Master Bond Index
returned 13.37%. The increases in interest rates, by the Federal Reserve Board,
had a negative effect on the bond market early in the year. Yields on long term
government bonds increased from a low of 7.2% in June 1994 to a high of 8.2% in
November. Higher interest rates began to affect the economy adversely. Economic
reports began to suggest a slowdown that encouraged investors to buy bonds. The
yield on the long term bond began a decline in November reaching a low of 6.6%
at the end of May.
The stock market fluctuated in the first half of the year with a 4.9% return for
the S&P 500 in the first quarter followed by a negative return of 3.9% in the
second quarter. Beginning in December, as interest rates started to decline, the
S&P 500 accelerated to an 8.2% return in the third quarter and a 10.2% return
for the three months ended May 31, 1995.
International returns, as measured by the Morgan Stanley Capital International
Index of Europe, Australia, Far East (EAFE) trailed U.S. stock performance. The
relatively low total return of 4.93% resulted from the decline of Japanese
equities. This fall is illustrated by the Nikkei 225 Index that dropped from
20,644 in June 1994 to 15,437 on May 31, 1995.
FUND RETURNS
INDEXED FUNDS
The four index funds had positive tracking of their respective indexes. The
tracking was also very close. The maximum variance was 0.44% by the
International Equities Fund and the smallest variance was 0.11% by the Small Cap
Index Fund. Other tracking differences were 0.17% by the Stock Index Fund and
0.20% by the MidCap Index Fund. These variances are shown in the chart on
Page 3.
MANAGED FUNDS
The managed funds varied more significantly from their respective benchmarks.
For the most part this was due to uneven performance of industries or sectors.
Large companies with substantial international activities outperformed medium
and small sized companies in the equity market. However, both large and small
technology companies did especially well. The bond markets were also the scene
of uneven performance. Sharply rising yields through November 1994 were followed
by a sharp decline in the second half of the fiscal year.
The Growth Fund had an excellent performance on an absolute basis for the year.
Very large companies that dominate the index outperformed the smaller and medium
sized companies that predominate in growth portfolios. Also, multinational and
cyclical companies did well in the expectation that the former would benefit
from the decline in the value of the dollar and the latter would benefit from
the economic "soft landing." The fund's approach is to invest in rapidly
growing, noncyclical domestic growth companies operating primarily in service
businesses.
The Growth & Income Fund lagged the S&P 500 Index largely because of holding a
large number of mid-sized companies and an average cash position of 10%. The
mid-sized companies performed in line with the Standard & Poor's (Registration
Mark) MidCap 400 Index (MidCap 400) and the cash position detracted from
performances during this period of rising stock prices. A policy limiting cash
holdings to half the Value Line model began in April.
The Science & Technology Fund produced an outstanding gain. The fundamental
attraction of the science and technology sector lies in its increasing
pervasiveness in both business and personal activities. Companies need these
products to deal with increasing competition and to increase productivity.
Individuals are using computers for information, entertainment, aspects of
household management and education. Many products' functionality is enhanced by
electronic sensors and switches. Biotechnology companies are providing improved
therapies through drug and other advances. These trends should continue to
provide opportunities for investors in this sector.
1
The Social Awareness Fund lagged the S&P 500 Index by 1.42%. Industry weightings
in the portfolio accounted for most of the variance from the index. Benefits
were derived from underweighting in international oil and motor vehicles while
lower weightings of aerospace and pharmaceuticals proved disadvantageous.
Tobacco stocks were positive contributors to the index and absent from the
portfolio by policy.
The Timed Opportunity Fund was 253 basis points behind its benchmark of 55%
stocks, 35% bonds and 10% cash. The tracking difference in the declining
environment of the quarter ended November 30 was positive. However, the high
cash defensive position, recommended by the Bankers Trust Tactical Asset
Allocation model caused the fund to underperform in the quarters when bond and
stock prices were rising.
The Capital Conservation Fund lagged the Merrill Lynch Corporate Master Bond
Index by ninety-nine basis points for the year. Performance was close to the
index in the November and February quarters but slipped in August and May time
frames. This was due to underperformance of some corporate holdings.
The Government Securities Fund outperformed the Lehman Brothers U.S. Treasury
Index by nineteen basis points. Performance varied about the index in each
quarter but the net result was positive. The fund succeeded in capturing all of
the near 11% gain in the government securities market in the last half of the
year.
The International Government Bond Fund had a negative tracking difference of
eighty-six basis points. The tracking difference was due to some
underperformance of the German market for a short period. The underperformance
was due to underexposure to maturities that acted well in a yield curve
reshaping. Absolute performance of 23.82% for the year resulted from a
combination of bond market recoveries and currency gains from the weak dollar.
The Money Market Fund surpassed its benchmark by 103 basis points. This was the
result of judicious adjustment of the fund's average maturity during a period of
wide ranging short term interest rates. The average maturity was reduced to
thirty-two days at the end of calendar 1994 and increased to more than
forty-five days in the early months of 1995.
FUTURE OUTLOOK
Domestic fixed income markets declined through November of 1994 and rose through
the rest of the fiscal year. Increasing signs that the economy is weakening
should cause the Federal Reserve Board to take a positive stance and begin
reducing interest rates. Should that occur through the remainder of this year
and the early part of 1996 it will be very positive for fixed income investors.
Equity markets have appreciated sharply since the beginning of 1995 and a
correction could be in store. Nevertheless, long term equity investors have been
well rewarded and a dollar cost averaging program should continue to serve them
well.
Going forward, the funds should provide returns consistent with their respective
market orientation.
Respectfully,
STEPHEN D. BICKEL
Stephen D. Bickel, President
American General Series
Portfolio Company
July 14, 1995
2
<PAGE>
FUND RETURNS AND TRACKING DIFFERENCES
FOR THE TWELVE MONTHS ENDED MAY 31, 1995
<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 .............................. 19.98% 0.38% 20.36% 20.19% 0.17%
MidCap Index Fund / MidCap 400 .......................... 13.26 0.44 13.70 13.50 0.20
Small Cap Index Fund / Russell 200 (Registration Mark) .. 9.98 0.44 10.42 10.31 0.11
International Equities Fund / EAFE ...................... 4.92 0.45 5.37 4.93 0.44
MANAGED FUNDS:
Growth Fund / S&P 500 ................................... 16.25 0.91 17.16 20.19 (3.03)
Growth & Income Fund / S&P 500 .......................... 13.35 0.86 14.21 20.19 (5.98)
Science & Technology Fund / S&P 500 ..................... 48.61 1.00 49.61 20.19 29.42
Social Awareness Fund / S&P 500 ......................... 18.19 0.58 18.77 20.19 (1.42)
Timed Opportunity Fund / Benchmark(b) ................... 12.43 0.58 13.01 15.54 (2.53)
Capital Conservation Fund / Merrill Lynch
Corporate Master Bond ................................. 11.80 0.58 12.38 13.37 (0.99)
Government Securities Fund / Lehman Bros U.S. Treasury .. 10.43 0.58 11.01 10.82 0.19
Intl Gov't Bond Fund / Salomon Non U.S. Gov't Bond ...... 23.23 0.59 23.82 24.68 (0.86)
Money Market Fund / 30 Day Certificate of Deposit
Primary Offering Rate by New York City Banks
(NYC 30 Day CD Rate) .................................. 4.90 0.57 5.47 4.44 1.03
</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>
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, 1994 MAY 31, 6/1/94 TO 12/1/94 TO
FUND 1994 (UNAUDITED) 1995 11/30/94 5/31/95
---- ------- ----------- ------ --------- ----------
<S> <C> <C> <C> <C> <C>
Stock Index (emulate S & P 500)............................... $ 14.39 $14.32 $16.81 $ 0.18 $0.22
MidCap Index (emulate MidCap 400)............................. 14.54 14.33 15.68 0.13 0.58
Small Cap Index (emulate Russell 2000)........................ 11.52 11.25 12.49 0.08 0.09
International Equities (foreign long term growth stocks)...... 10.14 10.05 10.42 0.06 0.15
Growth Fund (long term growth of capital)..................... 9.87 9.87 11.43 0.01 0.03
Growth & Income Fund (long term growth of capital
and current income)......................................... 9.87 9.73 11.09 0.04 0.05
Science & Technology Fund (long term growth of capital)....... 9.83 12.13 14.43 0.00 0.15
Social Awareness (social criteria growth stocks).............. 11.98 11.67 13.02 0.14 0.84
Timed Opportunity (asset allocation).......................... 10.84 10.65 11.24 0.21 0.65
Capital Conservation (quality corporate bonds)................ 9.13 8.76 9.52 0.32 0.31
Government Securities (intermediate and
long term government bonds)............................... 9.55 9.24 9.89 0.29 0.32
International Government Bond (high quality
foreign government debt securities)....................... 10.97 11.05 12.72 0.31 0.39
Money Market (money market instruments)....................... 1.00 1.00 1.00 0.02 0.03
</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
STOCK INDEX FUND MAY 31, 1995 STATEMENT OF NET ASSETS
NUMBER MARKET
OF SHARES VALUE
--------- -------------
COMMON STOCKS - 99.02%
ADVERTISING - 0.06%
21,700 Interpublic Group of Cos Inc ....................... $ 800,188
-------------
AEROSPACE/DEFENSE - 2.20%
112,350 Boeing Co .......................................... 6,614,606
29,000 EG & G Inc ......................................... 525,625
18,880 General Dynamics Corp .............................. 826,000
70,684 Lockheed Corp ...................................... 4,205,698
23,700 Loral Corp ......................................... 1,134,638
43,200 McDonnell Douglas Corp ............................. 3,121,200
11,900 Northrop Corp ...................................... 623,263
41,700 Raytheon Co ........................................ 3,231,750
63,700 Rockwell International Corp ........................ 2,906,313
16,600 TRW Inc ............................................ 1,309,325
44,700 United Technologies Corp ........................... 3,391,613
-------------
27,890,031
-------------
AIRLINES - 0.33%
24,400 * AMR Corp ........................................... 1,665,300
14,000 Delta Air Lines Inc ................................ 911,750
55,200 Southwest Airlines Co .............................. 1,221,300
41,400 * US Air Group Inc ................................... 367,425
-------------
4,165,775
-------------
APPAREL & PRODUCTS - 0.06%
16,500 * Fruit of the Loom Inc Class A ...................... 439,313
15,900 Liz Claiborne ...................................... 282,225
-------------
721,538
-------------
APPLIANCES/FURNISHINGS - 0.18%
12,975 Bassett Furniture Industries Inc ................... 350,325
21,800 Maytag Corp ........................................ 354,250
27,800 Whirlpool Corp ..................................... 1,588,075
-------------
2,292,650
-------------
AUTO - CARS - 2.00%
114,100 Chrysler Corp ...................................... 4,977,613
299,000 Ford Motor Co ...................................... 8,745,750
242,200 General Motors Corp ................................ 11,625,600
-------------
25,348,963
-------------
AUTO - REPLACEMENT PARTS - 0.44%
18,700 Cooper Tire & Rubber Co ............................ 453,475
14,300 Echlin Inc ......................................... 514,800
45,600 Genuine Parts Co ................................... 1,789,800
55,100 Goodyear Tire & Rubber Co .......................... 2,327,975
15,800 Pep Boys Manny Moe & Jack Co ....................... 440,425
-------------
5,526,475
-------------
BANKS - NEW YORK CITY - 1.54%
55,800 Bank of New York Inc ............................... 2,273,850
57,000 Chase Manhattan Corp ............................... 2,636,250
78,534 Chemical Banking Corp .............................. 3,622,381
126,500 Citicorp ........................................... 6,767,750
60,700 J P Morgan & Co Inc ................................ 4,302,113
-------------
19,602,344
-------------
BANKS - OTHER - 1.66%
44,200 Bank of Boston Corp ................................ 1,613,300
120,268 BankAmerica Corp ................................... 6,284,003
33,300 First Chicago Corp ................................. 1,910,588
60,700 First Union Corp ................................... 2,974,300
45,300 Fleet Financial Group Inc .......................... 1,579,838
37,800 Mellon Bank Corp ................................... 1,615,950
43,600 National City Corp ................................. 1,324,350
26,800 U S Bancorp Oregon ................................. 659,950
16,800 Wells Fargo & Co ................................... 3,091,200
-------------
21,053,479
-------------
BANKS - REGIONAL - 2.69%
133,471 Banc One Corp ...................................... 4,638,117
37,500 Barnett Banks Inc .................................. 1,860,938
41,800 Boatmens Bancshares Inc ............................ 1,363,725
41,500 Corestates Financial Corp .......................... 1,379,875
23,000 First Fidelity Bancorp Inc ......................... 1,221,875
30,300 First Interstate Bancorp Inc ....................... 2,545,200
92,670 Keycorp ............................................ 2,838,019
88,902 NationsBank Corp ................................... 5,034,076
60,350 NBD Bancorp Inc .................................... 1,984,006
114,100 Norwest Corp ....................................... 3,237,588
87,200 PNC Bank Corp ...................................... 2,354,400
48,300 Shawmut National Corp .............................. 1,400,700
36,100 SunTrust Banks Inc ................................. 2,093,800
55,513 Wachovia Corp ...................................... 2,102,555
-------------
34,054,874
-------------
BEVERAGE - BREWERS/
DISTRIBUTORS - 0.76%
11,900 Adolph Coors Class B ............................... 205,275
86,200 Anheuser Busch Cos Inc ............................. 5,096,575
18,915 Brown-Forman Corp Class B .......................... 628,924
121,700 Seagram Ltd ........................................ 3,651,000
-------------
9,581,774
-------------
BEVERAGE - SOFT DRINKS - 3.00%
413,200 Coca Cola Co ....................................... 25,566,750
254,500 Pepsico Inc ........................................ 12,470,500
-------------
38,037,250
-------------
BROADCASTING - 1.31%
47,000 Capital Cities/ABC Inc ............................. 4,535,500
25,370 CBS Inc ............................................ 1,699,790
71,850 Comcast Corp Class A ............................... 1,257,375
183,500 * Tele Communications Inc Class A .................... 3,876,438
112,900 * Viacom Inc Class B ................................. 5,263,963
-------------
16,633,066
-------------
BUILDING MATERIALS - 0.38%
8,900 Armstrong World Industries Inc ..................... 459,463
57,100 Lowes Cos Inc ...................................... 1,555,975
57,500 Masco Corp ......................................... 1,660,313
4,400 * Owens Corning Fiberglass Corp ...................... 159,500
28,200 Sherwin Williams Co ................................ 1,036,350
-------------
4,871,601
-------------
5
CHEMICAL - MAJOR - 2.66%
1,900 B F Goodrich Co .................................... $ 94,288
89,000 Dow Chemical Co .................................... 6,530,375
171,800 Du Pont E I De Nemours & Co ........................ 11,660,925
44,100 Hercules Inc ....................................... 2,315,250
41,400 Monsanto Co ........................................ 3,446,550
54,900 Morton International Inc ........................... 1,743,075
66,500 PPG Industries Inc ................................. 2,768,063
28,800 Praxair Inc ........................................ 716,400
16,600 Rohm & Haas Co ..................................... 977,325
56,100 Union Carbide Corp ................................. 1,640,925
28,200 W R Grace Co ....................................... 1,811,850
-------------
33,705,026
-------------
CHEMICAL - MISCELLANEOUS - 0.73%
41,100 Air Products & Chemicals Inc ....................... 2,183,438
30,637 Eastman Chemical Co ................................ 1,838,220
9,000 Ecolab Inc ......................................... 228,375
8,200 * FMC Corp ........................................... 527,875
26,500 Great Lakes Chemical Corp .......................... 1,616,500
30,800 Mallinckrodt Group Inc ............................. 1,120,350
4,664 Millipore Corp ..................................... 306,075
20,300 Nalco Chemical Co .................................. 766,325
16,200 Sigma Aldrich ...................................... 712,800
-------------
9,299,958
-------------
CONGLOMERATES - 1.19%
98,700 Allied Signal Inc .................................. 3,985,013
24,000 Dial Corp .......................................... 588,000
36,000 ITT Corp ........................................... 4,027,500
3,900 Ogden Corp ......................................... 85,800
17,000 Teledyne Inc ....................................... 414,375
170 Teledyne Inc (Preferred) ........................... 2,359
60,100 Tenneco Inc ........................................ 2,884,800
24,300 Textron Inc ........................................ 1,479,263
21,200 Tyco International Ltd ............................. 1,147,450
25,900 Whitman Corp ....................................... 469,438
-------------
15,083,998
-------------
CONSUMER FINANCE - 0.13%
8,900 Beneficial Corp .................................... 396,050
36,600 MBNA Corp .......................................... 1,235,250
-------------
1,631,300
-------------
CONTAINERS - METAL/GLASS - 0.11%
4,700 Ball Corp .......................................... 156,275
25,300 * Crown Cork & Seal Inc .............................. 1,189,100
-------------
1,345,375
-------------
CONTAINERS - PAPER - 0.06%
6,500 Bemis Inc .......................................... 185,250
13,300 Temple Inland Inc .................................. 575,225
-------------
760,475
-------------
COSMETICS/TOILETRIES - 0.74%
3,400 Alberto Culver Co Class B .......................... 109,650
19,300 Avon Products Inc .................................. 1,300,338
74,900 Gillette Co ........................................ 6,319,688
34,800 International Flavors & Fragrances ................. 1,713,900
-------------
9,443,576
-------------
DRUGS - 5.32%
14,200 Allergan Inc ....................................... 378,075
16,400 * Alza Corp .......................................... 342,351
98,300 American Home Products Corp ........................ 7,237,338
42,700 * Amgen Inc .......................................... 3,095,750
164,100 Bristol Myers Squibb Co ............................ 10,892,138
93,900 Eli Lilly & Co ..................................... 7,007,288
404,400 Merck & Co Inc ..................................... 19,057,350
101,600 Pfizer Inc ......................................... 8,953,500
61,700 Schering Plough Corp ............................... 4,858,875
56,600 Upjohn Co .......................................... 2,058,825
43,300 Warner Lambert Co .................................. 3,588,488
-------------
67,469,978
-------------
ELECTRICAL EQUIPMENT - 3.56%
74,000 AMP Inc ............................................ 3,154,250
20,000 * Cabletron Systems Inc .............................. 1,070,000
77,300 Emerson Electric Co ................................ 5,314,375
549,400 General Electric Co ................................ 31,865,148
9,200 National Service Industries Inc .................... 265,650
20,200 Raychem Corp ....................................... 734,775
3,400 Thomas & Betts Corp ................................ 229,075
14,200 W W Grainger Inc ................................... 850,225
116,100 Westinghouse Electric Corp ......................... 1,683,450
-------------
45,166,948
-------------
ELECTRONIC INSTRUMENTS - 0.14%
22,800 General Signal Corp ................................ 843,600
9,000 * Intergraph Corp .................................... 121,500
19,400 Perkin Elmer Corp .................................. 674,150
3,600 Tektronix Inc ...................................... 165,600
-------------
1,804,850
-------------
ENTERTAINMENT - 1.42%
34,550 Hasbro Inc ......................................... 1,217,888
16,200 * King World Productions Inc ......................... 672,300
68,050 Mattel Inc ......................................... 1,701,250
130,000 Time Warner Inc .................................... 5,151,250
167,000 Walt Disney Co ..................................... 9,289,375
-------------
18,032,063
-------------
FERTILIZERS - 0.03%
17,000 First Mississippi Corp ............................. 393,125
-------------
FINANCE COMPANIES - 0.46%
23,500 Household International Inc ........................ 1,160,313
112,089 Travelers Inc ...................................... 4,735,760
-------------
5,896,073
-------------
FOODS - 2.82%
152,785 Archer Daniels Midland Co .......................... 2,826,523
83,000 Campbell Soup Co ................................... 4,077,375
87,250 Conagra Inc ........................................ 2,911,969
48,500 CPC International Inc .............................. 2,946,375
6
55,800 General Mills Inc .................................. $ 2,894,625
82,100 H J Heinz Co ....................................... 3,715,025
19,700 Hershey Foods Corp ................................. 1,017,013
73,800 Kellogg Co ......................................... 4,953,825
24,100 Pioneer Hi Bred International Inc .................. 945,925
45,000 Quaker Oats Co ..................................... 1,569,375
37,700 Ralston Purina Co .................................. 1,894,425
166,700 Sara Lee Corp ...................................... 4,646,763
31,300 Wm Wrigley Jr Co ................................... 1,416,325
-------------
35,815,543
-------------
FOOTWEAR - 0.17%
2,400 Brown Group Inc .................................... 52,500
17,000 Nike Inc Class B ................................... 1,340,875
20,700 Reebok International Ltd ........................... 693,450
3,800 Stride Rite Corp ................................... 42,750
-------------
2,129,575
-------------
FREIGHT - 0.10%
20,600 * Federal Express Corp ............................... 1,233,425
-------------
GOLD MINING - 0.47%
102,200 Barrick Gold Corp .................................. 2,580,550
21,800 Echo Bay Mines Ltd ................................. 194,838
53,900 Homestake Mining Co ................................ 909,563
88,900 Placer Dome Inc .................................... 2,244,725
-------------
5,929,676
-------------
GOVERNMENT SPONSORED - 0.98%
62,300 Federal Home Loan
Mortgage Corp .................................... 4,244,188
87,800 Federal National Mortgage
Association ..................................... 8,165,400
-------------
12,409,588
-------------
HARDWARE & TOOLS - 0.10%
22,200 Black & Decker Corp ................................ 732,600
7,700 Snap On Tools Corp ................................. 273,350
6,000 Stanley Works ...................................... 240,000
-------------
1,245,950
-------------
HEALTHCARE - 0.13%
51,400 U S Healthcare Inc ................................. 1,596,613
-------------
HEAVY DUTY TRUCKS/PARTS - 0.31%
17,500 Cummins Engine Inc ................................. 796,250
27,100 Dana Corp .......................................... 765,575
22,200 Eaton Corp ......................................... 1,356,975
11,910 * Navistar International Corp ........................ 184,605
16,355 Paccar Inc ......................................... 787,084
-------------
3,890,489
-------------
HOME BUILDERS - 0.07%
16,600 Centex Corp ........................................ 477,250
14,456 Kaufman & Broad Home Corp .......................... 204,191
7,900 Pulte Corp ......................................... 216,263
-------------
897,704
-------------
HOSPITAL MANAGEMENT - 0.49%
8,000 * Beverly Enterprises Inc ............................ 91,000
116,423 Columbia/HCA Healthcare Corp ....................... 4,758,790
8,950 * Community Psychiatric Centers ...................... 110,756
13,000 Manor Care Inc ..................................... 380,250
54,900 * Tenet Healthcare Corp .............................. 912,713
-------------
6,253,509
-------------
HOSPITAL SUPPLIES - 2.88%
262,700 Abbott Laboratories ................................ 10,508,000
23,900 Bausch & Lomb Inc .................................. 970,938
100,000 Baxter International Inc ........................... 3,487,500
23,200 Becton Dickinson & Co .............................. 1,334,000
29,000 * Biomet Inc ......................................... 431,375
42,200 * Boston Scientific Corp ............................. 1,213,250
8,400 C R Bard Inc ....................................... 247,800
206,500 Johnson & Johnson .................................. 13,680,625
42,000 Medtronic Inc ...................................... 3,160,500
20,300 * St Jude Medical Inc ................................ 918,575
25,700 United States Surgical Corp ........................ 530,063
-------------
36,482,626
-------------
HOUSEHOLD PRODUCTS - 3.11%
14,400 Clorox Co .......................................... 862,200
46,600 Colgate Palmolive Co ............................... 3,588,200
138,500 Minnesota Mining &
Manufacturing Co ................................. 8,292,688
59,000 Newell Co .......................................... 1,467,625
24,200 Premark International Inc .......................... 1,206,975
220,226 Procter & Gamble Co ................................ 15,828,744
47,900 Rubbermaid Inc ..................................... 1,526,813
52,300 Unilever N V - ADR ................................. 6,655,175
-------------
39,428,420
-------------
INFORMATION PROCESSING - 6.85%
53,500 * Amdahl Corp ........................................ 695,500
39,000 Apple Computer ..................................... 1,620,938
22,200 Autodesk Inc ....................................... 821,400
49,600 Automatic Data Processing Inc ...................... 3,087,600
3,800 * Ceridian Corp ...................................... 122,550
84,500 * Cisco Systems Inc .................................. 3,696,875
83,400 * Compaq Computer Corp ............................... 3,263,025
56,750 Computer Associates
International Inc ................................ 3,717,125
14,900 * Computer Sciences Corp ............................. 789,700
1,800 * Cray Research Inc .................................. 41,175
51,400 * Digital Equipment Corp ............................. 2,293,725
32,900 First Data Corp .................................... 1,899,975
39,200 H & R Block Inc .................................... 1,416,100
164,000 Hewlett Packard Co ................................. 10,844,500
35,300 Honeywell Inc ...................................... 1,398,763
188,700 International Business
Machine Corp ..................................... 17,596,275
20,000 * Lotus Development Corp ............................. 610,000
187,200 * Microsoft Corp ..................................... 15,853,500
118,000 * Novell Inc ......................................... 2,278,875
138,750 * Oracle Systems Corp ................................ 4,821,563
60,100 Pitney Bowes Inc ................................... 2,223,700
44,100 * Silicon Graphics Inc ............................... 1,714,388
7
30,600 * Sun Microsystems Inc ............................... $ 1,377,000
26,800 * Tandem Computers Inc ............................... 355,100
37,700 * Unisys Corp ........................................ 400,563
34,200 Xerox Corp ......................................... 3,877,425
-------------
86,817,340
-------------
INSURANCE - CASUALTY - 0.44%
32,300 Chubb Corp ......................................... 2,660,713
23,700 Safeco Corp ........................................ 1,392,375
24,300 St Paul Companies Inc .............................. 1,236,263
13,900 USF & G Corp ....................................... 239,775
-------------
5,529,126
-------------
INSURANCE - LIFE - 0.38%
20,250 Jefferson Pilot Corp ............................... 1,068,188
37,300 Lincoln National Corp .............................. 1,687,825
20,200 Torchmark Corp ..................................... 805,475
21,109 Transamerica Corp .................................. 1,261,263
1,700 USLIFE Corp ........................................ 68,425
-------------
4,891,176
-------------
INSURANCE - MISCELLANEOUS - 0.56%
3,200 Alexander & Alexander Services ..................... 81,200
27,600 General Reinsurance Corp ........................... 3,736,350
55,600 United Healthcare Corp ............................. 2,071,100
28,800 UNUM Corp .......................................... 1,231,200
-------------
7,119,850
-------------
INSURANCE - MULTILINE - 1.52%
40,100 Aetna Life & Casualty Co ........................... 2,390,963
101,612 American International Group Inc ................... 11,558,365
27,400 Cigna Corp ......................................... 2,048,150
21,700 Marsh & McLennan Cos Inc ........................... 1,727,863
41,400 Providian Corp ..................................... 1,505,925
-------------
19,231,266
-------------
LEISURE TIME - 0.05%
16,100 * Bally Entertainment Group .......................... 167,038
17,900 Brunswick Corp ..................................... 328,913
8,700 Outboard Marine Corp ............................... 175,088
-------------
671,039
-------------
LODGING - 0.30%
12,900 Hilton Hotels Corp ................................. 864,300
38,100 Marriott International Inc ......................... 1,290,638
39,200 * Promus Cos Inc ..................................... 1,641,500
-------------
3,796,438
-------------
MACHINE TOOLS - 0.01%
4,700 Cincinnati Milacron Inc ............................ 126,900
-------------
MACHINERY - AGRICULTURE - 0.23%
31,100 Deere & Co ......................................... 2,690,150
5,340 * Varity Corp ........................................ 230,288
-------------
2,920,438
-------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.48%
71,000 Caterpillar Inc .................................... 4,277,750
1,800 * Clark Equipment Co ................................. 154,575
30,300 Fluor Corp ......................................... 1,499,850
2,600 Foster Wheeler Corp ................................ 85,475
2,900 Harnischfeger Industries Inc ....................... 100,775
-------------
6,118,425
-------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.64%
14,600 Briggs & Stratton Corp ............................. 518,300
42,700 Cooper Industries Inc .............................. 1,579,900
16,200 Dover Corp ......................................... 1,063,125
33,600 Illinois Tool Works Inc ............................ 1,671,600
25,600 Ingersoll Rand Co .................................. 953,600
16,000 Johnson Controls Inc ............................... 916,000
21,633 Pall Corp .......................................... 475,926
10,900 Parker Hannifin Corp ............................... 622,663
6,400 Timken Corp ........................................ 269,600
1,600 Trinova Corp ....................................... 54,400
-------------
8,125,114
-------------
MERCHANDISE - DRUG - 0.21%
8,300 Longs Drug Stores Corp ............................. 291,538
24,200 Rite Aid Corp ...................................... 574,750
36,400 Walgreen Co ........................................ 1,751,750
-------------
2,618,038
-------------
MERCHANDISE - SPECIALTY - 1.45%
28,300 American Greetings Corp Class A .................... 799,475
29,500 Charming Shoppes Inc ............................... 129,063
27,100 Circuit City Stores Inc ............................ 745,250
53,000 Gap Inc ............................................ 1,821,875
145,600 Home Depot Inc ..................................... 6,060,600
4,100 Jostens Inc ........................................ 82,513
129,800 Limited Inc ........................................ 2,888,050
32,300 Melville Corp ...................................... 1,283,925
30,900 Nordstrom Inc ...................................... 1,282,350
16,800 Tandy Corp ......................................... 785,400
18,600 TJX Cos Inc ........................................ 248,775
89,225 * Toys R Us Inc ...................................... 2,252,931
-------------
18,380,207
-------------
MERCHANDISING - DEPARTMENT - 0.54%
25,900 Dayton Hudson Corp ................................. 1,835,663
30,800 Dillard Department Stores Inc
Class A .......................................... 885,500
86,200 May Department Stores Co ........................... 3,383,350
16,000 Mercantile Stores Inc .............................. 750,000
-------------
6,854,513
-------------
MERCHANDISING - FOOD - 0.70%
79,800 Albertsons Inc ..................................... 2,234,400
34,800 American Stores Co ................................. 909,150
15,400 Brunos Inc ......................................... 178,063
6,900 Fleming Cos Inc .................................... 178,538
8
15,500 Giant Foods Inc Class A ............................ $ 445,625
15,300 Great Atlantic & Pacific Tea Inc ................... 380,588
31,700 * Kroger Co .......................................... 824,200
16,700 Supervalu Inc ...................................... 473,863
64,100 Sysco Corp ......................................... 1,738,713
26,000 Winn Dixie Stores Inc .............................. 1,491,750
-------------
8,854,890
-------------
MERCHANDISING - MASS - 2.58%
81,400 J C Penney Inc ..................................... 3,835,975
145,900 K Mart Corp ........................................ 1,860,225
82,622 * Price Costco Inc ................................... 1,167,036
121,700 Sears Roebuck & Co ................................. 6,860,838
738,600 Wal Mart Stores Inc ................................ 18,465,000
35,000 * Woolworth Corp ..................................... 538,125
-------------
32,727,199
-------------
METALS - ALUMINUM - 0.46%
68,000 Alcan Aluminium Ltd ................................ 2,014,500
60,800 Aluminum Co of America ............................. 2,827,200
20,300 Reynolds Metal Co .................................. 1,002,313
-------------
5,844,013
-------------
METALS - COPPER - 0.24%
9,200 Asarco Inc ......................................... 265,650
32,649 Newmont Mining Corp ................................ 1,363,096
26,200 Phelps Dodge Corp .................................. 1,444,275
-------------
3,073,021
-------------
METALS - MISCELLANEOUS - 0.25%
31,350 Cyprus Amax Minerals Co ............................ 830,775
38,050 Englehard Corp ..................................... 1,583,831
29,700 Inco Ltd ........................................... 742,500
-------------
3,157,106
-------------
METALS - STEEL - 0.34%
22,300 * Armco Inc .......................................... 142,163
21,900 * Bethlehem Steel Corp ............................... 323,025
20,200 Inland Steel Industries ............................ 568,125
31,100 Nucor Corp ......................................... 1,485,025
29,620 USX US Steel Group ................................. 947,840
38,925 Worthington Industries Inc ......................... 812,559
-------------
4,278,737
-------------
MISCELLANEOUS - 0.48%
69,300 Corning Inc ........................................ 2,217,600
33,000 * CUC International Inc .............................. 1,212,750
17,500 Loews Corp ......................................... 2,080,313
21,450 Service Corp International ......................... 614,006
-------------
6,124,669
-------------
MOBILE HOMES - 0.02%
14,600 Fleetwood Enterprises Inc .......................... 302,950
-------------
NATURAL GAS - DIVERSIFIED - 0.24%
26,000 Coastal Corp ....................................... 815,750
11,200 Enserch Corp ....................................... 194,600
8,800 NorAm Energy Corp .................................. 58,300
47,929 Panhandle Eastern Corp ............................. 1,204,216
23,700 Sonat Inc .......................................... 779,138
-------------
3,052,004
-------------
OIL - INTEGRATED DOMESTIC - 2.68%
34,000 Amerada Hess Corp .................................. 1,725,500
159,700 Amoco Corp ......................................... 10,919,488
10,000 Ashland Oil Inc .................................... 371,250
51,700 Atlantic Richfield Co .............................. 6,003,663
47,300 Burlington Resources Inc ........................... 1,962,950
11,100 Kerr McGee Corp .................................... 618,825
111,700 Occidental Petroleum Corp .......................... 2,569,100
28,500 * Oryx Energy Corp ................................... 409,688
11,000 Pennzoil Co ........................................ 543,125
91,800 Phillips Petroleum Co .............................. 3,327,750
40,202 * Santa Fe Energy Resources Inc ...................... 391,970
26,800 Sun Co ............................................. 844,200
86,400 Unocal Corp ........................................ 2,559,600
87,000 USX Marathon Group ................................. 1,729,125
-------------
33,976,234
-------------
OIL - INTEGRATED
INTERNATIONAL - 6.24%
209,400 Chevron Corp ....................................... 10,286,775
399,100 Exxon Corp ......................................... 28,485,763
127,100 Mobil Corp ......................................... 12,757,663
172,300 Royal Dutch Petroleum Co - ADR ..................... 21,839,025
83,900 Texaco Inc ......................................... 5,747,150
-------------
79,116,376
-------------
OIL - SERVICES - 0.87%
50,100 Baker Hughes Inc ................................... 1,127,250
69,300 Dresser Industries Inc ............................. 1,585,238
42,500 Halliburton Co ..................................... 1,657,500
24,000 McDermott International Inc ........................ 630,000
79,500 Schlumberger Ltd ................................... 5,167,500
18,500 * Western Atlas Inc .................................. 834,813
-------------
11,002,301
-------------
OIL/GAS PRODUCERS - 0.03%
3,000 Helmerich & Payne Inc .............................. 89,625
8,700 Louisiana Land & Exploration Co .................... 337,125
-------------
426,750
-------------
PAPER/FOREST PRODUCTS - 1.88%
20,500 Alco Standard Corp ................................. 1,468,313
24,100 Avery Dennison Corp ................................ 994,125
8,366 Boise Cascade Corp ................................. 276,078
25,300 Champion International Corp ........................ 1,173,288
9,100 Federal Paper Board Inc ............................ 295,750
32,500 Georgia Pacific Corp ............................... 2,526,875
40,200 International Paper Co ............................. 3,160,725
24,300 James River Corp ................................... 656,100
56,900 Kimberly Clark Corp ................................ 3,414,000
41,600 Louisiana Pacific Corp ............................. 925,600
9
16,000 Mead Corp .......................................... $ 862,000
4,900 Potlatch Corp ...................................... 210,088
48,400 Scott Paper Co ..................................... 2,099,350
23,364 * Stone Container Corp ............................... 408,870
27,250 Union Camp Corp .................................... 1,413,594
17,900 Westvaco Corp ...................................... 765,225
72,800 Weyerhaeuser Co .................................... 3,194,100
-------------
23,844,081
-------------
PHOTOGRAPHY - 0.56%
111,450 Eastman Kodak Co ................................... 6,728,794
10,400 Polaroid Corp ...................................... 383,500
-------------
7,112,294
-------------
POLLUTION CONTROL - 0.59%
70,000 Browning Ferris Industries Inc ..................... 2,493,750
71,800 Laidlaw Inc ........................................ 664,150
50 Safety Kleen Corp .................................. 850
158,100 WMX Technologies Inc ............................... 4,308,225
-------------
7,466,975
-------------
PUBLISHING - NEWS - 0.56%
31,600 Dow Jones & Co Inc ................................. 1,153,400
47,600 Gannett Inc ........................................ 2,546,600
21,200 Knight-Ridder Inc .................................. 1,171,300
22,200 New York Times Co Class A .......................... 502,275
34,232 Times Mirror Co .................................... 795,894
15,600 Tribune Co ......................................... 930,150
-------------
7,099,619
-------------
PUBLISHING/PRINTING - 0.57%
13,900 Deluxe Corp ........................................ 443,063
59,400 Dun & Bradstreet Corp .............................. 3,148,200
19,217 Harcourt General Inc ............................... 809,516
12,000 McGraw Hill Inc .................................... 888,000
21,600 Moore Corp Ltd ..................................... 472,500
39,200 R R Donnelley & Sons Co ............................ 1,430,800
-------------
7,192,079
-------------
RAILROAD - 1.16%
28,800 Burlington Northern Inc ............................ 1,760,400
29,300 Conrail Inc ........................................ 1,582,200
36,800 CSX Corp ........................................... 2,806,000
48,300 Norfolk Southern Corp .............................. 3,308,550
32,875 Santa Fe Pacific Corp .............................. 805,438
45,309 Santa Fe Pacific Gold Corp ......................... 566,363
70,700 Union Pacific Corp ................................. 3,915,013
-------------
14,743,964
-------------
RESTAURANTS - 0.79%
55,800 * Darden Restaurants Inc ............................. 613,800
7,550 Lubys Cafeterias Inc ............................... 153,831
227,700 McDonalds Corp ..................................... 8,624,138
7,800 * Shoneys Inc ........................................ 84,825
30,000 Wendy's International Inc .......................... 513,750
-------------
9,990,344
-------------
SAVINGS & LOAN - 0.22%
25,100 Golden West Financial Corp ......................... 1,233,038
47,050 Great Western Financial Corp ....................... 1,029,219
24,900 H F Ahmanson & Co .................................. 566,475
-------------
2,828,732
-------------
SECURITIES RELATED - 1.06%
163,700 American Express Co ................................ 5,831,813
60,648 Dean Witter Discover & Co .......................... 2,888,361
65,100 Merrill Lynch & Co Inc ............................. 3,059,700
39,900 Salomon Inc ........................................ 1,635,900
-------------
13,415,774
-------------
SEMICONDUCTORS - 2.91%
37,000 * Advanced Micro Devices Inc ......................... 1,216,375
24,400 * Applied Materials Inc .............................. 1,878,800
133,200 Intel Corp ......................................... 14,951,700
66,000 Micron Technology Inc .............................. 2,945,250
188,400 Motorola Inc ....................................... 11,280,450
46,700 * National Semiconductor Corp ........................ 1,167,500
29,800 Texas Instruments Inc .............................. 3,445,625
-------------
36,885,700
-------------
TELECOMMUNICATIONS - 0.93%
158,600 * Airtouch Communications Inc ........................ 4,321,850
56,300 ALLTEL Corp ........................................ 1,386,388
10,327 * Andrew Corp ........................................ 503,441
42,200 * DSC Communications Corp ............................ 1,561,400
6,600 Harris Corp ........................................ 350,625
85,800 Northern Telecommunications Corp ................... 3,292,575
17,300 Scientific Atlanta Inc ............................. 322,213
-------------
11,738,492
-------------
TEXTILE - PRODUCTS - 0.09%
11,400 Russell Corp ....................................... 330,600
16,100 V F Corp ........................................... 857,325
-------------
1,187,925
-------------
TOBACCO - 1.95%
62,800 American Brands Inc ................................ 2,535,550
273,800 Philip Morris Cos Inc .............................. 19,953,175
73,300 UST Inc ............................................ 2,189,838
-------------
24,678,563
-------------
TRUCKERS - 0.12%
2,300 Consolidated Freightways Inc ....................... 54,625
14,200 Roadway Services Inc ............................... 663,850
15,900 Ryder System Inc ................................... 403,463
19,300 Yellow Corp ........................................ 366,700
-------------
1,488,638
-------------
UTILITIES - COMMUNICATION - 7.52%
184,400 Ameritech Corp ..................................... 8,182,750
504,226 AT & T Corp ........................................ 25,589,470
143,600 Bell Atlantic Corp ................................. 8,005,700
162,200 Bellsouth Corp ..................................... 9,955,025
309,200 GTE Corp ........................................... 10,319,550
218,400 MCI Communications Corp ............................ 4,422,600
10
142,500 Nynex Corp ......................................... $ 5,949,375
146,200 Pacific Telesis Group .............................. 3,910,850
192,700 SBC Communications Inc ............................. 8,671,500
119,200 Sprint Corp ........................................ 3,993,200
155,300 U S West Inc ....................................... 6,406,125
-------------
95,406,145
-------------
UTILITIES - ELECTRIC - 3.87%
50,600 American Electric Power Inc ........................ 1,733,050
35,200 Baltimore Gas & Electric Co ........................ 915,200
60,100 Carolina Power & Light Co .......................... 1,795,488
70,100 Central & South West Corp .......................... 1,805,075
41,164 Cinergy Corp ....................................... 1,095,992
71,500 Consolidated Edison Co New York .................... 2,136,063
42,300 Detroit Edison Co .................................. 1,274,288
57,650 Dominion Resources Inc ............................. 2,140,256
61,200 Duke Power Co ...................................... 2,555,100
86,000 Entergy Corp ....................................... 2,128,500
68,400 FPL Group Inc ...................................... 2,684,700
50,900 Houston Industries Inc ............................. 2,195,063
37,500 Niagara Mohawk Power Corp .......................... 553,125
26,000 Northern States Power Co ........................... 1,231,750
35,900 Ohio Edison Co ..................................... 785,313
148,000 Pacific Gas & Electric Co .......................... 4,292,000
83,900 PacifiCorp ......................................... 1,657,025
79,400 Peco Energy Co ..................................... 2,233,125
74,850 Public Service Enterprise Group .................... 2,226,788
163,800 SCE Corp ........................................... 2,846,025
213,600 Southern Co ........................................ 4,725,900
79,800 Texas Utilities Co ................................. 2,882,775
77,700 Unicom Corp ........................................ 2,117,325
28,800 Union Electric Co .................................. 1,090,800
-------------
49,100,726
-------------
UTILITIES - GAS, PIPELINE - 0.58%
13,000 * Columbia Gas System Inc ............................ 390,000
22,600 Consolidated Natural Gas Co ........................ 901,175
89,500 Enron Corp ......................................... 3,266,750
23,700 Nicor Inc .......................................... 631,013
18,300 Oneok Inc .......................................... 347,700
15,000 Pacific Enterprises ................................ 378,750
2,200 Peoples Energy Corp ................................ 58,850
40,100 Williams Cos Inc ................................... 1,363,400
-------------
7,337,638
-------------
UTILITIES - MISCELLANEOUS - 0.08%
32,600 General Public Utilities Corp ...................... 978,000
-------------
TOTAL COMMON STOCKS
(Cost $995,336,622)................................. 1,255,557,680
-------------
PAR MARKET
VALUE VALUE
---------- ----------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 0.62%
CHEMICAL - MAJOR - 0.62%
$7,831,000 Dow Chemical Co,
6.125% due 06/01/95
(Cost $7,831,000) ........................... $ 7,831,000
----------------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.04%
500,000 United States Treasury Bills,
5.735% due 06/22/95
(Cost $498,327) ............................. 498,327
----------------
TOTAL INVESTMENTS
(Cost $1,003,665,949) - 99.68% ................ 1,263,887,007
Other assets and liabilities,
net - 0.32% ................................. 4,105,106
----------------
NET ASSETS (equivalent
to $16.81 per share on
75,451,459 shares
outstanding) - 100% ......................... $ 1,267,992,113
================
* Non-income producing
UNREALIZED
CONTRACTS APPRECIATION
--------- ------------
FUTURES CONTRACTS PURCHASED (1)
36 (2) (Delivery month/Value at 05/31/95)
S&P 500 Index Futures
(June/$533.35) .................................. $ 153,925
==========
(1) U.S. Treasury Bills with a market value of approximately
$500,000 were maintained in a segregated account with a portion
placed as collateral for futures contracts.
(2) Per 500
-------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
75,451,459 shares outstanding ............................... $ 754,515
Additional paid in capital .................................... 977,091,642
Undistributed net realized gain on securities ................. 29,641,865
Undistributed net investment income ........................... 129,108
Unrealized appreciation of:
Investments ................................. $ 260,221,058
Futures ..................................... 153,925 260,374,983
-------------- --------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING .................................................. $1,267,992,113
==============
SEE NOTES TO FINANCIAL STATEMENTS.
11
<PAGE>
STOCK INDEX FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1995
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends ..................................................................................................... $ 31,651,326
Interest ...................................................................................................... 495,737
-------------
Total investment income ................................................................................... 32,147,063
-------------
EXPENSES:
Advisory fees ................................................................................................. 3,339,165
Custodian and accounting services ............................................................................. 593,597
Reports to shareholders ....................................................................................... 158,278
Audit fees .................................................................................................... 87,320
Directors' fees and expenses .................................................................................. 47,279
Miscellaneous ................................................................................................. 100,866
-------------
Total expenses ............................................................................................ 4,326,505
-------------
NET INVESTMENT INCOME ......................................................................................... 27,820,558
=============
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain on:
Investments ......................................................................... $ 29,316,029
Futures contracts ................................................................... 990,600 30,306,629
-------------
Net unrealized appreciation (depreciation) of securities during the year:
Investments ......................................................................... 154,874,674
Futures contracts ................................................................... (221,975) 154,652,699
------------- -------------
Net realized and unrealized gain on securities during the year .......................................... 184,959,328
=============
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............................................................. $ 212,779,886
=============
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
OPERATIONS: 1995 1994
--------------- ---------------
<S> <C> <C>
Net investment income .................................................................... $ 27,820,558 $ 25,156,154
Net realized gain on securities .......................................................... 30,306,629 1,982,546
Net unrealized appreciation of securities during the year ................................ 154,652,699 4,385,716
--------------- ---------------
Increase in net assets resulting from operations ..................................... 212,779,886 31,524,416
=============== ===============
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income .................................................................... (27,954,349 (25,158,972)
Net realized gain on securities .......................................................... (2,497,235) (6,369,631)
--------------- ---------------
Decrease in net assets resulting from distributions to shareholders .................. (30,451,584 (31,528,603)
=============== ===============
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold ......................................................... 100,308,445 153,824,377
Proceeds from capital stock issued for distributions reinvested .......................... 30,451,584 31,528,603
--------------- ---------------
130,760,029 185,352,980
Cost of capital stock repurchased ........................................................ (131,555,447) (50,090,059)
--------------- ---------------
Increase (decrease) in net assets resulting from capital stock transactions .......... (795,418) 135,262,921
=============== ===============
TOTAL INCREASE IN NET ASSETS ............................................................. 181,532,884 135,258,734
NET ASSETS:
Beginning of year ........................................................................ 1,086,459,229 951,200,495
--------------- ---------------
End of year (including undistributed net investment income of $129,108 and $189,502) ..... $ 1,267,992,113 $ 1,086,459,229
=============== ===============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold ............................................................. 6,656,098 10,547,172
Shares issued for distributions reinvested ............................................... 2,028,815 2,156,127
Shares of capital stock repurchased ...................................................... (8,727,186) (3,433,271)
--------------- ---------------
Increase (decrease) in shares outstanding ............................................ (42,273) 9,270,028
Shares outstanding:
Beginning of year .................................................................... 75,493,732 66,223,704
--------------- ---------------
End of year .......................................................................... 75,451,459 75,493,732
--------------- ---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<PAGE>
MIDCAP INDEX FUND MAY 31, 1995 STATEMENT OF NET ASSETS
NUMBER MARKET
OF SHARES VALUE
--------- -------------
COMMON STOCKS - 98.71%
ADVERTISING - 0.40%
28,482 Omnicom Group ..................................... $ 1,641,275
-------------
AEROSPACE/DEFENSE - 0.91%
18,480 Gencorp Inc ....................................... 237,930
12,971 OEA Inc............................................ 393,994
21,855 * Rohr Industries Inc ............................... 270,456
3,700 * Sequa Corp Class A ................................ 111,000
30,237 Sunstrand Corp .................................... 1,678,154
10,210 Teleflex Inc ...................................... 422,439
18,761 Thiokol Corp ...................................... 588,626
-------------
3,702,599
-------------
AIRLINES - 0.25%
17,921 * Alaska Air Group Inc .............................. 297,937
29,574 Atlantic Southeast Airlines Inc ................... 713,473
-------------
1,011,410
-------------
APPAREL & PRODUCTS - 0.64%
2,753 Angelica Corp ..................................... 70,890
16,300 * Ann Taylor Stores Corp ............................ 340,263
40,953 Cintas Corp ....................................... 1,412,879
10,176 Claire's Stores Inc ............................... 162,816
37,014 CML Group Inc ..................................... 268,352
23,424 * Lands End Inc ..................................... 360,144
-------------
2,615,344
-------------
APPLIANCES/FURNISHINGS - 1.03%
41,359 Heilig Meyers Co .................................. 987,446
29,914 Herman Miller Inc ................................. 646,890
27,501 Lancaster Colony Corp ............................. 996,911
34,788 Leggett & Platt Inc ............................... 1,452,399
2,604 National Presto Industries Inc .................... 113,600
-------------
4,197,246
-------------
AUTO - ORIGINAL EQUIPMENT - 1.32%
16,925 Arvin Industries Inc ............................... 387,159
7,700 Carlisle Co Inc .................................... 298,375
41,442 Danaher Corp ....................................... 1,253,621
16,218 Donaldson Co Inc ................................... 407,477
29,670 Federal Mogul Corp ................................. 534,060
39,670 Mark IV Industries Inc ............................. 798,359
27,228 Modine Manufacturing Co ............................ 1,027,857
23,200 Superior Inds International ........................ 684,400
-------------
5,391,308
-------------
AUTO - OTHER - 0.39%
64,770 Harley Davidson Inc................................. 1,578,769
-------------
AUTO - REPLACEMENT PARTS - 0.11%
16,221 Kaydon Corp......................................... 446,078
-------------
BANKS - OTHER - 0.50%
60,972 State Street Boston Corp ........................... 2,050,184
-------------
BANKS - REGIONAL - 7.97%
28,234 BanCorp Hawaii Inc ................................. 854,079
30,952 Central Fidelity Banks Inc ......................... 858,918
43,055 City National Corp ................................. 478,987
86,903 Comerica Inc ....................................... 2,748,307
29,286 Crestar Financial Corp ............................. 1,347,156
18,718 Dauphin Dep Corp ................................... 467,950
47,600 Fifth Third Bancorp ................................ 2,534,700
52,343 First American Bank Corp ........................... 1,890,891
103,078 First Bank System Inc .............................. 4,329,276
41,441 First Security Corp ................................ 1,061,926
29,201 First Tennessee National Corp ...................... 1,281,194
24,775 First Virginia Banks Inc ........................... 888,803
73,700 Hibernia Corp Class A .............................. 617,238
77,348 Marshall & Ilsley Corp ............................. 1,667,816
29,334 Mercantile Bancorporation Inc ...................... 1,169,693
28,656 Mercantile Bankshares Corp ......................... 680,580
54,996 Meridian Bancorp ................................... 1,759,872
47,653 Northern Trust Corp ................................ 1,846,554
35,209 Regions Financial Corp ............................. 1,249,920
68,687 SouthTrust Corp .................................... 1,468,185
45,103 UJB Financial Corp ................................. 1,330,539
39,836 West One Bancorp ................................... 1,344,465
23,978 Wilmington Trust Corp .............................. 629,423
-------------
32,506,472
-------------
BEVERAGE - SOFT DRINKS - 0.53%
101,903 Coca Cola Enterprises Inc .......................... 2,178,177
-------------
BROADCASTING - 0.87%
13,164 A H Belo Corp ...................................... 826,041
23,819 * Chris Craft Industries Inc ......................... 800,914
34,429 * Multimedia Inc ..................................... 1,316,909
23,216 TCA Cable TV Inc ................................... 592,008
-------------
3,535,872
-------------
BUILDING MATERIALS - 0.87%
12,766 Calmat Co .......................................... 256,916
20,825 Hon Industries Inc ................................. 567,481
52,672 RPM Inc Ohio ....................................... 1,050,148
12,000 * Southdown Inc ...................................... 217,500
26,400 Vulcan Materials Co ................................ 1,442,100
-------------
3,534,145
-------------
CHEMICAL - MAJOR - 0.18%
48,000 Albemarle Corp ..................................... 738,000
-------------
CHEMICAL - MISCELLANEOUS - 3.62%
25,080 Betz Labs Inc ...................................... 1,065,900
34,337 Crompton & Knowles Corp ............................ 622,358
13,268 Dexter Corp ........................................ 313,457
92,000 Ethyl Corp ......................................... 1,069,500
22,547 Ferro Corp ......................................... 620,043
32,633 Georgia Gulf Corp .................................. 991,227
14,064 H B Fuller Co ...................................... 527,400
25,693 Lawter International Inc ........................... 343,644
24,780 Loctite Corp ....................................... 1,235,903
55,619 Lubrizol Corp ...................................... 1,939,713
66,678 Lyondell Petrochemical Co .......................... 1,666,950
32,424 M A Hanna Co ....................................... 802,494
4,355 NCH Corp ........................................... 259,123
13
21,571 Olin Corp .......................................... $ 1,164,834
23,025 Rollins Inc ........................................ 601,528
33,873 Schulman A Inc ..................................... 1,016,190
49,900 * Sterling Chemical Inc .............................. 530,188
-------------
14,770,452
-------------
CONGLOMERATES - 1.09%
36,698 Alexander & Baldwin Inc ............................ 880,752
36,300 * Litton Inds ........................................ 1,397,550
3,400 * Maxxam Inc ......................................... 112,625
17,761 PHH Corp ........................................... 745,962
34,921 Trinity Industries Inc ............................. 1,322,633
-------------
4,459,522
-------------
CONTAINERS - PAPER - 0.73%
15,614 Chesapeake Corp .................................... 444,999
12,761 * Sealed Air Corp .................................... 569,460
78,836 Sonoco Products Co ................................. 1,951,193
-------------
2,965,652
-------------
COSMETICS/TOILETRIES - 0.34%
32,888 Tambrands Inc ...................................... 1,410,073
-------------
DRUGS - 3.31%
27,104 Bergen Brunswig Corp Class A ....................... 623,392
26,776 * Biogen Inc ......................................... 1,111,204
32,346 Carter Wallace Inc ................................. 371,979
45,188 * Centocor Inc ....................................... 612,862
29,970 * Chiron Corp ........................................ 1,550,948
23,488 * Diagnostek Inc ..................................... 411,040
38,441 * Forest Laboratories Inc ............................ 1,696,209
20,271 * Genzyme Corp ....................................... 750,027
2,804 * Genzyme Tissue Repair .............................. 18,226
89,236 Ivax Corp .......................................... 2,308,982
32,000 Mc Kesson Corp ..................................... 1,428,000
62,023 Mylan Labs Inc ..................................... 1,775,408
18,900 * R P Scherer Corp ................................... 843,413
-------------
13,501,690
-------------
ELECTRICAL EQUIPMENT - 3.01%
68,486 * American Power Conversion Corp ..................... 1,249,870
34,331 Ametek Inc ......................................... 592,210
55,898 * Conner Peripherals Inc ............................. 719,687
25,935 Hubbell Inc ........................................ 1,475,053
31,700 * Kohl Corp .......................................... 1,374,988
65,187 Molex Inc .......................................... 2,428,216
46,096 * Quantum Corp ....................................... 991,064
55,615 * Seagate Technology ................................. 1,995,188
27,073 * Teradyne Inc ....................................... 1,465,326
-------------
12,291,602
-------------
ELECTRONIC INSTRUMENTS - 2.35%
40,576 * Arrow Electronics Inc .............................. 1,866,496
29,666 * Exabyte Corp ....................................... 404,199
21,321 * Magnetek Inc ....................................... 322,480
68,979 Sensormatic Electronics Corp ....................... 2,026,258
21,673 * Symbol Technologies Inc ............................ 731,464
59,840 * Thermo Electron Corp ............................... 2,154,222
28,742 Varian Association Inc ............................. 1,505,362
26,173 * Verifone Inc ....................................... 565,991
-------------
9,576,472
-------------
FERTILIZERS - 0.73%
113,395 * Freeport McMoran Inc ............................... 1,956,064
22,973 IMC Global Inc ..................................... 1,033,785
-------------
2,989,849
-------------
FINANCE COMPANIES - 0.55%
51,400 Green Tree Financial Corp .......................... 2,242,325
-------------
FOODS - 2.63%
29,082 Dean Foods Co ...................................... 814,296
47,009 Dole Foods Inc ..................................... 1,386,766
17,118 Dreyers Grand Ice Cream Inc ........................ 543,497
23,091 Flowers Industries Inc ............................. 398,320
37,100 IBP Inc ............................................ 1,391,250
8,212 International Multifoods Corp ...................... 173,479
18,171 J M Smucker Co Class A ............................. 411,119
17,771 Lance Inc .......................................... 315,435
71,278 McCormick & Co Inc ................................. 1,496,838
20,676 Michael Foods Inc .................................. 250,697
121,491 Tyson Foods Inc Class A ............................ 2,718,361
25,229 Universal Foods Corp ............................... 801,021
-------------
10,701,079
-------------
FOOTWEAR - 0.29%
16,216 Edison Brothers Stores Inc ......................... 212,835
27,400 * Nine West Group Inc ................................ 955,575
-------------
1,168,410
-------------
FREIGHT - 0.47%
19,073 Airborne Freight Corp .............................. 360,003
21,560 American President Co Ltd .......................... 522,830
34,000 JB Hunt Transport Services Inc ..................... 595,000
22,871 Overseas Shipholding Group Inc ..................... 434,549
-------------
1,912,382
-------------
GOLD MINING - 0.19%
74,094 Battle Mountain Gold Co ............................ 759,464
-------------
HARDWARE & TOOLS - 0.05%
7,355 Lawson Products Inc ................................ 200,424
-------------
HEALTHCARE - 2.21%
36,353 Cardinal Health Inc ................................ 1,658,606
31,201 * Continental Medical Systems Inc .................... 292,509
25,943 * Coram Healthcare Corp .............................. 466,974
36,076 * FHP International Corp ............................. 793,672
26,886 * Healthcare Compare Corp ............................ 840,188
50,892 * Healthsouth Rehabilitation ......................... 877,887
68,564 * Laboratory Corporation of America .................. 848,480
12,019 * Laboratory Corporation of America
(Warrants) ....................................... 18,028
14
51,891 * Novacare Inc ....................................... $ 389,183
26,200 * Pacificare Health System Inc Class B ............... 1,735,750
33,400 * Value Health Inc ................................... 1,077,150
-------------
8,998,427
-------------
HEAVY DUTY TRUCKS/PARTS - 0.16%
30,204 Federal Signal Corp ................................ 638,060
-------------
HOME BUILDERS - 0.32%
74,476 Clayton Homes Inc .................................. 1,294,021
-------------
HOSPITAL MANAGEMENT - 0.87%
44,500 * Foundation Health Corp ............................. 1,251,563
29,600 * Healthcare and Retirement Corp ..................... 873,200
22,700 * Healthsource Inc ................................... 896,650
26,429 Surgical Care Affiliates Inc ....................... 541,795
-------------
3,563,208
-------------
HOSPITAL SUPPLIES - 1.34%
17,335 * Acuson Corp ........................................ 190,685
14,810 * Advanced Technology Laboratories ................... 238,811
18,633 Beckman Instruments Inc ............................ 517,066
14,366 * Cordis Corp ........................................ 991,254
8,568 * Datascope Corp ..................................... 139,230
22,100 Dentsply International Inc ......................... 795,600
8,009 Diagnostic Products Corp ........................... 323,363
15,968 * Nellcor Inc ........................................ 694,608
41,291 Stryker Corp ....................................... 1,584,542
-------------
5,475,159
-------------
HOUSEHOLD PRODUCTS - 0.31%
10,314 Church & Dwight Inc ................................ 215,305
14,273 First Brands Corp .................................. 588,761
14,164 Stanhome Inc ....................................... 447,937
-------------
1,252,003
-------------
INFORMATION PROCESSING - 8.33%
47,550 Adobe Systems Inc .................................. 2,472,600
29,582 * AST Research Inc ................................... 547,267
84,500 * Bay Networks Inc ................................... 3,084,250
18,476 * BMC Software Inc ................................... 1,187,083
31,421 * Borland International Inc .......................... 392,763
30,746 * Cadence Design Systems Inc ......................... 914,694
25,026 Comdisco Inc ....................................... 750,780
39,500 * Compuware Corp ..................................... 1,175,125
10,173 * Convex Computer Corp ............................... 39,420
30,156 * Dell Computer Corp ................................. 1,519,109
30,523 Diebold Inc ........................................ 1,270,520
152,200 * E M C Corp ......................................... 3,500,600
47,705 First Financial Management Corp .................... 3,387,023
36,364 * Fiserv Inc ......................................... 959,101
20,776 * Information Resources Inc .......................... 283,073
52,200 * Informix Corp ...................................... 2,205,450
27,584 * Legent Corp ........................................ 1,203,352
9,514 Measurex Corp ...................................... 249,743
38,107 * Mentor Graphics Corp ............................... 647,819
44,042 * Parametric Technology Corp ......................... 1,871,785
37,493 Paychex Inc ........................................ 1,106,029
17,418 * Policy Management Systems Corp ..................... 801,228
36,854 Reynolds & Reynolds Co Class A ..................... 1,059,553
36,725 * Sequent Computer Systems Inc ....................... 541,694
43,190 * Storage Technology Corp ............................ 923,186
25,825 * Stratus Computer Inc ............................... 790,891
31,573 * Structural Dynamics Research Corp .................. 436,102
26,812 * Symantec Corp ...................................... 616,676
-------------
33,936,916
-------------
INSURANCE - CASUALTY - 1.03%
43,233 American Premier Group ............................. 1,086,229
53,662 Progressive Corp Ohio .............................. 2,039,156
17,018 Transatlantic Holdings Inc ......................... 1,080,643
-------------
4,206,028
-------------
INSURANCE - LIFE - 0.25%
42,486 Provident Life & Accident Class B .................. 1,030,286
-------------
INSURANCE - MISCELLANEOUS - 0.47%
12,366 Hartford Steam Boiler Inspections .................. 545,650
28,850 Kemper Corp ........................................ 1,359,556
-------------
1,905,206
-------------
INSURANCE - MULTILINE - 1.52%
78,250 AFLAC Inc .......................................... 3,286,500
79,872 Aon Corp ........................................... 2,915,328
-------------
6,201,828
-------------
LEISURE TIME - 1.68%
62,000 Callaway Golf Co ................................... 891,250
66,925 * Circus Circus Enterprise Inc ....................... 2,233,622
98,602 International Game Technology ...................... 1,589,957
71,045 * Mirage Resorts Inc ................................. 2,122,469
-------------
6,837,298
-------------
LODGING - 0.29%
39,000 * Hospitality Franchise Sys Inc ...................... 1,174,875
-------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.14%
11,514 Granite Construction Inc ........................... 247,551
14,968 * Jacobs Engineering Group Inc ....................... 327,425
-------------
574,976
-------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 1.89%
29,273 Albany International Corp Class A .................. 651,324
15,018 Duriron Co Inc ..................................... 315,378
21,425 Goulds Pumps Inc ................................... 500,809
29,576 Keystone International Inc ......................... 639,581
12,514 Nordson Corp ....................................... 707,041
32,133 Stewart & Stevenson Services Inc ................... 1,064,406
14,600 Tecumseh Products Co Class A ....................... 680,725
53,892 Tidewater Inc ...................................... 1,347,300
15
27,624 Watts Industry Inc Class A ......................... $ 587,010
28,900 York International Corp ............................ 1,199,350
-------------
7,692,924
-------------
MEDICAL TECHNOLOGY - 0.02%
12,788 * Applied Bioscience International Inc ............... 65,539
-------------
MERCHANDISE - DRUG - 0.44%
66,600 * Perrigo Company .................................... 732,600
50,700 * Revco Drugs Inc .................................... 1,077,375
-------------
1,809,975
-------------
MERCHANDISE - SPECIALTY - 2.67%
31,200 * Best Buy Co Inc .................................... 760,500
3,857 Cross AT Co Class A ................................ 60,748
57,697 Dollar General Corp ................................ 1,637,152
15,523 Duty Free International Inc ........................ 157,170
17,257 * Enterra Corp ....................................... 330,040
41,100 Fingerhut Companies Inc ............................ 565,125
23,771 * Gibson Greetings Inc ............................... 255,538
6,657 Hancock Fabrics Inc ................................ 54,920
68,464 * Home Shopping Network Inc .......................... 479,248
33,027 Intelligent Electronics Inc ........................ 425,223
23,821 * MacFrugals Bargains Close Outs ..................... 357,315
115,437 * Office Depot Inc ................................... 2,770,488
53,711 Sothebys Holdings Inc .............................. 691,529
49,400 * Staples Inc ........................................ 1,395,550
15,368 Tiffany & Co ....................................... 495,618
31,086 * Waban Inc .......................................... 454,633
-------------
10,890,797
-------------
MERCHANDISING - FOOD - 0.50%
29,900 Hannaford Brothers Co .............................. 799,825
12,100 Ruddick Corp ....................................... 251,075
13,668 Savannah Foods & Industries Inc .................... 153,765
39,688 * Vons Cos Inc ....................................... 823,526
-------------
2,028,191
-------------
MERCHANDISING - MASS - 0.19%
40,007 Family Dollar Stores Inc ........................... 475,083
66,024 * Service Merchandise Inc ............................ 313,614
-------------
788,697
-------------
METALS - ALUMINUM - 0.23%
32,567 * Alumax Inc ......................................... 948,514
-------------
METALS - MISCELLANEOUS - 0.43%
17,700 Brush Wellman Inc .................................. 384,975
24,506 Kennametal Inc ..................................... 796,445
19,950 Precision Castparts Corp ........................... 573,563
-------------
1,754,983
-------------
METALS - STEEL - 1.16%
60,152 Allegheny Ludlum Corp .............................. 1,188,002
3,855 Carpenter Technology Corp .......................... 247,684
33,888 CBI Industries Inc ................................. 855,672
12,857 Cleveland Cliffs Inc ............................... 499,816
21,721 Harsco Corp ........................................ 1,105,056
15,516 Lukens Inc ......................................... 523,665
18,323 Oregon Steel Mills Inc ............................. 293,168
-------------
4,713,063
-------------
MISCELLANEOUS - 2.01%
35,000 * Electronic Arts .................................... 901,250
63,700 Equifax Inc ........................................ 1,998,588
22,186 Flightsafety International Inc ..................... 1,039,969
16,800 * Jones Apparel Group Inc ............................ 485,100
33,803 Kelly Services Inc Class A ......................... 980,287
63,700 Manpower Inc ....................................... 1,696,013
36,300 Olsten Corp ........................................ 1,093,538
-------------
8,194,745
-------------
NATURAL GAS - DIVERSIFIED - 0.89%
39,000 El Paso Natural Gas Co ............................. 1,092,000
39,843 Questar Corp ....................................... 1,195,290
31,032 * Seagull Energy Corp ................................ 601,245
34,191 Valero Energy Corp ................................. 726,559
-------------
3,615,094
-------------
OIL - INTEGRATED DOMESTIC - 0.58%
27,073 Diamond Shamrock Inc ............................... 734,355
23,980 Mapco Inc .......................................... 1,411,823
16,614 Quaker State Corp .................................. 226,366
-------------
2,372,544
-------------
OIL - INTEGRATED
INTERNATIONAL - 0.40%
36,846 Murphy Oil Corp .................................... 1,612,013
-------------
OIL - SERVICE - PRODUCTS - 0.11%
68,825 * Parker Drilling Co ................................. 378,538
5,786 * Varco International Inc ............................ 52,074
-------------
430,612
-------------
OIL - SERVICES - 0.91%
19,421 * BJ Services Co ..................................... 495,236
147,215 * Global Marine Inc .................................. 791,281
68,339 * Nabors Industries Inc .............................. 589,424
30,846 * Smith International Inc ............................ 551,372
46,546 Witco Corp ......................................... 1,280,015
-------------
3,707,328
-------------
OIL/GAS PRODUCERS - 1.69%
47,455 Anadarko Petroleum Corp ............................ 2,058,361
52,498 Apache Corp ........................................ 1,522,442
31,640 Cabot Corp ......................................... 1,332,835
11,379 * McMoran Oil & Gas .................................. 42,671
39,235 Noble Affiliates Inc ............................... 1,064,249
23,400 Parker & Parsley Petroleum Co ...................... 456,300
62,766 Ranger Oil Ltd ..................................... 392,288
-------------
6,869,146
-------------
PAPER/FOREST PRODUCTS - 2.16%
33,539 Bowater Inc ........................................ 1,316,406
32,835 Consolidated Papers Inc ............................ 1,699,211
16
36,739 Longview Fibre Co Washington ....................... $ 587,824
28,300 P H Glatfelter Co .................................. 537,700
16,988 Pentair Inc ........................................ 777,201
27,800 Rayonier Inc ....................................... 955,625
16,670 Standard Register Inc .............................. 329,233
19,009 Wausau Paper Mills Co .............................. 406,317
43,653 Willamette Industries Inc .......................... 2,193,563
-------------
8,803,080
-------------
PHOTOGRAPHY - 0.02%
3,753 CPI Corp ........................................... 67,085
-------------
POLLUTION CONTROL - 0.09%
10,016 * Air & Water Technologies Corp
Class A .......................................... 60,096
24,533 Calgon Carbon Corp ................................. 315,862
-------------
375,958
-------------
PUBLISHING - NEWS - 0.91%
13,900 Lee Enterprises Inc ................................ 526,463
17,268 Media General Inc Class A .......................... 556,893
9,861 Washington Post Co Class B ......................... 2,610,700
-------------
3,694,056
-------------
PUBLISHING/PRINTING - 0.62%
21,791 Banta Corp ......................................... 729,999
3,857 Ennis Business Forms Inc ........................... 51,105
13,216 Houghton Mifflin Co ................................ 678,972
26,800 * Topps Inc .......................................... 159,125
18,514 Wallace Computer Services Inc ...................... 671,133
21,325 * Western Publishing Group Inc ....................... 231,909
-------------
2,522,243
-------------
RAILROAD - 0.78%
16,312 GATX Corp .......................................... 691,221
37,818 Illinois Central Corp .............................. 1,337,812
31,432 Kansas City Southern Industries Inc ................ 1,155,126
-------------
3,184,159
-------------
RESTAURANTS - 1.41%
40,133 Bob Evans Farms Inc ................................ 847,810
56,055 * Brinker International Inc .......................... 945,928
29,132 * Buffets Inc ........................................ 404,207
46,866 Cracker Barrel Old Country Stores .................. 1,142,359
12,780 * International Dairy Queen Inc
Class A .......................................... 246,015
31,853 Morrison Restaurants Inc ........................... 684,840
6,300 * NPC International Inc Class A ...................... 40,950
37,600 * Outback Steakhouse Inc ............................. 1,123,300
12,288 Sbarro Inc ......................................... 282,624
7,606 Sizzler International Inc .......................... 43,735
-------------
5,761,768
-------------
SECURITIES RELATED - 3.45%
50,076 A G Edwards Inc .................................... 1,132,970
90,666 Bear Stearns Co Inc ................................ 1,835,996
67,226 Charles Schwab Corp ................................ 2,352,910
61,868 Franklin Resources Inc ............................. 2,706,725
60,121 Morgan Stanley Group Inc ........................... 4,576,711
73,900 Paine Webber Group Inc ............................. 1,459,525
-------------
14,064,837
-------------
SEMICONDUCTORS - 3.78%
16,410 * Altera Corp ........................................ 1,277,929
69,486 * Analog Devices Inc ................................. 2,162,752
35,000 * Atmel Corp ......................................... 1,540,000
31,788 Avnet Inc .......................................... 1,446,354
22,368 * Cirrus Logic Inc ................................... 1,101,624
28,641 * Cypress Semiconductor Corp ......................... 927,252
30,527 Linear Technology Corp ............................. 1,869,779
47,850 * LSI Logic Corp ..................................... 3,217,913
22,027 * Xilinx Inc ......................................... 1,855,775
-------------
15,399,378
-------------
TELECOMMUNICATIONS - 1.95%
43,864 * ADC Telecommunications Inc ......................... 1,359,784
34,942 Comsat Corp ........................................ 681,369
88,000 * Nextel Communications Inc
Class A .......................................... 1,188,000
17,370 * Octel Communications Corp .......................... 406,024
37,840 * Vanguard Cellular System Inc
Class A .......................................... 912,890
130,152 * Worldcom Inc ....................................... 3,383,952
-------------
7,932,019
-------------
TEXTILE - PRODUCTS - 1.03%
45,300 * Burlington Inds Inc ................................ 486,975
108,910 Shaw Industries Inc ................................ 1,728,946
54,921 Unifi Inc .......................................... 1,338,699
26,284 Wellman Inc ........................................ 660,386
-------------
4,215,006
-------------
TOBACCO - 0.18%
31,835 Universal Corp ..................................... 740,164
-------------
TRUCKERS - 0.08%
17,614 Arnold Industries Inc .............................. 308,245
-------------
UTILITIES - COMMUNICATION - 1.65%
39,650 Century Telephone Enterprises Inc .................. 1,164,719
72,746 Frontier Corp ...................................... 1,654,972
18,618 Lincoln Telecommunications Co ...................... 290,906
51,764 Southern New England Telecommunications Corp ....... 1,740,565
49,291 Telephone & Data Systems Inc ....................... 1,860,735
-------------
6,711,897
-------------
UTILITIES - ELECTRIC - 11.28%
53,136 * AES Corp ........................................... 929,880
94,614 Allegheny Power System Inc ......................... 2,353,523
14,968 Atlanta Gas & Light Co ............................. 512,654
43,035 Atlantic Energy Inc N J ............................ 817,665
3,853 Black Hills Corp ................................... 83,321
17
31,000 * California Energy Inc .............................. $ 496,000
7,959 Central Louisiana Electric Co ...................... 190,021
30,416 Central Maine Power Co ............................. 357,388
67,264 CMS Energy Corp .................................... 1,622,744
54,537 Delmarva Power & Light Co .......................... 1,097,557
71,062 Florida Progress Corp .............................. 2,265,101
15,866 Hawaiian Electric Industries Inc ................... 567,210
20,623 Idaho Power Co ..................................... 541,354
59,100 Illinova Corp ...................................... 1,462,725
11,059 Indiana Energy Inc ................................. 217,033
16,418 Iowa Illinois Gas & Electric Co .................... 340,674
33,876 Ipalco Enterprises ................................. 1,109,439
53,219 Kansas City Power & Light Co ....................... 1,257,299
22,971 LG & E Energy Corp ................................. 913,097
16,218 Minnesota Power & Light Co ......................... 445,995
51,557 Montana Power Co ................................... 1,179,366
24,533 Nevada Power Co .................................... 512,126
55,517 New England Electric System ........................ 1,915,337
56,621 New York State Electric & Gas Corp ................. 1,316,438
57,472 Nipsco Industries Inc .............................. 1,982,784
100,933 Northeast Utilities ................................ 2,409,775
38,146 Oklahoma Gas & Electric Co ......................... 1,344,647
63,523 Pinnacle West Capital Corp ......................... 1,461,029
30,891 Portland General Corp .............................. 702,770
114,064 Potomac Electric Power Co .......................... 2,324,054
57,112 Public Service Co of Colorado ...................... 1,870,418
39,337 * Public Service Co of New Mexico .................... 560,552
58,362 Puget Sound Power & Light Co ....................... 1,335,031
87,988 Scana Corp ......................................... 1,957,733
40,248 Southwestern Public Service Co ..................... 1,162,161
81,020 Teco Energy Inc .................................... 1,782,440
32,788 Utilicorp United Inc ............................... 934,458
24,224 Washington Gas Light Co ............................ 469,340
93,652 Wisconsin Energy Corp .............................. 2,692,495
16,616 WPL Holdings Inc ................................... 481,864
-------------
45,975,498
-------------
UTILITIES - GAS, DISTRIBUTION - 0.95%
30,905 Brooklyn Union Gas Co .............................. 780,351
54,968 MCN Corp ................... ....................... 1,030,650
35,578 National Fuel Gas Co N J ... ....................... 1,027,315
28,982 Tosco Corp ................. ....................... 1,028,861
-------------
3,867,177
-------------
TOTAL COMMON STOCKS
(Cost $363,580,013)................................. 402,281,301
-------------
PAR MARKET
VALUE VALUE
---------- ------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 1.14%
CHEMICAL - MAJOR - 0.88%
$3,612,000 Dow Chemical Co, 6.125%
due 06/01/95 ................................... 3,612,000
------------
CONSUMER FINANCE - 0.26%
1,050,000 Commercial Credit Co, 5.88%
due 06/01/95 ................................... 1,050,000
------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $4,662,000)................................. $ 4,662,000
------------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.07%
United States Treasury Bills:
$ 200,000 5.735% due 06/22/95............................. 199,331
100,000 5.35% due 06/15/95.............................. 99,792
------------
299,123
------------
TOTAL UNITED STATES GOVERNMENT -
SHORT TERM
(Cost $299,123)................................... 299,123
------------
TOTAL INVESTMENTS
(Cost $368,541,136) - 99.92% ..................... 407,242,424
Other assets and liabilities,
net - 0.08% .................................... 314,226
------------
NET ASSETS (equivalent
to $15.68 per share on
25,987,970 shares
outstanding) - 100% ............................ $407,556,650
============
*Non-income producing
UNREALIZED
CONTRACTS APPRECIATION
--------- ------------
FUTURES CONTRACTS PURCHASED (1)
40 (2) (Delivery month/Value at 05/31/95)
S&P MidCap 400 Index Futures
(June/$190.10) ................................. $ 26,850
============
(1) U.S. Treasury Bills with a market value of
approximately $300,000 were maintained in a
segregated account with a portion placed as
collateral for futures contracts.
(2) Per 500
-------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
25,987,970 shares outstanding................................ $ 259,880
Additional paid in capital..................................... 351,343,855
Undistributed net realized gain on securities ................. 17,066,190
Undistributed net investment income............................ 158,587
Unrealized appreciation of:
Investments.................................. $ 38,701,288
Futures...................................... 26,850 38,728,138
------------ ------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING ................................. $407,556,650
============
SEE NOTES TO FINANCIAL STATEMENTS.
18
<PAGE>
MIDCAP INDEX FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1995
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends ..................................................................................................... $ 7,606,499
Interest ...................................................................................................... 539,581
------------
Total investment income ................................................................................... 8,146,080
------------
EXPENSES:
Advisory fees ................................................................................................. 1,314,837
Custodian and accounting services ............................................................................. 191,536
Reports to shareholders ....................................................................................... 53,054
Audit fees .................................................................................................... 30,987
Registration fees ............................................................................................. 4,971
Directors' fees and expenses .................................................................................. 15,851
Miscellaneous ................................................................................................. 36,901
------------
Total expenses ............................................................................................ 1,648,137
------------
NET INVESTMENT INCOME ......................................................................................... 6,497,943
------------
REALIZED AND UNREALIZED GAIN (LOSS)ON SECURITIES:
Net realized gain on:
Investments ......................................................................... $ 16,709,615
Futures contracts ................................................................... 575,615 17,285,230
------------
Net unrealized appreciation (depreciation) during the year:
Investments ......................................................................... 24,529,913
Futures contracts ................................................................... (88,225) 24,441,688
------------ ------------
Net realized and unrealized gain on securities during the year .......................................... 41,726,918
------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .............................................................. $ 48,224,861
============
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1995 1994
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income ...................................................................... $ 6,497,943 $ 4,627,192
Net realized gain on securities ............................................................ 17,285,230 11,562,980
Net unrealized appreciation (depreciation) of securities during the year ................... 24,441,688 (9,757,693)
------------- -------------
Increase in net assets resulting from operations ....................................... 48,224,861 6,432,479
============= =============
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ...................................................................... (6,508,350) (4,590,692)
Net realized gain on securities ............................................................ (11,552,354) (2,344,559)
------------- -------------
Decrease in net assets resulting from distributions to shareholders .................... (18,060,704) (6,935,251)
============= =============
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold ........................................................... 49,716,369 133,701,102
Proceeds from capital stock issued for distributions reinvested ............................ 18,060,704 6,935,251
------------- -------------
67,777,073 140,636,353
Cost of capital stock repurchased .......................................................... (39,425,302) (2,024,198)
------------- -------------
Increase in net assets resulting from capital stock transactions ....................... 28,351,771 138,612,155
============= =============
TOTAL INCREASE IN NET ASSETS ............................................................... 58,515,928 138,109,383
NET ASSETS:
Beginning of year .......................................................................... 349,040,722 210,931,339
------------- -------------
End of year (including undistributed net investment income of $158,587 and $51,973) ........ $ 407,556,650 $ 349,040,722
============= =============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold ............................................................... 3,399,417 8,998,210
Shares issued for distributions reinvested ................................................. 1,269,279 463,326
Shares of capital stock repurchased ........................................................ (2,681,672) (133,285)
------------- -------------
Increase in shares outstanding ......................................................... 1,987,024 9,328,251
Shares outstanding:
Beginning of year ...................................................................... 24,000,946 14,672,695
------------- -------------
End of year ............................................................................ 25,987,970 24,000,946
------------- -------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<PAGE>
SMALL CAP INDEX FUND MAY 31, 1995 STATEMENT OF NET ASSETS
NUMBER MARKET
OF SHARES VALUE
--------- -------------
COMMON STOCKS - 98.27%
ADVERTISING - 0.62%
4,000 * Acxiom Corp ........................................ $ 78,000
5,025 Advo Inc ........................................... 106,781
1,800 * American Business Information ...................... 41,850
2,600 * Catalina Marketing Corp ............................ 115,375
5,000 * Edisto Resources Corp .............................. 38,750
600 Grey Advertising Inc ............................... 101,100
8,800 True North Communications .......................... 173,800
9,800 * Westwood One Inc ................................... 127,400
-------------
783,056
-------------
AEROSPACE/DEFENSE - 1.16%
2,600 * Alliant Techsystems Inc ............................ 95,225
1,900 * Alpine Group Inc ................................... 10,213
9,100 Aviall Inc ......................................... 76,213
6,200 * BE Aerospace Inc ................................... 51,150
400 Cubic Corp ......................................... 9,300
6,900 Gencorp Inc ........................................ 88,838
13,900 * Geotek Industries Inc .............................. 109,463
1,000 * Nortek Inc ......................................... 9,625
5,800 OEA Inc ............................................ 176,175
5,500 * Orbital Sciences Corp .............................. 97,625
1,900 * Rohr Industries Inc ................................ 23,513
9,800 * SCI Systems Inc .................................... 203,350
3,600 * Sequa Corp Class A ................................. 108,000
600 * Tech Sym Corp ...................................... 15,450
3,700 Teleflex Inc ....................................... 153,088
4,800 Thiokol Corp ....................................... 150,600
3,300 * Trimble Navigation Ltd ............................. 78,375
600 * Whittaker Corp ..................................... 13,275
-------------
1,469,478
-------------
AIRLINES - 0.66%
6,100 * Alaska Air Group Inc ............................... 101,413
12,300 * America West Airlines Inc Class B .................. 118,388
4,450 Comair Holdings Inc ................................ 124,600
6,500 * Continental Airlines Inc Class B ................... 108,875
5,350 Expeditors International of
Washington Inc ................................... 119,038
5,100 Harper Group Inc ................................... 92,438
9,700 * Mesa Airlines Inc .................................. 63,050
1,200 Skywest Inc ........................................ 18,450
7,300 Tower Air Inc ...................................... 52,013
7,000 * UNC Inc ............................................ 35,875
-------------
834,140
-------------
APPAREL & PRODUCTS - 1.31%
1,800 Angelica Corp ...................................... 46,350
3,100 * Ashworth Inc ....................................... 26,350
7,100 * Authentic Fitness Corp ............................. 110,938
2,200 Blair Corp ......................................... 70,950
8,150 Cato Corp .......................................... 65,200
5,800 * Chic by H I S Inc .................................. 62,350
3,700 Claire's Stores Inc ................................ 59,200
3,200 * Cygne Designs Inc .................................. 18,000
2,000 * Damark International Inc Class A ................... 12,750
5,200 * Designs Inc ........................................ 45,500
7,100 * Dress Barn ......................................... 65,675
1,200 Fab Industries ..................................... 38,100
4,000 * Filenes Basement Corp .............................. 16,000
200 Garan Inc .......................................... 3,450
2,550 * Goodys Family Clothing Inc ......................... 24,225
8,200 * Gymboree Corp ...................................... 199,875
2,300 Haggar Corp ........................................ 43,125
2,700 * Hartmarx Corp ...................................... 13,163
400 * Johnson Worldwide Associates Inc ................... 8,600
900 K Swiss Inc Class A ................................ 11,700
5,750 Kellwood Co ........................................ 97,750
2,600 * Mens Wearhouse Inc ................................. 66,300
1,700 * Merry Go Round Enterprises Inc ..................... 1,488
2,600 * Nautica Enterprises Inc ............................ 78,000
2,500 * One Price Clothing Stores Inc ...................... 11,875
6,100 Oshkosh B Gosh Inc Class A ......................... 95,313
3,700 Oxford Industries Inc .............................. 67,525
450 Raven Industries Inc ............................... 9,000
6,700 Ross Stores ........................................ 71,188
2,100 St. John Knits Inc ................................. 81,375
3,000 * Todays Man Inc ..................................... 37,313
13,500 * Tultex Corp ........................................ 74,250
600 Unifirst Corp ...................................... 7,275
2,400 * United Retail Group Inc ............................ 16,800
-------------
1,656,953
-------------
APPLIANCES/FURNISHINGS - 1.08%
2,100 Aaron Rents Inc Class A ............................ 31,238
5,650 Bassett Furniture Industries Inc ................... 152,550
4,200 Crown Crafts Inc ................................... 73,500
1,500 Falcon Products Inc ................................ 18,750
525 Flexsteel Industries Inc ........................... 5,381
11,203 * General Host Corp .................................. 77,021
4,856 * Griffon Corp ....................................... 41,276
5,000 Haverty Furniture Companies Inc .................... 51,875
11,000 Hechinger Co Class A ............................... 83,188
1,450 * Helen of Troy Corp ................................. 28,275
6,800 Herman Miller Inc .................................. 147,050
6,000 Hunt Manufacturing Co .............................. 88,500
2,200 La Z Boy Chair Co .................................. 57,200
4,800 * Lechters Inc ....................................... 70,800
2,800 National Presto Industries Inc ..................... 122,150
2,500 Oneida Ltd ......................................... 37,500
5,000 * Rhodes Inc ......................................... 43,125
4,400 Rival Co ........................................... 70,400
200 * Royal Appliance Manufacturing Co ................... 575
5,200 Sun Television and Appliances Inc .................. 40,625
4,900 Windmere Corp ...................................... 42,263
11,700 * Zenith Electronics Corp ............................ 90,675
-------------
1,373,917
-------------
AUTO - CARS - 0.14%
2,800 * Insurance Auto Auctions Inc ........................ 79,450
6,200 * Roadmaster Industries Inc .......................... 20,150
2,949 Varlen Corp ........................................ 76,674
-------------
176,274
-------------
20
AUTO - ORIGINAL EQUIPMENT - 0.52%
8,200 Allen Group Inc .................................... $ 191,675
3,900 Arvin Inds Inc ..................................... 89,213
2,100 Carlisle Co Inc .................................... 81,375
6,300 Donaldson Co Inc ................................... 158,288
3,500 Excel Industries Inc ............................... 48,125
4,800 Hayes Wheels International Inc ..................... 86,400
-------------
655,076
-------------
AUTO - REPLACEMENT PARTS - 1.14%
3,300 A O Smith Corp ..................................... 77,550
5,100 * APS Holding Corp Class A ........................... 132,600
3,500 * Automotive Industries Holdings Inc
Class A ............................................ 90,125
1,100 * Custom Chrome Inc .................................. 21,863
575 Dart Group Corp Class A ............................ 51,175
1,200 * Discount Auto Parts Inc ............................ 32,250
4,600 Furon Co ........................................... 101,200
2,200 Handy & Harman ..................................... 33,550
4,600 * Hi Lo Automotive Inc ............................... 40,825
800 * Jason Inc .......................................... 7,700
6,700 Kaydon Corp ........................................ 184,250
1,400 * Monro Muffler Brake Inc ............................ 24,850
858 Myers Industries Inc ............................... 13,192
7,950 Simpson Industries Inc ............................. 82,481
6,400 SPX Corp ........................................... 84,000
2,100 Standard Motor Products Inc ........................ 41,475
6,450 Standard Products Co Class A ....................... 139,481
11,200 * TBC Corp ........................................... 124,600
3,300 Walbro Corp ........................................ 66,000
4,050 Wynns International Inc ............................ 93,150
-------------
1,442,317
-------------
BANKS - NEW YORK CITY - 0.10%
6,500 New York Bancorp Inc ............................... 130,000
-------------
BANKS - REGIONAL - 6.92%
4,900 Amcore Financial Inc ............................... 85,750
2,100 Anchor Bancorp Wisconsin Inc ....................... 63,525
3,135 Associated Banc Corp ............................... 117,563
200 Bancfirst Corp ..................................... 2,900
4,300 Bancorpsouth Inc ................................... 164,475
390 Bank of Granite Corp ............................... 10,628
2,100 BSB Bancorp ........................................ 61,950
259 BT Financial Corp .................................. 7,835
3,312 CCB Financial Corp ................................. 136,620
8,500 Centura Banks ...................................... 219,938
4,700 Chemical Financial Corp ............................ 138,650
3,000 Citizens Bancorp Inc Md ............................ 88,875
600 Citizens Banking Corp Mich ......................... 16,500
14,000 City National Corp ................................. 155,750
5,812 CNB Bancshares Inc ................................. 171,454
2,000 Cobancorp Inc ...................................... 41,000
5,549 Collective Bancorp Inc ............................. 123,465
2,700 Colonial BancGroup Inc ............................. 68,175
2,012 Commerce Bancorp Inc N J ........................... 35,713
5,100 * Commercial Fed Corp ................................ 149,175
5,300 Community First Bankshares Inc ..................... 81,488
4,120 Cullen Frost Bankers Inc ........................... 162,740
1,000 * Cyrk Inc ........................................... 8,625
6,600 Deposit Guaranty Corp .............................. 242,550
1,742 F & M National Corp ................................ 27,654
3,524 First American Financial Corp ...................... 76,207
1,350 First Citizens BancShares Inc ...................... 64,800
225 First Commerce BancShares Inc ...................... 3,656
8,156 First Commercial Corp .............................. 204,920
200 First Financial Corp Ind ........................... 5,825
6,900 First Financial Corp Wis ........................... 113,850
7,857 First Michigan Bank Corp ........................... 192,500
3,900 First Midwest Bancorp Inc .......................... 94,575
6,300 First National Bancorp of Gainesville .............. 129,150
315 First Western Bancorp Inc .......................... 8,820
337 Firstbank of Illinois Co ........................... 9,015
4,350 Firstfed Michigan Corp ............................. 126,150
2,100 Firstier Financial Inc ............................. 72,450
7,500 FirstMerit Corp .................................... 180,000
3,087 Fort Wayne National Corp ........................... 87,208
9,350 Fulton Financial Corp .............................. 170,638
1,600 GBC Bancorp California ............................. 19,200
4,500 Great Financial Corp ............................... 78,188
315 Harleysville National Corp PA ...................... 7,875
6,300 Hawkeye Bancorporation ............................. 137,813
1,900 Heritage Financial Services Inc .................... 33,725
5,925 Hubco Inc .......................................... 101,466
4,741 * Imperial Bancorp ................................... 90,079
3,900 Jefferson Bankshares Inc ........................... 81,900
1,500 Leader Financial Corp .............................. 40,500
2,400 Liberty Bancorp Inc ................................ 79,800
9,600 Magna Group Inc .................................... 198,000
4,400 Mark Twain Bancshares .............................. 137,500
4,726 Mid America Inc .................................... 67,936
1,825 National Bancorp of Alaska Inc ..................... 91,250
6,287 National Commerce Bancorporation ................... 158,747
3,380 National Penn Bancshares Inc ....................... 92,105
6,100 North Fork Bancorporation Inc ...................... 108,275
3,012 North Side Savings Bank ............................ 70,782
3,860 Onbancorp Inc ...................................... 102,773
6,574 One Valley Bancorp of West Virginia ................ 200,507
210 Peoples First Corp ................................. 3,780
600 Pikeville National Corp ............................ 12,150
12,300 * Premier Bancorp Inc ................................ 212,175
2,775 Provident Bancorp Inc .............................. 92,963
9,800 * Riggs National Corp Washington DC .................. 91,875
2,625 River Forest Bancorp ............................... 100,406
7,818 Roosevelt Financial Group .......................... 134,861
3,900 SF Fed Corp ........................................ 78,488
315 Shoreline Financial Corp ........................... 5,552
5,300 St Paul Bancorp Inc ................................ 117,263
10,725 Summit Bancorp ..................................... 221,203
875 Susquehanna Bancshares Inc ......................... 20,344
3,508 TCF Financial Corp ................................. 163,122
8,200 The Trust Company of New Jersey .................... 103,525
2,000 Trans Financial Bancorp Inc ........................ 29,500
21
2,860 Trustcompany Bancorporation ........................ $ 57,915
9,650 Trustmark Corp ..................................... 167,669
2,090 UMB Financial Corp ................................. 65,835
10,124 Union Planters Corp ................................ 268,286
2,225 United Carolina Bancshares ......................... 67,863
75 United Counties Bancorporation ..................... 11,288
3,300 US Trust Corp ...................................... 228,938
8,000 * UST Corp ........................................... 100,000
1,400 Victoria Bankshares Inc ............................ 35,700
4,100 Westamercia Bankshares Inc ......................... 145,550
661 Westcorp Inc ....................................... 8,593
6,200 Whitney Holding Corp ............................... 159,650
5,200 Zions Bancorporation ............................... 235,300
-------------
8,760,977
-------------
BEVERAGE - SOFT DRINKS - 0.07%
2,800 Coca Cola Co ....................................... 89,950
-------------
BROADCASTING - 1.22%
3,100 * Adelphia Communications Corp
Class A .......................................... 31,000
5,100 * American Mobile Satellite Corp ..................... 119,850
5,800 * American Telecasting Inc ........................... 81,200
4,800 * Antec Corp ......................................... 99,600
7,200 * Citicasters Inc .................................... 169,200
3,400 * Clear Channel Communications Inc ................... 191,675
3,100 * Cyrix Corp ......................................... 79,825
17,300 * DMX Inc ............................................ 36,763
3,300 * Heritage Media Corp Class A ........................ 91,575
2,800 * International Family Entertainment
Class B .......................................... 45,850
400 * N T N Communications Inc ........................... 1,950
2,900 * Peoples Choice TV Corp ............................. 70,144
4,400 * Renaissance Communication Corp ..................... 148,500
6,500 TCA Cable TV Inc ................................... 165,750
7,300 * United International Holdings Inc
Class A .......................................... 113,150
100 United Television Inc .............................. 6,638
6,500 * Westcott Communications Inc ........................ 97,500
-------------
1,550,170
-------------
BUILDING MATERIALS - 1.05%
3,100 * ABT Bldg Prods Corp ................................ 51,925
800 Ameron Inc ......................................... 27,800
100 Apogee Enterprises Inc ............................. 1,706
1,600 Butler Manufacturing Co ............................ 64,800
5,300 CalMat Co .......................................... 106,663
2,600 * Centex Construction
Productions Inc .................................. 33,150
2,100 * Elcor Corp ......................................... 40,688
10,400 Fastenal Co ........................................ 296,244
4,750 * Fedders Corp Class A ............................... 27,313
9,500 * Fedders USA Inc .................................... 64,125
2,100 Florida Rock Industries Inc ........................ 60,113
5,000 Interface Inc Class A .............................. 70,000
3,600 Lone Star Industries Inc ........................... 75,600
4,200 Medusa Corp ........................................ 100,800
13,800 * Payless Cashways Inc ............................... 100,050
1,000 Puerto Rican Cement Co Inc ......................... 30,625
3,500 * Southdown Inc ...................................... 63,438
6,800 * Triangle Pac Corp .................................. 109,650
600 Wolohan Lumber Co .................................. 8,175
-------------
1,332,865
-------------
CHEMICAL - MAJOR - 0.14%
3,800 Chemed Corp ........................................ 128,725
1,800 * Synetic Inc ........................................ 43,200
-------------
171,925
-------------
CHEMICAL - MISCELLANEOUS - 1.68%
2,800 * American Pacific Corp .............................. 14,350
3,600 * Cytec Inds Inc ..................................... 132,750
4,200 Dexter Corp ........................................ 99,225
5,900 Fisher Scientific International Inc ................ 192,488
7,500 * Foamex International Inc ........................... 56,250
6,100 Grow Group Co ...................................... 134,200
5,300 H B Fuller Co ...................................... 198,750
10,700 Lawter International Inc ........................... 143,113
2,500 * Learning Co ........................................ 74,688
500 Learonal Inc ....................................... 10,063
2,000 Lesco Inc .......................................... 33,500
4,700 * McWhorter Technologies Inc ......................... 71,675
4,900 Minerals Technologies Inc .......................... 161,700
7,000 * Mycogen Corp ....................................... 58,625
1,400 NCH Corp ........................................... 83,300
7,300 * NL Industries Inc .................................. 114,063
2,600 O'Sullivan Corp .................................... 29,575
7,500 * O'Sullivan Industries .............................. 59,063
375 Penwest Ltd ........................................ 8,156
925 Petrolite Corp ..................................... 26,998
1,700 Quaker Chemical .................................... 27,200
11,500 * Sterling Chemicals Inc ............................. 122,188
1,500 * Sybron Chems Inc ................................... 22,125
10,800 Terra Industries Inc ............................... 108,000
375 Tuscarora Inc ...................................... 7,313
600 Univar Corp ........................................ 7,200
2,450 VWR Corp ........................................... 28,788
2,000 WD 40 Co ........................................... 86,000
250 W H Brady Co Class A ............................... 15,688
-------------
2,127,034
-------------
COAL - 0.30%
1,900 * Addington Resources Inc ............................ 24,700
1,800 Ashland Coal Inc ................................... 48,150
3,600 Eastern Enterprises ................................ 108,000
2,200 NACCO Industries Inc Class A ....................... 132,000
850 Penn Virginia Corp ................................. 27,200
3,500 Pittston Minerals Group ............................ 38,500
-------------
378,550
-------------
22
CONGLOMERATES - 0.20%
500 * Maxxam Inc ......................................... $ 16,563
2,300 * PEC Israel Economic Group .......................... 55,775
4,200 PHH Corp ........................................... 176,400
-------------
248,738
-------------
CONSUMER FINANCE - 0.31%
6,100 * Americredit Corp ................................... 54,138
2,500 * Autofinance Group Inc .............................. 39,063
3,700 Eaton Vance Corp ................................... 122,100
1,120 * Fleet Financial .................................... 5,740
6,100 SEI Corp ........................................... 117,425
1,600 * World Acceptance Corp .............................. 48,800
-------------
387,266
-------------
CONTAINERS - METAL/GLASS - 0.44%
2,200 * Alltrista Corp ..................................... 47,850
5,800 Aptargroup Inc ..................................... 176,900
2,800 Clarcor Inc ........................................ 57,400
600 * CSS Industries Inc ................................. 9,600
4,400 Greif Brothers Corp Class A ........................ 106,150
425 Liqui Box Corp ..................................... 13,494
9,900 * Omega Environmental Inc ............................ 37,125
5,700 * U S Can Corp ....................................... 112,575
-------------
561,094
-------------
CONTAINERS - PAPER - 0.57%
5,800 Chesapeake Corp .................................... 165,300
12,600 * Gaylord Container Corp Class A ..................... 118,125
6,800 Rock Tenn Co Class A ............................... 105,400
6,300 * Sealed Air Corp .................................... 281,138
3,600 * Shorewood Packaging Corp ........................... 56,700
-------------
726,663
-------------
COSMETICS/TOILETRIES - 0.41%
3,700 Alberto Culver Co Class B .......................... 119,325
3,300 Helene Curtis Industries Inc ....................... 108,900
3,600 * Inbrand Corp ....................................... 56,250
4,900 * Jean Phillippe Fragrances Inc ...................... 49,000
5,921 Maybelline Inc ..................................... 119,160
9,100 * Playtex Products Inc ............................... 70,525
-------------
523,160
-------------
DRUGS - 2.23%
3,500 A L Pharma Inc Class A ............................. 64,750
3,600 * Agouron Pharmaceuticals Inc ........................ 74,700
9,100 * Alliance Pharmaceuticals Corp ...................... 60,288
2,700 * Alpha Beta Technology Inc .......................... 16,875
1,900 * Amylin Pharmaceuticals Inc ......................... 14,250
1,000 * Aphton Corp ........................................ 9,750
5,400 * Athena Neurosciences Inc ........................... 41,850
10,930 Bergen Brunswig Corp Class A ....................... 251,390
5,300 Bindley Western Inds Inc ........................... 82,150
1,400 Biocraft Laboratories Inc .......................... 25,900
1,500 * Cellpro Inc ........................................ 15,375
14,000 * Centocor Inc ....................................... 189,875
4,100 * Cephalon Inc ....................................... 40,231
4,300 * Circa Pharmaceuticals Inc .......................... 127,388
2,800 * Columbia Laboratories Inc .......................... 19,250
2,698 * Copley Pharmaceuticals Inc ......................... 44,517
3,200 * Cygnus Therapeutic Systems ......................... 26,000
8,400 * Cytrx Corp ......................................... 15,225
5,800 * Diagnostek Inc ..................................... 101,500
3,400 * Genetic Therapy Inc ................................ 40,375
7,100 * Gensia Inc ......................................... 21,300
2,000 * Genta Inc .......................................... 5,250
5,000 * Gilead Sciences Inc ................................ 81,250
6,993 ICN Pharmaceuticals Inc ............................ 118,873
5,900 * ICOS Corp .......................................... 30,238
5,500 * Idexx Laboratories ................................. 247,500
3,400 * Immulogic Pharmaceutical Corp ...................... 25,394
2,200 * Immune Response Corp ............................... 6,875
6,200 * Immunex Corp ....................................... 80,600
4,100 * Interneuron Pharmaceuticals Corp ................... 33,313
4,500 Life Technologies Inc .............................. 92,250
3,458 * Ligand Pharmaceuticals Inc ......................... 20,316
4,200 * Marsam Pharmaceuticals Inc ......................... 80,325
1,600 * Medco Research Inc ................................. 21,400
2,420 Natures Sunshine Products Inc ...................... 34,183
2,700 * NBTY Inc ........................................... 15,863
5,500 * Noven Pharmaceuticals Inc .......................... 46,750
2,200 * Pharmaceutical Research Inc ........................ 23,100
3,400 * Procyte Corp ....................................... 7,650
3,800 * Pure Pac ........................................... 37,050
7,000 * Regeneron Pharmaceuticals Inc ...................... 42,875
2,700 * Roberts Pharmaceutical Corp ........................ 52,313
6,300 * Sepracor Inc ....................................... 75,600
7,300 * Shaman Pharmaceuticals Inc ......................... 25,550
4,100 * Somatogen Inc ...................................... 48,688
5,400 * Syncor International Corp .......................... 48,600
5,700 * Systemed Inc ....................................... 39,900
800 * Systemix Inc ....................................... 11,000
2,900 * Vertex Pharmaceuticals Inc ......................... 45,675
3,700 * Watson Pharmaceuticals Inc ......................... 135,975
-------------
2,817,295
-------------
ELECTRICAL EQUIPMENT - 2.14%
3,400 * American Superconductor Corp ....................... 51,850
7,200 Ametek Inc ......................................... 124,200
3,400 * Applied Innovation Inc ............................. 138,550
2,900 * Audiovox Corp Class A .............................. 15,406
4,150 * Banctec Inc ........................................ 63,806
8,100 Belden Inc ......................................... 191,363
3,650 * C Cor Electronics .................................. 92,163
4,200 * C Cube Microsystems Inc ............................ 107,100
4,800 * Cable Design Technologies Corp ..................... 94,800
4,500 * California Microwave Inc ........................... 141,750
6,500 * Cerplex Group Inc .................................. 50,375
400 * Cherry Corp Class B ................................ 5,700
2,800 * Digital Microwave Corp ............................. 34,650
750 * Electro Rent Corp .................................. 16,500
3,500 * Encore Wire Corp ................................... 49,000
2,378 * Executive Telecard Ltd ............................. 8,918
23
2,300 * Exide Electronics Group ............................ $ 40,825
4,000 * Holophone Corp ..................................... 83,000
600 * Hutchinson Technology Inc .......................... 20,025
2,700 * Integrated Circuit Systems Inc ..................... 34,088
3,050 Joslyn Manufacturing Co ............................ 79,300
5,100 Juno Lighting Inc .................................. 89,888
5,100 * Kemet Corp ......................................... 244,800
750 * Kent Electronics Corp .............................. 23,063
3,800 * Kopin Corp ......................................... 39,900
500 Kuhlman Corp ....................................... 6,063
2,800 * Lamson & Sessions Co ............................... 16,450
9,100 * Microchip Technology Inc ........................... 270,725
7,600 * Micropolis Corp .................................... 45,125
3,500 * Netframe Systems Inc ............................... 18,594
3,100 * Smith Corona Corp .................................. 4,650
11,000 * Spectrum Information ............................... 1,719
5,200 Standex International Corp ......................... 158,600
900 Thomas Industries Inc .............................. 14,513
4,600 * Vicor Corp ......................................... 181,700
5,100 Woodhead Industries ................................ 72,356
3,800 X Rite Inc ......................................... 72,200
-------------
2,703,715
-------------
ELECTRONIC INSTRUMENTS - 3.89%
1,550 Analogic Corp ...................................... 27,319
8,600 * Applied Magnetics Corp ............................. 49,450
5,900 Augat Inc .......................................... 120,950
1,949 * Bell Industries .................................... 37,271
5,300 * Cognex Corp ........................................ 176,225
5,000 Core Industries Inc ................................ 51,875
1,400 CTS Corp ........................................... 45,150
700 Daniel Industries Inc .............................. 10,763
2,600 * Dial Page Inc ...................................... 35,100
2,000 * Dionex Corp ........................................ 84,000
7,000 * Dynatech Corp ...................................... 126,000
4,000 * Evans & Sutherland Computer Co ..................... 54,000
4,600 * Exabyte Corp ....................................... 62,675
3,700 * Exar Corp .......................................... 98,050
203 * Ferrofluidics Corp ................................. 1,573
2,200 Fluke Corp ......................................... 92,125
3,700 * Gentex Corp ........................................ 67,525
7,800 Gerber Scientific Inc .............................. 126,750
3,000 Harman International Industries Inc ................ 108,375
9,600 * Interdigital Comm Corp ............................. 63,000
15,600 * Intergraph Corp .................................... 210,600
6,650 * Lattice Semiconductor Corp ......................... 206,981
9,700 * Lo Jack Corp ....................................... 88,513
6,100 * Magnetek Inc ....................................... 92,263
3,400 * Marshall Industries ................................ 91,800
6,300 Methode Electronics Inc Class A .................... 124,425
2,800 Moorco International Inc ........................... 64,050
2,500 Nashua Corp ........................................ 48,125
6,300 National Computer Systems Inc ...................... 119,700
2,400 Park Electrochemical Corp .......................... 83,400
3,000 * Performance Food Group Co .......................... 57,000
6,225 Pioneer Standard Electronic Inc .................... 142,397
11,300 * Read Rite Corp ..................................... 254,956
7,300 * Recognition International Inc ...................... 62,963
4,800 * Standard Microsystems Corp ......................... 83,400
7,500 * Symbol Technologies Inc ............................ 253,125
6,200 Telxon Corp ........................................ 110,050
3,500 * Tencor Instruments ................................. 235,375
3,300 Texas Industries Inc ............................... 124,163
1,500 * Three-Five Systems Inc ............................. 44,250
6,200 * 3Do Co ............................................. 71,300
5,400 * Verifone Inc ....................................... 116,775
3,100 Watkins Johnson Co ................................. 138,725
11,300 * Western Digital Corp ............................... 199,163
4,200 Wyle Laboratories .................................. 110,250
8,200 Zero Corp .......................................... 113,775
6,050 * Zilog Inc .......................................... 232,169
-------------
4,917,869
-------------
ENTERTAINMENT - 0.96%
5,600 American Classic Voyager Co ........................ 51,100
4,400 * Argosy Gaming Corp ................................. 57,750
6,900 * Autotote Corp Class A .............................. 26,738
15,800 * Aztar Corp ......................................... 148,125
2,200 * BET Holdings Inc Class A ........................... 37,950
1,000 * Boomtown Inc ....................................... 11,125
1,100 * Carmike Cinemas Inc ................................ 26,263
6,900 * Discovery Zone Inc ................................. 63,825
2,800 * GC Cos Inc ......................................... 94,500
6,700 * Grand Casinos Inc .................................. 213,563
2,100 * Hollywood Entertainment Corp ....................... 75,075
5,900 * Image Entertainment Inc ............................ 42,775
7,800 * Lady Luck Gaming Corp .............................. 14,625
6,700 * Musicland Stores Corp .............................. 65,325
2,100 * Recoton Corp ....................................... 34,388
3,000 * Sodak Gaming Inc ................................... 41,250
6,100 * Spelling Entertainment Group Inc ................... 67,100
4,500 * Sports & Recreation Inc ............................ 51,750
6,400 * Starsight Telecast Inc ............................. 33,600
8,200 * Tyco Toys Inc ...................................... 55,350
-------------
1,212,177
-------------
FERTILIZERS - 0.49%
4,200 Delta & Pine Land Co ............................... 105,525
10,600 * Ecogen Inc ......................................... 21,863
5,600 First Mississippi Corp ............................. 129,500
2,200 * Great American Management &
Investment Inc ................................... 73,700
7,100 * Indresco Inc ....................................... 96,738
4,800 Vigoro Corp ........................................ 187,200
-------------
614,526
-------------
FINANCE COMPANIES - 0.63%
3,200 * Credit Acceptance Corp ............................. 65,600
6,600 FINOVA Group Inc ................................... 243,375
6,100 Foothill Group Inc Class A ......................... 150,975
1,980 * Imperial Credit Industries Inc ..................... 22,523
8,600 Keystone Financial Inc ............................. 240,800
24
9,700 * Lomas Financial Corp ............................... $ 13,338
900 Money Store Inc .................................... 27,788
2,000 PMC Capital Inc .................................... 23,000
5,500 * Search Cap Group Inc ............................... 9,625
-------------
797,024
-------------
FOODS - 1.16%
2,000 * Ben & Jerrys Homemade Inc .......................... 28,000
350 Bridgford Foods Corp ............................... 4,288
5,300 Dreyers Grand Ice Cream Inc ........................ 168,275
11,800 Flowers Inds Inc ................................... 203,550
5,850 Hudson Foods Inc Class A ........................... 80,438
7,500 International Multifoods Corp ...................... 158,438
8,600 Interstate Bakeries Corp ........................... 125,775
6,300 J M Smucker Co Class A ............................. 142,538
5,200 Lance Inc .......................................... 92,300
6,600 Michaels Foods Inc ................................. 80,025
6,700 * Morningstar Group Inc .............................. 49,413
8,000 * Ralcorp Holdings Inc ............................... 176,000
2,250 Thorn Apple Valley inc ............................. 46,406
1,545 Tootsie Roll Inds Inc .............................. 100,039
1,300 * Wholesome & Hearty Foods Inc ....................... 15,925
-------------
1,471,410
-------------
FOOTWEAR - 0.42%
6,300 Brown Group Inc .................................... 137,813
3,366 * Converse Inc ....................................... 22,721
4,600 Edison Brothers Stores Inc ......................... 60,375
1,683 * Florsheim Shoe Co .................................. 8,205
4,400 J Baker Inc ........................................ 57,750
6,200 Justin Industries Inc .............................. 62,775
10,700 * LA Gear Inc ........................................ 32,100
2,000 * Timberland Co Class A .............................. 44,500
4,950 Wolverine World Wide Inc ........................... 100,856
-------------
527,095
-------------
FREIGHT - 0.60%
5,000 Air Express International Corp ..................... 112,500
7,800 American President Co Ltd .......................... 189,150
800 * Fritz Companies Inc ................................ 42,200
1,800 * Greyhound Lines Inc ................................ 6,075
4,700 * Hornbeck Offshore Services ......................... 72,850
400 International Shipholding Corp ..................... 8,100
5,500 * Interpool Inc ...................................... 79,063
5,050 Intertrans Corp .................................... 97,844
6,000 * Kirby Corp ......................................... 84,000
8,300 * OMI Corp ........................................... 44,613
800 * Seacor Holdings Inc ................................ 18,700
-------------
755,095
-------------
GOLD MINING - 0.32%
19,800 * Amax Gold Inc ...................................... 106,425
6,600 Coeur D'Alene Mines Corp ........................... 128,700
1,600 * Firstmiss Gold Inc ................................. 22,600
2,600 FMC Gold Co ........................................ 10,400
65,500 * Sunshine Mining Co ................................. 139,188
-------------
407,313
-------------
HARDWARE & TOOLS - 0.13%
2,100 Brenco Inc ......................................... 26,775
2,500 * Forschner Group Inc ................................ 25,000
4,000 Lawson Products Inc ................................ 109,000
-------------
160,775
-------------
HEALTHCARE - 3.41%
4,136 * Abbey Healthcare Group Inc ......................... 148,379
11,700 * Advanced Tissue Sciences Inc ....................... 73,125
2,200 * American Medical Response .......................... 54,725
3,200 * Arbor Health Care Co ............................... 60,800
3,038 * Benson Eyecare Corp ................................ 31,140
2,100 Block Drug Inc Class A ............................. 75,075
4,100 Collagen Corp ...................................... 70,725
6,500 * Continental Medical Systems Inc .................... 60,938
5,100 * Cytogen Corp ....................................... 18,806
4,200 * Employee Benefit Plans Inc ......................... 56,175
4,160 FHP International Corp ............................. 95,420
4,300 * Genesis Health Ventures Inc ........................ 127,388
4,300 * Grancare Inc ....................................... 68,263
4,500 * Healthcare Services Group Inc ...................... 51,750
6,900 * Hillhaven Corp ..................................... 197,513
4,000 * Homedco Group Inc .................................. 208,000
6,700 * Horizon Healthcare Corp ............................ 122,275
4,700 Integrated Health Services Inc ..................... 156,863
4,700 Invacare Corp ...................................... 189,175
1,200 Kinetic Concepts Inc ............................... 8,400
5,300 * Lincare Holdings Inc ............................... 141,113
4,100 * Living Centers of America Inc ...................... 127,100
7,200 * Mariner Health Group Inc ........................... 104,400
4,500 * Maxicare Health Plans Inc .......................... 69,188
2,600 Mentor Corp ........................................ 59,231
3,500 * Multicare Cos Inc .................................. 65,188
3,100 Omnicare Inc ....................................... 147,250
4,150 * Pacific Physician Services Inc ..................... 68,994
4,850 * Patterson Dental Co ................................ 109,125
5,900 * Phycor Inc ......................................... 177,738
1,800 * Physicians Health Care Ltd Class A ................. 56,813
5,000 * Quantum Health Resources Inc ....................... 96,250
4,300 * Regency Health Services Inc ........................ 47,300
100 * Renal Treatment Centers Inc ........................ 2,163
800 * Respironics Inc .................................... 10,400
1,700 * Response Technologies Inc .......................... 3,931
2,800 * Rotech Medical Corp ................................ 76,300
3,500 * Rural/Metro Corp ................................... 61,250
2,800 * Sierra Health Services Inc ......................... 75,250
5,000 * Spacelabs Inc ...................................... 120,000
3,000 * Steris Corp ........................................ 127,500
2,000 * Summit Care Corp ................................... 38,500
5,488 * Sun Healthcare Group Inc ........................... 91,238
3,400 * Sunrise Medical Inc ................................ 113,900
3,850 * Technol Medical Products Inc ....................... 72,669
5,000 * Universal Health Services Inc
Class B .......................................... 138,125
4,900 * Visx Inc ........................................... 61,250
2,300 Vital Signs Inc .................................... 35,938
4,950 * Vivra Inc .......................................... 139,838
-------------
4,312,877
-------------
25
HEAVY DUTY TRUCKS/PARTS - 0.22%
800 Cascade Corp ....................................... $ 13,500
2,800 * Detroit Diesel Corp ................................ 61,600
1,700 Osh Kosh Truck Corp Class B ........................ 20,825
550 * Raymond Corp ....................................... 11,550
4,450 * Spartan Motor Inc .................................. 40,050
4,450 Wabash National Corp ............................... 134,613
-------------
282,138
-------------
HOME BUILDERS - 0.71%
3,100 Continental Homes Holdings Corp .................... 47,275
5,230 * D R Horton Inc ..................................... 60,143
4,050 * Hovnanian Enterprises Inc Class A .................. 24,047
350 * Hovnanian Enterprises Inc Class B .................. 2,078
4,900 Pulte Corp ......................................... 134,138
4,000 * Redman Industries .................................. 80,000
4,200 Ryland Group Inc ................................... 66,675
3,600 * Schuler Homes Inc .................................. 41,400
10,200 Standard Pacific Corp .............................. 71,400
7,300 * Toll Bros Inc ...................................... 114,063
5,170 * US Home Corp ....................................... 113,094
6,400 Webb Del Corp ...................................... 139,200
-------------
893,513
-------------
HOSPITAL MANAGEMENT - 1.38%
2,300 * Advantage Health Corp .............................. 64,400
6,500 * Charter Medical Corp ............................... 111,313
4,050 * Community Health Systems Inc ....................... 142,763
9,700 * Community Psychiatrics Centers ..................... 120,038
6,900 * Coventry Corp ...................................... 142,313
3,600 * Health Management Association ...................... 62,550
3,900 * Health Management Systems Inc ...................... 102,863
2,900 * Healthwise America Inc ............................. 84,825
4,100 * Medaphis Corp ...................................... 247,025
19,500 * Primedex Health System Inc ......................... 12,188
6,300 Shared Medical Systems ............................. 210,263
6,900 Surgical Care Affiliates Inc ....................... 141,450
13,300 * Unilab Corp ........................................ 66,500
7,428 * Vencor Inc ......................................... 234,911
-------------
1,743,402
-------------
HOSPITAL SUPPLIES - 1.56%
9,400 * Acuson Corp ........................................ 103,400
1,400 * Advanced Technology Labs Inc ....................... 22,575
1,400 Arrow International Inc ............................ 54,075
10,800 Ballard Medical Products ........................... 125,550
10,200 * Bio Technology General Corp ........................ 40,163
4,600 * Coherent Inc ....................................... 112,700
2,500 * Datascope Inc ...................................... 40,625
4,500 Diagnostic Products Corp ........................... 181,688
3,600 * Gulf South Medical Supply Inc ...................... 74,700
7,300 * Healthdyne Inc ..................................... 34,675
4,750 * Healthdyne Technologies Inc ........................ 51,658
700 * Immunomedics Inc ................................... 1,750
5,100 * Isis Pharmaceuticals Inc ........................... 58,650
600 Landauer Inc ....................................... 10,875
1,600 * Maxxim Medical Inc ................................. 22,200
5,700 * Nellcor Inc ........................................ 247,950
4,200 * Oncor Inc .......................................... 18,638
10,950 Owens & Minor Inc .................................. 142,350
3,700 * Perseptive Biosystems Inc .......................... 30,525
2,700 * Pharmaceutical Marketing Services .................. 21,938
4,800 Puritan Bennett Corp ............................... 175,800
7,600 * Ribi Immunochem Research Inc ....................... 34,200
1,800 * Sullivan Dental Products Inc ....................... 22,050
4,300 * Summitt Technology Inc ............................. 133,300
2,200 * Target Therapeutics Inc ............................ 80,850
1,800 * Techne Corp ........................................ 24,300
3,800 West Co Inc ........................................ 106,875
-------------
1,974,060
-------------
HOUSEHOLD PRODUCTS - 0.71%
4,500 Armor All Products Corp ............................ 84,375
1,800 * Duracraft .......................................... 56,475
3,000 Ekco Group Inc ..................................... 18,000
1,125 Fays Inc ........................................... 8,156
6,600 * First Alert Inc .................................... 94,050
4,400 Libbey Inc ......................................... 84,700
2,912 Midwest Grain Products Inc ......................... 53,144
4,225 Oil Dri Corp of America ............................ 65,488
2,700 Pittway Corp Class A ............................... 120,825
3,250 Rykoff Sexton Inc .................................. 58,906
7,600 Stanhome Inc ....................................... 240,350
800 * Syratech Corp ...................................... 13,900
-------------
898,369
-------------
INFORMATION PROCESSING - 8.39%
7,733 Adac Laboratories .................................. 78,297
3,400 * Alantec Corp ....................................... 113,900
7,400 * America Online Inc ................................. 263,625
8,725 * American Management
Systems Inc ...................................... 196,313
10,000 * American Software Inc Class A ...................... 38,750
7,000 * Anacomp Inc ........................................ 5,688
2,400 Analysts International Corp ........................ 64,200
3,300 * Artisoft Inc ....................................... 28,875
7,100 * AST Research Inc ................................... 131,350
1,900 * Atria Software Inc ................................. 83,125
8,100 * Auspex Systems Inc ................................. 75,938
5,200 * Banyan Systems Inc ................................. 85,800
5,800 * Bisys Group Inc .................................... 110,200
7,300 * Black Box Corp ..................................... 113,150
5,300 * Bolt Beranek & Newman Inc .......................... 88,775
3,100 * Boole & Babbage Inc ................................ 94,938
10,900 * Borland International Inc .......................... 136,250
6,900 * Boston Technology Inc .............................. 112,988
4,100 * Broderbund Software Inc ............................ 184,500
400 * Business Records Corporation
Holding Co ....................................... 14,000
10,600 * Cadence Design Systems Inc ......................... 315,350
2,000 * Cerner Corp ........................................ 114,000
1,400 * Clinicom Inc ....................................... 23,450
800 * CompUSA Inc ........................................ 21,000
26
7,000 * Computer Network Technology Corp ................... $ 70,875
6,300 * Computer Vision .................................... 35,438
7,700 * Comverse Technology Inc ............................ 115,019
9,075 * Concord EFS Inc .................................... 188,306
6,700 * Continuum Co Inc ................................... 207,700
7,300 * Control Data Systems Inc ........................... 74,825
8,300 * Copytele Inc ....................................... 56,025
8,200 * Cray Research Inc .................................. 187,575
13,000 * Data General Corp .................................. 104,000
4,000 * Dialogic Corp ...................................... 99,000
3,800 * DSP Group Inc ...................................... 78,850
7,100 * Egghead Inc ........................................ 72,775
3,600 * Electronic For Imaging Inc ......................... 165,150
4,800 * Envoy Corp ......................................... 105,600
3,000 * FileNet Corp ....................................... 94,875
4,500 * Frame Technology Corp .............................. 110,250
3,600 * FTP Software Inc ................................... 76,950
4,800 * General Datacommunications
Industries Inc ................................... 48,600
2,950 Gilbert Associates Inc Class A ..................... 37,613
3,200 * Gupta Corp ......................................... 29,600
1,800 Henry Jack & Associates Inc ........................ 20,250
6,100 * Hogan Systems Inc .................................. 51,088
1,400 * Hyperion Software Corp ............................. 51,975
8,100 * IMO Industries Inc ................................. 64,800
3,800 * In Focus Systems Inc ............................... 92,150
4,100 * Input Output Inc ................................... 139,400
6,100 * Interleaf Inc ...................................... 37,363
6,000 * Intersolv Inc ...................................... 98,250
3,100 * Intuit Inc ......................................... 196,075
5,400 * Keane Inc .......................................... 130,275
6,200 * Komag Inc .......................................... 240,250
3,900 * Landmark Graphics Corp ............................. 92,138
3,100 Logicon Inc ........................................ 118,963
2,200 MacNeal-Schwendler Corp ............................ 30,250
3,100 * Macromedia Inc ..................................... 107,725
3,000 * Mapinfo Corp ....................................... 105,750
4,400 * Marcam Corp ........................................ 69,575
18,300 * MaxTor Corp ........................................ 100,650
3,400 Measurex Corp ...................................... 89,250
200 * Medic Computer Systems Inc ......................... 7,650
16,500 * Mentor Graphics Corp ............................... 280,500
5,600 * Merisel Inc ........................................ 35,700
4,999 * Micom Communications ............................... 30,619
300 * Micros Systems Inc ................................. 8,888
1,550 MTS Systems Corp ................................... 41,850
6,750 National Data Corp ................................. 140,063
8,000 * Netmanage Inc ...................................... 112,000
3,600 * Network General Corp ............................... 86,400
1,500 * Norand Corp ........................................ 49,500
1,707 * Paxar Corp ......................................... 27,952
3,100 * People Soft Inc .................................... 153,450
4,800 * Platinum Tecnology Inc ............................. 79,200
5,500 * Primark Corp ....................................... 89,375
2,000 * Progress Software Corp ............................. 100,500
10,100 * Pyxis Corp ......................................... 243,663
8,300 * Racoktec Inc ....................................... 46,688
5,200 * Retix .............................................. 19,500
3,500 * S3 Inc ............................................. 94,938
800 * Safeguard Scientifics Inc .......................... 27,200
8,400 * Sequent Computer Systems Inc ....................... 123,900
5,200 * Sierra On Line Inc ................................. 94,250
8,800 * Stac Electronics ................................... 52,800
6,900 * Stratacom Inc ...................................... 263,925
5,200 * Structural Dynamics Research Corp .................. 71,825
5,200 * SunGard Data Systems ............................... 259,350
11,300 * Symantec Corp ...................................... 259,900
5,000 * Synopsys Inc ....................................... 271,250
4,500 * Syquest Technology Inc ............................. 49,500
4,900 System Software Assoc Inc .......................... 118,213
5,000 * Systems & Computer
Technology Corp .................................. 98,750
11,100 * Tech Data Corp ..................................... 113,775
5,100 Tseng Laboratories Inc ............................. 34,425
4,251 * U S Robotics Inc ................................... 354,959
6,600 * Viewlogic Systems Inc .............................. 67,650
1,700 * Vmark Software Inc ................................. 26,775
10,400 * Wang Laboratories Inc .............................. 135,200
3,700 * Wonderware Corp .................................... 118,400
3,300 * Xircom Inc ......................................... 35,063
2,200 * Zebra Technologies Corp Class A .................... 99,000
-------------
10,614,211
-------------
INSURANCE - CASUALTY - 1.18%
500 Avemco Corp ........................................ 8,563
900 Baldwin & Lyons Inc Class B ........................ 14,175
4,000 * Capsure Holdings Corp .............................. 56,000
7,400 Citizens Corp ...................................... 126,725
8,800 Commerce Group Inc Mass ............................ 157,300
4,600 E W Blanch Holdings Inc ............................ 83,950
3,969 Frontier Insurance Group Inc ....................... 98,729
1,403 Gainsco Inc ........................................ 14,205
600 * HCC Insurance Inc .................................. 14,400
5,800 * Home Holdings Inc .................................. 58,725
3,600 Midland Financial Group Inc ........................ 63,000
5,500 Nac Re Corp ........................................ 161,563
5,400 National Re Corp ................................... 166,050
750 * Navigators Group Inc ............................... 9,750
200 Nymagic Inc ........................................ 3,275
2,481 Orion Capital Corp ................................. 96,139
19,200 Reliance Group Holdings Inc ........................ 122,400
400 Scor U S Corp ...................................... 3,600
3,200 Selective Insurance Group Inc ...................... 93,600
700 * Transnational Re Corp .............................. 13,825
2,800 Trenwick Group Inc ................................. 121,800
337 United Fire & Casualty Co .......................... 9,183
-------------
1,496,957
-------------
INSURANCE - LIFE - 0.89%
4,400 American Bankers Insurance
Group Inc .......................................... 129,800
27
450 American Heritage Life
Investment Corp .................................... $ 8,719
3,500 CCP Insurance Inc .................................. 78,750
3,050 Independent Insurance Group Inc .................... 37,744
300 Kansas City Life Insurance Co ...................... 14,100
7,100 * Life USA Holdings Inc .............................. 69,225
500 * National Western Life Insurance Co ................. 20,375
1,800 Presidential Life Corp ............................. 13,050
3,275 Protective Life Corp ............................... 162,522
3,200 Reinsurance Group of America Inc ................... 82,000
435 Seafield Capital Corp .............................. 16,204
3,800 Security Conn Corp ................................. 89,775
2,835 United Companies Financial Corp .................... 125,449
1,600 * United Insurance Cos Inc ........................... 84,400
5,400 W R Berkley Corp ................................... 198,450
-------------
1,130,563
-------------
INSURANCE - MISCELLANEOUS - 1.43%
5,500 Acordia Inc ........................................ 168,438
3,550 Allied Group Inc ................................... 100,731
3,000 Capital Guaranty Corp .............................. 52,875
1,100 Capital RE Corp .................................... 27,088
4,800 CMAC Investment Corp ............................... 199,200
3,900 Emphesys Financial Group Inc ....................... 98,475
5,300 Executive Risk Inc ................................. 92,750
3,750 Fidelity National Inc .............................. 48,750
3,600 Foremost Corp of America ........................... 144,900
5,775 Fremont General Corp ............................... 145,819
4,800 Gallagher Arthur J & Co ............................ 167,400
1,300 Guaranty National Corp ............................. 22,100
600 Harleysville Group Inc ............................. 14,513
2,250 Hilb Rogal & Hamilton Co ........................... 28,125
4,800 Integon Corp ....................................... 82,200
4,050 Lawyers Title Corp ................................. 57,713
5,100 Liberty Corp ....................................... 131,963
200 Midland Co ......................................... 9,475
2,023 * Mutual Assurance Inc ............................... 54,115
525 Poe & Brown Inc .................................... 12,600
3,300 Stewart Information Services Corp .................. 61,050
4,100 Zenith National Insurance Corp ..................... 88,150
-------------
1,808,430
-------------
INSURANCE - MULTILINE - 0.56%
1,650 Alfa Corp .......................................... 18,563
6,378 American Annuity Group Inc ......................... 62,983
700 * American Travelers Group ........................... 12,600
6,600 Amvestors Financial Corp ........................... 71,775
2,800 * Delphi Financial Group Inc ......................... 47,600
3,700 Home Beneficial Corp Class A ....................... 74,925
6,100 Life Re Corp ....................................... 103,700
250 * Markel Corp ........................................ 13,813
8,800 Penncorp Financial Group Inc ....................... 162,800
1,700 * REN Corp - USA ..................................... 23,375
15,100 * Southwestern Life Corp ............................. 10,381
1,100 United Wisconsin Services Inc ...................... 23,100
4,000 Washington National Corp ........................... 79,000
-------------
704,615
-------------
LEISURE TIME - 1.15%
6,800 * Acclaim Entertainment Inc .......................... 116,025
6,700 * Aldila Inc ......................................... 36,431
9,000 * Bally Entertainment Group .......................... 93,375
3,900 * Bally Gaming International Inc ..................... 34,613
1,500 * Casino America Inc ................................. 22,688
12,900 Handleman Co ....................................... 149,963
4,900 * Hollywood Park Inc ................................. 66,150
6,700 Huffy Corp ......................................... 94,638
5,182 Jackpot Enterprises Inc ............................ 44,695
7,900 Outboard Marine Corp ............................... 158,988
9,600 * Player International Inc ........................... 201,600
3,700 Quixote Corp ....................................... 45,788
5,500 * Rio Hotel & Casino Inc ............................. 79,063
7,400 * Scotts Co .......................................... 160,950
2,900 Showboat Inc ....................................... 48,575
5,500 * SLM International Inc .............................. 5,156
245 * Swing N Slide Corp ................................. 1,041
3,000 * Video Lottery Technologies Inc ..................... 23,625
1,900 Winnebago Industries Inc ........................... 17,813
3,300 * WMS Industries Inc ................................. 61,050
-------------
1,462,227
-------------
LODGING - 0.05%
2,262 Marcus Corp ........................................ 64,750
-------------
MACHINE TOOLS - 0.20%
5,600 Greenfield Industries Inc .......................... 162,400
2,700 Roper Industries ................................... 87,075
-------------
249,475
-------------
MACHINERY - AGRICULTURE - 0.16%
14,100 * DNA Plant Technology Corp .......................... 29,081
1,200 * Lindsay Manufacturing Co ........................... 37,800
4,800 Toro Co ............................................ 132,600
-------------
199,481
-------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 1.12%
2,900 * Astec Industries Inc ............................... 33,350
1,800 Blount Inc Class A ................................. 68,175
4,600 * CDI Corp ........................................... 102,925
1,000 CRSS Inc ........................................... 14,500
2,000 Granite Construction Inc ........................... 43,000
10,965 Harnischfeger Industries Inc ....................... 381,034
2,300 Instituform Midamerica Inc ......................... 32,488
4,000 * Instituform Technologies Inc
Class A ............................................ 52,000
3,900 * J Ray McDermott .................................... 102,375
5,700 * Jacobs Engineering Group Inc ....................... 124,688
9,900 Kaman Corp Class A ................................. 121,275
2,400 * Kasler Corp ........................................ 13,800
6,200 Lennar Corp ........................................ 120,900
1,300 MDC Holdings Inc ................................... 7,963
9,000 * Morrison Knudsen Corp .............................. 49,500
2,700 Stone & Webster Inc ................................ 83,025
3,900 TJ International Inc ............................... 66,300
-------------
1,417,298
-------------
28
MACHINERY - INDUSTRIAL/SPECIALTY - 2.64%
5,800 AAR Corp ........................................... $ 88,450
9,600 Albany International Corp Class A .................. 213,600
4,100 * Amsco International Inc ............................ 51,250
525 Applied Power Inc Class A .......................... 13,519
4,320 Baldor Electric Co ................................. 123,120
3,900 Bearings Inc ....................................... 108,225
9,000 BWIP Holdings Inc .................................. 162,000
3,800 * Dovatron International Inc ......................... 85,500
5,050 Duriron Co Inc ..................................... 106,050
4,900 Exide Corp ......................................... 176,400
475 General Binding Corp ............................... 8,313
450 Gorman Rupp Co ..................................... 6,919
5,800 Goulds Pumps Inc ................................... 135,575
600 Graco Inc .......................................... 15,975
400 Helix Technology Corp .............................. 15,200
2,400 Hughes Supply Inc .................................. 47,100
7,200 Idex Corp .......................................... 244,800
4,100 * Insilco Corp ....................................... 118,388
3,300 * International Imaging Materials .................... 79,200
5,200 * Ionics Inc ......................................... 143,000
2,300 Katy Industries .................................... 20,413
12,400 * Kenetech Corp ...................................... 130,200
3,400 * Kulicke & Soffa Industries Inc ..................... 144,500
9,450 Lilly Industries Inc ............................... 106,313
850 Lufkin Industries Inc .............................. 16,363
4,100 Manitowoc Co Inc ................................... 108,138
3,840 * Oak Industries Inc ................................. 106,560
600 * Osmonics Inc ....................................... 10,575
3,500 * Park Ohio Industries Inc ........................... 40,250
2,500 * Presstek Inc ....................................... 145,000
7,000 Regal Beloit Corp .................................. 107,625
350 Robbins & Myers Inc ................................ 9,275
2,125 Roto Rooter Inc .................................... 56,313
800 Scotsman Industries Inc ............................ 15,700
5,100 * Silicon Valley Group Inc ........................... 159,375
6,800 * Specialty Equipment Cos Inc ........................ 80,325
2,700 * SPS Technologies Inc ............................... 91,125
500 Tennant Co ......................................... 13,500
2,900 * Thermo Power Corp .................................. 39,150
-------------
3,343,284
-------------
MEDICAL TECHNOLOGY - 0.82%
11,500 * Applied Bioscience
International Inc .................................. 58,938
10,600 * Calgene Inc ........................................ 63,600
2,200 Dekalb Genetics Corp Class B ....................... 82,500
4,600 * Epitope Inc ........................................ 67,850
800 * Focal Surgery Inc .................................. 150
4,000 * Haemonetics Corp ................................... 72,000
1,300 * Heart Technology Inc ............................... 25,756
4,300 * I Stat Corp ........................................ 85,463
8,800 * Igen Inc ........................................... 42,900
1,000 * Isomedix Inc ....................................... 14,500
8,100 * Liposome Co Inc .................................... 77,963
4,700 * Liposome Technology Inc ............................ 35,250
800 * MGI Pharmaceuticals Inc ............................ 3,450
1,202 * Molecular Biosystems Inc ........................... 7,663
4,400 * Organogenesis Inc .................................. 55,000
2,700 * Protein Design Labs Inc ............................ 63,450
5,900 * Sciclone Pharmaceuticals Inc ....................... 37,613
7,724 * Scios Nova Inc ..................................... 27,517
400 * Sofamor/Danek Group Inc ............................ 8,400
400 * Thermo Cadiosystems Inc ............................ 15,150
1,400 * Thermotrex Corp .................................... 32,200
9,500 * US Bioscience Inc .................................. 24,344
6,700 * Ventritex .......................................... 96,313
3,500 * Zoll Medical Corp .................................. 40,250
-------------
1,038,220
-------------
MERCHANDISE - DRUG - 0.68%
7,650 Arbor Drugs Inc .................................... 128,138
6,000 Big B Inc .......................................... 82,500
7,800 * Eckerd Jack Corp ................................... 252,525
5,300 * Express Scripts Inc ................................ 165,625
7,939 * Foxmeyer Corp ...................................... 143,894
770 Genovese Drug Store Inc Class A .................... 8,181
1,700 Medicine Shoppe International Inc .................. 57,375
2,700 * Medimmune Inc ...................................... 23,625
-------------
861,863
-------------
MERCHANDISE - SPECIALTY - 2.72%
4,100 * American Rec Co Holdings Inc ....................... 30,750
578 Anthony Industries Inc ............................. 9,537
10,518 Arctco Inc ......................................... 145,280
10,700 * Aura Systems Inc ................................... 57,513
3,800 * Avid Technology Inc ................................ 139,650
1,400 * Bell Sports Corp ................................... 16,975
2,550 * BMC West Corp ...................................... 36,975
11,000 * Bombay Inc ......................................... 83,875
5,200 * Books A Million Inc ................................ 72,800
1,600 * Bush Boake Allen Inc ............................... 45,400
9,300 Caseys General Stores Inc .......................... 158,100
8,200 Cash America Investments Inc ....................... 63,550
2,700 * Chicos Fas Inc ..................................... 14,513
3,200 * Cobra Golf Inc ..................................... 86,400
11,600 * Consolidated Stores Corp ........................... 217,500
6,500 Cross AT Co Class A ................................ 102,375
300 * Crown Books Corp ................................... 4,200
7,800 * Eagle Hardware and Garden .......................... 56,550
4,800 * EMPI Inc ........................................... 68,400
5,600 * Enterra Corp ....................................... 107,100
2,100 * Ezcorp Inc ......................................... 13,650
2,200 * Fossil Inc ......................................... 37,400
4,800 * Friedmans Inc ...................................... 87,000
4,100 * Gibson Greetings Inc ............................... 44,075
10,100 Hancock Fabrics Inc ................................ 83,325
4,000 * Inacom Corp ........................................ 42,000
10,700 * Intreco Inc ........................................ 65,538
6,600 * Jenny Craig Inc .................................... 49,500
500 Labone Inc ......................................... 7,000
7,700 * MacFrugals Bargains Close Outs ..................... 115,500
2,400 * Mail Boxes Etc ..................................... 21,600
1,500 * Microage Inc ....................................... 17,438
3,600 * Rex Stores Corp .................................... 50,400
29
5,200 Russ Berrie & Co ................................... $ 74,750
1,600 * Safety 1st Inc ..................................... 30,000
3,200 * Seitel Inc ......................................... 90,400
1,300 * Sportmart Inc ...................................... 11,213
4,691 * Sterling Software Inc .............................. 158,908
3,500 Sturm Ruger & Co Inc ............................... 101,938
4,300 * Sunglass Hut International Inc ..................... 134,375
800 * Tandycrafts Inc .................................... 6,400
5,000 Tiffany & Co ....................................... 161,250
3,700 * Tractor Supply Co .................................. 73,075
193 United Stationers Inc .............................. 3,426
4,100 Unitog Co .......................................... 85,075
7,400 * Waban Inc .......................................... 108,225
5,100 * Williams Sonoma Inc ................................ 93,713
13,400 * Zale Corp .......................................... 154,938
-------------
3,439,555
-------------
MERCHANDISING - DEPARTMENT - 0.44%
200 * Alexanders Inc ..................................... 11,525
1,300 * Bon Ton Stores Inc ................................. 13,488
5,400 * Bradlees Inc ....................................... 26,325
10,316 * Broadway Stores Inc ................................ 55,449
17 * Broadway Stores Inc (Warrants) ..................... 8
2,400 * Ero Inc ............................................ 18,600
7,700 Neiman Marcus Group Inc ............................ 103,950
10,815 Pier 1 Imports Inc ................................. 86,520
3,800 * Proffitts Inc ...................................... 93,575
4,150 * Stein Mart Inc ..................................... 48,763
412 Strawbridge & Clothier ............................. 7,931
3,700 Venture Stores Inc ................................. 37,000
2,700 * Younkers Inc ....................................... 49,613
-------------
552,747
-------------
MERCHANDISING - FOOD - 1.02%
16,800 Brunos Inc ......................................... 194,250
3,400 Delchamps Inc ...................................... 64,600
75 Farmer Brothers Inc ................................ 9,150
2,200 * IHOP Corp .......................................... 50,600
1,800 Ingles Markets Inc ................................. 16,875
2,000 * J & J Snack Foods Corp ............................. 24,250
4,575 Nash Finch Co ...................................... 73,772
1,800 * Penn Traffic Co .................................... 59,400
1,234 * Quality Food Centers Inc ........................... 24,372
6,800 Richfood Holdings Inc .............................. 147,900
1,900 Ruddick Corp ....................................... 39,425
3,300 Sanderson Farms Inc ................................ 35,475
4,900 Savannah Foods & Industries Inc .................... 55,125
3,000 * Showbiz Pizza Time Inc ............................. 33,375
5,500 Smart & Final Inc .................................. 90,750
4,700 * Smithfield Foods Inc ............................... 98,700
3,500 Smith's Food & Drug Centers Inc .................... 67,813
1,900 Super Food Services Inc ............................ 20,188
900 * Super Rite Foods Corp .............................. 14,400
6,500 * Whole Foods Market Inc ............................. 93,438
5,437 WLR Foods Inc ...................................... 76,118
-------------
1,289,976
-------------
MERCHANDISING - MASS - 0.26%
4,900 * Caldor Corp ........................................ 91,875
2,700 Freds Inc .......................................... 27,675
5,400 * Good Guys Inc ...................................... 57,038
3,170 * Hills Store Co ..................................... 75,288
6,700 Shopko Stores Inc .................................. 72,025
-------------
323,901
-------------
METALS - ALUMINUM - 0.23%
2,600 * ACX Technologies Inc ............................... 108,550
4,700 IMCO Recycling Inc ................................. 85,188
5,200 * Kaiser Aluminum Corp ............................... 60,450
1,371 Tredagar Industries Inc ............................ 32,733
-------------
286,921
-------------
METALS - COPPER - 0.02%
800 * Wolverine Tube Inc ................................. 25,800
-------------
METALS - MISCELLANEOUS - 0.84%
750 A M Castle & Co .................................... 11,344
7,200 Brush Wellman Inc .................................. 156,600
6,133 Commercial Metals Inc .............................. 167,891
2,800 * Dravo Corp ......................................... 37,100
16,900 * Hecla Mining Co .................................... 181,675
3,800 * Jan Bell Marketing Inc ............................. 9,975
7,800 Kennametal Inc ..................................... 253,500
6,650 * Material Sciences Corp ............................. 131,338
3,900 Precision Castparts Corp ........................... 112,125
-------------
1,061,548
-------------
METALS - STEEL - 1.60%
5,000 * Acme Metals Inc .................................... 82,500
5,300 * AK Steel Holdings Corp ............................. 144,425
5,000 Amcast Industrial Corp ............................. 98,750
31,300 * Armco Inc .......................................... 199,538
3,000 Carpenter Technology Corp .......................... 192,750
800 Chaparral Steel Co ................................. 7,600
4,700 Cleveland Cliffs Inc ............................... 182,713
1,350 Commercial Intertech Corp .......................... 24,300
1,500 * Envirosource Inc ................................... 6,000
5,100 * Geneva Steel Co Class A ............................ 51,638
2,500 Huntco Inc ......................................... 48,125
10,000 * Intermet Corp ...................................... 85,000
2,600 Lukens Inc ......................................... 87,750
2,600 * Mueller Industries Inc ............................. 118,950
300 * New Jersey Steel Corp .............................. 3,525
10,000 * Northwestern Steel & Wire Co ....................... 70,000
700 * NS Group Inc ....................................... 2,888
7,500 Oregon Steel Mills Inc ............................. 120,000
5,300 Quanex Corp ........................................ 126,538
1,850 Steel Technologies Inc ............................. 22,200
13,300 UNR Industries Inc ................................. 87,281
4,500 Valmont Industries Inc ............................. 87,750
7,800 * Weirton Steel Corp ................................. 56,550
4,400 * WHX Corp ........................................... 47,850
6,800 * Wyman Gordon Co .................................... 72,250
-------------
2,026,871
-------------
30
MISCELLANEOUS - 1.09%
6,400 Amcol International Corp ........................... $ 90,000
6,600 Barefoot Inc ....................................... 81,263
8,200 * Borg-Warner Security Corp .......................... 61,500
3,000 * Career Horizons Inc ................................ 60,000
1,700 * Coastal Physician Group Inc ........................ 26,563
4,700 * Corrections Corp of America ........................ 164,500
3,400 * DeVRY Inc .......................................... 132,600
1,700 * Education Alternatives Inc ......................... 19,338
8,200 * Figgie International Holdings Inc
Class A .......................................... 66,113
7,900 Ideon Group Inc .................................... 77,025
3,400 * Kinder Care Learning Centers Inc ................... 45,050
1,092 LADD Furniture Inc ................................. 14,947
3,100 * National Education Corp ............................ 12,013
3,000 * Pinkertons Inc ..................................... 46,500
8,300 * Rexel Inc .......................................... 69,513
4,300 * Robert Half International Inc ...................... 92,450
7,900 Stewart Enterprises Inc ............................ 237,000
2,000 * Supercuts Inc ...................................... 15,375
3,800 * Sylvan Learning Systems Inc ........................ 69,350
-------------
1,381,100
-------------
MOBILE HOMES - 0.28%
4,200 * Champion Enterprises Inc ........................... 70,350
2,300 Coachmen Industries Inc ............................ 31,625
400 McGrath Rentcorp ................................... 6,600
5,450 Oakwood Homes Corp ................................. 136,931
4,900 Skyline Corp ....................................... 89,425
750 Thor Industries .................................... 14,906
-------------
349,837
-------------
NATURAL GAS - DIVERSIFIED - 0.83%
3,150 Atmos Energy Corp .................................. 60,638
1,000 Bay State Gas Co ................................... 24,500
300 Cascade Natural Gas Corp ........................... 4,463
9,504 K N Energy Inc ..................................... 247,104
1,500 Laclede Gas Co ..................................... 28,313
5,400 New Jersey Resources Corp .......................... 122,850
500 Providence Energy Corp ............................. 8,125
787 * Southern Union Co .................................. 14,953
10,400 Southwest Gas Corp ................................. 148,200
2,650 * Tejas Gas Corp ..................................... 141,444
4,700 United Cities Gas Co ............................... 72,850
6,400 Wicor Inc .......................................... 180,000
-------------
1,053,440
-------------
OIL - INTEGRATED DOMESTIC - 0.29%
4,600 * Crown Central Petroleum Corp ....................... 77,050
1,900 Giant Industries Inc ............................... 16,150
2,500 * Hondo Oil & Gas Co ................................. 33,750
2,600 * National Vision Associates ......................... 11,050
12,100 Quaker State Corp .................................. 164,863
5,600 * Tesoro Petroleum Corp .............................. 60,900
-------------
363,763
-------------
OIL - SERVICE - PRODUCTS - 0.41%
4,275 * Energy Ventures Inc ................................ 78,019
500 * Getty Petroleum Corp ............................... 5,750
3,100 * Global Industries Inc .............................. 75,950
7,100 * Kelley Oil & Gas Corp .............................. 39,050
2,700 * Lone Star Technologies Inc ......................... 20,925
12,100 * Parker Drilling Co ................................. 66,550
4,163 * Varco International Inc ............................ 37,467
17,500 * Weatherford International Inc ...................... 196,875
-------------
520,586
-------------
OIL - SERVICES - 1.22%
6,400 * BJ Services Co ..................................... 163,200
880 * BJ Services Co (Warrants) .......................... 4,840
54,300 * Global Marine Inc .................................. 291,863
18,600 * Marine Drilling Co Inc ............................. 76,725
23,800 * Nabors Industries Inc .............................. 205,275
21,600 * Noble Drilling Corp ................................ 159,300
6,900 * Oceaneering International Inc ...................... 67,275
4,900 * Offshore Logistics Inc ............................. 70,438
3,575 Pennsylvania Enterprises Inc ....................... 113,506
3,600 * Pool Energy Services Co ............................ 29,700
3,200 Production Operators Corp .......................... 96,800
13,300 * Smith International Inc ............................ 237,738
5,400 * Tuboscope Vetco International Corp ................. 32,400
-------------
1,549,060
-------------
OIL/GAS PRODUCERS - 1.88%
3,300 * American Exploration Co ............................ 3,094
3,856 Apache Corp ........................................ 111,824
160 * Aztec Energy Corp Utah ............................. 10
4,800 * Barrett Resources Corp ............................. 102,000
9,800 * Benton Oil & Gas Co ................................ 128,625
3,400 Berry Petroleum Co ................................. 36,550
7,800 * Box Energy Corp .................................... 70,200
8,900 Cabot Oil & Gas Corp Class A ....................... 140,175
11,200 * Coda Energy Inc .................................... 75,600
6,300 Devon Energy Corp .................................. 135,450
12,000 * Forest Oil Corp .................................... 24,000
3,000 * Gerrity Oil & Gas Corp ............................. 12,375
4,800 * Global Natural Resources Inc ....................... 52,800
3,100 * H S Res Inc ........................................ 45,725
6,900 Helmerich & Payne Inc .............................. 206,138
500 Holly Corp ......................................... 12,250
4,200 * Hugoton Energy Corp ................................ 35,700
4,200 KCS Energy Inc ..................................... 77,700
21,500 * Mesa Inc ........................................... 112,875
2,400 * Nuevo Energy Co .................................... 51,300
1,200 Phoenix Resource Companies Inc ..................... 38,550
4,600 Plains Petroleum Co ................................ 123,625
18,500 * Rowan Cos Inc ...................................... 138,750
8,400 Snyder Oil Corp .................................... 120,750
2,400 St Mary Land & Exploration Co ...................... 30,600
4,500 * Stone Energy Corp .................................. 64,125
4,900 * Texas Meridian Resources Corp ...................... 49,613
4,200 * Tide West Oil Inc .................................. 45,150
6,700 * Tom Brown Inc ...................................... 97,988
31
6,200 USX Delhi Group .................................... $ 76,725
1,600 Vintage Petroleum Inc .............................. 31,600
11,200 * Wainoco Oil Corp ................................... 47,600
2,400 Wiser Oil Co ....................................... 33,000
500 * XCL Ltd ............................................ 344
12,380 * Zapata Corp ........................................ 41,783
-------------
2,374,594
-------------
PAPER/FOREST PRODUCTS - 0.59%
8,000 Caraustar Industries Inc ........................... 158,000
1,320 Mosinee Paper Corp ................................. 33,000
5,050 Pentair Inc ........................................ 231,038
3,300 Ply Gem Industries ................................. 52,388
5,500 Pope & Talbot Inc .................................. 88,000
4,000 Republic Gypsum Co ................................. 40,000
3,200 Sealright Co Inc ................................... 56,800
4,300 Standard Register .................................. 84,925
-------------
744,151
-------------
PHOTOGRAPHY - 0.18%
6,900 * Actava Group Inc ................................... 73,313
3,400 American Studios Inc ............................... 8,500
5,700 CPI Corp ........................................... 101,888
1,950 * Photronics Inc ..................................... 46,313
-------------
230,014
-------------
POLLUTION CONTROL - 0.86%
700 * Air & Water Tech Corp .............................. 4,200
5,700 * Allwaste Inc ....................................... 32,063
2,000 * Chambers Development Co Inc Class A ................ 12,000
4,400 Dames & Moore Inc .................................. 52,250
6,000 * Envirotest Systems Corp ............................ 36,750
3,500 * Groundwater Technology Inc ......................... 42,000
546 Heidemij NV ........................................ 4,914
8,300 * Hunter Environmental Services Inc .................. 1,328
4,200 * International Technology Corp ...................... 12,600
7,100 * Mid American Waste Systems Inc ..................... 37,275
225 Mine Safety Appliances Co .......................... 10,294
6,100 * Molten Metal Land Technology Inc ................... 132,675
4,800 * Newpark Res Inc .................................... 104,400
5,200 * OHM Corp ........................................... 62,400
15,800 * Rollins Environmental Services ..................... 69,125
5,900 * Sanifill Inc ....................................... 159,300
3,800 * Tetra Technologies Inc ............................. 45,600
2,500 * U S Filter Corp .................................... 42,813
3,700 * United Waste Systems Inc ........................... 115,394
2,000 * USA Waste Services Inc ............................. 29,750
600 * Western Waste Industries ........................... 11,550
3,700 Zurn Industries Inc ................................ 74,463
-------------
1,093,144
-------------
PUBLISHING - NEWS - 0.30%
5,600 Media General Inc .................................. 180,600
3,900 * Network Equip Technologies ......................... 93,600
2,500 Pulitzer Publishing Co ............................. 106,563
-------------
380,763
-------------
PUBLISHING/PRINTING - 1.59%
5,900 Banta Corp ......................................... 197,650
2,200 Bowne & Co Inc ..................................... 39,050
4,900 CCH Inc ............................................ 79,625
4,400 Ennis Business Forms Inc ........................... 58,300
3,100 * Gartner Group Inc .................................. 148,025
3,100 John Wiley & Son ................................... 176,700
8,800 Meredith Corp ...................................... 231,000
3,200 Merrill Corp ....................................... 56,000
3,609 Nelson Thomas Inc .................................. 64,958
3,300 New England Business Inc ........................... 69,713
4,100 * Nu Kote Holdings Inc ............................... 114,800
300 Plenum Publishing Corp ............................. 9,750
4,500 * Scholastic Corp .................................... 248,625
5,200 * Scientific Games Holding Corp ...................... 131,300
16,000 * Topps Inc .......................................... 95,000
10,100 * Valassis Communications Inc ........................ 165,388
9,000 * ValueVision International Inc ...................... 42,750
7,400 * Western Publishing Group Inc ....................... 80,475
-------------
2,009,109
-------------
RAILROAD - 0.25%
500 Florida East Coast Industries Inc .................. 36,688
4,200 * Johnstown America Inds Inc ......................... 47,775
4,600 * Wisconsin Central Transportation Corp .............. 231,150
-------------
315,613
-------------
REAL ESTATE - 0.70%
2,900 * Avatar Holdings Inc ................................ 105,850
20,700 * Catellus Development Corp .......................... 129,375
200 * Christiana Cos Inc ................................. 5,400
3,175 Cousins Properties Inc ............................. 54,372
4,400 * Insignia Financial Group Inc ....................... 108,900
4,800 * Mercer International Inc ........................... 82,200
8,700 Merry Land & Investment Co Inc ..................... 183,788
5,900 North American Mortgage Co ......................... 129,800
7,347 Republic Bancorp Inc ............................... 85,409
500 Tejon Ranch Co ..................................... 6,750
-------------
891,844
-------------
REAL ESTATE INVESTMENT TRUSTS - 4.68%
3,600 Allied Cap Corp .................................... 61,650
6,800 American Health Properties Inc ..................... 146,200
4,500 Associated Estates Realty Corp ..................... 92,250
100 * Atlantic Gulf Communities Corp ..................... 788
8,300 Avalon Properties Inc .............................. 163,925
4,400 Bay Apartment Community Inc ........................ 80,300
8,600 Berkshire Real Estate Co Inc ....................... 83,850
4,200 Bradley Real Estate Inc ............................ 66,150
2,100 BRE Properties Inc ................................. 63,263
2,300 Burnham Pacific Properties Inc ..................... 28,463
4,200 Capstead Mortgage Corp ............................. 114,975
3,000 Chateau Properties Inc ............................. 66,750
2,400 Chelsea GCA Realty Inc ............................. 63,300
3,900 Columbus Realty Trust .............................. 71,175
8,200 Commercial Net Lease Realty Inc .................... 105,575
32
600 CRI Liquidating Real Estate Investment Trust Inc ... $ 2,100
1,400 Criimi Mae Inc ..................................... 11,375
10,800 CWM Mortgage Holdings Inc .......................... 125,550
5,600 Developers Diversified Realty ...................... 158,200
6,900 Duke Realty Investments Inc ........................ 193,200
4,500 Excel Realty Trust Inc ............................. 87,188
2,700 Factory Store America Inc .......................... 52,313
9,900 First Union Real Estate Equity & Mortgage .......... 75,488
3,800 Gables Residential Trust ........................... 74,575
4,400 General Growth Properties Inc ...................... 89,100
1,400 Glimcher Realty Trust .............................. 29,050
5,200 Haagen Alexander Properties Inc .................... 57,200
500 Health Care REIT Inc ............................... 11,125
10,300 IRT Property Corp .................................. 100,425
4,900 Irvine Apartment Community Inc ..................... 85,750
3,200 JDN Realty Corp .................................... 64,400
4,700 JP Realty Inc ...................................... 95,763
8,500 * Koger Equity Inc ................................... 75,438
7,900 LTC Properties ..................................... 101,713
3,500 Macerich Co ........................................ 69,125
5,300 Manufactured Home Communities Inc .................. 83,475
5,400 MGI Properties ..................................... 81,675
2,800 Mid America Apartment Communities Inc .............. 70,350
4,200 Mills Corp ......................................... 82,950
4,500 National Golf Properties Inc ....................... 96,750
5,886 Omega Healthcare Investors ......................... 150,093
3,500 Pennsylvania Real Estate Investment Trust .......... 76,563
3,900 Post Properties Inc ................................ 120,413
500 Price Reit ......................................... 14,875
4,500 Real Estate Investment Trust of California ......... 73,688
3,700 Regency Realty Corp ................................ 63,825
5,500 Resource Mortgage Capital Inc ...................... 101,750
6,500 RFS Hotel Investment Inc ........................... 97,906
5,800 Roc Communities Inc ................................ 126,875
16,200 Rockfeller Center Properties Inc ................... 87,075
15,700 RPS Realty Trust ................................... 72,613
5,100 Saul Centers Inc ................................... 77,775
14,800 Security Capital Indl Trust ........................ 233,100
5,100 Sizeler Properties Investment Inc .................. 52,275
3,700 South West Properties Trust Inc .................... 45,788
8,900 Storage Equities Inc ............................... 141,288
3,300 Storage USA Inc .................................... 93,638
3,100 Sun Communities Inc ................................ 74,013
3,400 Tanger Factory Outlet Centers Inc .................. 85,000
2,300 Taubman Centers Inc ................................ 22,138
5,600 Thornburg Mtg Asset Corp ........................... 76,300
1,600 Town & Country Trust ............................... 22,800
3,600 Trinet Corp Realty Trust Inc ....................... 99,450
5,200 Tucker Properties Corp ............................. 63,050
13,700 United Dominion Realty Trust Inc ................... 191,800
4,200 Universal Health Realty Inc ........................ 66,675
1,600 Urban Shopping Centers Inc ......................... 34,800
3,500 Walden Residential Properties Inc .................. 64,750
6,500 Washington Real Estate Investment Trust ............ 104,000
6,000 Wellsford Residential Properties ................... 129,000
6,900 Western Investment Real Estate Trust ............... 83,663
-------------
5,929,871
-------------
RESTAURANTS - 1.56%
5,262 Apple South Inc .................................... 91,427
4,550 Applebees International Inc ........................ 114,888
2,600 * Au Bon Pain Co Inc ................................. 30,875
1,800 * Bertuccis Inc ...................................... 12,600
10,400 * Boston Chicken Inc ................................. 241,800
9,300 * Buffets Inc ........................................ 129,038
6,500 CKE Restaurants Inc ................................ 50,375
15,580 * Flagstar Cos Inc ................................... 77,900
7,000 * Foodmaker Inc ...................................... 35,875
1,400 * Fresh Choice Inc ................................... 14,700
336 Frischs Restaurants Inc ............................ 3,150
3,100 * Hometown Buffet Inc ................................ 32,550
2,200 * International Dairy Queen Inc ...................... 42,350
6,900 * Lone Star Steakhouse & Saloon ...................... 216,488
9,800 Lubys Cafeterias Inc ............................... 199,675
2,500 * Papa Johns International Inc ....................... 85,313
700 Picadilly Cafeterias ............................... 6,300
20,200 * Ryans Family Steak House ........................... 141,400
2,700 Sbarro Inc ......................................... 62,100
3,433 * Sholodge Inc ....................................... 49,779
7,800 Sizzler International Inc .......................... 44,850
3,700 * Sonic Corp ......................................... 99,900
6,000 * Taco Cabana Inc .................................... 31,500
3,000 TCBY Enterprises Inc ............................... 15,000
10,500 * TPI Enterprises Inc ................................ 47,250
3,900 * Triarc Cos Inc ..................................... 60,450
2,400 * Vicorp Restaurant Inc .............................. 33,600
-------------
1,971,133
-------------
SAVINGS & LOAN - 2.83%
3,700 Albank Financial ................................... 95,738
5,000 * Astoria Financial Corp ............................. 177,500
7,812 Bankers Corp ....................................... 128,898
3,700 Bay View Capital Corp .............................. 95,275
5,000 Bell Bancorp ....................................... 137,500
3,150 Boston Bancorp ..................................... 134,663
16,720 * California Federal Bank ............................ 215,270
5,800 Centerbank Waterbury Conn .......................... 82,650
9,250 Charter One Financial Inc .......................... 233,563
2,000 Citfed Bancorp Inc ................................. 53,000
8,000 * Coast Savings Financial Inc ........................ 165,000
3,200 * Coral Gables Federal Corp Inc ...................... 84,800
1,900 * C S F Holdings Inc ................................. 56,050
33
27,507 * Dime Bancorp Inc ................................... $ 261,317
1,700 Downey Financial Corp .............................. 30,600
4,100 Financial Trust Corp ............................... 111,725
1,994 * First Republic Bancorp Inc ......................... 26,171
1,600 * Firstfed Financial Corp ............................ 26,800
11,692 * Glendale Federal Bank FSB .......................... 160,765
3,600 * Greater New York Savings Bank ...................... 32,625
3,000 JSB Financial Inc .................................. 92,625
5,900 Loyola Capital Corp ................................ 172,575
3,700 N S Bancorp Inc .................................... 111,000
2,000 Peoples Bank Bridgeport Conn ....................... 30,250
6,500 Peoples Heritage Financial Group ................... 93,438
3,780 Provident Bankshares Corp .......................... 95,445
6,000 Rochester Community Savings Bank ................... 123,000
3,800 * Security Capital Corp Wis .......................... 182,400
14,443 Sovereign Bancorp Inc .............................. 122,766
3,800 * St Francis Capital Corp ............................ 72,675
5,400 T R Financial Corp ................................. 98,550
3,300 Webster Financial Corp Waterbury ................... 78,788
-------------
3,583,422
-------------
SECURITIES RELATED - 1.05%
3,700 Alex Brown Inc ..................................... 147,075
1,100 * Ampal America Israel Corp .......................... 6,463
2,650 BHC Financial Inc .................................. 39,088
225 Capital Southwest Corp ............................. 8,775
6,933 * Comdata Holding Corp ............................... 86,663
1,500 Duff & Phelps Credit Rating Co ..................... 19,313
4,500 Duff & Phelps Inc .................................. 48,375
3,700 Enhance Financial Services Group Inc ............... 66,138
800 Inter Regional Financial Group Inc ................. 21,500
2,500 Jefferies Group Inc ................................ 90,000
5,250 Legg Mason Inc ..................................... 141,750
1,206 Liberty Financial Cos Inc .......................... 31,055
900 Mc Donald & Co Investments Inc ..................... 14,513
5,600 Morgan Keegan Inc .................................. 99,400
8,600 Pioneer Group Inc .................................. 231,125
1,743 Quick & Reilly Group Inc ........................... 81,921
3,600 Raymond James Financial Inc ........................ 66,150
2,987 Waterhouse Investor Services Inc ................... 52,273
2,400 * White Riv Corp ..................................... 78,000
-------------
1,329,577
-------------
SEMICONDUCTORS - 1.91%
7,700 * Actel Corp ......................................... 88,550
3,100 * Alliance Semiconductor Corp ........................ 130,200
5,200 * Altera Corp ........................................ 404,950
4,300 * Brooktree Corp ..................................... 69,338
7,800 * Burr Brown ......................................... 175,500
4,500 * Chipcom Corp ....................................... 96,188
3,500 * Credence Systems Corp .............................. 121,188
9,400 * Cypress Semiconductor Corp ......................... 304,325
8,800 Dallas Semiconductor Corp........................... 161,700
2,700 * Electroglas Inc .................................... 138,375
1,500 * Fusion Systems Corp ................................ 49,500
5,400 * International Rectifier Corp ....................... 145,125
4,900 * Level One Communications Inc ....................... 77,175
3,900 * Novellus Systems Inc ............................... 241,800
8,300 * VLSI Technology Inc ................................ 216,319
-------------
2,420,233
-------------
TELECOMMUNICATIONS - 2.80%
1,400 ABM Industries Inc ................................. 31,850
3,600 ACC Corp ........................................... 49,050
5,050 AGCO Corp .......................................... 191,269
5,875 Amtech Corp ........................................ 35,984
3,900 * Arch Communications Group Inc ...................... 81,413
6,600 * Ascend Communications Inc .......................... 255,750
2,700 * Aspect Telecommunication Corp ...................... 110,025
1,500 * Atlantic Tele Network Inc .......................... 12,375
3,600 * Broadbans Technologies Inc ......................... 89,100
3,400 * Cellular Communications International .............. 129,200
2,600 * Cellular Communications Puerto Rico ................ 79,625
3,300 * Cellular Technical Services Inc .................... 64,763
3,500 * Centennial Cellular Corp ........................... 48,125
1,600 * Centigram Communications Corp ...................... 21,200
2,100 * Checkpoint Systems Inc ............................. 45,938
2,500 * Cidco Inc .......................................... 81,250
4,800 * Commnet Cellular Inc ............................... 129,000
1,800 Communications Systems Inc ......................... 28,350
700 * Compression Laboratory Inc ......................... 6,475
2,600 * Crosscomm Corp ..................................... 30,875
5,100 * Digi International Inc ............................. 104,550
5,400 * First Pacific Networks Inc ......................... 11,475
1,500 Harmon Inds Inc .................................... 26,625
6,200 * International CableTel Inc ......................... 198,400
5,400 * Intervoice Inc ..................................... 85,050
7,000 * LCI International Inc .............................. 185,500
7,900 * MA Communications Inc .............................. 93,813
3,800 * Metricom Inc ....................................... 61,750
2,794 * Millicom International Cellular .................... 69,501
10,100 * Mobile Telecommunication ........................... 227,250
3,900 * Nationwide Cellular Service Inc .................... 93,113
7,640 * Octel Communications Corp .......................... 178,585
7,500 * Peoples Telephone Co Inc ........................... 32,813
4,500 * Picturetel Corp .................................... 195,750
3,700 * Plantronics Inc .................................... 91,575
3,300 * Sanmina Corp ....................................... 118,800
4,700 * Symmetricom Inc .................................... 85,775
4,500 * Telco Systems Inc .................................. 43,594
4,800 * U S Long Distance Corp ............................. 72,000
2,500 * Xpedite Systems .................................... 51,250
-------------
3,548,786
-------------
TEXTILE - PRODUCTS - 0.65%
5,000 * Cone Mills Corp .................................... 63,125
2,850 Culp Inc ........................................... 26,363
3,100 Delta Woodside Industries Inc ...................... 25,188
4,800 * Dixie Yarns Inc .................................... 33,000
600 * Fabri Centers of America Inc ....................... 12,150
34
3,600 * Fieldcrest Canyon Inc .............................. $ 81,900
4,050 G & K Services Inc Class A ......................... 72,394
5,300 * Galey & Lord Inc ................................... 64,263
2,900 Gulford Mills Inc .................................. 74,675
900 Johnston Industries Inc ............................ 8,550
150 * Lydall Inc ......................................... 5,869
6,100 * Mohawk Industries Inc .............................. 91,500
2,200 * Norton McNaughton Inc .............................. 31,350
4,100 * Quaker Fabric Corp ................................. 36,900
10,100 * Stevens Westpoint Inc .............................. 183,063
900 Thomaston Mills Inc ................................ 11,025
-------------
821,315
-------------
TOBACCO - 0.27%
9,000 DiMon Inc .......................................... 155,250
1,339 * Standard Commercial Corp ........................... 19,252
7,500 Universal Corp Va .................................. 174,375
-------------
348,877
-------------
TRUCKERS - 0.68%
6,300 * American Freightways Corp .......................... 129,150
7,050 Arnold Industries Inc .............................. 123,375
221 Frozen Food Express Industries Inc ................. 2,265
707 * Heartland Express Inc .............................. 19,001
500 * Landair Services Inc ............................... 6,500
4,200 * Landstar Systems Inc ............................... 111,300
3,200 * MS Carriers Inc .................................... 64,800
14,175 Rollins Truck Leasing Corp ......................... 148,838
3,800 * Swift Transportation Co Inc ........................ 63,175
4,900 TNT Freightways Corp ............................... 111,475
4,400 Yellow Corp ........................................ 83,600
-------------
863,479
-------------
UTILITIES - COMMUNICATION - 0.20%
1,600 * C Tec Corp ......................................... 35,000
9,600 Lincoln Telecommunications Co ...................... 150,000
3,300 PXRE Corporation ................................... 71,363
-------------
256,363
-------------
UTILITIES - ELECTRIC - 1.77%
5,500 Bangor Hydro Electric Corp ......................... 62,563
2,700 Black Hills Corp ................................... 58,388
8,300 Central Louisiana Electric Co ...................... 198,163
6,250 Central Vermont Public Service Corp ................ 86,719
5,500 Cilcorp Inc Holding Co ............................. 204,188
4,600 Commonwealth Energy Systems ........................ 181,700
5,800 Eastern Utilities Assoc ............................ 134,125
800 Empire District Electric ........................... 13,600
1,400 Green Mountain Power Corp .......................... 37,100
8,200 Indiana Energy Inc ................................. 160,925
5,300 Interstate Power Co ................................ 128,525
5,300 Iowa Illinois Gas & Electric ....................... 109,975
1,750 Madison Gas & Electric Co .......................... 54,250
4,575 Otter Tail Power Co ................................ 142,969
16,200 * Public Service Co of New Mexico .................... 230,850
400 Saint Joseph Light & Power Co ...................... 11,750
2,200 Southern Indiana Gas & Electric Co ................. 67,650
4,500 TNP Enterprises Inc ................................ 73,125
53,600 * Tucson Electric Power Co ........................... 174,200
3,500 United Illuminating Co ............................. 113,750
-------------
2,244,515
-------------
UTILITIES - GAS, DISTRIBUTION - 0.77%
1,000 Colonial Gas Co .................................... 20,000
1,800 Connecticut Energy Corp ............................ 35,325
1,200 Connecticut Natural Gas Corp ....................... 27,150
4,100 Energen Corp ....................................... 85,075
18 International Recovery Corp ........................ 376
3,720 NGC Corp ........................................... 32,550
5,700 Northwest Natural Gas Co ........................... 168,863
1,200 NUI Corp ........................................... 18,150
9,400 Piedmont Natural Gas Co ............................ 191,525
4,800 Public Service Co of North Carolina Inc ............ 71,400
714 South Jersey Industries Inc ........................ 14,012
7,800 Southwestern Energy Co ............................. 118,950
9,600 Washington Energy Co ............................... 153,600
2,150 Yankee Energy System Inc ........................... 43,806
-------------
980,782
-------------
UTILITIES - GAS, PIPELINE - 0.22%
9,900 Oneok Inc .......................................... 188,100
2,768 Williams Cos Inc ................................... 94,112
-------------
282,212
-------------
UTILITIES - MISCELLANEOUS - 0.66%
13,700 * California Energy Inc .............................. 219,200
6,600 Central Hudson Gas & Electric Corp ................. 179,025
3,100 MDU Resources Group ................................ 87,188
400 Northwestern Public Service Co ..................... 11,300
3,700 Orange & Rockland Utilities Inc .................... 124,413
10,100 Sierra Pacific Resources ........................... 210,838
-------------
831,964
-------------
WATER SERVICES - 0.35%
900 Aquarion Co ........................................ 20,700
400 California Water Service Co ........................ 12,800
1,200 Consumers Water Co ................................. 17,700
1,300 E Town Corp ........................................ 33,638
1,050 IWC Resources Corp ................................. 19,950
2,100 Philadephia Suburban Corp .......................... 38,063
2,400 SJW Corp ........................................... 82,800
5,750 Southern California Water Co ....................... 106,375
8,400 United Water Resources Inc ......................... 111,300
-------------
443,326
-------------
TOTAL COMMON STOCKS
(Cost $115,734,080)........ 124,379,822
-------------
35
PAR MARKET
VALUE VALUE
---------- ------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 1.56%
FINANCE COMPANIES - 1.56%
$1,977,000 Ford Motor Credit Co, 6.10% due 06/01/95
(Cost $1,977,000) ................................ $ 1,977,000
------------
UNITED STATES GOVERNMENT - SHORT TERM - 0.08%
100,000 United States Treasury Bills,
5.735% due 06/22/95
(Cost $99,666) ................................... 99,666
------------
TOTAL INVESTMENTS
(Cost $117,810,746) - 99.91% ...................... 126,456,488
Other assets and liabilities, net - 0.09% ......... 110,617
------------
NET ASSETS (equivalent to $12.49 per share on
10,136,256 shares outstanding) - 100% ............ $126,567,105
============
* Non-income producing
UNREALIZED
CONTRACTS APPRECIATION
--------- ------------
FUTURES CONTRACTS PURCHASED (1)
(Delivery month/Value at 05/31/95)
13(2) Russell 2000 Index Futures
(June/$273.45) .................................... $ 31,175
============
(1) U.S. Treasury Bills with a market value of
approximately $100,000 were maintained in a
segregated account with a portion placed as
collateral for future contracts.
(2) Per 500
-------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
10,136,256 shares outstanding ............................... $ 101,363
Additional paid in capital .................................... 114,982,202
Undistributed net realized gain on securities ................. 2,791,221
Undistributed net investment income ........................... 15,402
Unrealized appreciation of:
Investments ................................ $8,645,742
Futures .................................... 31,175 8,676,917
---------- ------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING ................... $126,567,105
============
SEE NOTES TO FINANCIAL STATEMENTS.
36
<PAGE>
SMALL CAP INDEX FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1995
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends ...................................................................................... $ 1,907,998
Interest ....................................................................................... 349,526
-------------
Total investment income .................................................................... 2,257,524
-------------
EXPENSES:
Advisory fees .................................................................................. 420,925
Custodian and accounting services .............................................................. 59,941
Reports to shareholders ........................................................................ 17,489
Audit fees ..................................................................................... 11,020
Registration fees .............................................................................. 3,108
Directors' fees and expenses ................................................................... 5,217
Miscellaneous .................................................................................. 11,315
-------------
Total expenses ............................................................................. 529,015
-------------
NET INVESTMENT INCOME .......................................................................... 1,728,509
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain (loss) on:
Investments ............................................................................ $ 2,886,004
Futures contracts ...................................................................... (89,655) 2,796,349
-------------
Net unrealized appreciation during the year:
Investments ............................................................................ 7,213,096
Futures contracts ...................................................................... 78,675 7,291,771
------------- -------------
Net realized and unrealized gain on securities during the year .......................................... 10,088,120
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .............................................................. $ 11,816,629
=============
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the fiscal year ended May 31: 1995 1994
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income ...................................................................... $ 1,728,509 $ 780,457
Net realized gain on securities ............................................................ 2,796,349 1,144,203
Net unrealized appreciation (depreciation) of securities during the year ................... 7,291,771 (696,567)
------------- -------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ....................................... 11,816,629 1,228,093
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ...................................................................... (1,724,116) (770,415)
Net realized gain on securities ............................................................ -- (1,951,667)
------------- -------------
Decrease in net assets resulting from distributions to shareholders .................... (1,724,116) (2,722,082)
------------- -------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold ........................................................... 27,773,025 80,241,365
Proceeds from capital stock issued for distributions reinvested ............................ 1,724,116 2,722,082
------------- -------------
29,497,141 82,963,447
Cost of capital stock repurchased .......................................................... (21,072,208) (15,000,496)
------------- -------------
Increase in net assets resulting from capital stock transactions ....................... 8,424,933 67,962,951
------------- -------------
Total Increase in Net Assets ............................................................... 18,517,446 66,468,962
NET ASSETS:
Beginning of year .......................................................................... 108,049,659 41,580,697
End of year (including undistributed net investment income of $15,402 and $11,009) ......... $ 126,567,105 $ 108,049,659
============= =============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold ............................................................... 2,410,176 6,705,259
Shares issued for distributions reinvested ................................................. 147,801 228,222
Shares of capital stock repurchased ........................................................ (1,802,417) (1,239,663)
------------- -------------
Increase in shares outstanding ......................................................... 755,560 5,693,818
Shares outstanding:
Beginning of year ...................................................................... 9,380,696 3,686,878
------------- -------------
End of year ............................................................................ 10,136,256 9,380,696
============= =============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<PAGE>
INTERNATIONAL EQUITIES FUND May 31, 1995 STATEMENT OF NET ASSETS
NUMBER MARKET
OF SHARES VALUE
--------- ------------
COMMON STOCKS - 98.16%
ADVERTISING - 0.38%
3,000 Euro RSCG Worldwide ................................... $ 311,398
6,000 Havas ................................................. 488,804
------------
800,202
------------
AIRLINES - 0.94%
9,100 British Airways Plc - ADR ............................. 598,325
20,000 * Japan Air Lines Co Ltd ................................ 138,966
41,150 * Japan Air Lines Co Ltd - ADR .......................... 565,813
5,000 Lufthansa A G ......................................... 672,186
------------
1,975,290
------------
APPAREL & PRODUCTS - 0.45%
20,000 Onward Kashiyama ...................................... 274,151
313,039 Pacific Dunlop Ltd .................................... 670,011
------------
944,162
------------
APPLIANCES/FURNISHINGS - 2.20%
50,000 Brother Industries .................................... 248,154
52,000 Matsushita Electric Ind Co Ltd ........................ 804,963
4,200 Matsushita Electric Ind Co Ltd - ADR .................. 659,400
15,000 Philips Electronic .................................... 597,421
133,000 Sanyo Electric Co Ltd ................................. 682,092
3,400 Sanyo Electric Co Ltd - ADR ........................... 86,700
45,000 Sharp Corp ............................................ 638,109
17,970 Sony Corp - ADR ....................................... 880,530
------------
4,597,369
------------
AUTO - CARS - 3.67%
27,500 Daimler Benz A G - ADR ................................ 1,337,188
100,000 * Fiat S P A ............................................ 394,456
30,720 * Fiat S P A - ADR ...................................... 610,560
25,000 Honda Motor Co Ltd - ADR .............................. 756,250
35,000 Nissan Motor Co Ltd ................................... 226,233
18,000 Nissan Motor Co Ltd - ADR ............................. 229,500
500 * Peugeot-Citroen S A ................................... 75,481
13,200 * Peugeot-Citroen S A - ADR ............................. 497,243
1,250 * Porsche A G (Preferred) ............................... 539,164
98,000 Toyota Motor Corp ..................................... 1,899,202
28,519 Toyota Motor Corp - ADR ............................... 1,108,676
------------
7,673,953
------------
AUTO - REPLACEMENT PARTS - 0.92%
36,000 Bridgestone Corp ...................................... 527,504
1,600 Bridgestone Corp - ADR ................................ 234,398
10,000 * Michelin (CGDE) Class B ............................... 456,112
5,550 Nippondenso Ltd - ADR ................................. 401,288
2,000 * Phoenix A G ........................................... 312,743
------------
1,932,045
------------
BANKS - OTHER - 16.09%
14,688 ABN Amro Holdings NV .................................. 555,280
50,000 Asahi Bank Ltd ........................................ 620,384
6,190 Asahi Bank Ltd - ADR .................................. 767,878
13,700 Banco de Santander S A - ADR .......................... 522,313
35,000 Bank of Tokyo Ltd ..................................... 620,384
4,180 Bank of Tokyo Ltd - ADR ............................... 740,763
68,000 Bank of Yokohama Ltd .................................. 630,783
2,296 Bank of Yokohama Ltd - ADR ............................ 212,938
36,000 Barclays Plc .......................................... 385,898
15,840 Barclays Plc - ADR .................................... 677,160
40,000 Chiba Bank ............................................ 401,773
275,000 Credito Italiano ...................................... 314,621
107,000 Dai Ichi Kangyo Bank Ltd .............................. 2,023,043
4,090 Dai Ichi Kangyo Bank Ltd - ADR ........................ 773,135
200,000 * DCB Holdings Berhad ................................... 600,527
50,000 * DCB Holdings Berhad (Warrants) ........................ 57,212
13,300 Den Danske Bank A F - ADR ............................. 850,832
4,250 Deutsche Bank A G - ADR ............................... 2,081,379
10,000 Development Bank Singapore ............................ 117,014
13,625 Development Bank Singapore - ADR ...................... 637,412
1,000 Dresdner Bank A G ..................................... 278,780
52,000 Dresdner Bank A G - ADR ............................... 1,449,958
60,000 Fuji Bank Ltd ......................................... 1,375,480
6,830 Fuji Bank Ltd - ADR ................................... 1,565,433
8,180 HSBC Holdings Plc - ADR ............................... 1,062,810
53,000 Industrial Bank of Japan Ltd .......................... 1,540,679
1,280 Industrial Bank of Japan Ltd - ADR .................... 372,012
13,500 Istituto Mobiliare Italiano - ADR ..................... 254,813
48,000 Joyo Bank Ltd ......................................... 425,406
100,300 Lloyds Bank ........................................... 1,043,298
60,000 Mitsui Trust & Banking Co Ltd ......................... 589,188
26,073 National Australia Bank ............................... 222,097
9,319 National Australia Bank - ADR ......................... 396,058
10,000 National Westminster Bank Plc ......................... 85,596
9,100 National Westminster Bank Plc - ADR ................... 466,375
98,000 Sakura Bank Ltd ....................................... 1,169,631
3,290 Sakura Bank Ltd - ADR ................................. 392,581
1,800 SCHW Bankgesellsch .................................... 1,822,375
60,000 Shizuoka Bank Ltd ..................................... 843,722
89,000 Sumitomo Bank Ltd ..................................... 1,850,990
5,910 Sumitomo Bank Ltd - ADR ............................... 1,228,887
46,000 Tokai Bank Ltd ........................................ 576,189
2,225 Tokai Bank Ltd - ADR .................................. 557,286
10,000 Toyo Trust & Banking .................................. 93,471
21,300 Westpac Banking Corp - ADR ............................ 391,388
------------
33,645,232
------------
BEVERAGE - BREWERS/DISTRIBUTORS - 1.86%
58,800 Bass Plc Co ........................................... 544,393
96,100 Guinness Plc .......................................... 731,013
5,000 Guinness Plc - ADR .................................... 190,036
16,000 Kirin Brewery Co Ltd .................................. 184,343
4,995 Kirin Brewery Co Ltd - ADR ............................ 569,430
22,000 LVMH Moet Hennessy Louis - ADR ........................ 838,750
45,000 Sapporo Breweries ..................................... 459,970
40,000 Whitbread ............................................. 377,323
------------
3,895,258
------------
38
BUILDING MATERIALS - 3.29%
30,000 CRH ................................................... $ 189,843
4,700 Glaverbel ............................................. 679,938
1,025 Holderbk Fn Glarus .................................... 815,431
5,564 Imetal ................................................ 635,854
40,000 Inax Corp ............................................. 416,425
78,315 Redland Plc ........................................... 536,651
24,642 Redland Plc - ADR ..................................... 169,892
80,000 Sekisui House Ltd ..................................... 1,011,521
214 Sekisui House Ltd - ADR ............................... 27,053
2,400 Taisei Construction Ltd - ADR ......................... 154,249
110,000 Taisei Corp ........................................... 707,120
15,000 Tostem Corp ........................................... 506,942
24,000 Toto Ltd .............................................. 368,685
525 Toto Ltd - ADR ........................................ 80,633
48,000 * Uralita S A ........................................... 576,353
------------
6,876,590
------------
CHEMICAL - MAJOR - 0.90%
2,000 Ciba Geigy A G ........................................ 1,419,631
40,000 Sekisui Chemical ...................................... 469,837
------------
1,889,468
------------
CHEMICAL - MISCELLANEOUS - 3.41%
24,867 Air Liquide - ADR ..................................... 779,406
5,100 Akzo N V - ADR ........................................ 312,375
8,500 Asahi Chemical Industry Co Ltd - ADR .................. 596,509
1,500 Basf AG ............................................... 321,057
1,000 Bayer A G ............................................. 241,492
18,000 Bayer A G - ADR........................................ 434,772
40,701 BOC Group ............................................. 515,145
100,000 * Denki Kagaku Kogyo .................................... 388,774
7,500 Gevaert Photo Producten N V - ADR ..................... 410,864
11,000 Imperial Chemical Industries Plc - ADR ................ 558,250
20,000 Mitsubishi Chemical Corp .............................. 95,953
8,040 Mitsubishi Chemical Corp - ADR ........................ 385,651
56,515 * Montedison S P A - ADR ................................ 395,605
220,000 Nylex (Malaysia) BHD .................................. 629,336
22,000 Shin Etsu Chemical Co ................................. 395,155
50,000 Toray Industries Inc .................................. 323,781
5,500 Toray Industries Inc - ADR ............................ 356,086
------------
7,140,211
------------
CONGLOMERATES - 4.55%
100,000 BET ................................................... 206,448
24,695 Broken Hill Proprietary Co Ltd - ADR .................. 1,259,445
40,756 BTR Plc ............................................... 221,352
36,483 BTR Plc - ADR ......................................... 790,532
50,800 Hanson Plc - ADR ...................................... 965,200
100,000 * Idris Hydraulic ....................................... 145,263
70,000 Itochu Corp ........................................... 429,306
3,300 Itochu Corp - ADR ..................................... 202,345
30,000 Keppel Corp Ltd ....................................... 273,510
21,500 Keppel Corp Ltd - ADR ................................. 391,838
8,000 Lagardere Groupe ...................................... 178,333
70,000 Marubeni Corp ......................................... 373,058
3,200 Marubeni Corp - ADR ................................... 170,506
57,000 Mitsubishi Corp ....................................... 652,006
140,000 Mitsubishi Hvy Ind .................................... 961,182
50,000 Mitsui & Co Ltd ....................................... 393,501
2,200 Mitsui & Co Ltd - ADR ................................. 343,200
60,000 Sime Darby Holdings Ltd ............................... 170,420
194,400 Sime Darby Holdings Ltd - ADR ......................... 552,038
100,763 Tomkins ............................................... 389,642
200,000 Trafalgar House ....................................... 152,453
150,000 Wing Tai Holdings ..................................... 292,893
------------
9,514,471
------------
CONSUMER FINANCE - 0.16%
52,000 Nippon Shinpan Co ..................................... 344,106
------------
COSMETICS/TOILETRIES - 0.85%
14,000 Loreal Co ............................................. 735,657
1,000 Loreal Co - ADR ....................................... 263,227
30,000 Shiseido Co Ltd ....................................... 365,140
34,490 Shiseido Co Ltd - ADR ................................. 419,702
------------
1,783,726
------------
DRUGS - 4.56%
30,000 Astra AB .............................................. 879,106
1,800 Banyu Pharmaceutical Co Ltd - ADR ..................... 407,455
6,158 Eisai Co Ltd - ADR .................................... 1,084,021
70,400 Glaxo Wellcome Plc - ADR .............................. 1,636,800
30,000 Kaken Pharmaceutical Co Ltd ........................... 322,954
24,000 Nippon Shinyaku Co .................................... 262,334
350 Roche Holdings A G .................................... 2,155,808
27,500 Sankyo Co ............................................. 636,928
75,961 Smithkline Beecham Plc ................................ 585,058
65,000 Takeda Chemical Industries Ltd ........................ 867,947
15,300 Zeneca Group Plc - ADR ................................ 688,500
------------
9,526,911
------------
ELECTRICAL EQUIPMENT - 1.57%
78,000 Delta Plc ............................................. 637,923
39,000 Denki Kogyo Co Ltd .................................... 367,764
15,000 Fanuc ................................................. 650,517
49,000 * Franco Tosi S P A ..................................... 486,567
14,000 * Franco Tosi S P A (Warrants) .......................... 3,475
134,000 General Electric Plc .................................. 683,087
10,400 General Electric Plc - ADR ............................ 52,867
3,400 Sumitomo Electric Ind Ltd - ADR ....................... 396,468
------------
3,278,668
------------
ELECTRONIC INSTRUMENTS - 2.99%
40,000 Hitachi Ltd ........................................... 386,174
8,550 Hitachi Ltd - ADR ..................................... 840,038
1,000 Kyocera Corp .......................................... 75,982
4,800 Kyocera Corp - ADR .................................... 729,600
144,000 Mitsubishi Electric Corp .............................. 995,450
600 Mitsubishi Electric Corp - ADR ........................ 41,469
39
50,000 NEC Corp .............................................. $ 531,758
5,100 NEC Corp - ADR ........................................ 270,300
50,000 Racal Electronics ..................................... 213,991
800 Siemens A G ........................................... 380,386
14,000 Siemens A G - ADR ..................................... 1,331,628
55,000 Yokogawa Electric ..................................... 458,848
------------
6,255,624
------------
ENTERTAINMENT - 0.22%
65,000 Rank Organisation ..................................... 452,636
------------
FINANCE COMPANIES - 0.42%
4,500 Credit Local de France ................................ 395,354
4,613 International Nederlanden ............................. 249,900
2,000 Societe Generale ...................................... 235,010
------------
880,264
------------
FOODS - 3.35%
25,000 Ajinomoto Inc ......................................... 283,604
1,900 Ajinomoto Inc - ADR ................................... 215,495
20,459 Cadbury Schweppes Plc ................................. 154,165
13,500 Cadbury Schweppes Plc - ADR ........................... 407,531
70,524 Coca Cola Amatil Ltd .................................. 419,912
10,000 Dai Ei Inc ............................................ 124,077
11,500 Dai Ei Inc - ADR ...................................... 276,000
750 Danone ................................................ 123,954
120,000 Grand Metropolitan .................................... 752,739
20,060 Groupe Danone - ADR ................................... 661,834
5,346 Kao Corp - ADR ........................................ 644,230
48,000 Nestle S A - ADR ...................................... 2,421,571
104,322 Northern Foods ........................................ 319,742
250,000 Tasman Agriculture .................................... 196,105
------------
7,000,959
------------
FOOTWEAR - 0.17%
50,000 Church & Co Plc ....................................... 353,343
------------
FREIGHT - 0.69%
98,000 Mitsui OSK Lines Ltd .................................. 290,671
40,000 Nippon Yusen KK ....................................... 238,227
8,570 Nippon Yusen KK - ADR ................................. 510,297
20,000 P & O Steam Navigation ................................ 195,331
300,000 Shun Tak Holdings ..................................... 201,673
------------
1,436,199
------------
HARDWARE & TOOLS - 0.20%
22,000 SKF AB ................................................ 428,786
------------
HOSPITAL SUPPLIES - 0.11%
8,800 Novo Norkisk A S - ADR ................................ 235,400
------------
HOUSEHOLD PRODUCTS - 0.72%
7,000 Katokichi Co .......................................... 153,855
10,600 Unilever N V - ADR .................................... 1,348,850
------------
1,502,705
------------
INFORMATION PROCESSING - 0.83%
5,000 CSK Corp .............................................. 120,532
3,700 CSK Corp - ADR ........................................ 85,100
14,000 Fujitsu Ltd ........................................... 134,003
15,200 Fujitsu Ltd - ADR ..................................... 727,293
15,224 Getronics N V ......................................... 658,314
------------
1,725,242
------------
INSURANCE - CASUALTY - 0.88%
80,000 Nichido Fire & Marine Insurance Co Ltd ................ 650,399
25,000 Sumitomo Marine & Fire ................................ 210,340
20,000 Tokio Marine & Fire Insurance Co Ltd .................. 229,247
13,100 Tokio Marine & Fire Insurance Co Ltd - ADR ............ 749,975
------------
1,839,961
------------
INSURANCE - LIFE - 0.49%
60,000 Irish Life ............................................ 195,331
30,240 Prudential Plc - ADR .................................. 819,069
------------
1,014,400
------------
INSURANCE - MULTILINE - 2.94%
29,590 Assic Generali ........................................ 717,443
22,500 AXA ................................................... 1,191,777
15,277 Fortis Amev NV ........................................ 831,552
7,000 Gan Group ............................................. 251,134
40,525 General Accident ...................................... 398,042
300 Munchener Ruckvers .................................... 518,998
133,823 Royal Insurance ....................................... 711,937
1,300 Zurich Insurance ...................................... 1,520,103
------------
6,140,986
------------
LEISURE TIME - 1.10%
58,000 * Asahi Optical Co Ltd .................................. 225,489
11,000 Canon Inc - ADR ....................................... 860,750
20,000 Fuji Photo Film Co Ltd ................................ 479,764
9,601 Fuji Photo Film Co Ltd - ADR .......................... 463,248
5,000 Sega Enterprises Ltd .................................. 187,297
8,000 Sega Enterprises Ltd - ADR............................. 74,902
------------
2,291,450
------------
LODGING - 0.93%
4,500 Accor ................................................. 577,749
580,000 Hotel Properties ...................................... 1,115,865
200,000 Shangri La Asia Ltd ................................... 241,749
------------
1,935,363
------------
MACHINE TOOLS - 0.47%
35,000 Amada Co .............................................. 347,415
20,000 * Makino Milling ........................................ 129,985
16,000 Makita Electric Works Ltd - ADR ....................... 246,000
40,000 Minebea Co ............................................ 259,970
------------
983,370
------------
40
MACHINERY - CONSTRUCTION & CONTRACTS - 1.75%
1,000 Bilfinger & Berger .................................... $ 509,446
1,500 Deutsche Babcock ...................................... 170,877
42,000 Kajima Corp ........................................... 412,928
2,340 Kajima Corp - ADR ..................................... 230,012
80,000 Kumagai Gumi HK ....................................... 65,673
4,000 Lefebvre (Jean) ....................................... 293,460
70,000 Shimizu Corp .......................................... 711,374
5,000 Volker Stevin ......................................... 306,613
2,500 Vossloh A G ........................................... 953,442
------------
3,653,825
------------
MACHINERY - INDUSTRIAL/SPECIALTY - 1.87%
30,000 Atlas Copco AB ........................................ 437,508
5,250 CNIM .................................................. 251,839
8,000 Ebara Corp ............................................ 112,496
2,530 Ebara Corp - ADR ...................................... 355,696
275,000 Johan Holdings Berhad ................................. 262,224
54,000 Komatsu Ltd ........................................... 420,514
400 Komatsu Ltd - ADR ..................................... 62,286
70,000 Kubota Corp ........................................... 479,764
1,350 Kubota Corp - ADR ..................................... 191,531
400 Rieter Holdings AG .................................... 548,650
76,260 Rolls Royce ........................................... 227,678
70,000 SASIB ................................................. 316,418
25,000 Siebe ................................................. 239,400
------------
3,906,004
------------
MERCHANDISE - SPECIALTY - 0.32%
20,150 BAA ................................................... 155,197
450,000 Dickson Concept Int ................................... 254,515
20,000 Esselte AB ............................................ 252,147
------------
661,859
------------
MERCHANDISING - DEPARTMENT - 1.09%
45,000 Daimaru Inc ........................................... 228,124
40,000 Hankyu Deptartment Stores Inc ......................... 477,400
15,000 Marks & Spencer Ltd ................................... 98,857
25,033 Marks & Spencer Ltd - ADR ............................. 987,822
32,000 Marui Co .............................................. 476,455
------------
2,268,658
------------
MERCHANDISING - FOOD - 1.17%
1,700 Carrefour ............................................. 840,492
15,000 Delhaize Le Lion ...................................... 700,405
20,000 Kwik Save Group ....................................... 190,091
100,000 Sainsbury ............................................. 714,626
------------
2,445,614
------------
MERCHANDISING - MASS - 1.99%
35,000 ARGOS ................................................. 236,224
20,000 Centros Com Pryca ..................................... 369,206
3,600 Familymart Co ......................................... 175,267
4,000 Ito-Yokado Co Ltd ..................................... 211,758
5,050 Ito-Yokado Co Ltd - ADR................................ 1,071,863
56,000 Mitsukoshi ............................................ 464,544
200 Mitsukoshi Ltd - ADR .................................. 16,587
20,000 Seiyu ................................................. 255,244
2,000 Seven-Eleven Japan Co Ltd ............................. 147,710
16,371 Seven-Eleven Japan Co Ltd - ADR ....................... 1,208,833
------------
4,157,236
------------
METALS - COPPER - 0.40%
22,180 RTZ Corp .............................................. 283,546
10,700 RTZ Corp Plc - ADR .................................... 551,050
------------
834,596
------------
METALS - MISCELLANEOUS - 0.76%
900 Alusuisse Lonza HD .................................... 530,819
12,500 CRA Ltd - ADR ......................................... 668,664
100,000 North Ltd ............................................. 237,018
30,000 Western Mining ........................................ 159,664
------------
1,596,165
------------
METALS - STEEL - 1.61%
36,700 British Steel Plc ..................................... 102,722
12,000 British Steel Plc - ADR ............................... 337,500
50,000 * Cockerill Sambre ...................................... 325,890
60,000 * Kawasaki Steel Corp ................................... 226,174
15,420 * Kawasaki Steel Corp - ADR ............................. 581,146
255,000 NKK Corp .............................................. 641,831
178,000 * Sumitomo Metal Industries Ltd ......................... 527,953
7,400 * Sumitomo Metal Industries Ltd - ADR ................... 219,440
50,000 Sumitomo Metal Mining ................................. 394,682
------------
3,357,338
------------
MISCELLANEOUS - 1.18%
20,000 Asahi Glass Co Ltd .................................... 248,154
5,400 Asahi Glass Co Ltd - ADR .............................. 669,877
22,050 Pakhoed N V ........................................... 664,940
1,250 Preussag AG ........................................... 371,471
8,000 Secom Co .............................................. 504,815
------------
2,459,257
------------
OIL - INTEGRATED INTERNATIONAL - 3.05%
17,533 British Petroleum Co Plc - ADR ........................ 1,496,875
20,302 Elf Aquitaine - ADR ................................... 796,854
20,000 Mitsubishi Oil Co ..................................... 194,742
13,000 Repsol S A - ADR ...................................... 424,125
22,098 Royal Dutch Petroleum Co - ADR ........................ 2,800,922
10,699 TOTAL ................................................. 663,310
------------
6,376,828
------------
OIL/GAS PRODUCERS - 0.86%
15,448 Enterprise Oil Plc - ADR .............................. 301,236
23,500 Norsk Hydro A S - ADR.................................. 969,375
5,000 * OMV A G ............................................... 532,488
------------
1,803,099
------------
41
PAPER/FOREST PRODUCTS - 1.32%
2,505 Fletcher Challenge - ADR .............................. $ 33,818
97,000 Fletcher Challenge Forest Ltd ......................... 132,188
10,020 Fletcher Challenge Ltd - ADR .......................... 268,035
37,000 Honshu Paper Co Ltd ................................... 256,650
77,000 New Oji Paper Co Ltd .................................. 801,619
300 New Oji Paper Co Ltd - ADR ............................ 31,225
60,000 Nippon Paper Inds ..................................... 446,676
27,000 Repola ................................................ 546,109
15,000 Sumitomo Forestry ..................................... 244,609
------------
2,760,929
------------
POLLUTION CONTROL - 0.22%
5,000 Sophus Berendsen ...................................... 457,510
------------
PUBLISHING - NEWS - 0.73%
62,500 Independent News Plc .................................. 292,573
28,000 News Corp Ltd - ADR.................................... 605,500
85,000 Reuters ............................................... 635,779
------------
1,533,852
------------
PUBLISHING/PRINTING - 0.67%
30,000 Dai Nippon Printing Ltd ............................... 460,857
1,000 Dai Nippon Printing Ltd - ADR ......................... 153,587
81,380 Pearson ............................................... 785,756
------------
1,400,200
------------
RAILROAD - 1.24%
30,000 Fukuyama Transport .................................... 280,059
90,000 Nagoya Railroad Co Ltd ................................ 476,455
9,218 Nagoya Railroad Co Ltd - ADR .......................... 487,894
99,000 Odakyu Electric Railway Co Ltd ........................ 760,414
90,000 Tokyu Corp ............................................ 582,806
------------
2,587,628
------------
REAL ESTATE - 2.21%
60,000 Hang Lung Developement Co ............................. 96,958
83,000 Mitsubishi Estate Co Ltd .............................. 930,777
65,000 Mitsui Fudosan Co ..................................... 728,922
227,600 Sun Hung Kai Properties Ltd ........................... 1,647,719
98,000 Wharf Holdings Ltd .................................... 321,797
55,000 Wharf Holdings Ltd - ADR .............................. 903,029
------------
4,629,202
------------
SECURITIES RELATED - 2.30%
15,000 Daiwa Securities Co Ltd ............................... 166,263
4,810 Daiwa Securities Co Ltd - ADR ......................... 533,040
46,000 Mitsubishi Trust & Banking Corp ....................... 744,697
4,290 Mitsubishi Trust & Banking Corp - ADR ................. 694,368
55,000 Nomura Securities Co Ltd .............................. 987,888
3,800 Nomura Securities Co Ltd - ADR ........................ 682,400
60,000 Peregrine Investment .................................. 76,015
6,000 Yamaichi Securities Co Ltd - ADR ...................... 362,229
20,000 Yasuda Trust & Banking Co Ltd ......................... 148,183
5,670 Yasuda Trust & Banking Co Ltd - ADR ................... 420,012
------------
4,815,095
------------
TELECOMMUNICATIONS - 4.53%
26,379 British Telecommunications Plc - ADR .................. 1,665,174
36,800 Cable & Wireless Plc - ADR ............................ 754,400
13,800 Ericsson L M Telephone Co Class B - ADR ............... 1,013,438
60,600 Hong Kong Telecommunications Ltd - ADR ................ 1,295,325
15,395 Kon Ptt Nederland ..................................... 556,694
15,000 Nokia AB OY ........................................... 685,754
200,000 Stet .................................................. 575,693
85,000 Telecom Italia ........................................ 222,662
8,300 Telecomm Corp New Zealand Ltd - ADR ................... 533,270
14,000 Telefonica De Espana S A .............................. 184,113
14,600 Telefonica De Espana S A - ADR ........................ 584,000
110,000 Telekom Malaysia ...................................... 843,579
16,500 Vodafone Group Plc - ADR .............................. 554,813
------------
9,468,915
------------
TEXTILE - PRODUCTS - 0.23%
30,000 Benetton Group SPA .................................... 290,588
30,000 Marzotto & Figli ...................................... 200,122
------------
490,710
------------
TOBACCO - 0.57%
73,067 BAT Ind Ltd Plc ....................................... 572,051
40,100 BAT Ind Ltd Plc - ADR ................................. 626,563
------------
1,198,614
------------
UTILITIES - ELECTRIC - 3.89%
205,000 China Light & Power ................................... 1,121,029
18,000 Empresa Nacional De Electricidad - ADR ................ 868,500
56,100 Kansai Electric Power Co Inc .......................... 1,478,322
40,000 Manweb ................................................ 428,776
80,000 National Power ........................................ 594,569
4,000 * Oester Elektrizita Class A ............................ 283,859
30,000 RWE A G - ADR ......................................... 1,013,793
190,000 Tenaga Nasional ....................................... 786,366
13,000 Tokyo Electric Power .................................. 411,699
3,000 Veba A G .............................................. 1,140,522
------------
8,127,435
------------
UTILITIES - GAS, DISTRIBUTION - 0.50%
120,000 Hong Kong & China Gas ................................. 194,692
227,000 Osaka Gas Co Ltd ...................................... 844,963
------------
1,039,655
------------
42
UTILITIES - GAS, PIPELINE - 0.64%
50,000 British Gas Plc ....................................... $ 240,190
22,700 British Gas Plc - ADR ................................. 1,100,950
------------
1,341,140
------------
WATER SERVICES - 0.75%
10,000 Eaux (Cie Generale) ................................... 1,108,537
50,000 North West Water ...................................... 464,507
------------
1,573,044
------------
TOTAL COMMON STOCKS
(Cost $183,606,230) ................................... 205,238,758
------------
PAR
VALUE
-------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.15%
$325,000 United States Treasury Bills, 5.72%
due 06/22/95 (Cost $323,915) ......................... 323,915
------------
TOTAL INVESTMENTS
(Cost $183,930,145) - 98.31% .......................... 205,562,673
------------
Other assets and liabilities, net - 1.69%.............. 3,528,206
------------
NET ASSETS (equivalent to $10.42 per share on
20,073,754 shares outstanding) - 100%................. $209,090,879
============
* Non-income producing
UNREALIZED
CONTRACTS DEPRECIATION
--------- -------------
FUTURES CONTRACTS PURCHASED (1)
(Delivery month/Value at 05/31/95)
8(2) Nikkei 225 Futures
(June/$182.69)........................................ $ (43,807)
3(2) Nikkei 225 Futures
(September/$183.22)................................... (27,418)
------------
$ (71,225)
============
(1) U.S. Treasury Bills with a market value of
approximately $325,000 were maintained in a
segregated account with a portion placed as
collateral for future contracts.
(2) Per 500
--------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
20,073,754 shares outstanding................................... $ 200,738
Additional paid in capital........................................ 186,084,687
Undistributed net realized gain on securities and
foreign currency transactions................................... 1,167,818
Undistributed net investment income............................... 82,048
Unrealized appreciation (depreciation) of:
Investments....................................... $21,632,528
Futures .......................................... (71,225)
Foreign currency translation ..................... (5,715) 21,555,588
----------- ------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING ...................... $209,090,879
------------
SEE NOTES TO FINANCIAL STATEMENTS.
43
<PAGE>
INTERNATIONAL EQUITIES FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1995
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes of $492,135) ................................................. $ 3,658,739
Interest ................................................................................................. 179,486
-------------
Total investment income .............................................................................. 3,838,225
-------------
EXPENSES:
Advisory fees ............................................................................................ 697,990
Custodian and accounting services ........................................................................ 100,097
Reports to shareholders .................................................................................. 28,736
Audit fees ............................................................................................... 17,743
Registration fees ........................................................................................ 11,922
Directors' fees and expenses ............................................................................. 8,527
Miscellaneous ............................................................................................ 37,534
-------------
Total expenses ....................................................................................... 902,549
-------------
NET INVESTMENT INCOME .................................................................................... 2,935,676
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments ................................................................................ $ 1,585,879
Foreign currency transactions .............................................................. 55,817
Futures .................................................................................... (29,188) 1,612,508
-------------
Net unrealized appreciation (depreciation) during the year:
Investments ................................................................................ 4,257,838
Foreign currency translation ............................................................... (6,863)
Futures .................................................................................... (71,225) 4,179,750
------------- -------------
Net realized and unrealized gain on securities and foreign currencies during the year ...................... 5,792,258
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ................................................................ $ 8,727,934
=============
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the fiscal year ended May 31: 1995 1994
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income ............................................................................ $ 2,935,676 $ 1,676,984
Net realized gain on securities and foreign currency transactions ................................ 1,612,508 850,684
Net unrealized appreciation of securities and translation of foreign currencies during the year .. 4,179,750 12,588,338
------------- -------------
Increase in net assets resulting from operations ............................................. 8,727,934 15,116,006
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ............................................................................ (2,923,253) (1,503,417)
Net realized gain on securities .................................................................. (1,262,696) (209,812)
------------- -------------
Decrease in net assets resulting from distributions to shareholders .......................... (4,185,949) (1,713,229)
------------- -------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold ................................................................. 70,844,488 99,379,292
Proceeds from capital stock issued for distributions reinvested .................................. 4,185,949 1,713,229
------------- -------------
75,030,437 101,092,521
Cost of capital stock repurchased ................................................................ (45,664,455) (6,121,232)
------------- -------------
Increase in net assets resulting from capital stock transactions ............................. 29,365,982 94,971,289
------------- -------------
TOTAL INCREASE IN NET ASSETS ..................................................................... 33,907,967 108,374,066
NET ASSETS:
Beginning of year ................................................................................ 175,182,912 66,808,846
------------- -------------
End of year (including undistributed net investment income of $82,048 and $385,487) .............. $ 209,090,879 $ 175,182,912
============= =============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold ..................................................................... 6,923,001 10,300,352
Shares issued for distributions reinvested ....................................................... 410,419 176,475
Shares of capital stock repurchased .............................................................. (4,532,670) (633,277)
------------- -------------
Increase in shares outstanding ............................................................... 2,800,750 9,843,550
Shares outstanding:
Beginning of year ............................................................................ 17,273,004 7,429,454
------------- -------------
End of year .................................................................................. 20,073,754 17,273,004
============= =============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<PAGE>
GROWTH FUND May 31, 1995 STATEMENT OF NET ASSETS
NUMBER MARKET
OF SHARES VALUE
---------- ------------
COMMON STOCKS - 91.94%
ADVERTISING - 5.80%
100,000 Advo System Inc .................................... $ 2,125,000
50,000 * Catalina Marketing Corp ............................ 2,218,750
100,000 * Dimac Corp ......................................... 1,487,500
------------
5,831,250
------------
APPAREL & PRODUCTS - 2.66%
40,300 * Ann Taylor Stores Corp ............................. 841,262
70,000 * Tommy Hilfiger Corp ................................ 1,837,500
------------
2,678,762
------------
BROADCASTING - 6.60%
40,000 Comcast Corp Class A ............................... 695,000
110,000 Comcast Corp Special Class A ....................... 1,925,000
88,100 * Cox Communications Inc Class A ..................... 1,431,625
55,000 * Viacom Inc Class B ................................. 2,564,375
20,000 * Viacom Inc (Rights) ................................ 26,250
------------
6,642,250
------------
FINANCE COMPANIES - 1.46%
47,500 Money Store Inc .................................... 1,466,563
------------
GOVERNMENT SPONSORED - 3.42%
30,000 Federal Home Loan Mortgage Corp .................... 2,043,750
15,000 Federal National Mortgage Association .............. 1,395,000
------------
3,438,750
------------
HEALTHCARE - 6.71%
40,000 Cardinal Health Inc ................................ 1,825,000
50,000 * Genesis Health Ventures Inc ........................ 1,481,250
14,000 * Pacificare Health System Inc Class B ............... 927,500
70,000 * Patterson Dental Co ................................ 1,575,000
35,000 * Sierra Health Services Inc ......................... 940,625
------------
6,749,375
------------
HOSPITAL MANAGEMENT - 2.64%
65,000 Columbia/HCA Healthcare Corp ....................... 2,656,875
------------
INFORMATION PROCESSING - 8.33%
93,000 * Bisys Group Inc .................................... 1,767,000
50,000 * Ceridian Corp ...................................... 1,612,500
5,000 * Creative Computers Inc ............................. 113,750
35,000 First Financial Management Corp .................... 2,485,000
25,000 H & R Block Inc .................................... 903,125
30,000 * SunGard Data Systems ............................... 1,496,250
------------
8,377,625
------------
INSURANCE - MISCELLANEOUS - 6.21%
20,000 CMAC Investment Corp ............................... 830,000
25,000 MGIC Investment Corp ............................... 1,175,000
40,000 PMI Group Inc ...................................... 1,635,000
70,000 United Healthcare Corp ............................. 2,607,500
------------
6,247,500
------------
LEISURE TIME - 1.48%
50,000 * Mirage Resorts Inc ................................. 1,493,750
------------
LODGING - 3.49%
75,000 * Hospitality Franchise Sys .......................... 2,259,375
30,000 * Promus Cos Inc ..................................... 1,256,250
------------
3,515,625
------------
MERCHANDISE - DRUG - 2.11%
100,000 * Revco Drugs Inc .................................... 2,125,000
------------
MERCHANDISE - SPECIALTY - 10.90%
75,000 Circuit City Stores Inc ............................ 2,062,500
36,600 * Cole National Corp Class A ......................... 356,850
25,000 * Corporate Express Inc .............................. 721,875
50,000 Dollar General Corp ................................ 1,418,750
50,000 * General Nutrition Cos Inc .......................... 1,450,000
35,000 * Micro Warehouse Inc ................................ 1,356,250
100,000 * Office Depot Inc ................................... 2,400,000
41,300 * Starbucks Corp ..................................... 1,200,281
------------
10,966,506
------------
MISCELLANEOUS - 7.19%
150,000 * ADT Ltd ............................................ 1,706,250
90,000 * CUC International Inc .............................. 3,307,500
33,000 Loewen Group Inc ................................... 1,093,125
37,500 Olsten Corp ........................................ 1,129,688
------------
7,236,563
------------
OIL - SERVICES - 3.64%
25,000 * BJ Services Co ..................................... 637,500
30,000 Schlumberger Ltd ................................... 1,950,000
60,000 * Smith International Inc ............................ 1,072,500
------------
3,660,000
------------
PAPER/FOREST PRODUCTS - 2.14%
30,000 Alco Standard Corp ................................. 2,148,750
------------
POLLUTION CONTROL - 3.03%
40,000 Browning Ferris Industries Inc ..................... 1,425,000
60,000 * Sanifill Inc ....................................... 1,620,000
------------
3,045,000
------------
RESTAURANTS - 3.54%
50,000 * Lone Star Steakhouse & Saloon ...................... 1,568,750
30,000 * Outback Steakhouse Inc ............................. 896,250
47,500 Sbarro Inc ......................................... 1,092,500
------------
3,557,500
------------
SECURITIES RELATED - 2.17%
50,000 Franklin Resources Inc ............................. 2,187,500
------------
TELECOMMUNICATIONS - 8.42%
40,000 * ALC Communications Corp ............................ 1,740,000
75,000 * Mobile Telecommunication ........................... 1,687,500
85,000 * Paging Network Inc ................................. 2,358,750
80,000 Vodafone Group Plc - ADR ........................... 2,690,000
------------
8,476,250
------------
45
PAR
VALUE
----------
TOTAL COMMON STOCKS
(Cost $83,807,437) ................................. $ 92,501,394
------------
CORPORATE SHORT TERM COMMERCIAL PAPER - 15.91%
CONSUMER FINANCE - 8.47%
$4,400,000 Commercial Credit Group Inc,
5.80% due 06/01/95 ................................ 4,400,000
4,124,000 Sears Roebuck Acceptance Corp,
5.80% due 06/02/95 ................................ 4,123,336
------------
8,523,336
------------
FINANCE COMPANIES - 5.32%
3,814,000 Ford Motor Credit Co, 6.10%
due 06/01/95 ...................................... 3,814,000
1,542,000 IBM Credit Corp, 5.90%
due 06/02/95 ...................................... 1,541,747
------------
5,355,747
------------
SECURITIES RELATED - 2.12%
2,133,000 Merrill Lynch & Co Inc, 5.95%
due 06/01/95 ...................................... 2,133,000
------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $16,012,083) ................................. 16,012,083
------------
TOTAL INVESTMENTS
(Cost $99,819,520) - 107.85% ....................... 108,513,477
------------
Payable for investments
purchased - (10.12%) .............................. (10,186,580)
Other assets and liabilities,
net - 2.27% ....................................... 2,287,228
------------
NET ASSETS (equivalent to $11.43 per share on
8,799,838 shares outstanding) - 100% .............. $100,614,125
============
* Non-income producing
-------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
8,799,838 shares outstanding ................................... $ 87,998
Additional paid in capital ....................................... 91,558,133
Undistributed net realized gain on securities .................... 273,762
Undistributed net investment income .............................. 275
Unrealized appreciation of securities ............................ 8,693,957
------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING ...................... $100,614,125
============
SEE NOTES TO FINANCIAL STATEMENTS.
46
<PAGE>
GROWTH FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1995
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends ............................................................................................................ $ 191,782
Interest ............................................................................................................. 365,576
------------
Total investment income .......................................................................................... 557,358
------------
EXPENSES:
Advisory fees ........................................................................................................ 323,295
Custodian and accounting services .................................................................................... 16,756
Reports to shareholders .............................................................................................. 7,868
Audit fees ........................................................................................................... 4,432
Registration fees .................................................................................................... 27,124
Directors' fees and expenses ......................................................................................... 1,315
Miscellaneous ........................................................................................................ 1,528
------------
Total expenses ................................................................................................... 382,318
------------
NET INVESTMENT INCOME ................................................................................................ 175,040
REALIZED AND UNREALIZED GAIN ON SECURITIES: ------------
Net realized gain on securities ...................................................................................... 273,762
Net unrealized appreciation of securities during the year ............................................................ 8,820,861
------------
Net realized and unrealized gain on securities during the year ................................................... 9,094,623
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ..................................................................... $ 9,269,663
============
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE PERIOD FROM
YEAR ENDED APRIL 29, 1994 TO
MAY 31, 1995 MAY 31, 1994
------------- -------------------
<S> <C> <C>
OPERATIONS:
Net investment income ................................................................. $ 175,040 $ 11,326
Net realized gain on securities ....................................................... 273,762 --
Net unrealized appreciation (depreciation) of securities during the period ............ 8,820,861 (126,904)
------------- ------------
Increase (decrease) in net assets resulting from operations ....................... 9,269,663 (115,578)
------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................................................................. (175,491) (10,600)
------------- ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold ...................................................... 81,516,869 10,001,000
Proceeds from capital stock issued for distributions reinvested ....................... 175,491 10,600
------------- ------------
81,692,360 10,011,600
Cost of capital stock repurchased ..................................................... (57,829) --
------------- ------------
Increase in net assets resulting from capital stock transactions .................. 81,634,531 10,011,600
------------- ------------
TOTAL INCREASE IN NET ASSETS .......................................................... 90,728,703 9,885,422
NET ASSETS:
Beginning of period ................................................................... 9,885,422 --
------------- ------------
End of year (including undistributed net investment income of $275 and $726) .......... $ 100,614,125 $ 9,885,422
============= ============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold .......................................................... 7,787,173 1,000,100
Shares issued for distributions reinvested ............................................ 16,615 1,075
Shares of capital stock repurchased ................................................... (5,125) --
------------- ------------
Increase in shares outstanding .................................................... 7,798,663 1,001,175
Shares outstanding:
Beginning of period ............................................................... 1,001,175 --
------------- ------------
End of period ..................................................................... 8,799,838 1,001,175
============= ============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<PAGE>
GROWTH & INCOME FUND May 31, 1995 STATEMENT OF NET ASSETS
NUMBER MARKET
OF SHARES VALUE
--------- --------------
COMMON STOCKS - 95.55%
ADVERTISING - 1.13%
8,400 Omnicom Group ................................... $ 484,050
-------------
AEROSPACE/DEFENSE - 3.37%
10,800 McDonnell Douglas Corp .......................... 780,300
7,200 Northrop Corp ................................... 377,100
3,400 Rockwell International Corp ..................... 155,125
2,400 Sundstrand Corp ................................. 133,200
-------------
1,445,725
-------------
APPLIANCES/FURNISHINGS - 0.56%
3,400 * Helen of Troy Corp .............................. 66,300
2,400 Lancaster Colony Corp ........................... 87,000
4,700 Sunbeam-Oster Inc ............................... 85,188
-------------
238,488
-------------
AUTO - ORIGINAL EQUIPMENT - 1.98%
600 Carlisle Co Inc ................................. 23,250
18,400 Danaher Corp .................................... 556,600
12,180 Mark IV Industries Inc .......................... 245,123
600 Modine Manufacturing Co ......................... 22,650
-------------
847,623
-------------
AUTO - REPLACEMENT PARTS - 0.32%
3,800 Echlin Inc ...................................... 136,800
-------------
BANKS - OTHER - 0.34%
800 Wells Fargo & Co ................................ 147,200
-------------
BANKS - REGIONAL - 0.63%
5,600 Midlantic Corp .................................. 212,100
1,300 Star Banc Corp .................................. 56,388
-------------
268,488
-------------
BEVERAGE - BREWERS/DISTRIBUTORS - 0.51%
5,100 * Canandaigua Wine Co Inc Class A ................. 220,575
-------------
BEVERAGE - SOFT DRINKS - 0.96%
11,900 Coca Cola Enterprises Inc ....................... 254,363
3,200 Pepsico Inc ..................................... 156,800
-------------
411,163
-------------
BROADCASTING - 2.90%
6,300 Capital Cities/ABC Inc .......................... 607,950
3,800 * Heritage Media Corp Class A ..................... 105,450
11,364 * Viacom Inc Class B .............................. 529,845
-------------
1,243,245
-------------
CHEMICAL - MAJOR - 2.02%
9,600 Hercules Inc .................................... 504,000
14,600 Praxair Inc ..................................... 363,175
-------------
867,175
-------------
CHEMICAL - MISCELLANEOUS - 2.55%
6,600 * Airgas Inc ...................................... 171,600
1,000 Ferro Corp ...................................... 27,500
5,500 Lyondell Petrochemical Co ....................... 137,500
2,800 Schulman A Inc .................................. 84,000
7,000 Sigma Aldrich ................................... 308,000
36,500 Terra Industries Inc ............................ 365,000
-------------
1,093,600
-------------
CONGLOMERATES - 0.57%
2,200 ITT Corp ........................................ 246,125
-------------
CONTAINERS - PAPER - 0.11%
1,100 * Sealed Air Corp ................................. 49,085
-------------
COSMETICS/TOILETRIES - 0.76%
6,600 International Flavors & Fragrances .............. 325,050
-------------
DRUGS - 3.11%
1,300 A L Pharma Inc Class A .......................... 24,050
11,900 Bergen Brunswig Corp Class A .................... 273,700
2,200 Bristol Myers Squibb Co ......................... 146,025
6,000 Glaxo Wellcome Plc - ADR ........................ 139,500
16,900 Mylan Labs Inc .................................. 483,763
3,000 Pfizer Inc ...................................... 264,375
-------------
1,331,413
-------------
ELECTRICAL EQUIPMENT - 2.43%
3,000 AMP Inc ......................................... 127,875
3,200 * Cabletron Systems Inc ........................... 171,200
7,400 * General Instrument Corp ......................... 228,475
2,900 * Itel Corp ....................................... 112,738
1,900 Molex Inc ....................................... 70,775
8,200 Philips Electric - ADR .......................... 329,025
-------------
1,040,088
-------------
ELECTRONIC INSTRUMENTS - 3.91%
1,100 * Dionex Corp ..................................... 46,200
4,300 * Dynatech Corp ................................... 77,400
15,800 * Symbol Technologies Inc ......................... 533,250
10,200 Tektronix Inc ................................... 469,200
8,305 * Vishay Intertechnology Inc ...................... 549,165
-------------
1,675,215
-------------
ENTERTAINMENT - 0.57%
4,400 Walt Disney Co .................................. 244,750
-------------
FERTILIZERS - 0.29%
2,700 First Mississippi Corp .......................... 62,438
1,400 IMC Global Inc .................................. 63,000
-------------
125,438
-------------
FINANCE COMPANIES - 1.63%
12,600 Green Tree Financial Corp ....................... 549,675
3,000 Household International Inc ..................... 148,125
-------------
697,800
-------------
FOODS - 3.06%
24,400 Archer Daniels Midland Co ....................... 451,400
3,000 H J Heinz Co .................................... 135,750
48
13,050 Hudson Foods Inc Class A ........................ $ 179,438
10,600 IBP Inc ......................................... 397,500
2,200 Kellogg Co ...................................... 147,675
-------------
1,311,763
-------------
FOOTWEAR - 0.46%
2,500 Nike Inc Class B ................................ 197,188
-------------
HARDWARE & TOOLS - 1.71%
22,200 Black & Decker Corp ............................. 732,600
-------------
HEALTHCARE - 1.96%
12,100 Cardinal Health Inc ............................. 552,060
4,400 Invacare Corp ................................... 177,100
4,000 * Rotech Medical Corp ............................. 109,000
-------------
838,160
-------------
HEAVY DUTY TRUCKS/PARTS - 0.56%
11,430 * Raymond Corp .................................... 240,030
-------------
HOME BUILDERS - 0.98%
24,125 Clayton Homes Inc ............................... 419,172
-------------
HOSPITAL MANAGEMENT - 0.57%
11,900 Surgical Care Affiliates Inc .................... 243,950
-------------
HOSPITAL SUPPLIES - 5.40%
5,500 Becton Dickinson & Co ........................... 316,250
5,200 * Boston Scientific Corp .......................... 149,500
5,800 * Cordis Corp ..................................... 400,200
6,000 Johnson & Johnson ............................... 397,500
9,100 Medtronic Inc ................................... 684,775
3,000 * Nellcor Inc ..................................... 130,500
1,500 Puritan Bennett Corp ............................ 54,938
4,000 * St Jude Medical Inc ............................. 181,000
-------------
2,314,663
-------------
HOUSEHOLD PRODUCTS - 0.34%
2,000 Procter & Gamble Co ............................. 143,750
-------------
INFORMATION PROCESSING - 10.18%
5,600 Apple Computer .................................. 232,750
11,500 * Ceridian Corp ................................... 370,875
7,000 Computer Associates International Inc ........... 458,500
6,000 Danka Business Systems - ADR .................... 147,750
6,100 HBO & Co ........................................ 295,850
2,000 Honeywell Inc ................................... 79,250
4,100 * Informix Corp ................................... 173,225
6,300 International Business Machine Corp ............. 587,470
1,800 Logicon Inc ..................................... 69,075
3,500 * Medic Computer Systems Inc ...................... 133,875
1,200 National Data Corp .............................. 24,900
6,150 * Oracle Systems Corp ............................. 213,713
12,000 Paychex Inc ..................................... 354,000
3,000 * Policy Management Systems Corp .................. 138,000
13,100 Reynolds & Reynolds Co Class A .................. 376,625
3,000 * Silicon Graphics Inc ............................ 116,625
6,600 System Software Assoc Inc ....................... 159,225
3,800 Xerox Corp ...................................... 430,825
-------------
4,362,533
-------------
INSURANCE - CASUALTY - 0.64%
15,800 USF & G Corp .................................... 272,550
-------------
INSURANCE - LIFE - 0.36%
5,300 American Bankers Insurance Group Inc ............ 156,350
-------------
INSURANCE - MISCELLANEOUS - 1.47%
2,000 Alexander & Alexander Services .................. 50,750
700 * CNA Financial Corp .............................. 59,850
2,100 General Re Corp ................................. 284,288
5,000 MGIC Investment Corp ............................ 235,000
-------------
629,888
-------------
INSURANCE - MULTILINE - 0.98%
3,700 American International Group Inc ................ 420,875
-------------
LEISURE TIME - 1.20%
6,600 * Circus Circus Enterprise Inc .................... 220,275
8,400 * Mirage Resorts Inc .............................. 250,950
3,000 * Rio Hotel & Casino Inc .......................... 43,125
-------------
514,350
-------------
LODGING - 1.55%
12,700 La Quinta Motor Inns Inc ........................ 360,363
7,300 * Promus Cos Inc .................................. 305,688
-------------
666,051
-------------
MACHINERY - AGRICULTURE - 0.34%
5,300 Toro Co ......................................... 146,413
-------------
MACHINERY - CONSTRUCTION & CONTRACTS - 2.25%
5,800 Blount Inc Class A .............................. 219,675
6,000 * Clark Equipment Co .............................. 515,250
6,600 Harnischfeger Industries Inc .................... 229,350
-------------
964,275
-------------
MACHINERY - INDUSTRIAL/SPECIALTY - 3.11%
2,900 Dover Corp ...................................... 190,313
14,000 Idex Corp ....................................... 476,000
4,900 JLG Industries Inc .............................. 123,725
800 Pacific Scientific Co ........................... 14,000
5,800 Pall Corp ....................................... 127,600
7,000 Parker Hannifin Corp ............................ 399,875
-------------
1,331,513
-------------
MEDICAL TECHNOLOGY - 0.19%
2,700 * Bio Rad Laboratories Inc Class A ................ 81,000
-------------
MERCHANDISE - DRUG - 0.60%
10,900 Rite Aid Corp.................................... 258,875
-------------
49
MERCHANDISE - SPECIALTY - 5.05%
2,200 Caseys General Stores Inc ....................... $ 37,400
10,200 * Consolidated Stores Inc ......................... 191,250
22,500 Dollar General Corp ............................. 638,438
5,300 Jostens Inc ..................................... 106,663
11,600 * Office Depot Inc ................................ 278,400
21,500 * Staples Inc ..................................... 607,375
20,900 * Waban Inc ....................................... 305,663
-------------
2,165,189
-------------
MERCHANDISING - FOOD - 2.15%
10,500 * Kroger Co ....................................... 273,000
17,800 * Safeway Inc ..................................... 649,700
-------------
922,700
-------------
MISCELLANEOUS - 2.67%
8,100 * CUC International Inc ........................... 297,675
15,100 Equifax Inc ..................................... 473,763
13,200 Manpower Inc .................................... 351,450
2,400 Uniforce Temp Personnel Inc ..................... 21,600
-------------
1,144,488
-------------
MOBILE HOMES - 1.08%
18,500 Oakwood Homes Corp .............................. 464,813
-------------
NATURAL GAS - DIVERSIFIED - 0.65%
11,100 Panhandle Eastern Corp .......................... 278,888
-------------
OIL - INTEGRATED DOMESTIC - 1.71%
5,200 Amoco Corp ...................................... 355,550
1,100 Atlantic Richfield Co ........................... 127,738
6,800 Occidental Petroleum Corp ....................... 156,400
2,600 Phillips Petroleum Co ........................... 94,250
-------------
733,938
-------------
OIL - INTEGRATED
INTERNATIONAL - 1.43%
3,500 British Petroleum Co Plc - ADR .................. 298,813
4,500 Imperial Oil Ltd ................................ 174,938
1,400 Mobil Corp ...................................... 140,525
-------------
614,276
-------------
OIL - SERVICES - 1.12%
5,900 Halliburton Co .................................. 230,100
3,000 Schlumberger Ltd ................................ 195,000
3,000 * Smith International Inc ......................... 53,625
-------------
478,725
-------------
OIL/GAS PRODUCERS - 0.52%
5,400 Norsk Hydro A S - ADR ........................... 222,750
-------------
PAPER/FOREST PRODUCTS - 1.51%
3,000 Avery Dennison Corp ............................. 123,750
8,500 Scott Paper Co .................................. 368,688
8,900 * Stone Container Corp ............................ 155,750
-------------
648,188
-------------
POLLUTION CONTROL - 0.63%
7,600 Browning Ferris Industries Inc .................. 270,750
-------------
RAILROAD - 0.07%
800 Illinois Central Corp ........................... 28,300
-------------
RESTAURANTS - 0.99%
8,100 Applebees International Inc ..................... 204,525
5,800 McDonalds Corp .................................. 219,675
-------------
424,200
-------------
TELECOMMUNICATIONS - 3.39%
7,600 * ADC Telecommunications Inc ...................... 235,600
12,050 * Andrew Corp ..................................... 587,438
1,500 Ericsson LM Telephone Class B - ADR ............. 110,156
4,100 Scientific Atlanta Inc .......................... 76,363
3,100 Telecomm Corp New Zealand Ltd - ADR ............. 199,175
4,000 * Tellabs Inc ..................................... 132,000
7,600 * U S Long Distance Corp .......................... 114,000
-------------
1,454,732
-------------
TEXTILE - PRODUCTS - 0.63%
5,700 Unifi Inc ....................................... 138,938
5,300 Wellman Inc ..................................... 133,163
-------------
272,101
-------------
TRUCKERS - 1.72%
6,800 Consolidated Freightways Inc .................... 161,500
11,900 XTRA Corp ....................................... 574,175
-------------
735,675
-------------
UTILITIES - COMMUNICATION - 0.45%
6,600 Century Telephone Enterprises Inc ............... 193,875
-------------
UTILITIES - ELECTRIC - 0.42%
2,800 American Electric Power Inc ..................... 95,900
3,400 Illinova Corp ................................... 84,150
-------------
180,050
-------------
UTILITIES - GAS, PIPELINE - 0.57%
7,200 Williams Cos Inc ................................ 244,800
-------------
UTILITIES - MISCELLANEOUS - 0.23%
8,935 * Citizens Utility Co Class A ..................... 98,285
-------------
TOTAL COMMON STOCKS
(Cost $36,953,184) .............................. 40,961,768
-------------
PAR
VALUE
-----
CORPORATE SHORT TERM
COMMERCIAL PAPER - 6.67%
CONSUMER FINANCE - 3.31%
$1,420,000 Commercial Credit Co,
6.10% due 06/01/95 ............................. 1,420,000
-------------
50
FINANCE COMPANIES - 3.36%
$1,438,000 CIESCO L P, 6.00% due 06/01/95 .................. $ 1,438,000
-------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $2,858,000) ............................... 2,858,000
-------------
TOTAL INVESTMENTS
(Cost $39,811,184) - 102.22% .................... 43,819,768
Other assets and liabilities, net - (2.22%) ..... (953,260)
-------------
NET ASSETS (equivalent
to $11.09 per share on
3,866,587 shares
outstanding) - 100% ............................ $ 42,866,508
=============
* Non-income producing
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
3,866,587 shares outstanding ................................ $ 38,666
Additional paid in capital .................................... 39,289,568
Accumulated net realized loss on securities ................... (472,931)
Undistributed net investment income ........................... 2,621
Unrealized appreciation of securities ......................... 4,008,584
-------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING ................... $ 42,866,508
=============
SEE NOTES TO FINANCIAL STATEMENTS.
51
<PAGE>
GROWTH & INCOME FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1995
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends ............................................................................................... $ 193,280
Interest ................................................................................................ 196,778
------------
Total investment income ............................................................................. 390,058
------------
EXPENSES:
Advisory fees ........................................................................................... 159,996
Custodian and accounting services ....................................................................... 9,388
Reports to shareholders ................................................................................. 4,112
Audit fees .............................................................................................. 2,234
Registration fees ....................................................................................... 10,279
Directors' fees and expenses ............................................................................ 755
Miscellaneous ........................................................................................... 1,180
------------
Total expenses ...................................................................................... 187,944
------------
NET INVESTMENT INCOME ................................................................................... 202,114
------------
REALIZED AND UNREALIZED GAIN (LOSS)ON SECURITIES:
Net realized loss on securities ......................................................................... (401,877)
Net unrealized appreciation on securities during the year ............................................... 4,070,674
------------
Net realized and unrealized gain on securities during the year .................................... 3,668,797
------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ........................................................ $ 3,870,911
============
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE PERIOD FROM
YEAR ENDED APRIL 29, 1994 TO
MAY 31, 1995 MAY 31, 1994
-------------- -------------------
<S> <C> <C>
OPERATIONS:
Net investment income .................................................................. $ 202,114 $ 22,102
Net realized loss on securities ........................................................ (401,877) (71,054)
Net unrealized appreciation (depreciation) of securities during the period ............. 4,070,674 (62,090)
------------ ------------
Increase (decrease) in net assets resulting from operations ........................ 3,870,911 (111,042)
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income .................................................................. (202,618) (18,977)
------------ ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold ....................................................... 29,191,427 10,001,000
Proceeds from capital stock issued for distributions reinvested ........................ 202,618 18,977
------------ ------------
29,394,045 10,019,977
Cost of capital stock repurchased ...................................................... (85,788) --
------------ ------------
Increase in net assets resulting from capital stock transactions ................... 29,308,257 10,019,977
------------ ------------
TOTAL INCREASE IN NET ASSETS ........................................................... 32,976,550 9,889,958
NET ASSETS:
Beginning of period .................................................................... 9,889,958 --
------------ ------------
End of period (including undistributed net investment income of $2,621 and $3,125) ..... $ 42,866,508 $ 9,889,958
============ ============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold ........................................................... 2,853,051 1,000,100
Shares issued for distributions reinvested ............................................. 19,591 1,919
Shares of capital stock repurchased .................................................... (8,074) --
------------ ------------
Increase in shares outstanding ..................................................... 2,864,568 1,002,019
Shares outstanding:
Beginning of period ................................................................ 1,002,019 --
------------ ------------
End of period ...................................................................... 3,866,587 1,002,019
============ ============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<PAGE>
SCIENCE & TECHNOLOGY FUND May 31, 1995 STATEMENT OF NET ASSETS
NUMBER MARKET
OF SHARES VALUE
---------- -------------
COMMON STOCKS - 92.54%
AIRLINES - 1.14%
150,000 * Worldcorp Inc ................................... $ 1,893,750
-------------
DRUGS - 4.34%
95,000 * Alza Corp ....................................... 1,983,125
20,000 * Amgen Inc ....................................... 1,450,000
150,000 * Cephalon Inc .................................... 1,471,875
45,000 * Chiron Corp ..................................... 2,328,750
-------------
7,233,750
-------------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 6.55%
80,000 * Compaq Computer Corp ............................ 3,130,000
35,000 Hewlett Packard Co .............................. 2,314,375
60,000 * Komag Inc ....................................... 2,325,000
70,000 * Sun Microsystems Inc ............................ 3,150,000
-------------
10,919,375
-------------
INFORMATION PROCESSING -
COMPUTER SERVICES - 8.31%
100,000 * America Online Inc .............................. 3,562,500
55,000 First Financial Management Corp ................. 3,905,000
65,000 H & R Block Inc ................................. 2,348,125
50,000 * SunGard Data Systems ............................ 2,493,750
150,000 * Tech Data Corp .................................. 1,537,500
-------------
13,846,875
-------------
INFORMATION PROCESSING -
COMPUTER SOFTWARE - 22.66%
75,000 Adobe Systems Inc ............................... 3,900,000
3,800 * Alias Resh Inc .................................. 130,150
2,500 * Baan Co ......................................... 58,750
120,000 * Broderbund Software Inc ......................... 5,400,000
35,000 * Cadence Design Systems Inc ...................... 1,041,250
120,000 * Expert Software Inc ............................. 1,770,000
50,000 * Intuit Inc ...................................... 3,162,500
39,800 * Learning Co ..................................... 1,189,025
100,000 * Lotus Development Corp .......................... 3,050,000
40,000 * Microsoft Corp .................................. 3,387,500
62,000 * People Soft Inc ................................. 3,069,000
30,000 * Pinnacle Systems Inc ............................ 592,500
2,500 * Sap Ag .......................................... 2,927,545
130,400 * Sybase Inc ...................................... 2,738,400
115,000 * Symantec Corp ................................... 2,645,000
50,000 * Synopsys Inc .................................... 2,712,500
-------------
37,774,120
-------------
INFORMATION PROCESSING -
NETWORKING - 9.65%
50,000 * Alantec Corp .................................... 1,675,000
110,000 * Bay Networks Inc ................................ 4,015,000
6,900 * Cascade Communications Corp ..................... 439,875
79,300 * Firefox Communications Inc ...................... 1,809,030
40,000 * Netmanage Inc ................................... 560,000
75,000 * Shiva Corp ...................................... 2,906,250
26,100 * TGV Software Inc ................................ 512,214
65,000 * 3COM Corp ....................................... 4,160,000
-------------
16,077,369
-------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.76%
40,700 * Silicon Valley Group Inc ........................ 1,271,875
-------------
MEDICAL TECHNOLOGY - 1.08%
100,000 * Haemonetics Corp ................................ 1,800,000
-------------
SECURITIES RELATED - 0.54%
125,000 * Investment Technology Group Inc ................. 906,250
-------------
SEMICONDUCTORS - 19.76%
200,000 * Actel Corp ...................................... 2,300,000
100,000 * Analog Devices Inc .............................. 3,112,500
71,100 * Applied Materials Inc ........................... 5,474,700
120,000 * Cirrus Logic Inc ................................ 5,910,000
30,000 Intel Corp ...................................... 3,367,500
100,000 * Maxim Integrated Products Inc ................... 4,587,500
177,700 * Micro Linear Corp ............................... 2,287,888
70,000 Xilinx Inc ...................................... 5,897,500
-------------
32,937,588
-------------
TELECOMMUNICATIONS - 14.78%
100,000 * Act Networks Inc ................................ 1,925,000
67,400 * Ascend Communications Inc ....................... 2,611,750
120,000 * Centennial Cellular Corp Class A ................ 1,650,000
6,000 Ericsson LM Telephone Class B - ADR ............. 440,625
110,000 * Mobile Telecommunication ........................ 2,475,000
110,000 Nokia Corp - ADR ................................ 5,115,000
85,000 * Paging Network Inc .............................. 2,358,750
240,000 Vodafone Group Plc - ADR ........................ 8,070,000
-------------
24,646,125
-------------
UTILITIES - COMMUNICATION - 2.97%
120,000 MCI Communications Corp ......................... 2,430,000
75,000 Sprint Corp ..................................... 2,512,500
-------------
4,942,500
-------------
TOTAL COMMON STOCKS
(Cost $139,908,302).............................. 154,249,577
-------------
PAR
VALUE
---------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 6.18%
CONSUMER FINANCE - 4.42%
$7,365,000 Commercial Credit Group Inc, 6.10% due 06/01/95 . 7,365,000
-------------
53
FINANCE COMPANIES - 1.76%
$2,941,000 CIESCO L P, 6.00% due 06/01/95 .................. $ 2,941,000
-------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $10,306,000) .............................. 10,306,000
-------------
TOTAL INVESTMENTS
(Cost $150,214,302) - 98.72% .................... 164,555,577
Other assets and liabilities, net - 1.28% ....... 2,127,463
-------------
NET ASSETS (equivalent to $14.43 per share
on 11,550,196 shares outstanding) - 100% ....... $ 166,683,040
=============
*Non-income producing
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
11,550,196 shares outstanding ................... $ 115,502
Additional paid in capital ....................... 143,575,756
Undistributed net realized gain on securities ... 8,620,288
Undistributed net investment income ............. 30,219
Unrealized appreciation of securities ........... 14,341,275
-------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING ..... $ 166,683,040
=============
SEE NOTES TO FINANCIAL STATEMENTS.
54
<PAGE>
SCIENCE & TECHNOLOGY FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1995
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes of $11,849)............................................................. $ 113,010
Interest............................................................................................................ 770,528
-----------
Total investment income......................................................................................... 883,538
-----------
EXPENSES:
Advisory fees....................................................................................................... 558,564
Custodian and accounting services................................................................................... 24,889
Reports to shareholders............................................................................................. 12,148
Audit fees.......................................................................................................... 6,941
Registration fees................................................................................................... 45,648
Directors' fees and expenses........................................................................................ 1,846
Miscellaneous....................................................................................................... 1,838
-----------
Total expenses.................................................................................................. 651,874
-----------
NET INVESTMENT INCOME............................................................................................... 231,664
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments..................................................................................... $9,284,144
Foreign currency transactions................................................................... (7,288)
Options written................................................................................. 16,265 9,293,121
---------- -----------
Net unrealized appreciation of securities during the year........................................................... 14,512,577
-----------
23,805,698
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................................................................... $24,037,362
===========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE PERIOD
YEAR ENDED APRIL 29, 1994
MAY 31, 1995 TO MAY 31, 1994
-------------- ---------------
<S> <C> <C>
OPERATIONS:
Net investment income.......................................................................... $ 231,664 $ 4,229
Net realized gain on securities................................................................ 9,293,121 -
Net unrealized appreciation (depreciation) of securities during the period................. 14,512,577 (171,302)
------------- -------------
Increase (decrease) in net assets resulting from operations................................ 24,037,362 (167,073)
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.......................................................................... (194,344) (4,042)
Net realized gain on securities................................................................ (680,121) -
------------- -------------
Decrease in net assets resulting from distributions to shareholders........................ (874,465) (4,042)
CAPITAL STOCK TRANSACTIONS: ------------- -------------
Proceeds from capital stock sold............................................................... 138,322,673 10,001,000
Proceeds from capital stock issued for distributions reinvested................................ 874,465 4,042
------------- -------------
139,197,138 10,005,042
Cost of capital stock repurchased.............................................................. (5,510,922) -
------------- -------------
Increase in net assets resulting from capital stock transactions........................... 133,686,216 10,005,042
------------- -------------
TOTAL INCREASE IN NET ASSETS................................................................... 156,849,113 9,833,927
NET ASSETS:
Beginning of period............................................................................ 9,833,92 -
------------- -------------
End of period (including undistributed net investment income of $30,219 and $187).............. $166,683,040 $ 9,833,927
============= =============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................................................................... 10,904,305 1,000,100
Shares issued for distributions reinvested..................................................... 69,381 414
Shares of capital stock repurchased ........................................................... (424,004) -
------------- -------------
Increase in shares outstanding............................................................. 10,549,682 1,000,514
Shares outstanding:
Beginning of period........................................................................ 1,000,514 -
------------- -------------
End of period.............................................................................. 11,550,196 1,000,514
============= =============
</TABLE>
55
<PAGE>
SOCIAL AWARENESS FUND MAY 31, 1995 STATEMENT OF NET ASSETS
NUMBER MARKET
OF SHARES VALUE
---------- -------------
COMMON STOCKS - 98.31%
ADVERTISING - 0.17%
2,523 Interpublic Group of Cos Inc .................... $ 93,036
-------------
AIRLINES - 0.52%
3,389 * AMR Corp ........................................ 231,299
-------------
744 Delta Air Lines Inc ............................. 48,453
-------------
279,752
APPLIANCES/FURNISHINGS - 0.24%
2,226 Whirlpool Corp .................................. 127,160
-------------
AUTO - CARS - 0.78%
9,588 Chrysler Corp ................................... 418,277
-------------
AUTO - REPLACEMENT PARTS - 1.02%
443 Cooper Tire & Rubber Co ......................... 10,743
2,750 Echlin Inc ...................................... 99,000
5,180 Genuine Parts Co ................................ 203,315
5,624 Goodyear Tire & Rubber Co ....................... 237,614
-------------
550,672
-------------
BANKS - NEW YORK CITY - 2.06%
3,805 Bank of New York Inc ............................ 155,054
1,487 Chase Manhattan Corp ............................ 68,774
4,686 Chemical Banking Corp ........................... 216,142
6,551 Citicorp ........................................ 350,479
4,487 J P Morgan & Co Inc ............................. 318,016
-------------
1,108,465
-------------
BANKS - OTHER - 1.89%
9,968 BankAmerica Corp ................................ 520,828
3,828 First Union Corp ................................ 187,572
2,322 Fleet Financial Group Inc ....................... 80,980
4,396 Mellon Bank Corp ................................ 187,929
213 Wells Fargo & Co ................................ 39,192
-------------
1,016,501
-------------
BANKS - REGIONAL - 3.58%
9,126 Banc One Corp ................................... 317,129
411 Barnett Banks Inc ............................... 20,396
849 Corestates Financial Corp ....................... 28,229
962 First Fidelity Bancorp Inc ...................... 51,106
1,356 First Interstate Bancorp Inc .................... 113,904
8,926 Keycorp ......................................... 273,359
7,869 NationsBank Corp ................................ 445,582
5,652 NBD Bancorp Inc ................................. 185,810
5,478 Norwest Corp .................................... 155,438
5,571 PNC Bank Corp ................................... 150,417
761 Shawmut National Corp ........................... 22,069
972 SunTrust Banks Inc .............................. 56,376
2,894 Wachovia Corp ................................... 109,610
-------------
1,929,425
-------------
BEVERAGE - BREWERS/
DISTRIBUTORS - 1.19%
4,784 Anheuser Busch Cos Inc .......................... 282,854
11,866 Seagram Ltd ..................................... 355,980
-------------
638,834
-------------
BEVERAGE - SOFT DRINKS - 4.03%
23,957 Coca Cola Co .................................... 1,482,339
14,088 Pepsico Inc ..................................... 690,312
-------------
2,172,651
-------------
BROADCASTING - 1.33%
2,757 Capital Cities/ABC Inc .......................... 266,051
11,373 * Tele Communications Inc Class A ................. 240,255
4,542 * Viacom Inc Class B .............................. 211,771
-------------
718,077
-------------
BUILDING MATERIALS - 0.45%
865 Armstrong World Industries Inc .................. 44,656
1,647 Lowes Cos Inc ................................... 44,881
5,408 Masco Corp ...................................... 156,156
-------------
245,693
-------------
CHEMICAL - MAJOR - 1.85%
1,094 B F Goodrich Co ................................. 54,290
3,121 Morton International Inc ........................ 99,092
7,931 PPG Industries Inc .............................. 330,128
3,687 Praxair Inc ..................................... 91,714
3,337 Rohm & Haas Co .................................. 196,466
3,496 W R Grace Co .................................... 224,618
-------------
996,308
-------------
CHEMICAL - MISCELLANEOUS - 0.63%
3,068 Great Lakes Chemical Corp ....................... 187,148
2,080 Lubrizol Corp ................................... 72,540
1,270 Lyondell Petrochemical Co ....................... 31,750
1,216 Nalco Chemical Co ............................... 45,904
-------------
337,342
-------------
CONGLOMERATES - 0.18%
1,753 Tyco International Ltd .......................... 94,881
-------------
CONSUMER FINANCE - 0.09%
899 Beneficial Corp ................................. 40,006
220 MBNA Corp ....................................... 7,425
-------------
47,431
-------------
CONTAINERS - METAL/GLASS - 0.11%
1,212 * Crown Cork & Seal Inc ........................... 56,964
-------------
CONTAINERS - PAPER - 0.14%
1,738 Temple Inland Inc ............................... 75,169
-------------
COSMETICS/TOILETRIES - 1.39%
1,528 Avon Products Inc ............................... 102,949
5,931 Gillette Co ..................................... 500,428
2,937 International Flavors & Fragrances .............. 144,647
-------------
748,024
-------------
56
DRUGS - 6.61%
5,956 American Home Products Corp ..................... $ 438,511
801 * Amgen Inc ....................................... 58,073
12,731 Bristol Myers Squibb Co ......................... 845,020
24,198 Merck & Co Inc .................................. 1,140,331
6,603 Pfizer Inc ...................................... 581,889
3,561 Schering Plough Corp ............................ 280,429
2,668 Warner Lambert Co ............................... 221,111
-------------
3,565,364
-------------
ELECTRICAL EQUIPMENT - 1.94%
5,575 AMP Inc ......................................... 237,634
9,643 Emerson Electric Co ............................. 662,956
1,858 Raychem Corp .................................... 67,585
514 Thomas & Betts Corp ............................. 34,631
750 W W Grainger Inc ................................ 44,906
-------------
1,047,712
-------------
ENTERTAINMENT - 1.81%
770 Hasbro Inc ...................................... 27,143
3,881 Mattel Inc ...................................... 97,025
7,865 Time Warner Inc ................................. 311,651
9,695 Walt Disney Co .................................. 539,284
-------------
975,103
-------------
FINANCE COMPANIES - 0.60%
1,736 Household International Corp .................... 85,715
5,670 Travelers Inc ................................... 239,558
-------------
325,273
-------------
FOODS - 2.97%
10,518 Archer Daniels Midland Co ....................... 194,583
4,986 Campbell Soup Co ................................ 244,937
4,944 Conagra Inc ..................................... 165,006
3,595 CPC International Inc ........................... 218,396
2,404 General Mills Inc ............................... 124,708
5,662 H J Heinz Co .................................... 256,206
198 Hershey Foods Corp .............................. 10,222
3,952 Kellogg Co ...................................... 265,278
479 Quaker Oats Co .................................. 16,705
1,488 Ralston Purina Co ............................... 74,772
732 Wm Wrigley Jr Co ................................ 33,123
-------------
1,603,936
-------------
FOOTWEAR - 0.29%
1,272 Nike Inc Class B ................................ 100,329
1,665 Reebok International Ltd ........................ 55,778
-------------
156,107
-------------
FREIGHT - 0.10%
870 * Federal Express Corp ............................ 52,091
-------------
GOLD MINING - 0.56%
474 Echo Bay Mines Ltd .............................. 4,236
4,205 Homestake Mining Co ............................. 70,959
8,975 Placer Dome Inc ................................. 226,619
-------------
301,814
-------------
GOVERNMENT SPONSORED - 1.44%
3,317 Federal Home Loan Mortgage Corp ................. $ 225,971
5,936 Federal National Mortgage Association ........... 552,048
-------------
778,019
-------------
HARDWARE & TOOLS - 0.11%
617 Black & Decker Corp ............................. 20,361
1,021 Stanley Works ................................... 40,840
-------------
61,201
-------------
HEALTHCARE - 0.16%
2,718 U S Healthcare Inc .............................. 84,428
-------------
HEAVY DUTY TRUCKS/PARTS - 0.31%
955 Cummins Engine Inc .............................. 43,453
4,299 Dana Corp ....................................... 121,447
-------------
164,900
-------------
HOSPITAL MANAGEMENT - 0.38%
5,042 Columbia/HCA Healthcare Corp .................. 206,092
-------------
HOSPITAL SUPPLIES - 3.00%
12,546 Abbott Laboratories ............................. 501,840
6,113 Baxter International Inc ........................ 213,191
12,387 Johnson & Johnson ............................... 820,639
1,110 Medtronic Inc ................................... 83,528
-------------
1,619,198
-------------
HOUSEHOLD PRODUCTS - 1.88%
3,368 Colgate Palmolive Co ............................ 259,336
741 Newell Co ....................................... 18,432
247 Premark International Inc ....................... 12,319
1,364 Rubbermaid Inc .................................. 43,478
5,336 Unilever N V - ADR .............................. 679,006
-------------
1,012,571
-------------
INFORMATION PROCESSING - 7.64%
1,912 Apple Computer .................................. 79,468
285 Autodesk Inc .................................... 10,545
1,128 Automatic Data Processing Inc ................... 70,218
3,703 * Cisco Systems Inc ............................... 162,006
4,149 * Compaq Computer Corp ............................ 162,330
2,504 Computer Associates International Inc ........... 164,012
1,766 * Digital Equipment Corp .......................... 78,808
166 H & R Block Inc ................................. 5,997
10,710 Hewlett Packard Co .............................. 708,199
10,979 International Business Machine Corp ............. 1,023,792
8,651 * Microsoft Corp .................................. 732,632
1,243 * Novell Inc ...................................... 24,005
6,929 * Oracle Systems Inc .............................. 240,783
4,100 Pitney Bowes Inc ................................ 151,700
1,456 * Silicon Graphics Inc ............................ 56,602
555 * Sun Microsystems Inc ............................ 24,975
1,333 * Tandem Computers Inc ............................ 17,662
3,588 Xerox Corp ...................................... 406,790
-------------
4,120,524
-------------
57
INSURANCE - CASUALTY - 0.17%
511 Chubb Corp ...................................... $ 42,094
930 St Paul Companies Inc ........................... 47,314
-------------
89,408
-------------
INSURANCE - LIFE - 0.31%
149 Lincoln National Corp ........................... 6,742
2,705 Transamerica Corp ............................... 161,624
-------------
168,366
-------------
INSURANCE - MISCELLANEOUS - 0.28%
512 General Reinsurance Corp ........................ 69,312
2,209 United Healthcare Corp .......................... 82,285
-------------
151,597
-------------
INSURANCE - MULTILINE - 2.48%
2,026 Aetna Life & Casualty Co ........................ 120,800
7,700 American International Group Inc ................ 875,875
2,558 Cigna Corp ...................................... 191,211
1,575 Marsh & McLennan Cos Inc ........................ 125,409
623 Providian Corp .................................. 22,662
-------------
1,335,957
-------------
MACHINERY - AGRICULTURE - 0.44%
2,724 Deere & Co ...................................... 235,626
-------------
MACHINERY - CONSTRUCTION & CONTRACTS - 0.59%
5,323 Caterpillar Inc ................................. 320,711
-------------
MACHINERY - INDUSTRIAL/SPECIALTY - 1.09%
6,964 Cooper Industries Inc ........................... 257,668
811 Dover Corp ...................................... 53,222
2,981 Illinois Tool Works Inc ......................... 148,305
1,823 Ingersoll Rand Co ............................... 67,907
948 Johnson Controls Inc ............................ 54,273
372 Pall Corp ....................................... 8,184
-------------
589,559
-------------
MERCHANDISE - SPECIALTY - 0.78%
144 American Greetings Corp Class A ................. 4,068
582 Gap Inc ......................................... 20,006
5,921 Home Depot Inc .................................. 246,462
4,383 Limited Inc ..................................... 97,522
2,199 * Toys R Us Inc ................................... 55,525
-------------
423,583
-------------
MERCHANDISING - DEPARTMENT - 0.46%
1,090 Dayton Hudson Corp .............................. 77,254
4,398 May Department Stores Co ........................ 172,622
-------------
249,876
-------------
MERCHANDISING - FOOD - 0.30%
3,896 Albertsons Inc .................................. 109,088
823 American Stores Co .............................. 21,501
593 Winn Dixie Stores Inc ........................... 34,023
-------------
164,612
-------------
MERCHANDISING - MASS - 3.50%
5,395 J C Penney Inc .................................. 254,239
7,781 K Mart Corp ..................................... 99,208
8,748 Sears Roebuck & Co .............................. 493,169
41,563 Wal Mart Stores Inc ............................. 1,039,075
-------------
1,885,691
-------------
METALS - ALUMINUM - 1.11%
7,726 Alcan Aluminium Ltd ............................. 228,883
6,476 Aluminum Co of America .......................... 301,134
1,368 Reynolds Metal Co ............................... 67,545
-------------
597,562
-------------
METALS - COPPER - 0.16%
2,024 Newmont Mining Corp ............................. 84,502
-------------
METALS - MISCELLANEOUS - 0.25%
1,100 Cyprus Amax Minerals Co ......................... 29,150
499 Englehard Corp .................................. 20,771
3,395 Inco Ltd ........................................ 84,875
-------------
134,796
-------------
METALS - STEEL - 0.23%
648 CBI Industries Inc .............................. 16,362
1,235 Nucor Corp ...................................... 58,971
1,490 USX US Steel Group .............................. 47,680
-------------
123,013
-------------
MISCELLANEOUS - 0.27%
4,549 Corning Inc ..................................... 145,568
-------------
NATURAL GAS - DIVERSIFIED - 0.28%
4,010 Panhandle Eastern Corp .......................... 100,751
1,546 Sonat Inc ....................................... 50,825
-------------
151,576
-------------
OIL - INTEGRATED DOMESTIC - 3.16%
3,574 Amerada Hess Corp ............................... 181,381
3,148 Ashland Oil Inc ................................. 116,870
3,997 Burlington Resources Inc ........................ 165,876
1,514 Mapco Inc ....................................... 89,137
3,070 * Oryx Energy Corp ................................ 44,131
2,261 Pennzoil Co ..................................... 111,637
14,174 Phillips Petroleum Co ........................... 513,808
7,093 Sun Co .......................................... 223,430
13,021 USX Marathon Group .............................. 258,792
-------------
1,705,062
-------------
OIL - INTEGRATED INTERNATIONAL - 3.33%
34,257 Chevron Corp .................................... 1,682,875
2,618 Murphy Oil Corp ................................. 114,538
-------------
1,797,413
-------------
OIL - SERVICES - 1.58%
1,382 Baker Hughes Inc ................................ 31,095
6,426 Dresser Industries Inc .......................... 146,995
58
2,128 Halliburton Co .................................. $ 82,992
9,116 Schlumberger Ltd ................................ 592,540
-------------
853,622
-------------
PAPER/FOREST PRODUCTS - 2.01%
1,067 Alco Standard Corp .............................. 76,424
1,202 Avery Dennison Corp ............................. 49,583
994 Boise Cascade Corp .............................. 32,802
4,471 Kimberly Clark Corp ............................. 268,260
2,070 Mead Corp ....................................... 111,521
3,688 Scott Paper Co .................................. 159,967
7,451 Weyerhaeuser Co ................................. 326,913
1,198 Willamette Industries Inc ....................... 60,200
-------------
1,085,670
-------------
PHOTOGRAPHY - 0.07%
970 Polaroid Corp ................................... 35,769
-------------
POLLUTION CONTROL - 0.93%
2,255 Browning Ferris Industries Inc .................. 80,334
15,556 WMX Technologies Inc ............................ 423,901
-------------
504,235
-------------
PUBLISHING - NEWS - 0.44%
3,036 Dow Jones & Co Inc .............................. 110,814
2,372 Gannett Inc ..................................... 126,902
-------------
237,716
-------------
PUBLISHING/PRINTING - 0.91%
8,897 Dun & Bradstreet Corp ........................... 471,541
910 Moore Corp Ltd .................................. 19,906
-------------
491,447
-------------
RAILROAD - 1.98%
992 Burlington Northern Inc ......................... 60,636
2,130 Conrail Inc ..................................... 115,020
2,572 CSX Corp ........................................ 196,115
4,357 Norfolk Southern Corp ........................... 298,455
7,209 Union Pacific Corp .............................. 399,198
-------------
1,069,424
-------------
RESTAURANTS - 1.14%
2,404 * Darden Restaurants .............................. 26,444
15,459 McDonalds Corp .................................. 585,510
-------------
611,954
-------------
SAVINGS & LOAN - 0.04%
1,001 Great Western Financial Corp .................... 21,897
-------------
SECURITIES RELATED - 1.99%
12,702 American Express Co ............................. 452,509
2,270 Dean Witter Discover & Co ....................... 108,109
5,406 Merrill Lynch & Co Inc .......................... 254,082
1,847 Morgan Stanley Group Inc ........................ 140,603
2,863 Salomon Inc ..................................... 117,383
-------------
1,072,686
-------------
SEMICONDUCTORS - 2.01%
2,008 * Advanced Micro Devices Inc ...................... 66,013
1,117 * Applied Materials Inc ........................... 86,009
7,033 Intel Corp ...................................... 789,454
3,212 Micron Technology Inc ........................... 143,336
-------------
1,084,812
-------------
TELECOMMUNICATIONS - 0.87%
391 * Airtouch Communications ......................... 10,655
4,547 ALLTEL Corp ..................................... 111,970
650 * DSC Communications Corp ......................... 24,050
8,447 Northern Telecommunications Ltd ................. 324,154
-------------
470,829
-------------
TEXTILE - PRODUCTS - 0.13%
1,263 V F Corp ........................................ 67,255
-------------
TRUCKERS - 0.09%
527 Roadway Services Inc ............................ 24,637
909 Ryder System Inc ................................ 23,066
-------------
47,703
-------------
UTILITIES - COMMUNICATION - 9.78%
8,673 Ameritech Corp .................................. 384,864
31,698 AT & T Corp ..................................... 1,608,650
10,184 Bell Atlantic Corp .............................. 567,758
10,869 Bellsouth Corp .................................. 667,085
7,131 MCI Communications Corp ......................... 144,403
11,507 Nynex Corp ...................................... 480,417
14,443 Pacific Telesis Group ........................... 386,350
10,781 SBC Communications Inc .......................... 485,145
3,490 Sprint Corp ..................................... 116,915
10,540 U S West Inc .................................... 434,775
-------------
5,276,362
-------------
UTILITIES - ELECTRIC - 2.45%
8,021 Allegheny Power System Inc ...................... 199,522
7,557 Cinergy Corp .................................... 201,205
288 Ipalco Enterprises .............................. 9,432
1,139 Montana Power Co ................................ 26,055
1,371 Oklahoma Gas & Electric Co ...................... 48,328
19,114 PacifiCorp ...................................... 377,502
7,951 Potomac Electric Power Co ....................... 162,002
4,214 Public Service Co of Colorado ................... 138,009
4,322 Puget Sound Power & Light Co .................... 98,866
534 Teco Energy Inc ................................. 11,748
1,756 Utilicorp United Inc ............................ 50,046
-------------
1,322,715
-------------
UTILITIES - GAS, PIPELINE - 1.25%
513 * Columbia Gas System Inc ......................... 15,390
3,612 Consolidated Natural Gas Co ..................... 144,029
7,427 Enron Corp ...................................... 271,086
679 Nicor Inc ....................................... 18,078
3,658 Pacific Enterprises ............................. 92,365
1,215 Peoples Energy Corp ............................. 32,501
3,024 Williams Cos Inc ................................ 102,816
-------------
676,265
-------------
59
TOTAL COMMON STOCKS
(Cost $47,160,938)............................... $ 53,013,834
=============
PAR VALUE
CORPORATE SHORT TERM
COMMERCIAL PAPER - 1.29%
CONSUMER FINANCE - 1.29%
Sears Roebuck Acceptance Corp:
$ 219,000 5.80% due 06/01/95 .............................. 219,000
475,000 5.80% due 06/02/95 .............................. 474,924
-------------
693,924
-------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $693,924).................................. 693,924
-------------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.04%
25,000 United States Treasury Bills, 5.735% due
06/22/95 (Cost $24,916).......................... 24,916
-------------
TOTAL INVESTMENTS
(Cost $47,879,778) - 99.64%...................... 53,732,674
Other assets and liabilities, net - 0.36%........ 194,417
-------------
NET ASSETS (equivalent to $13.02 per share on
4,143,021 shares outstanding) - 100%............. $ 53,927,091
=============
*Non-income producing
UNREALIZED
CONTRACTS APPRECIATION
--------- -------------
FUTURES CONTRACTS PURCHASED (1) (Delivery
month/Value at 05/31/95)
2(2) S&P 500 Index Futures (June/$533.35)............. $ 17,950
=============
(1) U.S. Treasury Bills with a market value of
approximately $25,000 were maintained in a
segregated account with a portion placed as
collateral for futures contracts.
(2) Per 500
-------------------------------------------------------------------------------
Net Assets Represented By:
Capital stock, $.01 par value per share, 1,000,000,000 shares
authorized, 4,143,021 shares outstanding .................. $ 41,430
Additional paid in capital .................................. 46,998,684
Undistributed net realized gain on securities ............... 1,016,131
Unrealized appreciation of:
Investments ............................. $ 5,852,896
Futures ................................. 17,950 5,870,846
----------- -----------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING ................. $53,927,091
===========
SEE NOTES TO FINANCIAL STATEMENTS.
60
<PAGE>
SOCIAL AWARENESS FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1995
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends.................................................................................................... $ 1,332,818
Interest..................................................................................................... 10,494
------------
Total investment income.................................................................................. 1,343,312
------------
EXPENSES:
Advisory fees................................................................................................ 238,741
Custodian and accounting services............................................................................ 24,719
Reports to shareholders...................................................................................... 6,580
Audit fees................................................................................................... 3,716
Directors' fees and expenses................................................................................. 2,018
Miscellaneous................................................................................................ 4,318
------------
Total expenses........................................................................................... 280,092
------------
NET INVESTMENT INCOME........................................................................................ 1,063,220
------------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on:
Investments............................................................................... $ 2,352,412
Futures contracts......................................................................... 3,885 2,356,297
------------
Net unrealized appreciation of securities during the year:
Investments............................................................................... 4,798,225
Futures contracts......................................................................... 17,950 4,816,175
------------ ------------
Net realized and unrealized gain on securities during the year............................................... 7,172,472
------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................................................. $ 8,235,692
============
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1995 1994
------------ ----------
<S> <C> <C>
OPERATIONS:
Net investment income......................................................................... $ 1,063,220 $ 898,611
Net realized gain on securities............................................................... 2,356,297 1,700,299
Net unrealized appreciation (depreciation) of securities during the year...................... 4,816,175 (1,911,622)
------------ ----------
Increase in net assets resulting from operations.......................................... 8,235,692 687,288
------------ ----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income......................................................................... (1,067,168) (898,661)
Net realized gain on securities............................................................... (2,755,148) (407,216)
------------ ----------
Decrease in net assets resulting from distributions to shareholders....................... (3,822,316) (1,305,877)
------------ ----------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold.............................................................. 6,436,649 12,845,561
Proceeds from capital stock issued for distributions reinvested............................... 3,822,316 1,305,877
----------- -----------
10,258,965 14,151,438
Cost of capital stock repurchased............................................................. (6,474,724) (1,969,138)
----------- -----------
Increase in net assets resulting from capital stock transactions.......................... 3,784,241 12,182,300
----------- -----------
TOTAL INCREASE IN NET ASSETS.................................................................. 8,197,617 11,563,711
NET ASSETS:
Beginning of year............................................................................. 45,729,474 34,165,763
------------ -----------
End of year (including undistributed net investment income of $0 and $4,889).................. $ 53,927,091 $45,729,474
============ ===========
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold.................................................................. 537,130 1,051,900
Shares issued for distributions reinvested.................................................... 336,272 106,851
Shares of capital stock repurchased .......................................................... (547,073) (161,494)
------------ ----------
Increase in shares outstanding............................................................ 326,329 997,257
Shares outstanding:
Beginning of year......................................................................... 3,816,692 2,819,435
End of year............................................................................... 4,143,021 3,816,692
============ ==========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
61
<PAGE>
TIMED OPPORTUNITY FUND May 31, 1995 STATEMENT OF NET ASSETS
NUMBER MARKET
OF SHARES VALUE
-------- ------
COMMON STOCKS - 42.25%
AEROSPACE/DEFENSE - 0.62%
2,019 Boeing Co ......................................... $ 118,869
3,872 General Dynamics Corp ............................. 169,400
6,352 Lockheed Corp ..................................... 377,944
2,714 McDonnell Douglas Corp ............................ 196,087
1,538 Northrop Corp ..................................... 80,553
1,917 Raytheon Co ....................................... 148,568
412 Rockwell International Corp ....................... 18,798
469 United Technologies Corp .......................... 35,585
------------
1,145,804
------------
AIRLINES - 0.07%
1,518 * AMR Corp .......................................... 103,604
271 Delta Air Lines Inc ............................... 17,649
------------
121,253
------------
APPLIANCES/FURNISHINGS - 0.03%
612 Whirlpool Corp .................................... 34,961
2,308 * Zenith Electronics Corp ........................... 17,887
------------
52,848
------------
AUTO - CARS - 0.81%
5,873 Chrysler Corp ..................................... 256,210
19,346 Ford Motor Co ..................................... 565,871
13,919 General Motors Corp ............................... 668,112
------------
1,490,193
------------
AUTO - REPLACEMENT PARTS - 0.56%
13,867 Cooper Tire & Rubber Co ........................... 336,275
3,603 Echlin Inc ........................................ 129,708
6,767 Genuine Parts Co .................................. 265,605
7,708 Pep Boys Manny Moe & Jack Co ...................... 214,861
5,467 SPX Corp .......................................... 71,754
------------
1,018,203
------------
BANKS - NEW YORK CITY - 0.39%
3,174 Chemical Banking Corp ............................. 146,401
4,016 Citicorp .......................................... 214,856
4,961 J P Morgan & Co Inc ............................... 351,611
------------
712,868
------------
BANKS - OTHER - 0.49%
4,759 BankAmerica Corp .................................. 248,658
784 First Union Corp .................................. 38,416
603 Fleet Financial Group Inc ......................... 21,030
10,677 National City Corp ................................ 324,314
1,397 Wells Fargo & Co .................................. 257,048
------------
889,466
------------
BANKS - REGIONAL - 1.48%
2,894 Barnett Banks Inc ................................. 143,615
2,380 First Fidelity Bancorp Inc ........................ 126,438
3,689 First Interstate Bancorp Inc ...................... 309,876
16,407 Keycorp ........................................... 502,464
10,032 NationsBank Corp .................................. 568,062
9,804 NBD Bancorp Inc ................................... 322,307
11,015 Norwest Corp ...................................... 312,551
2,772 Shawmut National Corp ............................. 80,388
3,587 SunTrust Banks Inc ................................ 208,046
3,943 Wachovia Corp ..................................... 149,341
------------
2,723,088
------------
BEVERAGE - BREWERS/
DISTRIBUTORS - 0.30%
1,585 Anheuser Busch Cos Inc ............................ 93,713
15,054 Seagram Ltd ....................................... 451,620
------------
545,333
------------
BEVERAGE - SOFT DRINKS - 1.43%
26,815 Coca Cola Co ...................................... 1,659,178
19,765 Pepsico Inc ....................................... 968,485
------------
2,627,663
------------
BROADCASTING - 0.57%
3,376 Capital Cities/ABC Inc ............................ 325,784
305 CBS Inc ........................................... 20,435
4,087 Comcast Corp Class A .............................. 71,523
15,008 * Tele Communications Inc Class A ................... 317,044
6,552 * Viacom Inc Class B ................................ 305,487
------------
1,040,273
------------
BUILDING MATERIALS - 0.14%
755 Armstrong World Industries Inc .................... 38,977
7,936 Lowes Cos Inc ..................................... 216,256
------------
255,233
------------
CHEMICAL - MAJOR - 1.04%
1,109 B F Goodrich Co ................................... 55,034
6,773 Dow Chemical Co ................................... 496,969
9,151 Du Pont E I De Nemours & Co ....................... 621,124
2,260 Monsanto Co ....................................... 188,145
191 Morton International Inc .......................... 6,064
2,880 PPG Industries Inc ................................ 119,880
6,520 Praxair Inc ....................................... 162,185
1,682 Rohm & Haas Co .................................... 99,028
5,227 Union Carbide Corp ................................ 152,890
------------
1,901,319
------------
CHEMICAL - MISCELLANEOUS - 0.51%
3,179 Eastman Chemical Co ............................... 190,740
1,436 Ecolab Inc ........................................ 36,439
2,103 * FMC Corp .......................................... 135,381
4,792 Great Lakes Chemical Corp ......................... 292,312
7,406 Nalco Chemical Co ................................. 279,577
------------
934,449
------------
COAL - 0.01%
65 NACCO Industries Inc Class A ...................... 3,900
------------
CONGLOMERATES - 0.48%
6,433 Allied Signal Inc ................................. 259,732
1,280 Dial Corp ......................................... 31,360
4,415 Ogden Corp ........................................ 97,130
62
2,130 Teledyne Inc ...................................... $ 51,919
27 Teledyne Inc (Preferred) .......................... 375
4,147 Tenneco Inc ....................................... 199,056
2,821 Textron Inc ....................................... 171,728
1,371 Tyco International Ltd ............................ 74,205
------------
885,505
------------
CONSUMER FINANCE - 0.06%
1,936 Beneficial Corp ................................... 86,152
617 MBNA Corp ......................................... 20,824
------------
106,976
------------
CONTAINERS - METAL/GLASS - 0.06%
2,291 * Crown Cork & Seal Inc ............................. 107,677
------------
CONTAINERS - PAPER - 0.14%
5,961 Temple Inland Inc ................................. 257,813
------------
COSMETICS/TOILETRIES - 0.22%
4,907 Gillette Co ....................................... 414,028
------------
DRUGS - 2.65%
2,318 Allergan Inc ...................................... 61,717
73 * Allergan Ligand Retinoid
Therapeutics Inc (Rights) ......................... 64
9,018 * Alza Corp ......................................... 188,251
7,591 American Home Products Corp ....................... 558,887
2,069 * Amgen Inc ......................................... 150,003
12,065 Bristol Myers Squibb Co ........................... 800,814
2,708 Eli Lilly & Co .................................... 202,085
29,514 Merck & Co Inc .................................... 1,390,847
7,793 Pfizer Inc ........................................ 686,758
7,588 Schering Plough Corp .............................. 597,555
5,701 Upjohn Co ......................................... 207,374
198 Warner Lambert Co ................................. 16,409
------------
4,860,764
------------
ELECTRICAL EQUIPMENT - 1.78%
2,502 Emerson Electric Co ............................... 172,013
39,148 General Electric Co ............................... 2,270,584
8,949 Raychem Corp ...................................... 325,520
2,411 Thomas & Betts Corp ............................... 162,441
4,372 W W Grainger Inc .................................. 261,774
4,380 Westinghouse Electric Corp ........................ 63,510
------------
3,255,842
------------
ELECTRONIC INSTRUMENTS - 0.13%
1,700 General Signal Corp ............................... 62,900
12,370 * Intergraph Corp ................................... 166,995
------------
229,895
------------
ENTERTAINMENT - 0.53%
2,504 Hasbro Inc ........................................ 88,266
2,519 Time Warner Inc ................................... 99,815
13,934 Walt Disney Co .................................... 775,079
------------
963,160
------------
FERTILIZERS - 0.08%
6,731 First Mississippi Corp ............................ 155,654
------------
FINANCE COMPANIES - 0.10%
2,626 Household International Inc ....................... 129,659
1,145 Travelers Inc ..................................... 48,376
------------
178,035
------------
FOODS - 1.00%
15,259 Archer Daniels Midland Co ......................... 282,292
5,977 Campbell Soup Co .................................. 293,620
2,928 Conagra Inc ....................................... 97,722
5,505 General Mills Inc ................................. 285,572
2,761 H J Heinz Co ...................................... 124,935
431 Hershey Foods Corp ................................ 22,250
1,734 Kellogg Co ........................................ 116,395
956 Pioneer Hi Bred International Inc ................. 37,523
3,103 Ralston Purina Co ................................. 155,926
15,178 Sara Lee Corp ..................................... 423,087
------------
1,839,322
------------
FOOTWEAR - 0.23%
1,109 Brown Group Inc ................................... 24,259
2,301 Nike Inc Class B .................................. 181,491
6,291 Reebok International Ltd .......................... 210,749
400 Stride Rite Corp .................................. 4,500
------------
420,999
------------
FREIGHT - 0.26%
2,957 * Federal Express Corp .............................. 177,050
12,444 Pittston Services Group ........................... 300,212
------------
477,262
------------
GOLD MINING - 0.19%
6,022 Barrick Gold Corp ................................. 152,056
1,691 Echo Bay Mines Ltd ................................ 15,113
6,165 Homestake Mining Co ............................... 104,034
3,145 Placer Dome Inc ................................... 79,411
------------
350,614
------------
GOVERNMENT SPONSORED - 0.19%
438 Federal Home Loan
Mortgage Corp ................................... 29,839
3,470 Federal National Mortgage
Association ..................................... 322,710
------------
352,549
------------
HARDWARE & TOOLS - 0.06%
2,640 Stanley Works ..................................... 105,600
------------
HEALTHCARE - 0.17%
10,138 U S Healthcare Inc ................................ 314,912
------------
HEAVY DUTY TRUCKS/PARTS - 0.12%
2,976 Cummins Engine Inc ................................ 135,408
2,678 Dana Corp ......................................... 75,654
------------
211,062
------------
63
HOME BUILDERS - 0.12%
648 Centex Corp ....................................... $ 18,630
7,586 Pulte Corp ........................................ 207,667
------------
226,297
------------
HOSPITAL MANAGEMENT - 0.24%
89 * Beverly Enterprises Inc ........................... 1,012
8,573 Columbia/HCA Healthcare Corp ...................... 350,421
2,896 Manor Care Inc .................................... 84,708
------------
436,141
------------
HOSPITAL SUPPLIES - 0.75%
7,863 Abbott Laboratories ............................... 314,520
2,936 Baxter International Inc .......................... 102,393
333 Becton Dickinson & Co ............................. 19,148
13,518 Johnson & Johnson ................................. 895,568
93 Medtronic Inc ..................................... 6,998
1,656 United States Surgical Corp ....................... 34,155
------------
1,372,782
------------
HOUSEHOLD PRODUCTS - 1.04%
2,667 Clorox Co ......................................... 159,687
3,777 Minnesota Mining &
Manufacturing Co ................................ 226,148
14,540 Procter & Gamble Co ............................... 1,045,063
4,420 Rubbermaid Inc .................................... 140,888
2,633 Unilever N V - ADR ................................ 335,049
------------
1,906,835
------------
INFORMATION PROCESSING - 3.05%
2,980 * Amdahl Corp ....................................... 38,740
1,545 Apple Computer .................................... 64,214
8,877 Autodesk Inc ...................................... 328,449
6,388 Automatic Data Processing Inc ..................... 397,653
5,350 * Cisco Systems Inc ................................. 234,063
3,785 * Compaq Computer Corp .............................. 148,088
4,973 Computer Associates
International Inc ............................... 325,732
1,667 * Computer Sciences Corp ............................ 88,351
115 * Computer Vision ................................... 647
77 * Harris Computer Systems Inc ....................... 1,174
10,344 Hewlett Packard Co ................................ 683,997
11,346 International Business
Machine Corp .................................... 1,058,010
4,926 * Lotus Development Corp ............................ 150,243
7,055 * Microsoft Corp .................................... 597,470
14,074 * Oracle Systems Corp ............................... 489,072
7,878 Pitney Bowes Inc .................................. 291,486
2,807 * Silicon Graphics Inc .............................. 109,122
13,016 * Tandem Computers Inc .............................. 172,462
3,715 Xerox Corp ........................................ 421,188
------------
5,600,161
------------
INSURANCE - CASUALTY - 0.25%
3,197 Chubb Corp ........................................ 263,353
3,808 St Paul Companies Inc ............................. 193,732
------------
457,085
------------
INSURANCE - LIFE - 0.12%
3,579 Lincoln National Corp ............................. 161,950
1,365 Torchmark Corp .................................... 54,429
74 Transamerica Corp ................................. 4,422
------------
220,801
------------
INSURANCE - MISCELLANEOUS - 0.43%
2,365 General Reinsurance Corp .......................... 320,162
11,561 United Healthcare Corp ............................ 430,647
693 UNUM Corp ......................................... 29,626
------------
780,435
------------
INSURANCE - MULTILINE - 0.85%
2,816 Aetna Life & Casualty Co .......................... 167,904
7,749 American International Group Inc .................. 881,449
2,570 Cigna Corp ........................................ 192,108
2,398 Marsh & McLennan Cos Inc .......................... 190,941
3,690 Providian Corp .................................... 134,224
------------
1,566,626
------------
LODGING - 0.03%
1,270 * Promus Cos Inc ................................... 53,181
------------
MACHINERY - AGRICULTURE - 0.03%
649 Deere & Co ........................................ 56,139
------------
MACHINERY - CONSTRUCTION & CONTRACTS - 0.04%
1,320 Fluor Corp ........................................ 65,340
------------
MACHINERY - INDUSTRIAL/SPECIALTY - 0.19%
1,250 Briggs & Stratton Corp ............................ 44,375
8,190 Cooper Industries Inc ............................. 303,030
------------
347,405
------------
MERCHANDISE - DRUG - 0.28%
9,515 Rite Aid Corp ..................................... 225,981
5,849 Walgreen Co ....................................... 281,483
------------
507,464
------------
MERCHANDISE - SPECIALTY - 0.56%
4,211 American Greetings Corp Class A ................... 118,961
2,556 Charming Shoppes Inc .............................. 11,183
14,942 Home Depot Inc .................................... 621,961
4,122 Jostens Inc ....................................... 82,955
2,081 Nordstrom Inc ..................................... 86,362
9,686 * Price Enterprises Inc ............................. 115,021
------------
1,036,443
------------
MERCHANDISING - DEPARTMENT - 0.10%
2,301 Dayton Hudson Corp ................................ 163,083
146 Dillard Department Stores Inc Class A ............. 4,198
303 May Department Stores Co .......................... 11,893
------------
179,174
------------
64
MERCHANDISING - FOOD - 0.30%
6,816 * Kroger Co ......................................... $ 177,216
2,662 Supervalu Inc ..................................... 75,534
6,392 Sysco Corp ........................................ 173,383
2,060 Winn Dixie Stores Inc ............................. 118,193
------------
544,326
------------
MERCHANDISING - MASS - 0.97%
6,585 Sears Roebuck & Co ................................ 371,229
56,658 Wal Mart Stores Inc ............................... 1,416,450
------------
1,787,679
------------
METALS - ALUMINUM - 0.19%
2,634 Alcan Aluminium Ltd ............................... 78,032
2,302 Aluminum Co of America ............................ 107,043
3,274 Reynolds Metal Co ................................. 161,654
------------
346,729
------------
METALS - COPPER - 0.08%
1,507 Newmont Mining Corp ............................... 62,917
1,540 Phelps Dodge Corp ................................. 84,893
------------
147,810
------------
METALS - STEEL - 0.10%
5,111 * Armco Inc ......................................... 32,583
407 * Bethlehem Steel Corp .............................. 6,003
2,076 Nucor Corp ........................................ 99,129
1,473 USX US Steel Group ................................ 47,136
------------
184,851
------------
MISCELLANEOUS - 0.03%
1,697 Corning Inc ....................................... 54,304
------------
MOBILE HOMES - 0.04%
1,343 Fleetwood Enterprises Inc ......................... 27,867
3,088 Skyline Corp ...................................... 56,356
------------
84,223
------------
NATURAL GAS - DIVERSIFIED - 0.09%
4,354 NorAm Energy Corp ................................. 28,845
784 Panhandle Eastern Corp ............................ 19,698
3,531 Sonat Inc ......................................... 116,082
------------
164,625
------------
OIL - INTEGRATED DOMESTIC - 1.26%
2,662 Amerada Hess Corp ................................. 135,097
5,933 Amoco Corp ........................................ 405,669
6,763 Atlantic Richfield Co ............................. 785,353
1,086 Burlington Resources Inc .......................... 45,069
838 Kerr McGee Corp ................................... 46,719
1,135 Occidental Petroleum Corp ......................... 26,105
1,371 Pennzoil Co ....................................... 67,693
9,045 Phillips Petroleum Co ............................. 327,881
5,557 Sun Co ............................................ 175,046
9,003 Unocal Corp ....................................... 266,714
1,618 USX Marathon Group ................................ 32,158
------------
2,313,504
------------
OIL - INTEGRATED INTERNATIONAL - 2.74%
8,774 Chevron Corp ...................................... 431,023
26,921 Exxon Corp ........................................ 1,921,486
8,420 Mobil Corp ........................................ 845,158
11,144 Royal Dutch Petroleum Co - ADR .................... 1,412,502
6,006 Texaco Inc ........................................ 411,411
------------
5,021,580
------------
OIL - SERVICES - 0.46%
10,575 Dresser Industries Inc ............................ 241,903
8,383 Halliburton Co .................................... 326,937
5,046 McDermott International Inc ....................... 132,458
1,162 Schlumberger Ltd .................................. 75,530
1,572 * Western Atlas Inc ................................. 70,937
------------
847,765
------------
OIL/GAS PRODUCERS - 0.01%
658 Louisiana Land & Exploration Co ................... 25,498
------------
PAPER/FOREST PRODUCTS - 0.78%
2,862 Alco Standard Corp ................................ 204,991
1,631 Georgia Pacific Corp .............................. 126,810
2,060 International Paper Co ............................ 161,968
3,931 Kimberly Clark Corp ............................... 235,860
4,345 Louisiana Pacific Corp ............................ 96,676
3,804 Mead Corp ......................................... 204,941
2,275 Potlatch Corp ..................................... 97,541
1,550 Scott Paper Co .................................... 67,231
5,632 * Stone Container Corp .............................. 98,560
1,955 Union Camp Corp ................................... 101,416
938 Westvaco Corp ..................................... 40,100
------------
1,436,094
------------
PHOTOGRAPHY - 0.19%
3,689 Eastman Kodak Co .................................. 222,723
3,524 Polaroid Corp ..................................... 129,948
------------
352,671
------------
POLLUTION CONTROL - 0.23%
15,817 WMX Technologies Inc .............................. 431,013
------------
PUBLISHING - NEWS - 0.13%
3,392 Dow Jones & Co Inc ................................ 123,808
2,177 Knight-Ridder Inc ................................. 120,279
------------
244,087
------------
PUBLISHING/PRINTING - 0.44%
11,512 Dun & Bradstreet Corp ............................. 610,136
153 Harcourt General Inc .............................. 6,445
5,400 R R Donnelley & Sons Co ........................... 197,100
------------
813,681
------------
RAILROAD - 0.38%
2,413 Burlington Northern Inc ........................... 147,495
2,082 Conrail Inc ....................................... 112,428
113 CSX Corp .......................................... 8,616
3,445 Norfolk Southern Corp ............................. 235,983
65
6,552 Santa Fe Pacific Corp ............................. $ 160,524
638 Union Pacific Corp ................................ 35,329
------------
700,375
------------
RESTAURANTS - 0.43%
5,505 * Darden Restaurants Inc ............................ 60,555
12,506 Lubys Cafeterias Inc .............................. 254,810
11,466 McDonalds Corp .................................... 434,270
5,442 * Ryans Family Steak House .......................... 38,094
------------
787,729
------------
SAVINGS & LOAN - 0.04%
2,923 H F Ahmanson & Co ................................. 66,498
------------
SECURITIES RELATED - 0.51%
8,023 American Express Co ............................... 285,819
4,844 Dean Witter Discover & Co ......................... 230,696
6,284 Merrill Lynch & Co Inc ............................ 295,348
2,968 Salomon Inc ....................................... 121,688
------------
933,551
------------
SEMICONDUCTORS - 1.24%
476 * Advanced Micro Devices Inc ........................ 15,649
5,802 Intel Corp ........................................ 651,275
7,352 Micron Technology Inc ............................. 328,083
17,797 Motorola Inc ...................................... 1,065,590
1,861 Texas Instruments Inc ............................. 215,178
------------
2,275,775
------------
TELECOMMUNICATIONS - 1.00%
16,614 * Airtouch Communications ........................... 452,732
25,317 ALLTEL Corp ....................................... 623,431
2,302 * DSC Communications Corp ........................... 85,174
1,462 Harris Corp ....................................... 77,669
12,452 Northern Telecommunications Corp .................. 477,846
6,752 Scientific Atlanta Inc ............................ 125,756
------------
1,842,608
------------
TEXTILE - PRODUCTS - 0.02%
164 Russell Corp ...................................... 4,756
540 V F Corp .......................................... 28,750
------------
33,506
------------
TOBACCO - 0.87%
19,112 Philip Morris Cos Inc ............................. 1,392,787
6,822 UST Inc ........................................... 203,807
------------
1,596,594
------------
TRUCKERS - 0.03%
1,272 Roadway Services Inc .............................. 59,466
------------
UTILITIES - COMMUNICATION - 3.22%
7,837 Ameritech Corp .................................... 1,691,853
33,337 AT & T Corp ....................................... 347,767
10,282 Bell Atlantic Corp ................................ 573,222
10,422 Bellsouth Corp .................................... 639,650
28,484 GTE Corp .......................................... 950,654
7,263 MCI Communications Corp ........................... 147,076
9,025 Nynex Corp ........................................ 376,794
10,632 Pacific Telesis Group ............................. 284,406
11,572 SBC Communications Inc ............................ 520,740
2,886 Sprint Corp ....................................... 96,681
6,602 U S West Inc ...................................... 272,333
------------
5,901,176
------------
UTILITIES - ELECTRIC - 1.23%
3,046 Central & South West Corp ......................... 78,435
3,149 Cinergy Corp ...................................... 83,842
5,027 Consolidated Edison Co New York ................... 150,182
8,484 Dominion Resources Inc ............................ 314,969
7,258 Duke Power Co ..................................... 303,022
2,220 Entergy Corp ...................................... 54,940
1,629 FPL Group Inc ..................................... 63,938
3,510 Ohio Edison Co .................................... 76,781
7,696 Pacific Gas & Electric Co ......................... 223,184
2,109 PacifiCorp ........................................ 41,653
4,565 Public Service Enterprise Group ................... 135,809
6,358 SCE Corp .......................................... 110,470
15,912 Southern Co ....................................... 352,053
6,842 Union Electric Co ................................. 259,141
------------
2,248,419
------------
UTILITIES - GAS, PIPELINE - 0.26%
459 Consolidated Natural Gas Co ....................... 18,303
7,825 Enron Corp ........................................ 285,613
3,088 Nicor Inc ......................................... 82,215
1,400 Pacific Enterprises ............................... 35,350
1,245 Peoples Energy Corp ............................... 33,304
646 Williams Cos Inc .................................. 21,964
------------
476,749
------------
TOTAL COMMON STOCKS
(Cost $67,512,626) ................................ 77,484,757
------------
PAR
VALUE
-----
CORPORATE BONDS - 9.03%
AUTO - CARS - 1.10%
$ 2,000,000 General Motors Acceptance Corp,
7.125% due 03/31/97 ............................. 2,023,900
------------
BANKS - OTHER - 1.10%
2,000,000 Heller Financial Inc,
7.00% due 05/15/02 .............................. 2,018,420
------------
BANKS - REGIONAL - 1.13%
2,000,000 NationsBank Corp,
7.625% due 04/15/05 ............................. 2,076,980
------------
CONSUMER FINANCE - 0.91%
1,700,000 Associates Corp of North America,
6.00% due 06/15/00 .............................. 1,661,546
------------
66
FINANCE COMPANIES - 0.54%
$ 1,000,000 Ford Motor Credit Co,
6.25% due 02/26/98 .............................. $ 997,050
------------
HEAVY DUTY TRUCKS/PARTS - 0.52%
1,000,000 Eaton Corp, 7.00% due 04/01/11 .................... 954,990
------------
MERCHANDISE - DRUG - 0.50%
1,000,000 Rite Aid Corp, 6.875% due 08/15/13 ................ 921,260
------------
PUBLISHING - NEWS - 1.05%
2,000,000 Time Warner Entertainment Co,
7.25% due 09/01/08 .............................. 1,915,520
------------
TRUCKERS - 0.55%
1,000,000 Ryder Systems Inc,
6.77% due 04/20/01 .............................. 1,006,250
------------
UTILITIES - COMMUNICATION - 0.56%
1,000,000 AT & T Corp,
7.00% due 05/15/05 .............................. 1,014,940
------------
UTILITIES - ELECTRIC - 1.07%
2,000,000 Texas Utilities Electric Co,
6.75% due 07/01/05 .............................. 1,965,260
------------
TOTAL CORPORATE BONDS
(Cost $16,390,506)................................. 16,556,116
------------
UNITED STATES GOVERNMENT - LONG TERM - 15.82%
UNITED STATES BONDS & NOTES - 15.82%
United States Treasury Bonds:
3,000,000 7.625% due 02/15/25 ............................. 4,399,360
4,000,000 7.50% due 11/15/24 .............................. 3,372,180
United States Treasury Notes:
1,000,000 8.50% due 07/15/97 .............................. 1,051,720
1,000,000 8.00% due 08/15/99 .............................. 1,072,030
10,000,000 7.875% due 11/15/04 ............................. 11,081,200
2,000,000 7.125% due 02/28/97 ............................. 2,033,120
1,000,000 6.75% due 05/31/99 .............................. 1,025,310
3,000,000 6.125% due 05/15/98 ............................. 3,015,480
1,000,000 5.50% due 04/15/00 .............................. 977,660
1,000,000 5.375% due 05/31/98 ............................. 983,910
------------
TOTAL UNITED STATES GOVERNMENT - LONG TERM
(Cost $27,387,027) ................................ 29,011,970
------------
CORPORATE SHORT TERM COMMERCIAL PAPER - 32.18%
BANKS - REGIONAL - 2.29%
Banc One Corp:
2,287,000 6.01% due 07/05/95 .............................. 2,274,019
1,927,000 5.93% due 06/06/95 .............................. 1,925,413
------------
4,199,432
------------
BEVERAGE - SOFT DRINKS - 3.09%
Coca Cola Enterprises Inc:
2,000,000 6.08% due 06/19/95 .............................. 1,993,920
2,500,000 5.98% due 07/07/95 .............................. 2,485,050
1,200,000 Pepsico Inc, 5.92% due 7/07/95 .................... 1,192,896
------------
5,671,866
------------
CHEMICAL - MAJOR - 0.71%
1,303,000 Dow Chemical Co, 6.125% due 06/01/95 .............. 1,303,000
------------
CONSUMER FINANCE - 7.92%
Beneficial Corp:
1,086,000 6.13% due 06/07/95 .............................. 1,084,890
3,309,000 5.98% due 06/26/95 .............................. 3,295,258
2,500,000 Commercial Credit Co, 5.97% due 06/12/95 .......... 2,495,440
Sears Roebuck Acceptance Corp:
2,500,000 5.98% due 06/08/95 .............................. 2,497,093
3,450,000 5.98% due 07/10/95 .............................. 3,427,650
1,738,000 5.92% due 08/01/95 .............................. 1,720,566
------------
14,520,897
------------
FINANCE COMPANIES - 9.87%
Caterpillar Financial Services:
1,842,000 6.00% due 06/14/95 .............................. 1,838,009
1,000,000 5.90% due 08/11/95 .............................. 988,364
CIESCO L P:
991,000 6.10% due 08/24/95 .............................. 976,895
1,128,000 6.00% due 06/21/95 .............................. 1,124,240
2,000,000 5.95% due 06/16/95 .............................. 1,995,042
2,000,000 5.93% due 06/13/95 .............................. 1,996,047
819,000 CIT Group Holdings Inc,
5.95% due 06/01/95 .............................. 819,000
4,607,000 Ford Motor Credit Co,
5.97% due 06/28/95 .............................. 4,586,372
1,500,000 General Electric Capital Corp,
5.75% due 07/03/95 .............................. 1,492,333
1,287,000 IBM Credit Corp, 6.00% due 06/29/95 ............... 1,280,994
1,000,000 Transamerica Finance Corp,
6.05% due 06/30/95 .............................. 995,126
------------
18,092,422
------------
INFORMATION PROCESSING - 1.63%
3,000,000 Hewlett Packard Co, 5.95% due 07/11/95 ............ 2,980,167
------------
SECURITIES RELATED - 3.31%
Merrill Lynch & Co Inc:
3,530,000 5.96% due 06/02/95 .............................. 3,529,416
2,544,000 5.95% due 06/09/95 .............................. 2,540,636
------------
6,070,052
------------
TOBACCO - 0.72%
1,337,000 Philip Morris Cos Inc, 5.88% due 08/22/95 ......... 1,319,093
------------
67
UTILITIES - ELECTRIC - 2.64%
Central & South West Corp:
$ 1,004,000 5.95% due 06/05/95 .............................. $ 1,003,335
2,373,000 5.95% due 07/13/95 .............................. 2,356,527
1,500,000 5.94% due 07/14/95 .............................. 1,489,358
------------
4,849,220
------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER (Cost $59,006,149) ............... 59,006,149
------------
UNITED STATES GOVERNMENT - SHORT TERM - 0.24%
United States Treasury Bills:
250,000 5.735% due 06/22/95 ............................. 249,164
200,000 5.67% due 06/22/95 .............................. 199,339
------------
TOTAL UNITED STATES GOVERNMENT - SHORT TERM
(Cost $448,503) ................................... 448,503
------------
TOTAL INVESTMENTS
(Cost $170,744,811) - 99.52% ...................... 182,507,495
Other assets and liabilities, net - 0.48% ......... 885,845
------------
NET ASSETS (equivalent to $11.24 per share on
16,319,343 shares outstanding) - 100% ........... $183,393,340
============
* Non-income producing
UNREALIZED
CONTRACTS APPRECIATION
--------- -------------
FUTURES CONTRACTS PURCHASED (1)
(Delivery month/Value at 05/31/95)
30 (2) S&P 500 Index Futures (June/$533.35) .............. $ 276,200
8 (2) S&P 500 Index Futures (September/$537.90) ......... 18,400
------------
$ 294,600
============
(1) U.S. Treasury Bills with a market value of
approximately $450,000 were maintained in a
segregated account with a portion placed as
collateral for futures contracts.
(2) Per 500
-------------------------------------------------------------------------------
Net Assets Represented by:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
16,319,343 shares outstanding ................................. $ 163,193
Additional paid in capital ...................................... 168,765,829
Undistributed net realized gain on securities ................... 2,250,114
Undistributed net investment income ............................. 156,920
Unrealized appreciation of:
Investments ..................................... $ 11,762,684
Futures ......................................... 294,600 12,057,284
------------ ------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING ..................... $183,393,340
============
SEE NOTES TO FINANCIAL STATEMENTS.
68
<PAGE>
TIMED OPPORTUNITY FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1995
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends......................................................................................................... $ 2,280,405
Interest.......................................................................................................... 6,317,965
------------
Total investment income....................................................................................... 8,598,370
------------
EXPENSES:
Advisory fees..................................................................................................... 931,720
Custodian and accounting services................................................................................. 99,133
Reports to shareholders........................................................................................... 25,055
Audit fees........................................................................................................ 13,567
Directors' fees and expenses...................................................................................... 7,993
Miscellaneous..................................................................................................... 7,989
------------
Total expenses................................................................................................ 1,085,457
------------
NET INVESTMENT INCOME............................................................................................. 7,512,913
------------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on:
Investments.................................................................................. $ 2,710,066
Futures contracts............................................................................ 690,878 3,400,944
-------------
Net unrealized appreciation during the year:
Investments.................................................................................. 10,130,473
Futures contracts............................................................................ 223,438 10,353,911
------------- ------------
Net realized and unrealized gain during the year............................................................ 13,754,855
------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................................................................. $ 21,267,768
============
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1995 1994
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income........................................................................ $ 7,512,913 $ 5,999,833
Net realized gain on securities.............................................................. 3,400,944 6,051,598
Net unrealized appreciation (depreciation) of securities during the year..................... 10,353,911 (9,401,324)
-------------- ------------
Increase in net assets resulting from operations......................................... 21,267,768 2,650,107
-------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................................................................ (7,558,597) (5,979,590)
Net realized gain on securities.............................................................. (7,068,460) (3,254,311)
-------------- ------------
Decrease in net assets resulting from distributions to shareholders...................... (14,627,057) (9,233,901)
-------------- ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............................................................. 6,307,925 31,968,573
Proceeds from capital stock issued for distributions reinvested.............................. 14,627,057 9,233,901
-------------- -------------
20,934,982 41,202,474
Cost of capital stock repurchased............................................................ (38,758,320) (5,044,306)
-------------- -------------
Increase (decrease) in net assets resulting from capital stock transactions.............. (17,823,338) 36,158,168
TOTAL INCREASE (DECREASE) IN NET ASSETS...................................................... (11,182,627) 29,574,374
-------------- -------------
NET ASSETS:
Beginning of year............................................................................ 194,575,967 165,001,593
-------------- -------------
End of year (including undistributed net investment income of $156,920 and $77,927).......... $ 183,393,340 $194,575,967
============== =============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................................................................. 585,687 2,828,103
Shares issued for distributions reinvested................................................... 1,389,056 820,863
Shares of capital stock repurchased ......................................................... (3,610,925) (451,930)
-------------- -------------
Increase (decrease) in shares outstanding................................................ (1,636,182) 3,197,036
Shares outstanding:
Beginning of year........................................................................ 17,955,525 14,758,489
-------------- -------------
End of year.............................................................................. 16,319,343 17,955,525
============== =============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
69
<PAGE>
CAPITAL CONSERVATION FUND MAY 31, 1995 STATEMENT OF NET ASSETS
PAR MARKET
VALUE VALUE
---------- -----------
CORPORATE BONDS - 71.03%
AEROSPACE/DEFENSE - 2.77%
$ 500,000 Boeing Inc, 8.10% due 11/15/06 .................. $ 549,125
750,000 Lockheed Corp,
5.875% due 03/15/98 ........................... 739,268
500,000 Rockwell International Corp,
8.375% due 02/15/01 ........................... 542,645
-----------
1,831,038
-----------
AIRLINES - 3.36%
2,000,000 Southwest Airlines Co,
8.75% due 10/15/03 ............................ 2,218,500
-----------
AUTO - CARS - 1.72%
1,000,000 General Motors Corp,
8.80% due 03/01/21 ............................ 1,136,500
-----------
BANKS - OTHER - 3.85%
500,000 BankAmerica Corp,
7.25% due 02/03/97 ............................ 508,345
500,000 First Chicago Corp,
9.875% due 08/15/00 ........................... 565,260
500,000 Mellon Financial Corp,
9.25% due 08/15/01 ............................ 559,540
1,000,000 Toronto Dominion Bank Ont,
6.125% due 11/01/08 ........................... 907,960
-----------
2,541,105
-----------
BANKS - REGIONAL - 6.11%
500,000 Barnett Banks Inc,
10.875% due 03/15/03 .......................... 613,980
500,000 Boatmens Bancshares Inc,
8.625% due 11/15/03 ........................... 547,795
1,000,000 NationsBank Corp,
7.625% due 04/15/05 ........................... 1,038,490
1,000,000 Norwest Corp,
6.65% due 10/15/23 ............................ 893,270
1,000,000 Wachovia Corp,
6.375% due 02/01/09 ........................... 937,640
-----------
4,031,175
-----------
CHEMICAL - MAJOR - 1.67%
500,000 Dow Capital,
7.80% due 05/11/99 ............................ 522,130
500,000 Dow Chemical Co,
9.00% due 04/01/21 ............................ 579,580
-----------
1,101,710
-----------
CONSUMER FINANCE - 3.80%
1,000,000 Associates Corp of North America,
6.125% due 02/01/98 ........................... 991,660
1,000,000 Commercial Credit Group Inc,
6.875% due 05/01/02 ........................... 1,006,840
500,000 Discover Card Trust,
8.625% due 07/15/96 ........................... 511,250
-----------
2,509,750
-----------
CONTAINERS - METAL/GLASS - 1.54%
1,000,000 Crown Cork & Seal Co Inc,
7.00% due 06/15/99 ............................ 1,014,770
-----------
FINANCE COMPANIES - 11.89%
1,000,000 CIT Group Holdings,
8.375% due 11/01/01 ........................... 1,073,910
Ford Motor Credit Co:
1,000,000 8.20% due 02/15/02 ............................ 1,070,290
500,000 6.375% due 11/05/08 ............................. 466,305
750,000 General Electric Capital Corp,
8.125% due 05/15/12 ........................... 822,600
Grand Metropolitan Investment Corp:
500,000 8.125% due 08/15/96 ........................... 510,180
3,000,000 0.00% due 01/06/04 ............................ 1,633,710
500,000 IBM Credit Corp,
5.72% due 07/28/98 ............................ 488,805
1,000,000 Prudential Funding Corp,
6.75% due 09/15/23 ............................ 843,500
892,540 Rail Car Trust,
7.75% due 06/01/04 ............................ 938,562
-----------
7,847,862
-----------
INSURANCE - MULTILINE - 0.81%
500,000 ITT Hartford Group,
8.30% due 12/01/01 ............................ 531,440
-----------
MACHINERY - INDUSTRIAL/SPECIALTY - 0.88%
500,000 Ingersoll Rand Co,
9.00% due 08/15/21 ............................ 581,870
-----------
MERCHANDISE - DRUG - 1.47%
500,000 Imcera Group Inc,
6.00% due 10/15/03 ............................ 458,515
500,000 Super Value,
7.25% due 07/15/99 ............................ 513,400
-----------
971,915
-----------
MERCHANDISING - DEPARTMENT - 0.81%
500,000 Dillard Department Stores Inc,
8.75% due 06/15/98 ............................ 531,635
-----------
MERCHANDISING - MASS - 1.45%
1,000,000 Sears Roebuck & Co,
6.25% due 01/15/04 ............................ 955,490
-----------
MISCELLANEOUS - 3.09%
2,000,000 Standard Credit Card Master Trust Inc,
8.00% due 10/07/97 ............................ 2,040,620
-----------
NATURAL GAS - DIVERSIFIED - 0.76%
500,000 El Paso Natural Gas,
6.90% due 01/15/97 ............................ 504,360
-----------
OIL - INTEGRATED DOMESTIC - 2.71%
Texaco Capital Inc:
1,000,000 9.75% due 03/15/20 ............................ 1,262,310
500,000 9.00% due 11/15/97 ............................ 530,030
-----------
1,792,340
-----------
70
OIL - INTEGRATED INTERNATIONAL - 0.81%
$ 500,000 Societe National Elf Aquitaine,
8.00% due 10/15/01 ............................ $ 534,900
-----------
PUBLISHING - NEWS - 0.76%
500,000 Times Mirror Co,
7.50% due 07/01/23 ............................ 500,765
-----------
PUBLISHING/PRINTING - 1.45%
1,000,000 Time Warner Entertainment Co,
7.25% due 09/01/08 ............................ 957,760
-----------
TOBACCO - 1.55%
1,000,000 Philip Morris Cos Inc,
7.375% due 02/15/99............................ 1,024,200
-----------
TRUCKERS - 1.52%
1,000,000 Ryder Systems Inc,
6.77% due 04/20/01 ............................ 1,006,250
-----------
UTILITIES - COMMUNICATION - 3.92%
500,000 Bell Telephone Co of PA,
8.75% due 08/15/31 ............................ 591,325
500,000 GTE Corp, 8.85% due 03/01/98 .................... 527,520
1,000,000 Pacific Bell, 7.125% due 03/15/26 ............... 961,720
500,000 Southern New England Telecom,
7.00% due 08/01/04 ............................ 507,475
-----------
2,588,040
-----------
UTILITIES - ELECTRIC - 12.33%
500,000 Arizona Public Service Co,
7.125% due 01/15/97 ........................... 504,915
1,000,000 Central Power & Light Co,
6.00% due 04/01/00 ............................ 979,870
1,000,000 Georgia Power Co,
6.125% due 09/01/99 ........................... 985,840
500,000 Jersey Central Power and Light,
7.90% due 01/23/07 ............................ 531,125
500,000 Metropolitan Edison Co,
7.47% due 04/15/97 ............................ 510,040
500,000 Potomac Electric Power,
7.64% due 01/17/07 ............................ 523,190
1,000,000 PSI Energy Inc,
5.35% due 09/23/98 ............................ 965,330
500,000 Utilicorp United Inc,
8.20% due 01/15/07 ............................ 534,325
Virginia Electric & Power Co:
500,000 9.50% due 01/31/00 ............................ 556,450
1,000,000 9.375% due 06/01/98 ........................... 1,075,850
1,000,000 West Penn Power Co,
5.50% due 06/01/98 ............................ 974,970
-----------
8,141,905
-----------
TOTAL CORPORATE BONDS
(Cost $45,090,259) .............................. 46,895,900
-----------
UNITED STATES GOVERNMENT -
LONG TERM - 26.37%
FEDERAL AGENCIES - 1.37%
Government National Mortgage
Association Pass Through Certificates:
391,470 Pool# 185210,
8.00% due 01/15/22 ............................ 401,132
153,821 Pool# 233862,
9.50% due 05/15/18 ............................ 162,865
220,891 Pool# 247397,
9.50% due 07/15/18 ............................ 233,879
13,417 Pool# 248341,
9.50% due 06/15/18 ............................ 14,206
5,068 Pool# 252064,
9.50% due 06/15/18 ............................ 5,366
19,443 Pool# 253172,
9.50% due 10/15/18 ............................ 20,586
61,802 Pool# 256190,
9.50% due 08/15/18 ............................ 65,436
-----------
903,470
-----------
GOVERNMENT SPONSORED - 5.56%
Federal National Mortgage Association:
1,725,000 6.27% due 04/01/99 ............................ 1,711,165
2,000,000 5.62% due 02/23/98 ............................ 1,958,360
-----------
3,669,525
-----------
UNITED STATES BONDS &
NOTES - 19.44%
1,000,000 United States Treasury Bond, 7.50%
due 11/15/24................................... 1,099,840
United States Treasury Notes:
4,500,000 7.875% due 11/15/04 ........................... 4,986,540
3,000,000 7.50% due 11/15/01 ............................ 3,210,930
2,000,000 6.875% due 02/28/97 ........................... 2,033,120
1,500,000 6.125% due 05/15/98 ........................... 1,507,740
-----------
12,838,170
-----------
TOTAL UNITED STATES
GOVERNMENT - LONG TERM
(Cost $16,551,076)............................... 17,411,165
FOREIGN GOVERNMENT BONDS - 0.77%
CANADA - 0.77%
500,000 New Brunswick Province, 7.125%
due 10/01/02 (Cost $498,735) .................. 511,315
-----------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 0.68%
FINANCE COMPANIES - 0.68%
450,000 Ford Motor Credit Co, 6.10%
due 06/01/95 (Cost $450,000) .................. 450,000
-----------
71
TOTAL INVESTMENTS
(Cost $62,590,070) - 98.85% ..................... $65,268,380
Other assets and liabilities,
net - 1.15% ................................... 762,526
-----------
NET ASSETS (equivalent
to $9.52 per share on
6,935,340 shares
outstanding) - 100% ........................... $66,030,906
===========
Net Assets Represented By:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
6,935,340 shares outstanding................................. $ 69,353
Additional paid in capital..................................... 66,178,278
Accumulated net realized loss on securities.................... (2,896,790)
Undistributed net investment income............................ 1,192
Unrealized appreciation of:
Investments.............................. $ 2,678,310
Futures ................................. 563 2,678,873
----------- -----------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING ............................. $66,030,906
===========
FUTURES CONTRACTS PURCHASED (1)
(Delivery month/Value at 05/31/95)
9(2) U.S. Treasury 10 Year Notes
(June/$109.75)................................... $ 563
===========
(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
SEE NOTES TO FINANCIAL STATEMENTS.
72
<PAGE>
CAPITAL CONSERVATION FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1995
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest............................................................................................................ $ 4,604,642
------------
EXPENSES:
Advisory fees....................................................................................................... 307,082
Custodian and accounting services................................................................................... 32,208
Reports to shareholders............................................................................................. 8,364
Audit fees.......................................................................................................... 4,476
Directors' fees and expenses........................................................................................ 2,594
Miscellaneous....................................................................................................... 5,129
-----------
Total expenses.................................................................................................. 359,853
-----------
NET INVESTMENT INCOME............................................................................................... 4,244,789
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain (loss) on:
Investments..................................................................................... $ (2,953,329)
Futures contracts............................................................................... 164,683 (2,788,646)
------------
Net unrealized appreciation during the year:
Investments..................................................................................... 5,470,424
Futures contracts............................................................................... 563 5,470,987
------------ ------------
Net realized and unrealized gain on securities during the year ................................................ 2,682,341
------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................................................................. $ 6,927,130
============
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1995 1994
----------- -----------
<S> <C> <C>
OPERATIONS:
Net investment income................................................................................ $ 4,244,789 $ 3,695,484
Net realized gain (loss) on securities............................................................... (2,788,646) 276,646
Net unrealized appreciation (depreciation) of securities during the year............................. 5,470,987 (5,241,602)
----------- -----------
Increase (decrease) in net assets resulting from operations...................................... 6,927,130 (1,269,472)
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................................................................ (4,277,330) (3,685,955)
Net realized gain on securities...................................................................... - (304,713)
----------- -----------
Decrease in net assets resulting from distributions to shareholders.............................. (4,277,330) (3,990,668)
----------- -----------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold..................................................................... 11,988,687 19,504,320
Proceeds from capital stock issued for distributions reinvested...................................... 4,277,330 3,990,668
----------- -----------
16,266,017 23,494,988
Cost of capital stock repurchased.................................................................. (14,190,188) (7,219,287)
----------- -----------
Increase in net assets resulting from capital stock transactions............................... 2,075,829 16,275,701
----------- -----------
Total Increase in Net Assets....................................................................... 4,725,629 11,015,561
NET ASSETS:
Beginning of year.................................................................................. 61,305,277 50,289,716
----------- -----------
End of year (including undistributed net investment income of $1,192 and $46,379).................. $66,030,906 $61,305,277
=========== ===========
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold....................................................................... 1,308,761 1,947,712
Shares issued for distributions reinvested......................................................... 474,405 405,166
Shares of capital stock repurchased ............................................................... (1,560,060) (735,462)
----------- -----------
Increase in shares outstanding................................................................. 223,106 1,617,416
Shares outstanding:
Beginning of year............................................................................... 6,712,234 5,094,818
----------- -----------
End of year..................................................................................... 6,935,340 6,712,234
=========== ===========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
73
<PAGE>
GOVERNMENT SECURITIES FUND MAY 31, 1995 STATEMENT OF NET ASSETS
PAR MARKET
VALUE VALUE
---------- -----------
UNITED STATES GOVERNMENT -
LONG TERM - 92.78%
FEDERAL AGENCY - 0.74%
$ 391,470 Government National Mortgage
Association Pool #185210,
8.00% due 01/15/22 ............................ $ 401,132
GOVERNMENT SPONSORED - 44.42%
Federal Farm Credit Banks:
500,000 9.15% due 02/14/05............................. 587,490
1,000,000 7.35% due 03/24/05 ............................ 1,047,700
1,000,000 7.06% due 05/24/10 ............................ 1,018,950
1,500,000 6.92% due 05/13/02 ............................ 1,538,940
Federal Home Loan Banks:
500,000 8.25% due 06/25/96 ............................ 511,250
3,700,000 7.93% due 01/20/98 ............................ 3,860,136
Federal Home Loan Mortgage Corp:
1,500,000 7.86% due 01/15/97 ............................ 1,541,490
175,000 5.50% due 02/25/19 ............................ 163,296
Federal Home Loan Mortgage
Pass - Throughs:
2,441,166 8.50% due 03/01/25 ............................ 2,525,068
1,793,697 8.00% due 02/01/25 ............................ 1,832,370
Federal National Mortgage Association:
1,000,000 9.05% due 04/10/00 ............................ 1,115,000
1,000,000 7.49% due 03/02/05 ............................ 1,063,510
1,185,000 5.94% due 01/29/98 ............................ 1,181,481
2,000,000 5.33% due 06/26/98 ............................ 1,957,180
Student Loan Marketing Association:
1,000,000 7.50% due 03/08/00 ............................ 1,052,030
3,000,000 7.00% due 03/03/98 ............................ 3,066,570
-----------
24,062,461
-----------
UNITED STATES BONDS & NOTES - 47.62%
United States Treasury Bonds:
1,000,000 11.875% due 11/15/03 .......................... 1,359,530
1,000,000 10.75% due 08/15/05 ........................... 1,322,660
2,000,000 8.75% due 08/15/20 ............................ 2,464,680
4,000,000 8.50% due 02/15/20 ............................ 4,804,360
1,000,000 7.50% due 11/15/24 ............................ 1,099,840
United States Treasury Notes:
1,000,000 8.25% due 07/15/98 ............................ 1,064,370
2,000,000 8.125% due 02/15/98 ........................... 2,108,120
4,000,000 7.375% due 05/15/96 ........................... 4,053,760
2,500,000 6.75% due 04/30/00 ............................ 2,570,700
1,000,000 6.50% due 05/15/97 ............................ 1,011,560
1,000,000 6.375% due 01/15/00 ........................... 1,012,500
1,000,000 5.75% due 08/15/03 ............................ 966,090
2,000,000 4.375% due 11/15/96 ........................... 1,959,060
-----------
25,797,230
-----------
TOTAL UNITED STATES GOVERNMENT - LONG TERM
(Cost $48,005,024)............................... 50,260,823
-----------
SUPRANATIONAL - 4.09%
1,800,000 International Bank for
Reconstruction & Development,
9.25% due 07/15/17
(Cost $1,967,915) ............................. 2,214,503
-----------
743,000 CORPORATE SHORT TERM
COMMERCIAL PAPER - 1.37%
FINANCE COMPANIES - 1.37%
Ford Motor Credit Co,
6.10% due 06/01/95
(Cost $743,000) ............................... 743,000
-----------
TOTAL INVESTMENTS
(Cost $ 50,715,939) - 98.24% 53,218,326
Other assets and liabilities,
net - 1.76% ................................... 955,853
-----------
NET ASSETS (equivalent
to $9.89 per share on
5,477,958 shares
outstanding) - 100% ........................... $54,174,179
===========
UNREALIZED
CONTRACTS APPRECIATION
--------- ------------
FUTURES CONTRACTS PURCHASED (1)
(Delivery month/Value at 05/31/95)
10 (2) US Treasury 10 Year Notes
(June/$109.75) ................................ $ 7,500
===========
(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 future contracts.
(2) Per 1,000
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
5,477,958 shares outstanding ................................. $ 54,780
Additional paid in capital ..................................... 54,483,849
Accumulated net realized loss on securities .................... (2,884,863)
Undistributed net investment income ............................ 10,526
Unrealized appreciation of:
Investments ................................... $ 2,502,387
Futures ....................................... 7,500 2,509,887
------------ ------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING .................... $ 54,174,179
============
SEE NOTES TO FINANCIAL STATEMENTS.
74
<PAGE>
GOVERNMENT SECURITIES FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1995
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest......................................................................................................... $ 3,144,224
-----------
EXPENSES:
Advisory fees..................................................................................................... 224,415
Custodian and accounting services................................................................................. 23,028
Reports to shareholders........................................................................................... 5,888
Audit fees........................................................................................................ 3,194
Directors' fees and expenses...................................................................................... 1,889
Miscellaneous..................................................................................................... 4,612
-----------
Total expenses................................................................................................ 263,026
-----------
NET INVESTMENT INCOME............................................................................................. 2,881,198
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain (loss) on:
Investments.................................................................................... $ (2,373,645)
Futures contracts.............................................................................. 123,933 (2,249,712)
-------------
Net unrealized appreciation during the year:
Investments.................................................................................... 4,091,986
Futures contracts.............................................................................. 7,500 4,099,486
------------- -----------
Net realized and unrealized gain on securities during the year................................................ 1,849,774
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................................................................. $ 4,730,972
===========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
OPERATIONS: 1995 1994
------------- -----------
<S> <C> <C>
Net investment income.............................................................................. $ 2,881,198 $ 2,264,021
Net realized loss on securities.................................................................... (2,249,712) (300,676)
Net unrealized appreciation (depreciation) of securities during the year........................... 4,099,486 (2,809,355)
------------- -----------
Increase (decrease) in net assets resulting from operations.................................... 4,730,972 (846,010)
------------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................................................................. (2,899,817) (2,254,675)
Net realized gain on securities.................................................................... - (696,462)
------------- -----------
Decrease in net assets resulting from distributions to shareholders............................ (2,899,817) (2,951,137)
------------- -----------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold................................................................... 12,735,273 19,059,879
Proceeds from capital stock issued for distributions reinvested.................................... 2,899,817 2,951,137
------------- -----------
15,635,090 22,011,016
Cost of capital stock repurchased.................................................................. (6,693,122) (6,835,420)
------------- -----------
Increase in net assets resulting from capital stock transactions............................... 8,941,968 15,175,596
------------- -----------
TOTAL INCREASE IN NET ASSETS....................................................................... 10,773,123 11,378,449
NET ASSETS:
Beginning of year.................................................................................. 43,401,056 32,022,607
------------- -----------
End of year (including undistributed net investment income of $10,526 and $31,797)................. $ 54,174,179 $43,401,056
============= ===========
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold....................................................................... 1,337,149 1,827,452
Shares issued for distributions reinvested......................................................... 306,305 288,283
Shares of capital stock repurchased ............................................................... (709,711) (681,437)
------------- -----------
Increase in shares outstanding................................................................. 933,743 1,434,298
Shares outstanding:
Beginning of year.............................................................................. 4,544,215 3,109,917
------------- -----------
End of year.................................................................................... 5,477,958 4,544,215
============= ===========
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
75
<PAGE>
INTERNATIONAL GOVERNMENT BOND FUND MAY 31, 1995 INVESTMENT PORTFOLIO
PAR MARKET
VALUE VALUE
--------------- ------------
GOVERNMENT BONDS - 80.74%
AUSTRALIA - 1.83%
Commonwealth:
A$ 400,000 10.00% due 10/15/07 ........................ $ 308,543
A$ 500,000 7.00% due 04/15/00 ......................... 340,731
A$ 400,000 South Australia,
7.75% due 04/15/98 ......................... 283,524
A$ 300,000 South Australia Finance Authority,
12.50% due 05/08/01 ........................ 249,811
A$ 200,000 State Bank of New South Wales,
7.00% due 06/30/99 ......................... 138,081
A$ 150,000 State Bank of South Australia,
7.25% due 06/15/00 ......................... 101,541
-----------
1,422,231
-----------
AUSTRIA - 2.89%
Republic of Austria:
As 2,500,000 8.50% due 02/21/01 ......................... 273,416
As 1,500,000 7.00% due 02/14/00 ......................... 156,659
As 2,200,000 7.00% due 01/20/03 ......................... 223,444
As 1,000,000 5.75% due 03/22/99 ......................... 100,206
As 1,500,000 5.375% due 11/23/98 ........................ 150,008
Y 100MM 4.75% due 12/20/04 ......................... 1,342,688
-----------
2,246,421
-----------
BELGIUM - 4.05%
Kingdom of Belgium:
Bf 5,000,000 10.00% due 08/02/00 ........................ 198,690
Bf 4,000,000 9.25% due 08/29/97 ......................... 147,654
Bf 10,000,000 9.00% due 07/30/98 ......................... 374,032
Bf 25,000,000 8.75% due 06/25/02 ......................... 950,599
Bf 10,000,000 8.00% due 12/14/12 ......................... 346,409
Bf 10,000,000 7.75% due 10/15/04 ......................... 355,169
Bf 22,000,000 7.00% due 04/29/99 ......................... 779,853
-----------
3,152,406
-----------
CANADA - 4.17%
C$ 800,000 British Columbia Province,
9.85% due 05/01/98 ......................... 619,643
Government of Canada:
C$ 550,000 9.50% due 06/01/10 ......................... 445,987
C$ 500,000 8.50% due 03/01/00 ......................... 380,129
C$ 500,000 8.00% due 06/01/23 ......................... 352,110
C$ 1,000,000 7.75% due 09/01/99 ......................... 736,930
C$ 1,000,000 7.25% due 06/01/03 ......................... 704,482
-----------
3,239,281
-----------
DENMARK - 2.28%
Kingdom of Denmark:
DK 2,500,000 9.00% due 11/15/98 ......................... 476,400
DK 2,500,000 9.00% due 11/15/00 ......................... 480,431
DK 1,500,000 8.00% due 11/15/01 ......................... 275,050
DK 1,000,000 8.00% due 05/15/03 ......................... 181,102
DK 1,000,000 7.00% due 12/15/04 ......................... 168,871
DK 1,250,000 7.00% due 11/10/24 ......................... 188,553
-----------
1,770,407
-----------
FINLAND - 3.16%
Republic of Finland:
Ff 5,000,000 9.00% due 04/15/97 ......................... 1,043,031
Y 100MM 6.00% due 01/29/02 ......................... 1,410,635
-----------
2,453,666
-----------
FRANCE - 3.87%
Government of France:
Ff 4,600,000 9.50% due 01/25/01 ......................... 1,028,197
Ff 3,500,000 8.50% due 12/26/12 ......................... 751,708
Ff 3,500,000 6.75% due 10/25/03 ......................... 679,542
Ff 3,500,000 6.00% due 10/25/25 ......................... 550,590
-----------
3,010,037
-----------
GERMANY - 15.42%
Federal Republic of Germany:
DM 1,825,000 8.75% due 08/20/01 ......................... 1,452,459
DM 3,050,000 8.00% due 03/20/97 ......................... 2,274,390
DM 3,100,000 7.125% due 12/20/02 ........................ 2,276,799
DM 2,250,000 6.875% due 02/24/99 ........................ 1,659,980
DM 1,000,000 6.50% due 07/15/03 ......................... 704,734
DM 2,250,000 6.25% due 01/04/24 ......................... 1,404,320
DM 2,000,000 6.00% due 02/20/98 ......................... 1,445,270
DM 1,250,000 6.00% due 06/20/16 ......................... 772,306
-----------
11,990,258
-----------
ITALY - 4.69%
Republic of Italy:
Lit 1,100MM 12.50% due 06/15/96 ........................ 677,222
Lit 500MM 12.00% due 06/01/01 ........................ 305,285
Lit 900MM 10.00% due 08/01/03 ........................ 496,193
Lit 2,000MM 9.50% due 12/01/97 ......................... 1,170,655
Lit 900MM 8.50% due 01/01/99 ......................... 499,756
Lit 1,000MM 8.50% due 08/01/04 ......................... 496,802
-----------
3,645,913
-----------
JAPAN - 22.76%
Government of Japan:
Y 320MM 6.40% due 03/20/00 ......................... 4,528,207
Y 105MM 6.00% due 12/20/01 ......................... 1,491,651
Y 215MM 5.50% due 03/20/02 ......................... 2,988,024
Y 30MM 5.00% due 12/22/97 ......................... 388,006
Y 20MM 5.00% due 12/20/02 ......................... 271,622
Y 100MM 5.00% due 09/21/09 ......................... 1,396,514
Y 130MM 4.80% due 06/21/99 ......................... 1,720,532
Y 20MM 4.60% due 06/22/98 ......................... 258,931
Y 277MM 4.50% due 06/20/03 ......................... 3,656,891
Y 75MM 4.50% due 12/20/04 ......................... 994,564
-----------
17,694,942
-----------
NETHERLANDS - 4.10%
Government of the Netherlands:
NG 1,050,000 9.00% due 10/16/00 ......................... 751,754
NG 500,000 8.25% due 02/15/07 ......................... 348,811
NG 750,000 7.50% due 01/15/23 ......................... 487,182
NG 1,250,000 6.50% due 07/15/98 ......................... 813,156
NG 1,250,000 6.50% due 04/15/03 ......................... 790,240
-----------
3,191,143
-----------
76
SPAIN - 3.04%
Government of Spain:
Pst 40MM 12.25% due 03/25/00 ........................ $ 340,290
Pst 55MM 11.45% due 08/30/98 ........................ 453,720
Pst 45MM 11.00% due 06/15/97 ........................ 366,387
Pst 50MM 10.30% due 06/15/02 ........................ 384,460
Pst 50MM 8.30% due 12/15/98 ......................... 375,944
Pst 70MM 8.20% due 02/28/09 ......................... 440,841
-----------
2,361,642
-----------
SWEDEN - 2.21%
Kingdom of Sweden:
SK 2,000,000 13.00% due 06/15/01 ........................ 302,440
SK 1,500,000 11.00% due 01/21/99 ........................ 208,880
SK 3,000,000 10.75% due 01/23/97 ........................ 413,875
SK 2,000,000 10.25% due 05/05/03 ........................ 267,657
SK 1,500,000 9.00% due 04/20/09 ......................... 177,559
SK 3,500,000 6.00% due 02/09/05 ......................... 345,087
-----------
1,715,498
-----------
UNITED KINGDOM - 6.27%
Government of United Kingdom:
L 250,000 10.00% due 02/26/01 ........................ 436,840
L 325,000 9.00% due 03/03/00 ......................... 542,570
L 400,000 9.00% due 10/13/08 ......................... 688,820
L 400,000 9.00% due 08/06/12 ......................... 695,172
L 150,000 8.75% due 08/25/17 ......................... 258,233
L 550,000 8.00% due 06/10/03 ......................... 877,526
L 250,000 8.00% due 12/07/15 ......................... 400,985
L 100,000 7.25% due 03/30/98 ......................... 157,814
L 300,000 6.75% due 11/26/04 ......................... 438,304
L 250,000 6.00% due 08/10/99 ......................... 373,814
-----------
4,870,078
-----------
TOTAL GOVERNMENT BONDS
(Cost $54,575,393) ........................... 62,763,923
-----------
SUPRANATIONAL - 11.12%
Y 50MM Asian Dev Bank, 5.00%
due 02/05/03 ............................... 678,730
Eurofima:
Ff 1,600,000 9.25% due 12/18/03 ......................... 355,135
L 250,000 7.50% due 02/05/98 ......................... 396,022
European Investment Bank:
Lit 400MM 10.50% due 04/30/98 ........................ 243,070
Lit 1,100MM 10.50% due 02/07/02 ........................ 695,248
Y 25MM 6.625% due 03/15/00 ........................ 354,505
Ff 2,000,000 6.125% due 10/08/04 ........................ 365,565
Y 100MM 4.625% due 02/26/03 ........................ 1,330,871
Y 20MM 4.50% due 10/08/97 ......................... 253,471
Y 55MM Inter-American Development Bank,
6.75% due 02/20/01 ......................... 795,347
International Bank for Reconstruction
& Development:
Lit 150MM 10.80% due 11/13/01 ........................ 95,949
Lit 500MM 10.625% due 03/27/98 ....................... 304,745
Lit 200MM 9.45% due 08/11/03 ......................... 111,788
L 400,000 9.25% due 07/20/07 ......................... 679,292
Y 50MM 4.50% due 06/20/00 ......................... 659,158
Y 100MM 4.50% due 03/20/03 ......................... 1,324,225
-----------
TOTAL SUPRANATIONAL
(Cost $7,751,380) ............................ 8,643,121
-----------
CORPORATE BONDS - 4.38%
FRANCE - FINANCE COMPANIES - 2.37%
Credit Local de France:
Ff 2,500,000 9.25% due 12/07/99 ......................... 544,190
Ff 3,000,000 6.25% due 09/27/05 ......................... 547,969
Ff 4,000,000 6.00% due 11/15/01 ......................... 750,781
-----------
1,842,940
-----------
FRANCE - RAILROAD - 0.23%
Societe Nationale des Chemins
de fer Francais:
Ff 1,000,000 6.75% due 09/16/13 ......................... 177,240
-----------
ITALY - AUTO - CARS - 0.38%
Lit 500MM Daimer Benz Inter, 10.50%
due 06/23/00 ............................... 299,269
-----------
ITALY - FINANCE COMPANIES - 0.76%
Lit 500MM Gen Elec Cap Corp, 11.875%
due 07/11/96 ............................... 306,503
Lit 500MM Union Bank of Switzerland, 9.25%
due 08/23/00 ............................... 280,232
-----------
586,735
-----------
NETHERLANDS - INSURANCE - 0.64%
NG 750,000 Aegon NV, 7.125% due 09/01/98 ................ 494,887
-----------
TOTAL CORPORATE BONDS
(Cost $3,280,630) ............................ 3,401,071
-----------
TOTAL INVESTMENTS
(Cost $65,607,403) - 96.24% .................. 74,808,115
Other assets and liabilities,
net - 3.76% ................................ 2,925,688
-----------
NET ASSETS (equivalent to $12.72 per share
on 6,110,908 shares outstanding) - 100% .... $77,733,803
===========
77
STATEMENT OF ASSETS AND LIABILITIES
ASSETS
Investments (Cost $65,607,403) ................................ $74,808,115
Foreign currencies (Cost $1,089,600) .......................... 1,073,420
Cash .......................................................... 769,489
Receivable for:
Investment income ........................................... 2,071,678
Foreign withholding taxes ................................... 76,959
Capital stock sold .......................................... 78,459
Other assets .................................................. 4,528
-----------
Total assets .................................................. 78,882,648
-----------
LIABILITIES
Payable for:
Investments purchased ....................................... 1,055,635
Foreign withholding taxes ................................... 43,476
Advisory fees ............................................... 31,058
Other liabilities ............................................. 18,676
-----------
Total liabilities ........................................... 1,148,845
-----------
NET ASSETS APPLICABLE TO
SHARES OUTSTANDING .......................................... $77,733,803
===========
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
6,110,908 shares outstanding ................................ $ 61,109
Additional paid in capital .................................... 68,319,372
Undistributed net realized gain on securities and
foreign currency transactions ............................... 71,136
Undistributed net investment income ........................... 28,252
Unrealized appreciation of securities and
foreign currency translation ................................ 9,253,934
-----------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING ................... $77,733,803
===========
SEE NOTES TO FINANCIAL STATEMENTS.
78
<PAGE>
INTERNATIONAL GOVERNMENT BOND FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1995
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest (net of foreign withholding taxes of $97,586).............................................................. $ 3,304,699
------------
EXPENSES:
Advisory fees....................................................................................................... 252,782
Custodian and accounting services................................................................................... 24,908
Reports to shareholders............................................................................................. 7,111
Audit fees.......................................................................................................... 4,220
Registration fees................................................................................................... 6,279
Directors' fees and expenses........................................................................................ 1,980
Miscellaneous....................................................................................................... 4,595
------------
Total expenses.................................................................................................. 301,875
------------
NET INVESTMENT INCOME............................................................................................... 3,002,824
------------
REALIZED AND UNREALIZED GAIN ON SECURITIES AND FOREIGN CURRENCIES:
Net realized gain on:
Securities......................................................................................... $ 37,659
Foreign currency transactions...................................................................... 157,001 194,660
Net unrealized appreciation during the year: ----------
Securities......................................................................................... 8,463,954
Foreign currency translation....................................................................... 27,160 8,491,114
---------- ------------
Net realized and unrealized gain on securities and foreign currencies during the year........................ 8,685,774
------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................................................................... $ 11,688,598
============
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1995 1994
------------ -----------
<S> <C> <C>
OPERATIONS:
Net investment income............................................................................. $ 3,002,824 $ 1,971,039
Net realized gain (loss) on securities and foreign currency transactions.......................... 194,660 (74,215)
Net unrealized appreciation (depreciation) of securities and translation
of foreign currencies during the period....................................................... 8,491,114 (719,814)
------------ -----------
Increase in net assets resulting from operations............................................ 11,688,598 1,177,010
------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................................................................. (3,173,182) (1,859,582)
Net realized gain on securities................................................................... - (27,975)
------------ -----------
Decrease in net assets resulting from operations............................................ (3,173,182) (1,887,557)
------------ -----------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold.................................................................. 34,640,967 20,318,770
Proceeds from capital stock issued for distributions reinvested................................... 3,173,182 1,887,557
------------ -----------
37,814,149 22,206,327
Cost of capital stock repurchased................................................................. (9,623,857) (3,476,386)
------------ -----------
Increase in net assets resulting from capital stock transactions.............................. 28,190,292 18,729,941
------------ -----------
TOTAL INCREASE IN NET ASSETS ..................................................................... 36,705,708 18,019,394
NET ASSETS:
Beginning of year................................................................................. 41,028,095 23,008,701
------------ -----------
End of year (including undistributed net investment income of $28,252 and $171,913)............... $ 77,733,803 $41,028,095
============ ===========
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold...................................................................... 2,933,943 1,821,848
Shares issued for distributions reinvested........................................................ 274,556 170,126
Shares of capital stock repurchased .............................................................. (838,751) (312,612)
------------ -----------
Increase in shares outstanding................................................................ 2,369,748 1,679,362
Shares outstanding:
Beginning of year............................................................................. 3,741,160 2,061,798
------------ -----------
End of year................................................................................... 6,110,908 3,741,160
============ ===========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
79
<PAGE>
MONEY MARKET FUND MAY 31, 1995 STATEMENT OF NET ASSETS
PAR MARKET
VALUE VALUE
---------- --------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 92.83%
APPLIANCES/FURNISHINGS - 1.81%
$1,500,000 Whirlpool Corp,
6.00% due 07/05/95 ............................ $ 1,491,500
--------------
BANKS - REGIONAL - 3.54%
Bank One Corp:
550,000 6.03% due 06/29/95 ............................ 547,421
1,400,000 6.03% due 07/07/95 ............................ 1,391,558
1,000,000 5.85% due 11/08/95 ............................ 974,000
--------------
2,912,979
--------------
BEVERAGE - SOFT DRINKS - 5.15%
Coca Cola Enterprises Inc:
1,000,000 6.07% due 06/20/95 ............................ 996,796
1,475,000 6.06% due 06/23/95 ............................ 1,469,538
1,778,000 Pepsico Inc, 5.93% due 06/21/95 ................. 1,772,142
--------------
4,238,476
--------------
CHEMICAL - MAJOR - 5.73%
2,254,000 Dow Chemical Co,
6.125% due 06/01/95 ......................... 2,254,000
Du Pont E I De Nemours & Co:
1,490,000 5.97% due 08/11/95 .......................... 1,472,456
1,000,000 5.92% due 08/18/95 .......................... 987,173
--------------
4,713,629
--------------
CONSUMER FINANCE - 14.67%
1,500,000 Associates Corp of North America,
5.90% due 09/20/95 ............................ 1,472,713
Beneficial Corp:
1,084,000 6.01% due 08/24/95 ............................ 1,068,799
1,500,000 5.96% due 07/10/95 ............................ 1,490,315
1,000,000 5.94% due 08/14/95 ............................ 987,790
Commercial Credit Co:
1,208,000 6.00% due 06/05/95 ............................ 1,207,195
1,200,000 5.94% due 08/09/95 ............................ 1,186,338
1,000,000 5.92% due 06/09/95 ............................ 998,684
Sears Roebuck Acceptance Corp:
491,000 6.02% due 07/05/95 ............................ 488,208
750,000 6.02% due 08/29/95 ............................ 738,838
1,150,000 5.93% due 07/06/95 ............................ 1,143,370
1,300,000 5.92% due 08/25/95 ............................ 1,281,829
--------------
12,064,079
--------------
DRUGS - 3.55%
Schering Plough Corp:
733,000 6.07% due 09/05/95 ............................ 721,135
1,500,000 6.03% due 09/19/95 ............................ 1,472,363
742,000 5.875% due 10/04/95 ........................... 726,864
--------------
2,920,362
--------------
ELECTRICAL EQUIPMENT - 0.68%
565,000 General Electric Co,
5.73% due 07/03/95 ............................ 562,122
--------------
ENTERTAINMENT - 1.21%
1,000,000 Mattel Inc, 6.05% due 07/06/95 .................. 994,118
--------------
FINANCE COMPANIES - 20.43%
CIESCO L P:
1,100,000 6.05% due 06/19/95 ............................ 1,096,673
895,000 6.00% due 06/21/95 ............................ 892,017
1,500,000 5.95% due 06/22/95 ............................ 1,494,794
CIT Group Holdings:
1,000,000 6.10% due 06/08/95 ............................ 998,814
515,000 6.05% due 06/01/95 ............................ 515,000
1,000,000 6.00% due 06/06/95 ............................ 999,167
1,000,000 5.91% due 07/21/95 ............................ 991,792
1,000,000 Ford Credit Europe Plc,
5.95% due 06/27/95 ............................ 995,703
1,000,000 Ford Motor Credit Co,
5.92% due 07/12/95 ............................ 993,258
1,400,000 General Electric Capital,
6.07% due 07/18/95 ............................ 1,388,905
International Lease Finance Corp:
1,000,000 6.18% due 06/15/95 ............................ 997,597
1,400,000 6.06% due 07/14/95 ............................ 1,389,866
1,000,000 5.95% due 07/20/95 ............................ 991,901
Transamerica Finance Corp:
1,000,000 6.05% due 06/30/95 ............................ 995,126
1,100,000 5.95% due 07/13/95 ............................ 1,092,364
1,000,000 5.87% due 11/01/95 ............................ 975,053
--------------
16,808,030
--------------
FOODS - 1.19%
991,000 McCormick & Co Inc,
6.10% due 08/21/95 ............................ 977,399
--------------
HOSPITAL SUPPLIES - 1.21%
1,000,000 Abbott Laboratories,
5.87% due 07/19/95 ............................ 992,173
--------------
INFORMATION PROCESSING - 7.89%
Hewlett Packard Co:
1,000,000 5.93% due 07/31/95 ............................ 990,117
1,000,000 5.90% due 08/15/95 ............................ 987,708
1,000,000 5.90% due 08/22/95 ............................ 986,561
International Business Machine Corp:
1,700,000 6.04% due 07/17/95 ............................ 1,686,880
1,100,000 6.00% due 08/01/95 ............................ 1,088,817
755,000 5.98% due 06/26/95 ............................ 751,865
--------------
6,491,948
--------------
INSURANCE - MULTILINE - 3.01%
Marsh & McLennan Cos Inc:
1,500,000 6.09% due 08/08/95 ............................ 1,482,745
1,000,000 6.08% due 07/24/95 ............................ 991,049
--------------
2,473,794
--------------
80
MACHINERY - INDUSTRIAL/
SPECIALTY - 3.93%
Cooper Industries Inc:
$1,000,000 6.02% due 06/13/95 ............................ $ 997,993
1,000,000 6.00% due 06/07/95 ............................ 999,000
1,238,000 Dover Corp, 5.95% due 06/01/95 .................. 1,238,000
--------------
3,234,993
--------------
MERCHANDISE - DRUG - 0.28%
231,000 Rite Aid Corp,
6.07% due 06/06/95 ............................ 230,805
--------------
OIL - INTEGRATED DOMESTIC - 3.01%
Atlantic Richfield Co:
1,500,000 6.08% due 09/12/95 ............................ 1,473,907
1,000,000 5.94% due 06/02/95 ............................ 999,835
--------------
2,473,742
--------------
PUBLISHING/PRINTING - 2.81%
RR Donnelley & Sons Co:
1,500,000 5.95% due 06/13/95 ............................ 1,497,025
814,000 5.94% due 06/28/95 ............................ 810,374
--------------
2,307,399
--------------
SECURITIES RELATED - 3.90%
Merrill Lynch & Co Inc:
1,000,000 6.07% due 08/04/95 ............................ 989,209
1,129,000 6.02% due 07/25/95 ............................ 1,118,805
1,103,000 6.01% due 06/28/95 ............................ 1,098,028
--------------
3,206,042
--------------
TOBACCO - 4.02%
Philip Morris Cos Inc:
1,319,000 6.03% due 06/12/95 ............................ 1,316,570
1,500,000 6.00% due 06/16/95 ............................ 1,496,250
500,000 5.85% due 09/05/95 ............................ 492,200
--------------
3,305,020
--------------
UTILITIES - COMMUNICATION - 3.27%
Bellsouth Telecommunications Inc:
1,000,000 5.95% due 06/06/95 ............................ 999,174
1,000,000 5.92% due 08/07/95 ............................ 988,982
705,000 GTE North Inc,
5.98% due 06/02/95 ............................ 704,883
--------------
2,693,039
--------------
UTILITIES - ELECTRIC - 1.54%
1,275,000 Central & South West Corp,
5.95% due 07/13/95 ............................ 1,266,149
--------------
TOTAL CORPORATE SHORT TERM COMMERCIAL PAPER
(Cost $76,357,798) .............................. 76,357,798
--------------
CORPORATE SHORT TERM OBLIGATIONS - 3.65%
FINANCE COMPANIES - 1.22%
1,000,000 General Electric Capital Corp,
Floating rate note due 02/09/96,
6.35% at 05/31/95 ........................... 1,000,000
--------------
SECURITIES RELATED - 2.43%
Bear Stearns Co Inc:
1,000,000 Floating rate note due 10/20/95,
6.178% at 05/31/95 .......................... 1,000,000
1,000,000 Floating rate note due 05/15/96,
6.1625% at 05/31/95 ......................... 1,000,000
--------------
2,000,000
--------------
TOTAL CORPORATE SHORT TERM OBLIGATIONS
(Cost $3,000,000) ................................ 3,000,000
--------------
UNITED STATES GOVERNMENT - SHORT TERM - 5.44%
GOVERNMENT SPONSORED - 5.44%
Federal Home Loan Banks:
Floating rate note due 09/20/95,
1,000,000 6.40% at 05/31/95 .......................... 1,000,685
1,000,000 6.06% due 08/02/95 ......................... 989,563
Federal National Mortgage Association:
1,000,000 6.07% due 08/17/95 ......................... 987,017
1,500,000 5.94% due 06/14/95 ......................... 1,496,780
--------------
TOTAL UNITED STATES GOVERNMENT - SHORT TERM
(Cost $4,474,045) ............................... 4,474,045
--------------
TOTAL INVESTMENTS
(Cost $83,831,843) - 101.92% .................... 83,831,843
Other assets and liabilities, net - (1.92%) ..... (1,578,046)
--------------
NET ASSETS (equivalent to $1.00 per share on
82,255,593 shares outstanding) - 100% ......... $ 82,253,797
==============
-------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
82,255,593 shares outstanding ............................... $ 822,556
Additional paid in capital .................................... 81,433,036
Accumulated net realized loss on securities ................... (1,795)
--------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING ................... $ 82,253,797
==============
SEE NOTES TO FINANCIAL STATEMENTS.
81
<PAGE>
MONEY MARKET FUND FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1995
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest............................................................................................................... $ 3,566,697
-----------
EXPENSES:
Advisory fees.......................................................................................................... 321,207
Custodian and accounting services...................................................................................... 32,690
Reports to shareholders................................................................................................ 10,631
Audit fees............................................................................................................. 6,044
Registration fees...................................................................................................... 1,264
Directors' fees and expenses........................................................................................... 2,598
Miscellaneous.......................................................................................................... 5,451
-----------
Total expenses..................................................................................................... 379,885
-----------
NET INVESTMENT INCOME.................................................................................................. 3,186,812
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................................................................... $ 3,186,812
===========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1995 1994
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income................................................................................ $ 3,186,812 $ 1,284,483
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................................................................ (3,186,812) (1,284,483)
------------ ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold..................................................................... 133,137,958 40,235,515
Proceeds from capital stock issued for distributions reinvested...................................... 3,186,812 1,284,483
------------ ------------
136,324,770 41,519,998
Cost of capital stock repurchased.................................................................... (104,603,566) (36,309,057)
------------ ------------
Increase in net assets resulting from capital stock transactions................................. 31,721,204 5,210,941
------------ ------------
TOTAL INCREASE IN NET ASSETS......................................................................... 31,721,204 5,210,941
NET ASSETS:
Beginning of year.................................................................................... 50,532,593 45,321,652
End of year.......................................................................................... $ 82,253,797 $ 50,532,593
============ ============
CHANGE IN SHARES OUTSTANDING
Shares of capital stock sold......................................................................... 133,137,958 40,235,515
Shares issued for distributions reinvested........................................................... 3,186,812 1,284,483
Shares of capital stock repurchased ................................................................. (104,603,566) (36,309,057)
------------ ------------
Increase in shares outstanding................................................................... 31,721,204 5,210,941
Shares outstanding:
Beginning of year............................................................................... 50,534,389 45,323,448
------------ ------------
End of year..................................................................................... 82,255,593 50,534,389
============ ============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
82
<PAGE>
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
On April 29, 1994, Growth Fund, Growth & Income Fund, and Science &
Technology Fund commenced operations.
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
Each Fund is accounted for as a separate entity. 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 u nrealized 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.
83
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. Permanent book/tax differences which arose in previous years were
reclassified to additional paid in capital as of May 31, 1995. Such
reclassifications had no effect on net assets or net asset value per share.
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 year ended May 31,
1995, the Series paid $14,880 for such services.
For the year ended May 31, 1995, the Series paid commissions of $241 to
BT Brokerage Corporation, an affiliate of Bankers Trust.
84
During the year ended May 31, 1995, 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 $13,687,425 $4,521,751
Capital Conservation Fund Government Securities Fund 2,004,375 8,118
</TABLE>
At May 31, 1995, VALIC Separate Account A (a registered separate
account of VALIC) and VALIC owned over five percent of the outstanding shares
of the following Funds:
VALIC
SEPARATE
ACCOUNT A VALIC
--------- -----
Stock Index Fund ............................... 96.34%
MidCap Index Fund .............................. 99.99
Small Cap Index Fund ........................... 100.00
International Equities Fund .................... 96.86
Growth Fund .................................... 88.58 11.42%
Growth & Income Fund ........................... 73.86 26.14
Science & Technology Fund ...................... 91.23 8.77
Social Awareness Fund .......................... 84.39 15.49
Timed Opportunity Fund ......................... 96.61
Capital Conservation Fund ...................... 81.33 18.66
Government Securities Fund ..................... 96.09
International Government Bond Fund ............. 79.41 20.59
Money Market Fund .............................. 99.99
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 for the year ended
May 31, 1995.
<TABLE>
<CAPTION>
IDENTIFIED COST GROSS GROSS
OF INVESTMENTS UNREALIZED UNREALIZED NET UNREALIZED
OWNED APPRECIATION DEPRECIATION APPRECIATION
--------------- ------------ ------------ --------------
<S> <C> <C> <C> <C>
Stock Index Fund .................................. $1,004,866,072 $281,750,305 $22,575,445 $259,174,860
MidCap Index Fund ................................. 368,853,005 60,830,620 22,414,351 38,416,269
Small Cap Index Fund .............................. 117,965,346 20,588,678 12,066,361 8,522,317
International Equities Fund ....................... 183,930,145 28,509,032 6,876,504 21,632,528
Growth Fund ....................................... 99,890,671 10,167,052 1,544,246 8,622,806
Growth & Income Fund .............................. 39,822,374 4,498,441 501,047 3,997,394
Science & Technology Fund ......................... 150,591,152 19,982,681 6,018,256 13,964,425
Social Awareness Fund ............................. 48,525,776 5,618,465 393,617 5,224,848
Timed Opportunity Fund ............................ 172,200,626 11,612,927 1,011,458 10,601,469
Capital Conservation Fund ......................... 62,590,633 2,994,768 316,458 2,678,310
Government Securities Fund ........................ 50,737,960 2,487,866 -- 2,487,866
International Government Bond Fund ................ 65,607,403 10,186,131 985,419 9,200,712
Money Market Fund ................................. 83,831,843 -- -- --
</TABLE>
The following net realized capital loss carryforwards at May 31,
1995, may be utilized to offset future capital gains.
CAPITAL LOSS EXPIRATION
CARRYFORWARD THROUGH:
------------ ------------
Growth & Income Fund ..................... $ 461,741 May 31, 2003
Capital Conservation Fund ................ 2,551,375 May 31, 2003
Government Securities Fund ............... 1,714,490 May 31, 2003
Money Market Fund ........................ 3,023 May 31, 2002
85
During the period, the cost of purchases and proceeds from sales of securities,
excluding short term securities were:
COST OF PROCEEDS FROM
SECURITIES SECURITIES SOLD
PURCHASED OR MATURED
------------ ---------------
Stock Index Fund ........................... $165,349,479 $154,316,356
MidCap Index Fund .......................... 107,401,319 85,852,643
Small Cap Index Fund ....................... 47,361,446 39,163,195
International Equities Fund ................ 53,198,153 27,222,089
Growth Fund ................................ 97,825,190 22,918,044
Growth & Income Fund ....................... 47,745,354 18,417,145
Science & Technology Fund .................. 186,825,160 65,898,712
Social Awareness Fund ...................... 71,183,464 70,393,726
Timed Opportunity Fund ..................... 166,438,573 195,804,462
Capital Conservation Fund .................. 60,839,572 58,469,170
Government Securities Fund ................. 108,518,697 97,143,092
International Government Bond Fund ......... 29,989,868 3,206,631
Transactions in written options during the period were:
SCIENCE & TECHNOLOGY FUND
-------------------------
CONTRACTS PREMIUMS
--------- --------
Beginning Balance............................. 0 $ 0
Written....................................... 120 16,265
Expired....................................... (120) (16,265)
------ --------
Ending Balance................................ 0 $ 0
------ --------
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, 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 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 during the lending period and
a portion of the interest or rebate earned on the collateral received.
Portfolio securities on loan at May 31, 1995 are summarized as follows:
MARKET VALUE COLLATERAL VALUE
------------ ----------------
Stock Index Fund ......................... $ 2,138,712 $ 2,198,100
MidCap Index Fund ........................ 21,535,671 22,625,131
Small Cap Index Fund ..................... 8,990,171 9,384,678
International Equities Fund .............. 9,969,225 10,235,171
Growth Fund .............................. 1,473,131 1,500,000
Growth & Income Fund ..................... 1,101,072 1,125,193
Science & Technology Fund ................ 9,362,375 9,488,800
Social Awareness Fund .................... 161,008 166,971
Timed Opportunity Fund ................... 439,374 447,033
Capital Conservation Fund ................ 153,725 156,500
Government Securities Fund ............... 35,990 36,225
----------- -----------
Total ........................... $55,360,454 $57,363,802
=========== ===========
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, 1995,
Government Securities Fund had 44% of its net assets invested in such
securities.
At May 31, 1995, International Government Bond Fund had 23% of its net
assets invested in securities issued by the Government of Japan and an
additional 10% 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.
86
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,
--------------------------------------------------------------
STOCK INDEX FUND 1995 1994 1993 1992 1991
---------- ---------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period .......................... $ 14.39 $ 14.36 $ 13.34 $ 12.60 $ 11.86
---------- ---------- -------- -------- -------
Income from investment operations:
Net investment income ..................................... 0.37 0.35 0.34 0.32 0.31
Net realized and unrealized gain on securities ............ 2.45 0.12 1.20 0.74 0.81
---------- ---------- -------- -------- -------
Total income from investment operations ................... 2.82 0.47 1.54 1.06 1.12
---------- ---------- -------- -------- -------
Distributions:
Distributions from net investment income .................. (0.37) (0.35) (0.34) (0.32) (0.31)
Distributions from net realized gain on securities ........ (0.03) (0.09) (0.18) (0.07)
---------- ---------- -------- -------- -------
Total distributions ....................................... (0.40) (0.44) (0.52) (0.32) (0.38)
---------- ---------- -------- -------- -------
Net asset value at end of period ................................ $ 16.81 $ 14.39 $ 14.36 $ 13.34 $ 12.60
========== ========== ======== ======== =======
TOTAL RETURN .................................................... 19.98% 3.29% 11.74% 8.57% 9.98%
========== ========== ======== ======== =======
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ..................... 0.38% 0.39% 0.43% 0.50% 0.67%
Ratio of net investment income to average net assets ........ 2.44% 2.44% 2.52% 3.12% 2.82%
Portfolio turnover rate ..................................... 14% 3% 1% 45% 6%
Number of shares outstanding at end of period (000's) ....... 75,451 75,494 66,224 55,598 6,662
Net assets at end of period (000's) ......................... $1,267,992 $1,086,459 $951,200 $741,667 $83,970
Average net assets during the period (000's) ................ $1,140,085 $1,030,581 $836,510 $167,262 $55,147
<CAPTION>
FISCAL YEAR ENDED MAY 31,
--------------------------------------------------------
MINCAP INDEX FUND(1) 1995 1994 1993 1992 1991
-------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period ................................. $ 14.54 $ 14.38 $ 12.86 $ 12.51 $ 12.92
-------- -------- -------- -------- -------
Income (loss) from investment operations:
Net investment income ............................................ 0.26 0.23 0.24 0.23 0.28
Net realized and unrealized gain (loss) on securities ............ 1.59 0.28 1.93 0.39 (0.30)
-------- -------- -------- -------- -------
Total income (loss) from investment operations ................... 1.85 0.51 2.17 0.62 (0.02)
-------- -------- -------- -------- -------
Distributions:
Distributions from net investment income ......................... (0.26) (0.23) (0.24) (0.23) (0.28)
Distributions from net realized gain on securities ............... (0.45) (0.12) (0.41) (0.04) (0.11)
-------- -------- -------- -------- -------
Total distributions .............................................. (0.71) (0.35) (0.65) (0.27) (0.39)
-------- -------- -------- -------- -------
Net asset value at end of period ....................................... $ 15.68 $ 14.54 $ 14.38 $ 12.86 $ 12.51
======== ======== ======== ======== =======
TOTAL RETURN ........................................................... 13.26% 3.52% 17.21% 5.01% 0.20%
======== ======== ======== ======== =======
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ............................ 0.44% 0.46% 0.47% 0.54% 0.67%
Ratio of net investment income to average net assets ............... 1.73% 1.62% 1.79% 1.82% 2.41%
Portfolio turnover rate ............................................ 23% 17% 5% 112% 101%
Number of shares outstanding at end of period (000's) .............. 25,988 24,001 14,673 8,862 6,168
Net assets at end of period (000's) ................................ $407,557 $349,041 $210,931 $113,992 $77,146
Average net assets during the period (000's) ....................... $376,486 $285,247 $154,979 $ 88,456 $69,696
</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.
87
<PAGE>
<TABLE>
<CAPTION>
PERIOD FROM
FISCAL YEAR ENDED MAY 31, MAY 1, 1992
------------------------------------ TO
1995 1994 1993 MAY 31, 1992
SMALL CAP INDEX FUND -------- -------- ------- ------------
<S> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period ................................... $ 11.52 $ 11.28 $ 9.93 $ 10.00(1)
-------- -------- ------- ---------
Income (loss) from investment operations:
Net investment income .............................................. 0.17 0.13 0.15 0.02
Net realized and unrealized gain (loss) on securities .............. 0.97 0.58 1.48 (0.07)
-------- -------- ------- ---------
Total income (loss) from investment operations ..................... 1.14 0.71 1.63 (0.05)
-------- -------- ------- ---------
Distributions:
Distributions from net investment income ........................... (0.17) (0.13) (0.15) (0.02)
Distributions from net realized gain on securities ................. (0.34) (0.13)
-------- -------- ------- ---------
Total distributions ................................................ (0.17) (0.47) (0.28) (0.02)
-------- -------- ------- ---------
Net asset value at end of period ......................................... $ 12.49 $ 11.52 $ 11.28 $ 9.93
======== ======== ======= =========
TOTAL RETURN ............................................................. 9.98% 6.18% 16.64% (0.50)%
======== ======== ======= =========
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets .............................. 0.44% 0.47% 0.47% 0.04%
Ratio of net investment income to average net assets ................. 1.44% 1.10% 1.40% 0.21%
Portfolio turnover rate .............................................. 34% 16% 20% 0%
Number of shares outstanding at end of period (000's) ................ 10,136 9,381 3,687 1,107
Net assets at end of period (000's) .................................. $126,567 $108,050 $41,581 $10,989
Average net assets during the period (000's) ......................... $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,
--------------------------------------------------------------
INTERNATIONAL EQUITIES FUND 1995 1994 1993 1992 1991
-------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period ......................... $10.14 $ 8.99 $ 8.03 $8.58 $9.17
-------- -------- ------- ------- -------
Income (loss) from investment operations:
Net investment income .................................... 0.15 0.11 0.18 0.15 0.23
Net realized and unrealized gain (loss) on securities
and foreign currencies ................................. 0.34 1.17 0.93 (0.55) (0.59)
-------- -------- ------- ------- -------
Total income (loss) from investment operations ........... 0.49 1.28 1.11 (0.40) (0.36)
-------- -------- ------- ------- -------
Distributions:
Distributions from net investment income ................. (0.15) (0.11) (0.15) (0.15) (0.23)
Distributions from net realized gain on securities ....... (0.06) (0.02)
-------- -------- ------- ------- -------
Total distributions ................................. (0.21) (0.13) (0.15) (0.15) (0.23)
-------- -------- ------- ------- -------
Net asset value at end of period ............................... $10.42 $10.14 $ 8.99 $8.03 $8.58
======== ======== ======= ======= =======
TOTAL RETURN ................................................... 4.92% 14.31% 14.18% (4.69)% (3.71)%
======== ======== ======= ======= =======
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets .................... 0.45% 0.47% 0.53% 0.65% 0.37%
Ratio of net investment income to average net assets ....... 1.47% 1.43% 2.33% 1.84% 2.67%
Portfolio turnover rate .................................... 14% 7% 9% 5% 3%
Number of shares outstanding at end of period (000's) ...... 20,074 17,273 7,429 4,256 2,451
Net assets at end of period (000's) ........................ $209,091 $175,183 $66,809 $34,182 $21,036
Average net assets during the period (000's) ............... $199,235 $117,264 $45,509 $26,542 $15,693
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
88
<TABLE>
<CAPTION>
FISCAL YEAR PERIOD FROM
ENDED APRIL 29, 1994
MAY 31, TO
GROWTH FUND 1995 MAY 31, 1994
----------- --------------
<S> <C> <C>
PER SHARE DATA
Net asset value at beginning of period .................... $ 9.87 $10.00(1)
-------- ------
Income (loss) from investment operations:
Net investment income ............................... 0.04 0.01
Net realized and unrealized gain (loss) on securities 1.56 (0.13)
-------- ------
Total income (loss) from investment operations ...... 1.60 (0.12)
-------- ------
Distributions:
Distributions from net investment income ............ (0.04) (0.01)
-------- ------
Net asset value at end of period .......................... $11.43 $ 9.87
======== ======
TOTAL RETURN .............................................. 16.25% (1.19)%
======== ======
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ............... 0.91% 0.08%
Ratio of net investment income to average net assets .. 0.41% 0.11%
Portfolio turnover rate ............................... 61% 0%
Number of shares outstanding at end of period (000's) . 8,800 1,001
Net assets at end of period (000's) ................... $100,614 $9,885
Average net assets during the period (000's) .......... $ 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>
FISCAL YEAR PERIOD FROM
ENDED APRIL 29, 1994
MAY 31, TO
GROWTH & INCOME FUND 1995 MAY 31, 1994
----------- --------------
<S> <C> <C>
PER SHARE DATA
Net asset value at beginning of period .................... $ 9.87 $10.00(1)
------- ------
Income (loss) from investment operations:
Net investment income ............................... 0.09 0.02
Net realized and unrealized gain (loss) on securities 1.22 (0.13)
------- ------
Total income (loss) from investment operations ...... 1.31 (0.11)
------- ------
Distributions:
Distributions from net investment income ............ (0.09) (0.02)
------- ------
Net asset value at end of period .......................... $11.09 $ 9.87
======= ======
TOTAL RETURN .............................................. 13.35% (1.11)%
======= ======
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ............... 0.86% 0.07%
Ratio of net investment income to average net assets .. 0.93% 0.22%
Portfolio turnover rate ............................... 97% 11%
Number of shares outstanding at end of period (000's) . 3,867 1,002
Net assets at end of period (000's) ................... $42,867 $9,890
Average net assets during the period (000's) .......... $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.
89
<TABLE>
<CAPTION>
FISCAL YEAR PERIOD FROM
ENDED APRIL 29, 1994
MAY 31, TO
SCIENCE & TECHNOLOGY FUND 1995 MAY 31, 1994
----------- --------------
<S> <C> <C>
PER SHARE DATA
Net asset value at beginning of period .................. $ 9.83 $10.00(1)
------- ------
Income (loss) from investment operations:
Net investment income ............................. 0.03 0.00
Net realized and unrealized gain (loss) on
securities and foreign currencies ................ 4.72 (0.17)
------- ------
Total income (loss) from investment operations .... 4.75 (0.17)
------- ------
Distributions:
Distributions from net investment income .......... (0.02) 0.00
Distributions from net realized gain on securities (0.13) 0.00
------- ------
Total distributions ............................... (0.15) 0.00
------- ------
Net asset value at end of period ........................ $14.43 $ 9.83
======= ======
TOTAL RETURN ............................................ 48.61% (1.66)%
======= ======
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ............. 1.00% 0.08%
Ratio of net investment income to average net assets 0.36% 0.04%
Portfolio turnover rate ............................. 121% 0%
Number of shares outstanding at end of period (000's) 11,550 1,001
Net assets at end of period (000's) ................. $166,683 $9,834
Average net assets during the period (000's) ........ $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 1995 1994 1993 1992 1991
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period ............................ $11.98 $12.12 $11.43 $11.13 $10.59
------- ------- ------- ------- -------
Income (loss) from investment operations:
Net investment income ....................................... 0.27 0.26 0.24 0.26 0.26
Net realized and unrealized gain (loss) on securities ....... 1.75 (0.02) 1.22 0.30 0.54
------- ------- ------- ------- -------
Total income (loss) from investment operations .............. 2.02 0.24 1.46 0.56 0.80
------- ------- ------- ------- -------
Distributions:
Distributions from net investment income .................... (0.27) (0.26) (0.24) (0.26) (0.26)
Distributions from net realized gain on securities .......... (0.71) (0.12) (0.53)
------- ------- ------- ------- -------
Total distributions ......................................... (0.98) (0.38) (0.77) (0.26) (0.26)
------- ------- ------- ------- -------
Net asset value at end of period .................................. $13.02 $11.98 $12.12 $11.43 $11.13
======= ======= ======= ======= =======
TOTAL RETURN ...................................................... 18.19% 1.97% 13.08% 5.08% 7.89%
======= ======= ======= ======= =======
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ....................... 0.58% 0.60% 0.63% 0.16% 0.44%
Ratio of net investment income to average net assets .......... 2.22% 2.19% 2.14% 2.34% 2.66%
Portfolio turnover rate ....................................... 148% 83% 106% 203% 100%
Number of shares outstanding at end of period (000's) ......... 4,143 3,817 2,819 1,799 973
Total net assets at end of period (000's) ..................... $53,927 $45,729 $34,166 $20,570 $10,835
Average net assets during the period (000's) .................. $47,942 $41,002 $26,920 $15,365 $ 7,959
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
90
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
-----------------------------------------------------------
TIMED OPPORTUNITY FUND 1995 1994 1993 1992 1991
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period ............................ $10.84 $11.18 $10.66 $11.05 $10.48
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income ....................................... 0.44 0.37 0.35 0.30 0.40
Net realized and unrealized gain (loss) on securities ....... 0.82 (0.15) 0.61 (0.19) 0.57
-------- -------- -------- -------- --------
Total income from investment operations ..................... 1.26 0.22 0.96 0.11 0.97
-------- -------- -------- -------- --------
Distributions:
Distributions from net investment income .................... (0.44) (0.37) (0.35) (0.30) (0.40)
Distributions from net realized gain on securities .......... (0.42) (0.19) (0.09) (0.20)
-------- -------- -------- -------- --------
Total distributions ......................................... (0.86) (0.56) (0.44) (0.50) (0.40)
-------- -------- -------- -------- --------
Net asset value at end of period .................................. $11.24 $10.84 $11.18 $10.66 $11.05
======== ======== ======== ======== ========
TOTAL RETURN ...................................................... 12.43% 1.86% 9.17% 0.87% 9.75%
======== ======== ======== ======== ========
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ....................... 0.58% 0.59% 0.70% 0.90% 0.92%
Ratio of net investment income to
average net assets .......................................... 4.03% 3.24% 3.28% 2.72% 3.94%
Portfolio turnover rate ....................................... 133% 76% 78% 111% 55%
Number of shares outstanding at end of period (000's) ......... 16,319 17,956 14,758 13,341 11,891
Total net assets at end of period (000's) ..................... $183,393 $194,576 $165,002 $142,213 $131,416
Average net assets during the period (000's) .................. $186,487 $185,036 $151,450 $137,179 $116,266
</TABLE>
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
---------------------------------------------------------
CAPITAL CONSERVATION FUND 1995 1994 1993 1992 1991
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period .............................. $ 9.13 $9.87 $ 9.29 $ 8.81 $9.08
------- ------- ------- ------- -------
Income (loss) from investment operations:
Net investment income ......................................... 0.63 0.61 0.65 0.69 0.73
Net realized and unrealized gain (loss) on securities ......... 0.39 (0.69) 0.58 0.48 (0.27)
------- ------- ------- ------- -------
Total income (loss) from investment operations ................ 1.02 (0.08) 1.23 1.17 0.46
------- ------- ------- ------- -------
Distributions:
Distributions from net investment income ...................... (0.63) (0.61) (0.65) (0.69) (0.73)
Distributions from net realized gain on securities ............ (0.05)
------- ------- ------- ------- -------
Total distributions ........................................... (0.63) (0.66) (0.65) (0.69) (0.73)
------- ------- ------- ------- -------
Net asset value at end of period .................................... $ 9.52 $9.13 $ 9.87 $ 9.29 $8.81
======= ======= ======= ======= =======
TOTAL RETURN ........................................................ 11.80% (1.13)% 13.60% 13.72% 5.40%
======= ======= ======= ======= =======
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ......................... 0.58% 0.59% 0.67% 0.77% 0.83%
Ratio of net investment income to average net assets ............ 6.88% 6.24% 6.77% 7.80% 8.25%
Portfolio turnover rate ......................................... 100% 55% 58% 121% 142%
Number of shares outstanding at end of period (000's) ........... 6,935 6,712 5,095 3,939 2,333
Total net assets at end of period (000's) ....................... $66,031 $61,305 $50,290 $36,609 $20,541
Average net assets during the period (000's) .................... $61,568 $59,210 $43,316 $29,793 $19,105
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
91
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
---------------------------------------------------------
GOVERNMENT SECURITIES FUND 1995 1994 1993 1992 1991
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period ............................. $ 9.55 $10.30 $ 9.84 $ 9.34 $9.20
------- ------- ------- ------- -------
Income (loss) from investment operations:
Net investment income ........................................ 0.60 0.55 0.61 0.65 0.66
Net realized and unrealized gain (loss) on securities ........ 0.35 (0.59) 0.59 0.49 0.14
------- ------- ------- ------- -------
Total income (loss) from investment operations ............... 0.95 (0.04) 1.20 1.14 0.80
------- ------- ------- ------- -------
Distributions:
Distributions from net investment income ..................... (0.61) (0.55) (0.61) (0.64) (0.66)
Distributions from net realized gain on securities ........... (0.16) (0.13)
------- ------- ------- ------- -------
Total distributions .......................................... (0.61) (0.71) (0.74) (0.64) (0.66)
------- ------- ------- ------- -------
Net asset value at end of period ............................... $ 9.89 $ 9.55 $10.30 $ 9.84 $9.34
======= ======= ======= ======= =======
TOTAL RETURN ....................................................... 10.43% (0.66)% 12.56% 12.60% 9.28%
======= ======= ======= ======= =======
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ........................ 0.58% 0.59% 0.67% 0.76% 0.87%
Ratio of net investment income to average net assets ........... 6.36% 5.44% 6.08% 6.77% 7.25%
Portfolio turnover rate ........................................ 229% 85% 105% 78% 87%
Number of shares outstanding at end of period (000's) .......... 5,478 4,544 3,110 2,090 1,468
Total net assets at end of period (000's) ...................... $54,174 $43,401 $32,023 $20,559 $13,711
Average net assets during the period (000's) ................... $45,200 $41,596 $26,145 $17,069 $11,393
</TABLE>
<TABLE>
<CAPTION>
PERIOD FROM
FISCAL YEAR ENDED MAY 31, OCTOBER 1,
------------------------------------ 1991 TO
INTERNATIONAL GOVERNMENT BOND FUND 1995 1994 1993 MAY 31, 1992
------- ------- ------- ------------
<S> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period ............................... $10.97 $11.16 $10.43 $10.00(1)
------- ------- ------- -------
Income from investment operations:
Net investment income .......................................... 0.65 0.62 0.76 0.48
Net realized and unrealized gain (loss) on securities
and foreign currencies ....................................... 1.80 (0.20) 0.70 0.42
------- ------- ------- -------
Total income from investment operations ........................ 2.45 0.42 1.46 0.90
------- ------- ------- -------
Distributions:
Distributions from net investment income ....................... (0.70) (0.60) (0.73) (0.47)
Distributions from net realized gain on securities ............. (0.01)
------- ------- ------- -------
Total distributions ............................................ (0.70) (0.61) (0.73) (0.47)
------- ------- ------- -------
Net asset value at end of period ..................................... $12.72 $10.97 $11.16 $10.43
======= ======= ======= =======
TOTAL RETURN ......................................................... 23.23% 3.87% 14.50% 9.18%
======= ======= ======= =======
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets .......................... 0.59% 0.48% 0.14% 0.08%
Ratio of net investment income to average net assets ............. 5.83% 5.87% 7.02% 4.62%
Portfolio turnover rate .......................................... 6% 3% 26% 12%
Number of shares outstanding at end of period (000's) ............ 6,111 3,741 2,062 1,259
Total net assets at end of period (000's) ........................ $77,734 $41,028 $23,009 $13,126
Average net assets during the period (000's) ..................... $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.
92
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
-----------------------------------------------------------
MONEY MARKET FUND 1995 1994 1993 1992 1991
------- ------- ------- ------- -------
<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 0.03 0.03 0.05 0.07
------- ------- ------- ------- -------
Distributions:
Distributions from net investment income .................... (0.05) (0.03) (0.03) (0.05) (0.07)
------- ------- ------- ------- -------
Net asset value at end of period .................................. $1.00 $1.00 $1.00 $1.00 $1.00
======= ======= ======= ======= =======
TOTAL RETURN ...................................................... 4.90% 2.83% 2.85% 4.47% 7.11%
======= ======= ======= ======= =======
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ....................... 0.57% 0.58% 0.63% 0.67% 0.68%
Ratio of net investment income to average net assets .......... 4.75% 2.78% 2.81% 4.42% 6.86%
Number of shares outstanding at end of period (000's) ......... 82,256 50,534 45,323 48,355 38,572
Total net assets at end of period (000's) ..................... $82,254 $50,533 $45,322 $48,353 $38,570
Average net assets during the period (000's) .................. $67,021 $46,222 $45,562 $46,305 $34,733
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
93
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,
and Money Market Fund and the accompanying statement of assets and liabilities
of International Government Bond Fund, including the schedule of portfolio
investments, (such "Funds" comprising the American General Series Portfolio
Company) as of May 31, 1995. We have also audited the related statement of
operations for each of the Funds for the year ended May 31, 1995, and the
statement of changes in net assets for each of the two years in the period ended
May 31, 1995 (except that the statements of changes in net assets of Growth
Fund, Growth & Income Fund, and Science & Technology Fund are for the year ended
May 31, 1995 and the period from April 29, 1994 to May 31, 1994). We have also
audited the financial highlights for each of the Funds 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, 1995, 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, 1995, 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 14, 1995
<PAGE>
AMERICAN GENERAL SERIES PORTFOLIO COMPANY
BOARD OF DIRECTORS INDEPENDENT AUDITORS
Stephen D. Bickel Ernst & Young LLP
Norman Hackerman 1221 McKinney
John W. Lancaster Houston, Texas 77010
Ben H. Love
Joe C. Osborne OFFICERS
F. Robert Paulsen Stephen D. Bickel,
Peter V. Tuters Chairman and President
R. Miller Upton Thomas L. West, Jr.,
Thomas L. West, Jr. Executive Vice President
Norman Jaskol,
DISTRIBUTOR Vice President and
The Variable Annuity Marketing Senior Investment Officer
Company (VAMCO) Brent C. Nelson,
2929 Allen Parkway Vice President
Houston, Texas 77019 Teresa S. Moro,
Vice President and
CUSTODIAN Investment Officer
State Street Bank and Trust Company John W. Mossbarger,
225 Franklin Street Vice President and
Boston, Massachusetts 02110 Investment Officer
William Trimbur, Jr.,
INVESTMENT ADVISER Vice President and
The Variable Annuity Life Investment Officer
Insurance Company (VALIC) Cynthia A. Toles,
2929 Allen Parkway General Counsel
Houston, Texas 77019 and Secretary
Gregory R. Seward,
INVESTMENT SUB-ADVISERS Treasurer and Controller
Bankers Trust Company Betty J. North,
280 Park Avenue Assistant Vice President
New York, New York 10017 David H. den Boer,
Assistant Secretary
T. Rowe Price Associates, Inc. William W. Merryman,
100 East Pratt Street Assistant Controller
Baltimore, Maryland 21202 Debra A. Yeang,
Assistant Treasurer
Value Line, Inc.
220 East 42nd Street
New York, New York 10017-5891
SHAREHOLDER SERVICE AGENT
The Variable Annuity Life
Insurance Company (VALIC)
2929 Allen Parkway
Houston, Texas 77019
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 (Registration Mark)", "Standard & Poor's MidCap 400 Index"
and "S&P 500 (Registration Mark)" 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 (Registration Mark)
Index is a trademark / service mark of the Frank Russell Company. Russell
(trademark) is a trademark of the Frank Russell Company.
VALIC
*An American General Company
(Copyright) 1995 The Variable Annuity Life Insurance Company, Houston Texas
VALIC is a registered service mark of
The Variable Annuity Life Insurance Company
VA 9530 REV 5/95
<PAGE>
AMERICAN GENERAL SERIES PORTFOLIO COMPANY Bulk Rate
P.O. Box 3206 U.S. Postage
Houston, Texas 77253-3206 PAID
Permit No. 6748
Houston, Texas
VA 9530 REV 5/95 Recycled Paper
